(Various) 'Productivity, Labor & the Business Cycle' FRB St.

Louis Review
July/Aug. 05
Abadie Alberto, Guido Imbens 'Large Sample Properties of Matching
Estimators for Average Treatment Effects' Econometrica 1/06
Achdou Yves, Olivier Pironneau 'Numerical Procedure for Calibration of
Volatility with American Options' Applied Math. Finance 9/05
Agca Senay 'The Performance of Alternative Interest Rate Risk Measures and
Immunization Strategies under a Heath-Jarrow-Morton Framework' JF&QA
9/05
Aggoun Lakhdar, Robert Elliott ‘Measure Theory & Filtering’ Cambridge 2004
Ait-Sahalia Yacine, Robert Kimmel 'Maximum Likelihood Estimation of
Stochastic Volatility Models' 1/05
Allievi A., R. Bermejo 'Finite Element Modified Method of Characteristics
for the Navier-Stokes Equation' Inter. J. Numer. Methods Fluids 2000
Alvarez Fernando, Urban J. Jermann 'Using Asset Prices to Measure the
Persistence of the Marginal Utility of Wealth' Econometrica 11/05
Alvarez Olivier, A. Tourin 'Viscosity Solutions of Nonlinear Integro-
Differential Equations' Ann. Inst. H. Poincare Anal. Non Lineaire 1996
Andersen Torben, Tim Bollerslev, Dobrislav Dobrev 'Nonparametric
Exploration of Continuous Time Volatility Models with Leverage and
Jumps' wp (in complete) 8/05
Anderson Edward, Huifu Xu 'VarEpsilon-Optimal Bidding in an Electricity
Market with Discontinuous Market Distribution Function' SIAM J. Control
& Opt. 11/05
Andritzky Jochen 'Default and Recovery Rates of Sovereign Bonds: A Case
Study of the Argentine Crisis' J. Fixed Income 9/05
Angeles Maria, Carnero Fernandez, Daniel Peña, Esther Ruiz 'Persistence and
Kurtosis in GARCH and Stochastic Volatility Models' Journal of
Financial Econometrics, Vol. 2, No. 2, 2004
Angelini Flavio, Stefano Herzel 'Consistent Calibration Of HJM Models To
Cap Implied Volatilities' J. Futures Markets 11/05
Artzner Philippe, Freddy Delbaen, Jean-Marc Eber, David Heath, H. Ku
'Coherent Multiperiod Risk Adjusted Values & Bellman's Principle' ETH
2003
Asai Manabu 'Comparison of MCMC Methods for Estimating Stochastic
Volatility Models' Computational Economics 6/05
Babbs Simon, Andrew Johnson 'Severe loss probabilities in portfolio credit
risk models' 1/9/2004 <risk>
Bailey David, Paul Swartztrauber 'A Fast Method for Numerical Evaluation of
Continuous Fourier & Laplace Transforms' SIAM J. Sci. Computing 15(5)
1994
Bailey David, Paul Swartztrauber 'The Fractional Fourier Transform &
Applications' SIAM Review 1991
Bakshi Gurdip, Nengjiu Ju ‘A Refinement to Ait-Sahalia’s 2002 “Maximum
Likelihood Estimation of Discretely Sampled Diffusions:A Closed Form
Approximation Approach”’ Sept 05 JofB
Baldick Ross 'Applied Optimization:Formulation & Algorithms for Engineering
Systems' Cambridge Press
Baquero Guillermo, Jenke ter Horst, Marno Verbeek 'Survival, Look-Ahead
Bias, and Persistence in Hedge Fund Performance' JF&QA 9/05
Barles Guy, E. Jakobsen 'On the Convergence Rate of Approximation Schemes
for Hamilton-Jacobi-Bellman Equations' Math. Model Numer. Analy 36,
2002
Barles Guy, Panagiotis Souganidis 'Convergence of Approximation Schemes for
Fully Nonlinear Second Order Equations' Asymptot. Anal. 1991
Barles Guy, Rainer Buckdahn, Etienne Pardoux 'BSDE's & Integral-Partial
Differential Equations' S&SR 1997
Barndorff-Nielsen Ole, Neil Shephard 'Power and Bipower Variation with
Stochastic Volatility and Jumps' Journal of Financial Econometrics,
Vol. 2, No. 1, 2004
Barone-Adesi Giovanni 'The Saga of the American Put' J. Banking & Finance
11/05
Basak Suleyman 'Asset Pricing With Heterogeneous Beliefs' J. Banking &
Finance 11/05
Basak Suleyman, Alexander Shapiro ‘A Model of Credit Risk, Optimal Policies
& Asset Prices’ July 05 JofB
Bauerle Nicole 'Benchmark and Mean-Variance Problems For Insurers' Math.
Methods of OR 9/05
Bayraktar Erhan, Li Chen, H. Vincent Poor 'Consistency Problems for Jump-
diffusion Models' Applied Math. Finance V.12,2 June 05
Bedendo Mascia, Lara Cathcart, Lina El-Jahel ‘The Shape of the Term
Structure of Credit Spreads:An Empirical Investigation’ Imperial
College 2004
Bedendo Mascia, Lara Cathcart, Lina El-Jahel, Lorenzo Liesch 'Trading Down
The Slopes' <CDS, credit spread term structure> RISK 11/05
Bekaert Geert, Campbell Harvey, Angel Ng ‘Market Integration & Contagion’
Jan 05 JofB
Belaygorod Anatoliy, Michael Dueker 'Discrete Monetary Changes & Changing
Inflation Targets in Estimating Dynamic Stochastic General Equilibrium
Models' FRB St. Louis Review Nov/Dec. 05
Benth Fred Espen, Kenneth Hvistendahl Karlsen 'A PDE Representation Of The
Density Of The Minimal Entropy Martingale Measure In Stochastic
Volatility Markets' Stochastics 4/05
Bergemann Dirk, Stephen Morris 'Robust Mechanism Design' Econometrica 11/05
Berger Allen, Marco Espinosa-Vega, W. Scott Frame, NATHAN H. MILLER 'Debt
Maturity, Risk, and Asymmetric Information' JofF 12/05
Bergomi Lorenzo 'Smile Dynamics II' RISK 10/05 <Forward Variance Swaps,
volatility of volatility, term structure of skew, realized variance,
reverse cliquet, Napoleon, accumulator, option on variance>
Bermejo R. 'Analysis of a Class of Quasi-Monotone & Conservative Semi-
Langrangian Advection Schemes' Numer. Math 2001
Best Michael, Jaroslava Hlouskova ‘An Algorithm for Portfolio Optimization
with Transaction Costs’ <convex programming> MS 11/05
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Hedging Of Credit
Derivatives In Models With Totally Unexpected Default’ June 30, 2005
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Pricing And Trading
Credit Default Swaps' 8/1/05
Bielecki Tomasz, Stephane Crepey, Monique Jeanblanc, Marek Rutkowski
'Valuation Of Basket Credit Derivatives In The Credit Migrations
Environment' Sept.(?) 2005
Bielecki Tomasz, Stephane Crepey, Monique Jeanblanc, Marek Rutkowski
'Valuation of Convertible Bonds in an abstract set-up' 9/5/05
Bieri David, Ludwig Chincarini 'Riding the Yield Curve: A Variety of
Strategies' J. Fixed Income 9/05
Blenman Lloyd, Steven Clark 'Options with Constant Underlying Elasticity in
Strikes' Review Deriv. Research 8/05
Bobrowski Adam 'Functional Analysis for Probability & Stochastic Processes'
Cambridge Press
Borici Artan, Hans-Jakob Luthi 'Fast solutions of complementarity
formulations in American put pricing' J. Computational Finance V.9,
Number 1 2005
Boyarchenko Svetlana, Sergei Levendorskii 'American Options: the EPV
Pricing Model' Annals of Finance 1, 267-292 (2005) <perpetual American,
mean-reverting, stochastic volatility, dividend paying>
Boyarchenko Svetlana, Sergei Levendorskii 'General Option Exercise Rules,
with Applications to Embedded Options and Monopolistic Expansion' SSRN
11/05
Boyle Phelim, David Emanuel 'Options on the General Mean' U. British
Columbia 1980
Boyle Phelim, Mary Hardy, Ton Vorst 'Life after VaR' J. of Derivatives Fall
05 <risk>
Bozuck Aslihan, M. Ameziane Lasfer 'The Information Content of
Institutional Trades on the London Stock Exchange' JF&QA 9/05
Brace Alan 'Rank-2 Swaption Formulae' wp Financial Math. Modeling Analysis
1998
Brau James, Val E. Lambson, Grant McQueen 'Lockups Revisited' JF&QA 9/05
Brooks Chris, Simon Burke, Saeed Heravi, Gita Persand 'Autoregressive
Conditional Kurtosis' Journal of Financial Econometrics, Vol. 3, No. 3,
2005
Bubák Pavel, Cornelis V. M. van der Mee, André C. M. Ran 'Approximation of
Solutions of Riccati Equations' SIAM J. Control & Opt. 11/05
Buraschi Andrea, Francesco Corielli 'Risk Management Implications Of Time-
Inconsistency: Model Updating And Recalibration Of No-Arbitrage Models'
J. Banking & Finance 11/05
Cakmak U., S. Ozekici 'Portfolio optimization in stochastic markets' Math.
Methods of OR 10/05
Camara Antonio ‘Option Prices Sustained by Risk-Preferences’ Sept. 05 JofB
Campi L. 'Some Results On Quadratic Hedging With Insider Trading'
Stochastics 8/05
Caporale Guglielmo Maria, Christos Ntantamis, Theologos Pantelidis, Nikitas
Pittis 'The BDS Test as a Test for the Adequacy of a GARCH(1,1)
Specification: A Monte Carlo Study' Journal of Financial Econometrics,
Vol. 3, No. 2, 2005
Card David, Dean R. Hyslop 'Estimating the Effects of a Time-Limited
Earnings Subsidy for Welfare-Leavers' Econometrica 11/05
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Self Decomposability and
Option Pricing' 8/27/05 <option-pricing> <risk neutral,four parameter
self similar, 6 models, strikes/maturities>
Casassus Jamie, Pierre Collin-Dufresne, Bob Goldstein 'Unspanned Stochastic
Volatility And Fixed Income Derivatives Pricing' J. Banking & Finance
11/05 <term structure> <HJM, Fractional FFT>
Case James 'Can Science Outperform the Shamans in Global Financial
Markets?' Review of B. Mandelbrot, Richard Hudson's "The (Mis)Behavior
of Markets:A Fractal View of Risk, Ruin & Reward"' SIAM News Oct. 2005
Cassesse Gianluca, Massimo Guidolin 'Modelling the MIB30 Implied Volatility
Surface. Does Efficiency Matter?' Jan. 05 FRB St. Louis
Castañeda-Leyva Netzahualcóyotl, Daniel Hernández-Hernández 'Optimal
Consumption-Investment Problems in Incomplete Markets with Stochastic
Coefficients' SIAM J. Control & Opt. 10/05 <Black-Scholes under
stochastic economic factors, martingale approach, HARA, logarithmic
utility>
Cerny Ales 'Minimal Martingale Measure, CAPM, and Representative Agent
Pricing in Incomplete Markets' SSRN, City University London - Faculty
of Management 11/05
Chan Tony, Jianhong (Jackie) Shen 'Image Processing & Analysis:Variational,
PDE, Wavelet & Stochastic Methods' 2005 SIAM Books
Chang Ganlin, Suresh Sundaresan ‘Asset Prices & Default-Free Term Structure
in an Equilibrium Model of Default’ May 05 JofB
Chen Bin, Yongmiao Hong ‘Diagnosing Multivariate Continuous-Time Models
with Application to Affine Term Structure Models’ SSRN 12/05
Cheridito Patrick, Christopher Summer ‘Utility Maximization Under
Increasing Risk Aversion In One-Period Models’ F&S 1/06
Chib Siddhartha, Michael Dueker 'Non-Markovian Regime Switching with
Endogenous States & Time-Varying State Strenghts' 2004 wp FRB St. Louis
Choi Kyoung Jin, Hyeng Keun Koo 'A preference change and discretionary
stopping in a consumption and porfolio selection problem' Math. Methods
of OR 7/05
Chong James, Joelle Miffre 'Conditional Risk Premia, Volatilities and
Correlations in Commodity Futures Markets' SSRN 10/05
Choom Alexandre, Ole Hald 'Stochastic Tools in Mathematics & Finance'
Springer 2005
Chua Choong Tze, Dean Foster, Krishna Ramaswamy, Robert Stine 'A Dynamic
Model for the Forward Curve' Singapore Manag. U., U. Penn., SSRN 11/05
Chue Timothy ‘Conditional Market Comovements, Welfare & Contagions:The Role
of Time-Varying Risk Aversion’ May 05 JofB
Chung San-Li, Hsiao-Gen Yang 'Pricing Quanto Equity Swaps in a Stochastic
Interest Rate Economy' Applied Math. Finance V.12,2 June 05
Cipra Barry 'Control Theorists Chart New Waters for Synchronized Swimmers'
SIAM News 11/05
Cipra Barry 'Patient-Specific Models Take Aim at Uncertainty in Medical
Treatment' SIAM News Oct. 2005
Ciurlia Pierangelo, Ilir Roko 'Valuation of American Continuous-Installment
Options' Computational Economics 2/05
Cohen Benjamin ‘Derivatives and Asset Price Volatility: A Test Using
Variance Ratios’ SSRN 12/05
Colin Andrew 'Fixed Income Attribution' Wiley 2005

Cooper Michael, Huseyin Gulen, P. Raghavendra Rau 'Changing Names with

Style: Mutual Fund Name Changes and Their Effects on Fund Flows' JofF
12/05
Cosma Antonio, Olivier Scaillet, Rainer von Sachs 'Multiariate Wavelet-
based Shape Preserving Estimation For Dependant Observation' 2005 FAME
Research Paper Series rp144, International Center for Financial Asset
Management and Engineering.
Crack Timothy 'Heard on the Street: Quantitative Questions from Wall Street
Job Interviews' 2003 Publisher ?
Craine R, L. Lochstoer, K. Syrtveit 'Estimation of a Stochastic-Volatility
Jump-Diffusion Model' wp U. California Berkeley 2000
Crandall M.G., Pierre-Louis Lions 'Two Approximations of Solutions of
Hamilton-Jacobi Equations' Math. Comp. 43, 1984
Crawford Dean, Diana R. Franz, Gerald J. Lobo 'Signaling Managerial
Optimism through Stock Dividends and Stock Splits: A Reexamination of
the Retained Earnings Hypothesis' JF&QA 9/05
Cremers K.J. Martijn, Vinay Nair 'Governance Mechanisms and Equity Prices'
JofF 12/05
Cripps Martin, Jeroen M. Swinkels 'Efficiency of Large Double Auctions'
Econometrica 1/06
Dai Min, Yue Kuen Kwok 'American Options with Lookback Payoff' SIAM J.
Appl. Math Vol 66, #1 2005 <option-Lookback> <floating strike, Russian,
fixed strike, dynamic protection fund, optimal stopping region,
asymptotic behavior close to expiration, exercise boundary curves,
infinitesimally small asset values for two-asset minimum put option
model>
Dai Min, Yue Kuen Kwok 'Options with Combined Reset Rights on Strike and
Maturity' JED&C 9/05
Danielsson Jon, H. Shin, J.-P. Zigrand 'Asset Price Dynamics with Value at
Risk Constrained Traders' LSE 2001
d'Aspremont Alexandre 'Interest Rate Model Calibration Using Semidefinite
Programming' 6/03
Davis Mark, Martin P. Johansson 'Malliavin Monte Carlo Greeks for Jump
Diffusions' SP&A tobe 2006
Dawande Milind, H. Neil Geismar, Suresh P. Sethi ‘Dominance of Cyclic
Solutions and Challenges in the Scheduling of Robotic Cells’ SIAM
Review 12/05
Dayar Tugrul, Nail Akar 'Computing Moments of First Passage Times to a
Subset of States in Markov Chains' SIAM J. Matrix Analysis &
Applications 11/05
De Donno Marzia, Paolo Guasoni, Maurizio Pratelli 'Super-Replication And
Utility Maximization In Large Financial Markets' SP&A 12/05 <many
assets, Infinite-dimensional stochastic integration; Utility
maximization; Admissible strategies; Convex duality>
Deacon Mark, Andrew Derry, Dariush Mirfendereski 'Inflation-Indexed
Securities' Wiley 2004
Deep Akash 'Optimal Dynamic Hedging Using Futures Under a Borrowing
Constraint' Harvard 11/05
Denuit Michel, Anne-Cécile Goderniaux, Olivier Scaillet 'A Kolmogorov-
Smirnov Type Test For Shortfall Dominance Against Parametric
Alternatives' 2005 FAME Research Paper Series rp143, International
Center for Financial Asset Management and Engineering.
Derman Emanuel, Nassim Taleb 'The Illusions Of Dynamic Replication' QF 8/05
Detemple Jerome, Rene Garcia, Marcel Rindisbacher ‘Asymptotic Properties of
Monte Carlo Estimators of Derivatives’ <Malliavin path, Malliavin
weight, covariation, finite difference, likelihood ratio> MS 11/05
Detemple Jerome, René Garcia, Marcel Rindisbacher 'Intertemporal Asset
Allocation: A Comparison Of Methods' J. Banking & Finance 11/05
Detlefsen Kai 'Hedging Exotic Options in Stochastic Volatility & Jump
Diffusion Models' Humboldt U. 2005
Deuskar Prachi, Anurag Gupta, Marti G. Subrahmanyam ‘The Drivers and
Pricing of Liquidity in Interest Rate Option Markets’ SSRN 12/05
d'Halluin Yahn, Peter Forsyth, George Labahn 'A Semi-Lagrangian Approach
for American Asian Options under Jump Diffusion' SIAM J. Sci. Comp.
9/05 <fixed strike Asian options, one-dimensional partial
integrodifferential equations (PIDEs), Crank-Nicolson, continuously
observed Asian option, semi-Lagrangian, American option, jump
diffusion, implicit discretization> <option-Asian>
Di Graziano Maria Gabriella, Stefano Galluccio 'Evaluating Tracking Hedging
Errors for General Processes:Theory & Experiments' BNP Paribas, U.
Cambridge 2005
Diebold Francis X., A. Inoue ‘Long-Memory & Regime Switching’ J.
Econometrics Nov. 2001
Dieudonné Mathieu, Jean-Christophe Curtillet 'Estimating and Hedging Most
Probable Extreme Changes in Multicurrency Term Structures' J. Fixed
Income 9/05
Dionne Georges, Genevieve Gauthier, Khemais Hammami, Mathieu Maurice, Jean-
Guy Simonato ‘Default Risk in Corporate Yield Spreads’ SSRN 12/05
Dokuchaev Nikolai 'Optimal Solution of Investment Problems Via Linear
Parabolic Equations Generated by Kalman Filter' SIAM J. Control & Opt.
10/05
Dong Ming 'Option pricing with a non-zero lower bound on stock price' J.
Futures Markets 9/05
Dotsis George, Raphael Markellos 'The Finite Sample Properties of the GARCH
Option Pricing Model' Athens U., SSRN 11/05
Douglas J., T. Russell 'Numerical Methods for Convection-Dominated
Diffusion Problems Based on Combining the Method of Characteristics
 with Finite Element or Finite Difference Procedures' SIAM J. Numer.
Anal. 1982
Doumpos Michael, Fotios Pasiouras 'Developing and Testing Models for
Replicating Credit Ratings: A Multicriteria Approach' Computational
Economics 6/05
Dow James, Clara Raposo 'CEO Compensation, Change, and Corporate Strategy'
JofF 12/05
Drucker Steven, Manju Puri 'On the Benefits of Concurrent Lending and
Underwriting' JofF 12/05
Duarte Jefferson, Francis Longstaff, Fan Yu ‘Risk & Return in Fixed Income
Arbitrage:Nickels in Front of a Steamroller?’ UCLA 2005
Duarte Jefferson, Xiaoxia Lou, Ronnie Sadka ‘Option-Based Hedging of
Liquidity Costs in Short Selling’ SSRN 12/05
Dubil Robert 'An Arbitrage Guide to Financial Markets' Wiley 2004
Duffie Darrell 'Credit Risk Modeling With Affine Processes' J. Banking &
Finance 11/05
Duffie Darrell, Nicolae Gârleanu, Lasse Heje Pedersen 'Over-the-Counter
Markets' Econometrica 11/05
Düring Bertram, Erik Lüders 'Option Prices Under Generalized Pricing
Kernels' Review Deriv. Research 8/05
Dutta Kabir, David Babbel ‘Extracting Probabilistic Information from the
Prices of Interest Rate Options:Tests of Distributional Assumptions’
May 05 JofB
Dyer James, Warren Hahn ‘Using Binomial Decision Trees to Solve Real-Option
Valuation Problems’ Decision Analysis 6/05
Edwards Craig 'Derivative Pricing Models with Regime Switching: A General
Approach' J. of Derivatives Fall 05
Emery Kenneth, Richard Cantor 'Default Correlation Among Non-Financial
Corporate Affiliates' J. Fixed Income 9/05
Ericsson Jan, Joel Reneby ‘Estimating Structural Bond Pricing Models’ March
05
Ericsson Jan, Kris Jacobs, Rodolfo Oviedo-Helfenberger ‘The Determinates of
Credit Default Swap Jumps’ 2004 McGill U.
Eyraud-Loisel Anne 'Backward Stochastic Differential Equations With
Enlarged Filtration: Option Hedging Of An Insider Trader In A Financial
Market With Jumps' SP&A 10/05 <insider trading, Grorud/Pontier,
hedging, wealth, Asymmetric information; Martingale representation
Falk Armin, Ernst Fehr, Urs Fischbacher 'Driving Forces Behind Informal
Sanctions' Econometrica 11/05
Fang Lily Hua 'Investment Bank Reputation and the Price and Quality of
Underwriting Services' JofF 12/05
Fender Ingo, John Kiff 'CDO Rating Methodology: Some Thoughts On Model Risk
And Its Implications' Journal of Credit Risk, Vol. 1, No. 3, Summer
2005
Fengler Matthias 'Arbitrage-Free Smoothing of the Implied Volatility
Surface' Humboldt U. 2005
Fengler Matthias 'Semiparametric Modeling of Implied Volatility' Series:
Springer Finance 2005
Fermanian Jean-David, Olivier Scaillet 'Some Statistical Pitfalls In Copula
Modeling For Financial Applications' 2004 FAME Research Paper Series
rp108, International Center for Financial Asset Management and
Engineering
Fernandez-Villaverde Jesus, Juan F. Rubio-Ramirez, Manuel S. Santos
'Convergence Properties of the Likelihood of Computed Dynamic Models'
Econometrica 1/06
Flacone M., R. Ferretti 'Convergence Analysis for a Class of High-Order
Semi-Lagrangian Advection Schemes' SIAM J. Number. Analy 1998
Fock J. Henning, Christian Klein, Bernard Zwergel 'Performance of
Candlestick Analysis on Intraday Futures Data' J. of Derivatives Fall
05
Fons J. ‘Using Default Swaps to Model the Term Structure of Credit Risk’
FAJ 1994
Franklin Joel 'Methods of Mathematical Economics:Linear & Nonlinear
Programming, Fixed-Point Theorems' 2002 SIAM Books
Fréchette Guillaume, John H. Kagel, Massimo Morelli 'Behavioral
Identification in Coalitional Bargaining: An Experimental Analysis of
Demand Bargaining and Alternating Offers' Econometrica 11/05
Fuhrmann J., H. Langmach 'Stability & Existence of Solutions of Time-
Implicit Finite Volume Schemes for Viscous Nonlinear Conservation Laws'
Appl. Numer. Math 2001
Fusai Gianluca 'Implementing Models in Quantiative Finance:Methods & Cases'
Springer 2005
Fusai Gianluca, I. David Abrahams, Carlo Sgarra ‘An Exact Analytical
Solution For Discrete Barrier Options’ F&S 1/06
Gablonsky, Andrew S. I. D. Lang Joerg M. ‘Modeling Basketball Free Throws’
SIAM Review 12/05
Galluccio Stefano, Yann Le Cam 'Implied Calibration of Stochastic
Volatility Jump Diffusion Models' 9/30/05 <volatility> <affine
quadratic>
Galluccio Stefano, Yann Le Cam 'Modelling Hybrids with Jumps & Stochastic
Volatility' BNP Paribas, U. Evry 2005
Galluccio Stefano, Z. Huang, J.-M. Ly, Olivier Scaillet 'Theory and
Calibration of Swap Market Models' 2005 FAME Research Paper Series
rp107, International Center for Financial Asset Management and
Engineering
GebremedhinAssefaw Hadish, Fredrik Manne, Alex Pothen ‘What Color Is Your
Jacobian? Graph Coloring for Computing Derivatives’ SIAM Review 12/05
Gelos R. Gaston, Shang-Jin Wei 'Transparency and International Portfolio
Holdings' JofF 12/05
Geman Helyette 'From Measure Changes To Time Changes In Asset Pricing' J.
Banking & Finance 11/05
Glasserman Paul, Jingyi Li ‘Importance Sampling for Portfolio Credit Risk’
<variance reduction> MS 11/05
Gomes Francisco ‘Portfolio Choice & Trading Volume with Loss-Averse
Investors’ March 05 JofB
Goncalves Silvia, Massimo Guidolin 'Predictable Dynamics in the S&P 500
Index Options Implied Volatility Surface' Jan. 05 FRB St. Louis
Gourieroux Christian, Jean-Paul Laurent, Olivier Scaillet ‘Sensitivity
Analysis of Values at Risk’ J. Empirical Finance 1999-2000
Granger Clive ‘Current Perspectives on Long Memory Processes’ Institute of
Economics Taiwan 2000
Granger Clive ‘Some Comments on Risk’ J. Applied Econometrics Sept/Oct.
2002
Granger Clive ‘The Present & Future of Empirical Finance’ FAJ July/Aug.
2005
Granger Clive, N. Hyung ‘Occasional Structural Breaks & Long Memory with
Applications to the S&P 500 Absolute Stock Returns’ J. Empirical
Finance June 2003
Granger Clive, N. Swanson ‘An Introduction to Stochastic Unit-Root
Processes’ J. Econometrics 1997
Granger Clive, Oskar Morgenstern ‘Predictability of Stock Market Prices’
Lexington Books 1970
Gruber Urs, Martin Schweizer 'A Diffusion Limit for Generalized Correlated
Random Walks' 2005 NCCR FINRISK working paper No. 223, ETH Zurich
Guan Lim Kian, Christopher Ting, Mitch Warachka 'The Implied Jump Risk Of
LIBOR Rates' J. Banking & Finance 10/05
Guidolin Massimo 'High Equity Premia and Crash Fears. Rational Foundations'
January 2005, Economic Theory, October 2006, 28(3) FRB St. Louis
Guidolin Massimo 'Home Bias and High Turnover in an Overlapping Generations
Model with Learning' January 2005 FRB St. Louis
Guidolin Massimo, Allan Timmermann 'Forecasts of US Short-term Interest
Rates: A Flexible Forecast Combination Approach' August 2005 FRB St.
Louis
Guidolin Massimo, Allan Timmermann 'International Asset Allocation under
Regime Switching, Skew and Kurtosis Preferences' June 2005 FRB St.
Louis
Guidolin Massimo, Allan Timmermann 'Properties of Equilibrium Asset Prices
under Alternative Learning Schemes' Sept. 05, tobe Journal of Economic
Dynamics and Control FRB St. Louis
Guidolin Massimo, Allan Timmermann 'Size and Value Anomalies under Regime
Shifts' Jan. 05 FRB St. Louis
Guidolin Massimo, Eliana La Ferrara 'The Economic Effects of Violent
Conflict:Evidence from Asset Market Reactions' October 2005 FRB St.
Louis
Guidolin Massimo, Sadayuki Ono 'Are the Dynamic Linkages Between the
Macroeconomy and Asset Prices Time-Varying?' July 2005 FRB St. Louis
Gul Faruk, Wolfgang Pesendorfer 'Random Expected Utility' Econometrica 1/06
Guo Hui, Kevin Kliesen 'Oil Price Volatility & U.S. Macroeconomic Activity'
FRB St. Louis Review Nov/Dec. 05
Han Chirok, Peter Phillips 'GMM with Many Moment Conditions' Econometrica
1/06
Handley John 'On the Upper Bound of a Call Option' Review Deriv. Research
8/05
Hannam William, Gerald Marsh, George Stanford 'Smarter Use of Nuclear
Waste' SA 12/05 <reprocess almost all waste, no bomb material, very
short half life> <physics-fusion>
Hardy M., J. Wirch 'The Iterated CTE:A Dynamic Risk Measure' North Amer.
Actuarial J. 2004
Hefferman Janet, Jonathan. Tawn ‘Extreme Value Theory’ Lancaster U. 2003
Heifetz Aviad, Zvika Neeman 'On the Generic (Im)Possibility of Full Surplus
Extraction in Mechanism Design' Econometrica 1/06
Hernandez-Lerma Onesimo, Jean Bernard Lasrre ‘Markov Chains & Invarient
Probabilities’ Birkhauser 2003
Hilliard Jimmy, Adam Schwartz 'Pricing European and American Derivatives
under a Jump-Diffusion Process: A Bivariate Tree Approach' JF&QA 9/05
, 6/03 wp <option-pricing>
Hobson David, Peter Laurence, Tai-Ho Wang 'Static-Arbitrage Upper Bounds
For The Prices Of Basket Options' QF 8/05 , 6/04 <option-basket>
Hong Harrison, Jeffrey Kubik, Jeremy Stein 'Thy Neighbor's Portfolio: Word-
of-Mouth Effects in the Holdings and Trades of Money Managers' JofF
12/05
Hornstein Andreas, Alexander Wolman 'Trend Inflation, Firm Specific Capital
& Sticky Prices' FRB Richmond Economic Quarterly Fall 2005
Huang Shian-Chang, Mao-Wei Hung 'Pricing Foreign Equity Options Under Lévy
Processes' J. Futures Markets 10/05
Hugger J. 'Wellposedness of the Boundary Value Formulation of a Fixed
Strike Asian Option' J. Comput. Methods Sci. Engin tobe
Hui Cho-Hoi, Chi-Fai Lo, Tak-Chuen Wong 'Benchmarking Model of Default
Probabilities of Listed Companies' J. Fixed Income 9/05
Hyung N., P. Franses ‘Inflation Rates: Long Memory, Level Shifts or Both?’
Erasmus U. 2002
Itkin Andrey 'Pricing options with VG model using FFT' 3/17/05 <option-
pricing> <Variance-Gamma>
Jain Pankaj 'Financial Market Design and the Equity Premium: Electronic
versus Floor Trading' JofF 12/05
Jang Bong-Gyu, Hyeng Keun Koo 'American Put Options with Regime-Switching
Volatility' SSRN, Korea Advanced Institute of Science and Technology,
General & Ajou University 11/05
Jarrow Robert, Philip Protter 'Large Traders, Hidden Arbitrage, And
Complete Markets' J. Banking & Finance 11/05
Jeffery Christopher 'The Evolution of Variance' RISK 11/05 <up-var and
gamma swaps, smile positions>
Jiang Long 'Representation Theorems For Generators Of Backward Stochastic
Differential Equations And Their Applications' SP&A 12/05 <Conditional
Lebesgue point; Lebesgue generator; g-Expectation; Converse comparison
theorem>
Jonsson Mattias, Jan Veèeø 'Insider Trading in Convergent Markets' Applied
Math. Finance 9/05
Kamihigashi Takashi 'Necessity of the Transversality Condition for
Stochastic Models with Bounded or CRRA Utility' JED&C 8/05
Kavajecz Kenneth, Donald Keim 'Packaging Liquidity: Blind Auctions and
Transaction Efficiencies' JF&QA 9/05
Keener James 'A Window of Opportunity for Mathematics Departments' SIAM
News 11/05
Kim In Joon, Sol Kim 'Is It Important To Consider The Jump Component For
Pricing And Hedging Short-Term Options?' J. Futures Markets 10/05
Kim Mi Ae, Tong Suk 'Default Correlation Dynamics with Business Cycle and
Credit Quality Changes' J. of Derivatives Fall 05
Klibanoff Peter, Massimo Marinacci, Sujoy Mukerji 'A Smooth Model of
Decision Making under Ambiguity' Econometrica 11/05
Klöppel Susanne, Martin Schweizer 'Dynamic Indifference Valuation via
Convex Risk Measures' 2005 preprint, ETH Zurich
Klöppel Susanne, Martin Schweizer 'Dynamic Utility Indifference Valuation
via Convex Risk Measures' 2005 NCCR FINRISK working paper No. 209, ETH
Zurich
Kollmann Robert 'A Dynamic Equilibrium Model of International Portfolio
Holdings:Comment' Econometrica 1/06
Kolodko Anastasia, John Schoenmakers ‘Iterative Construction Of The Optimal
Bermudan Stopping Time’ F&S 1/06
Korn Ralf, Olaf Menkens 'Worst-Case Scenario Portfolio Optimization: a New
Stochastic Control Approach' Math. Methods of OR 9/05
Kraft Holger, Mogens Steffensen 'Portfolio Problems Stopping At First
Hitting Time With Application To Default Risk' Math. Methods of OR
10/05
Krishnan C., Peter Ritchken, James Thomson ‘On Credit Spread Slopes &
Predicting Bank Risk’ J. Money, Credit & Banking’ 2005?
Krylov N. 'On the Rate of Convergence of Finite Difference Approximations
for Bellman's Equations' St. Petersburg Math. J. 9, 1997
Kuenzi David 'Variance Swaps & Non-Constant Vega' <stable gamma & Vega
exposures> RISK 10/05
Laurence Peter, Tai Ho Wang 'Sharp Upper and Lower Bounds for Basket
Options' Applied Math. Finance 9/05
Leary Mark, Michael Roberts 'Do Firms Rebalance Their Capital Structures?'
JofF 12/05
Lee Donghoon, Kenneth Wolpin 'Intersectoral Labor Mobility and the Growth
of the Service Sector' Econometrica 1/06
Lee Jon ‘A First Course in Combinational Optimization’ Cambridge 2004
Leitner Yaron 'Financial Networks: Contagion, Commitment, and Private
Sector Bailouts' JofF 12/05
Lemke Wolfgang 'Term Structure Modeling & Estimation in a State Space
Framework' 2006 Springer
Leybourne S., M. McCabe, J. Tremayne ‘Can Economic Time Series Be
Differenced to Stationarity?’ J. Business & Economic Statistics’ 1996
Leybourne S., M. McCabe, M. Mills ‘Randomized Unit Root Processes for
Modeling & Forecasting Financial Time Series:Theory & Applications’ J.
Forecasting 1996
Li George 'Information Quality, Learning, and Stock Market Returns' JF&QA
9/05
Lien Donald, Keshab Shrestha 'Estimating The Optimal Hedge Ratio With Focus
Information Criterion' J. Futures Markets 10/05
Lindner Alexander, Ross Maller 'Lévy Integrals And The Stationarity Of
Generalised Ornstein-Uhlenbeck Processes' SP&A 10/05
Liu Hong, Jiongmin Yong 'Option Pricing with an Illiquid Underlying Asset
Market' JED&C 12/05
Lutkepohl H. 'New Introduction to Multiple Time Series Analysis' 2005
Springer
Lutscher, Elizaveta Pachepsky, Mark A. Lewis Frithjof ‘The Effect of
Dispersal Patterns on Stream Populations’ SIAM Review 12/05
Maclean Leonard, William T. Ziemba, Yuming Li 'Time To Wealth Goals In
Capital Accumulation' QF 8/05
Madan Dilip 'Using Self-Decomposable Laws in the Construction of Local Levy
Processes' 2005 conference papers
Madan Dilip, Michael Konikov, Mircea Marinescu 'Credit and Basket Default
Swaps' 9/26/04
Madan Dilip, Michael Konilov 'Variance Gamma Model:Gamma Weighted Black-
Scholes Implmentation' Bloomberg 7/04
Malevergne Y., V. Pisarenko, D. Sornette 'Empirical Distributions Of Stock
Returns: Between The Stretched Exponential And The Power Law?' QF 8/05
Malmendier Ulrike, Geoffrey Tate 'CEO Overconfidence and Corporate
Investment' JofF 12/05
Mancino Maria Elvira, Roberto Reno 'Dynamic Principal Component Analysis of
Multivariate Volatility via Fourier Analysis' Applied Math. Finance
V.12,2 June 05
Mania Michael, Martin Schweizer 'Dynamic Exponential Utility Indifference
Valuation' Ann. Appl. Prob. 8/05 <BSDE, incomplete markets, minimal
entropy martingale measure>
Martellini Lionel, Philippe Priaulet 'Fixed Income Securities:Dynamic
Methods for Interest Rate Risk Pricing & Hedging' Wiley 1001
Matache A.-M., P.-A. Nitsche, C. Schwab 'Wavelet Galerkin pricing of
American options on Lévy driven assets' QF 8/05
Matsumoto Koichi ‘Optimal Portfolio Of Low Liquid Assets With A Log-Utility
Function’ F&S 1/06
Mattheij R., S. Rienstra, J. ten Thije Boonkkamp 'Partial Differential
Equations:Modeling, Analysis & Computation' 2005 SIAM Books
McCallum Bennett 'Monetary Policy & the Term Structure of Interest Rates'
FRB Richmond Economic Quarterly Fall 2005
McGinty L., R. Ahluwalia ‘Introducing Base Correlations’ JP Morgan 2004
McNeil Alexander ‘Estimating the Tails of Loss Severity Distributions Using
Extreme Value Theory’ 1997 ETH Zurich
McNeil Alexander ‘Extreme Value Theory for Risk Managers’ ETH Zurich 1999
Menchero Jose ‘Optimized Geometric Attribution’ FAJ July/Aug. 2005
Merrick John 'Tracking the U.S. Treasury: Footprints from the Treasury's
Debt Buy-Back Program' J. Fixed Income 9/05
Mi Ae Kim, Tong Suk Kim 'Default Correlation Dynamics with Business Cycle
and Credit Quality Changes' J. of Derivatives Fall 05
Miao Jianjun 'Optimal Capital Structure and Industry Dynamics' JofF 12/05
Monfort A., Monica Billio 'Kernel-Based Indirect Inference' Journal of
Financial Econometrics, Vol. 1, No. 3, 2003
Morrison Alan ‘Credit Derivatives, Disintermediation & Investment
Decisions’ March 05 JofB

Muellera Carl, Leonid Mytnikb, Aurel Stanc 'The heat equation with time-
independent multiplicative stable Lévy noise' SP&A tobe 2006 <random
potential term, one-sided, Wick product, SPDE>
Neely Christopher 'An Analysis of Recent Studies of the Effect of Foreign
Exchange Intervention' FRB St. Louis Review Nov/Dec. 05
Nielsen Peter Holm ‘Utility Maximization And Risk Minimization In Life And
Pension Insurance’ F&S 1/06
Oosterlee C., F. Gaspar, J. Frisch 'WENO & Blended BDF Discretizations for
Asian Options' Comput. Vis. Sci 2004
Oviedo Rodolfo 'The Suboptimality of Early Exercise of Futures-Style
Options: A Model-Free Result' SSRN 10/05
Owens Raymond, Pierre-Daniel Sarte 'How Well Do Diffusion Indexes Capture
Business Cycles? A Spectral Analysis' FRB Richmond Economic Quarterly
Fall 2005
Palmitesta Paola, Corrado Provasi 'Aggregation of Dependent Risks Using the
Koehler-Symanowski Copula Function' Computational Economics 2/05
Patton Andrew 'On the Out-of-Sample Importance of Skewness and Asymmetric
Dependence for Asset Allocation' Journal of Financial Econometrics,
Vol. 2, No. 1, 2004
Peng Cheng, Olivier Scaillet 'Linear-Quadratic Jump-Diffusion Modelling
with Applications to Stochastic Volatility' U. Geneva, FAME 2004
Peress Joel 'Information vs. Entry Costs: What Explains U.S. Stock Market
Evolution?' JF&QA 9/05
Perez Ana, Esther Ruiz 'Properties of the Sample Autocorrelations of
Nonlinear Transformations in Long-Memory Stochastic Volatility Models'
Journal of Financial Econometrics, Vol. 1, No. 3, 2003
Pergamenshchikov Serguei, Omar Zeitouny 'Ruin Probability In The Presence
Of Risky Investments' SP&A tobe 2006
Persson Mats, Torsten Persson, Lars E. O. Svensson 'Time Consistency of
Fiscal and Monetary Policy: A Solution' Econometrica 1/06
Piazzesi M. 'An Econometric Model of the Yield Curve with Macroeconomic
Jump Effects' NBER 2003
Pironneau O. 'On the Transport Diffusion Alogrithm & its Applications to
the Navier-Stokes Equations' Numer Math 1982
Piterbarg Vladimir 'A Multi-Currency Model With Fx Volatility Skew' SSRN
2/05
Piterbarg Vladimir 'Smiling Hybrids' tobe RISK
Piterbarg Vladimir 'Stochastic Volatility Model with Time-Dependent Skew'
Applied Math. Finance V.12,2 June 05
Plasmans Jozef 'Modern Linear & Nonlinear Econometrics' 2005 Springer
Polimenis Vassilis 'The Critical Kurtosis Value & Skewness Correction'
6/11/04 <Variance Gamma, Smile>
Poole William 'How Perdictable is Fed Policy?' FRB St. Louis Review
Nov/Dec. 05
Prescott Edward 'Technology Design & Moral Hazard' FRB Richmond Economic
Quarterly Fall 2005
Ray Bonnie, Clifford Hurvich 'The Local Whittle Estimator of Long-Memory
Stochastic Volatility' Journal of Financial Econometrics, Vol. 1, No.
3, 2003
Reiß Oliver, John Schoenmakers, Martin Schweizer 'From Structural
Assumptions to a Link between Assets and Interest Rates' 2004
Riedel F. 'Dynamic Coherent Risk Measures' Stanford U. 2003
Robinson Sara 'Math Model Explains High Prices in Electricity Markets' SIAM
News Oct. 2005
Robinson Sara 'Toward an Optimal Algorithm for Matrix Multiplication' SIAM
News 11/05
Rockafellar R. Tyrrell, Stan Uryasev, Michael Zabarankin ‘Generalized
Deviations In Risk Analysis’ F&S 1/06
Röder Klaus, Sascha Wilkens 'Reverse Convertibles and Discount Certificates
in the Case of Constant and Stochastic Volatilities' Financial Markets
and Portfolio Management, Vol. 17, No. 1, 2003
Rosch Daniel, Harald Scheule 'A Multifactor Approach for Systematic Default
and Recovery Risk' J. Fixed Income 9/05
Ryabchenko Valeriy, Sergey Sarykalin, Stanislav Uryasev 'Pricing European
Options by Numerical Replication: Quadratic Programming with
Constraints' 11/1/05
Santos Manuel, Adrian Peralta-Alva 'Accuracy of Simulations for Stochastic
Dynamic Models' Econometrica 11/05
Sarretto Alessio 'Predicting and Pricing the Probability of Default' UCLA,
SSRN 11/05
Scaillet Olivier 'A Kolmogorov-Smirnov Type Test for Positive Quadrant
Dependence' 2005 FAME Research Paper Series rp128, International Center
for Financial Asset Management and Engineering.
Scaillet Olivier 'Kernel Based Goodness-of-Fit Tests for Copulas with Fixed
Smoothing Parameters' 2005 FAME Research Paper Series rp145,
International Center for Financial Asset Management and Engineering
Scaillet Olivier 'Nonparametric Estimation of Conditional Expected
Shortfall' 2004 FAME Research Paper Series rp112, International Center
for Financial Asset Management and Engineering
Scaillet Olivier, Nikolas Topaloglou 'Testing for Stochastic Dominance
Efficiency' 2005 FAME Research Paper Series rp154, International Center
for Financial Asset Management and Engineering.
Schal Manfred 'Control of ruin probabilities by discrete-time investments'
Math. Methods of OR 9/05
Severini Thomas 'Elements of Distribution Theory' Cambridge Press
Sidenius Jakob, Vladimir Piterbarg, Leif Andersen 'A New Framework for
Dynamic Credit Portfolio Loss Modeling' 11/05
Siegl Thomas, Peter Quell 'Modelling Specific Interest Rate Risk with
Estimation of Missing Data' Applied Math. Finance 9/05
Šikic Hrvoje, Renming Song, Zoran Vondracek 'Potential Theory of Geometric
Stable Processes' Prob. Theory & Related Fields 9/05 <Brownian, Levy,
Green Functions>
Skinner Frank 'Pricing & Hedging Interest and Credit Risk Sensitive
Instruments' Oxford Press 2005
Smith James E. ‘Alternative Approaches for Solving Real-Options Problems’
Decision Analysis 6/05
Soener H. 'Optimal Control of Jump-Markov Processes & Viscosity Solutions'
in Stochastic Differential Systems IMA Vol Math Appl. 10, Springer 1988
Søndergaard Rasmussen Nicki 'Control Variates for Monte Carlo valuation of
American Options' J. Computational Finance V.9, Number 1 2005
Stoeva Stilian, Murad Taqqu 'How Rich Is The Class Of Multifractional
Brownian Motions?' SP&A tobe 2006 <Peltier and Lévy-Vehel, Self-
Similarity>
Tarantola Albert 'Inverse Problem Theory & Methods for Model Parameter
Estimation' 2004 SIAM Books
Thompson Kevin, Alistair McLeod, Panayiotis Teklos, Shobhit Gupta 'Time for
Multi-Period Capital Models' RISK 10/05
Thornton Daniel 'Predictions of Short-Term Rates & the Expectation
Hypothesis of the Term Structure of Interest Rates' 2004 wp FRB St.
Louis
Timmermann Allan, Clive Granger ‘Efficient Market Hypothesis & Forecasting’
tobe J. Forecasting’
Toponogov Victor 'Probability & Its Applications:Differential Geometry of
Curves & Surfaces:A Concise Guide' Birkhauser 2005
Torres-Torriti Miguel, Hannah Michalska ‘A Software Package for Lie
Algebraic Computations’ SIAM Review 12/05
Trolle Anders 'Dynamic Interest Rate Derivative Strategies in the Presence
of Unspanned Stochastic Volatility' SSRN 11/05
Vacca Luigi 'Unbiased Risk-Neutral Loss Distributions' <entropy
maximisation (ME),portfolio loss probabilities, Gaussian Copula> RISK
11/05
Vanden Joel ‘Digital Contracts & Price Manipulation’ Sept. 05 JofB
Veld Chris, Geoffrey Poitras, Yuriy Zabolotnyuk 'Put-Call Parity and the
Early Exercise Premium for Currency Options' SSRN 10/05
Vigner Jacques 'An Economic Capital Approach For Hedge Fund Structured
Products' <leveraged products, extreme value theory> RISK 11/05
Weber P., B. Rosenow 'Order Book Approach To Price Impact' QF 8/05
Wirch J., M. Hardy 'A Synthesis of Risk Measures for Capital Adequacy'
Insurance:Mathematics & Economics 1999
Yan Yubin 'Galerkin Finite Element Methods for Stochastic Parabolic Partial
Differential Equations' SIAM J. Math. Analysis 10/05
Ye George 'Asian Options Can Be More Valuable Than Plain Vanilla
Counterparts' J. of Derivatives Fall 05
Yoon Gawon ‘A Simple Model That Generates Stylized Facts of Returns’ U.
Cal. San Diego 2003
Yu Fan ‘How Profitable is Capital Structure Arbitrage?’ U. Cal. Irvine 2005
Zaffaroni Paolo 'Gaussian Inference on Certain Long-Range Dependent
Volatility Models' book Banca d'Italia 2003
Zakamouline Valeri 'A Unified Approach To Portfolio Optimization With
Linear Transaction Costs' Math. Methods of OR 10/05
Zhang J., Y. Xiang 'Implied Volatility Smirk' U. Hong Kong 2005
Zhou Hao 'Ito Conditional Moment Generator and the Estimation of Short-Rate
Processes' Journal of Financial Econometrics, Vol. 1, No. 2, 2003 FRB
11/2/05
Zhu H. ‘An Empirical Comparison of Credit Spreads Between the Bond Market &
the Credit Default Swap Market’ Bank for Intern. Settlements 2004
Zigrand Jean-Pierre ‘Rational Asset Pricing Implications from Realistic
Trading Frictions’ May 05 JofB
Žitkoviæ Gordan ‘Financial Equilibria In The Semimartingale Setting:
Complete Markets And Markets With Withdrawal Constraints’ F&S 1/06