Aiharaa ShinIchi, Arunabha Bagchib ‘Filtering and Identification of

Heston's Stochastic Volatility Model And Its Market Risk’ <random time
change, Zakai equation, splitting-up method> JED&C 12/06
Akahori Jirô, Keisuke Hara 'Lifting Quadratic Term Structure Models To
Infinite Dimension' Mathematical Finance Oct. 2006
Albrecker Hansjorg, Philipp Mayer, Wim Schoutens, Jurgen Tistaert 'The
Little Heston Trap' 9/06 <characteristic function as they are the
solutions to a Riccati equation>
Alexander Carol, Leonardo Nogueira 'Hedging Options with Scale-Invariate
Models' 2006 <minimum variance hedging>
Alfonsi Aurélien, Benjamin Jourdain ‘A Call-Put Duality for Perpetual
American Options’ 11/06
Allen Franklin, Stephen Morris, Hyun Song Shin 'Beauty Contests and
Iterated Expectations in Asset Markets' RFS Fall 2006
Almeida Hector, Daniel Wolfenzon ‘A Theory of Pyramidal Ownership and
Family Business Groups’ Journal Of Finance, Dec 2006. Vol. 61
Almendral Ariel, Cornelis Oosterlee 'Highly Accurate Evaluation of European
and American Options Under the Variance Gamma Process' Journal of
Computational Finance 2006 V.10,#1 , <options-American> <V-G, integro-
differential, grid stretching>
Almendral Ariel, Cornelis Oosterlee 'Numerical Valuation of Options with
Jumps in the Underlying' Applied Numerical Analysis 53, 2005
Amin Kaushik, Robert Jarrow 'Pricing Foreign Currency Options under
Stochastic Interest Rates' J. Inter Money Fin. 10, 1991
Ammann Manuel, Michael Verhofen ‘The Conglomerate Discount: A New
Explanation Based On Credit Risk’ IJT&AF 12/06
Andersen Leif 'Efficient Simulation of the Heston Stochastic Volatility
Model' 10/06 <volatility><SDE discretization, bias reduction, affine
square-root models>
Anderson Edward, Huifu Xu 'Optimal Supply Functions In Electricity Markets
with Option Contracts and Non-Smooth Costs' Mathematical Methods of
Operations Research July 2006
Andrikopoulos Adnreas 'Analytical Approximations to the Valuation of
American Options: A Boundary-Optimality Approach' SSRN 10/06
Antonov Alexandre, Timur Misirpashaev ‘Markovian Projection onto a
Displaced Diffusion: Generic Formulas with Applications’ SSRN 10/06
<volatility> <Cross Currency Libor Market Models with Skew, FX
volatility skew, LMM swaption formula>
Antonov Alexandre, Timur Misirpashaev 'Efficient Calibration to FX Options
by Markovian Projection in Cross-Currency LIBOR Market Models' SSRN
10/06
Antonov Alexandre, Timur Misirpashaev 'Markovian Projection onto a
Displaced Diffusion: Generic Formulas with Applications' SSRN 10/06
<volatility>
Artzner Philippe, Freddy Delbaen 'Optional & Dual Predictable Projections
in Finance & Insurance' wp 1993
Atkinson Colin, Pongsathorn Ingpochai ‘The Influence Of Correlation On
Multi-Asset Portfolio Optimization With Transaction Costs’ Journal of
Computational Finance Vol 10, #2 2006
Atlan Marc 'Localizing Volatilities' 4/06 <volatility> <Heston, Gyöngy
inhomogeneous Markovian mimicking 1D Ito, Derman/Kani, Dupire, Bessel,
stochastic volatility, stochastic interest rates>
Avramov Doron, Tarun Chordia 'Asset Pricing Models and Financial Market
Anomalies' RFS Fall 2006
Avramov Doron, Tarun Chordia, Amit Goyal 'Liquidity and Autocorrelations In
Individual Stock Returns' Bubble' Journal of Finance Vo. 61, #5 Oct.
2006
Baek Jae-Seung, Jun-Koo Kang, Inmoo Lee 'Business Groups and Tunneling:
Evidence from Private Securities Offerings by Korean Chaebols' Bubble'
Journal of Finance Vo. 61, #5 Oct. 2006
Bagh Adib, Alejandro Jofre 'Reciprocal Upper Semicontinuity and Better
Reply Secure Games: A Comment' Econometrica Nov. 2006
Baheti Prasun, Roy Mashal, Marco Naldi 'Step it Up or Start it Forward'
Journal of Fixed Income 9/06
Bakshi Gurdip, Dilip Madan ‘A Theory of Volatility Spreads’ Management
Science 12/06
Bakshi Gurdip, Nengjiu Ju and Hui Ou-Yang 'Estimation of Continuous-Time
Models with An Application To Equity Volatility Dynamics' Journal Of
Financial Economics 10/06
Bandyopadhyay Akash 'Fundamental Solution of Diffusion Equation' 2000 <PDE>
Bandyopadhyay Akash 'Option Pricing using Feynman's Path Integral' 2000
Banks Erik 'Financial Lexicon:Compendium of Financial Definitions, etc.'
Palgrave 2005
Barclay Michael, Terrence Hendershott, Kenneth Kotz 'Automation Versus
Intermediation: Evidence From Treasuries Going Off The Run' Bubble'
Journal of Finance Vo. 61, #5 Oct. 2006
Basu Devraj, Alexander Stremme 'Asset Pricing Anomalies and Time-varying
Betas: A New Specification Test for Conditional Factor Models' U.
Warwick 2006
Basu Devraj, Alexander Stremme 'CAY Revisited: Can Optimal Scaling
Resurrect the (C)CAPM?' U. Warwick 2006
Basu Devraj, Alexander Stremme 'Testing Conditional Factor Models Using
Completion Portfolios' U. Warwick 2006
Basu Devraj, Roel Oomen, Alexander Stremme 'International Diversification
and Return Predictability: Optimal Dynamic Asset Allocation' U.
Warwick 2006
Bates David 'Maximum Likelihood Estimation of Latent Affine Processes' RFS
Fall 2006
Battalio Robert, Paul Schultz 'Options and the Bubble' Journal of Finance
Vo. 61, #5 Oct. 2006
Baudoin Fabrice, David Nualart 'Notes on the Two-Dimensional Fractional
Brownian Motion'
Baviera Roberto, Lorenzo Giada 'A Perturbative Approach to Bermudan Options
Pricing' SSRN 10/06 <Callable products, HJM framework>
Beardon Alan 'The Geometry of Discrete Groups' Springer 1983
Belomestny Denis, Markus Reiß ‘Spectral Calibration of Exponential Lévy
Models’ Finance and Stochastics 12/06 <European option - Jump
diffusion - Minimax rates - Severely ill-posed - Nonlinear inverse
problem - Spectral cut-off>
Bender Christian, Anastasia Kolodko, John Schoenmakers 'Enhanced Policy
Interation Algorithm for American Options via Scenario Selection' wp
2005
Bender Christian, John Schoenmakers 'An Iterative Algorithm for Multiple
Stopping:Convergence & Statibility' wp. 2004
Bennani N. 'The Forward Loss Model:A Dynamic Term Structure Approach for
the Pricing of Portfolio Credit Derivatives' 2005
Bentahar Imen, Bruno Bouchard ‘Barrier Option Hedging under Constraints: A
Viscosity Approach’ SIAM Journal on Control and Optimization Volume 45
Issue 5, 2006 <superreplication; portfolio constraints, minimal
capital, superhedge, parabolic PDEs>
Berrada Tony, Debbie Dupuis, Eric Jacquier, Nicolas Papageorgiou, Bruno
Rémillard 'Credit Migration and Basket Derivatives Pricing With
Copulas' Journal of Computational Finance 2006 V.10,#1
Bhattacharya Anand, Aryasomayajula Sekhar, Frank Fabozzi 'Incorporating the
Dynamic Link Between Mortgage and Treasury Markets in Pricing and
Hedging MBS' Journal of Fixed Income 9/06
Biagini Francesca, Bernt Øksendal ‘Minimal Variance Hedging For Insider
Trading’ IJT&AF 12/06
Biagini Sara, Marco Frittelli 'A Unified Framework for Utility Maximization
Problems: an Orlicz Space Approach' 5/9/06 <non-locally bounded semi-
martingale, incomplete market, sigma martingale measure>
Biane Philippe, Marc Yor 'Sur La Loi Des Temps Locaux Browniens Pris En Un
Temps Exponentiel' Séminaire de Probabilités de Strasbourg, 22 (1988)
Biane Philippe, Marc Yor 'Variations Sur Une Formule de Paul Lévy' Annales
de l'institut Henri Poincaré (B) Probabilités et Statistiques, 23 no.
S2 (1987)
Bibby Bo Michael, Ib Michael Skovgaard, Michael Sorensen 'Diffusion-Type
Models with Given Marginal Distribution and Autocorrelation Function'
Bernoulli 11,2, (2005)
Bibby Bo Michael, Michael Sorensen 'Martingale Estimation Functions for
Discretely Observed Diffusion Processes' Bernoulli 1,2, 1995
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Replication of
Contingent Claims in a Reduced-Form Credit Risk Model with
Discontinuous Asset Prices Review' Stochastic Models V.22, #4 2006
Biscay Rolando, J.C. Jimenez, J.J. Riera, P.A. Valdes 'Local Linearization
Method for the Numerical Solution of Stochastic Differential Equations'
Annals. Inst. Statist. Math 48 (1966)
Böcker Klaus 'Operational Risk: Analytical Results When High-Severity
Losses Follow a Generalized Pareto Distribution (GPD) - A Note' Journal
of Risk v.8, #4 2006
Bollen Kenneth, Patrick Curran 'Latent Curve Models:A Structural Equation
Perspective' 2006 1999 Wiley Press
Bolton Patrick, Xavier Freixas 'Corporate Finance and the Monetary
Transmission Mechanism' RFS Fall 2006
Borell Christer ‘Monotonicity Properties Of Optimal Investment Strategies
For Log-Brownian Asset Prices’ Mathematical Finance, Vol. 17, Issue 1,
Pp. 59-79, January 2007
Borkar Vivek 'Controlled Diffusion Processes' Probability Surveys V. 2,
2005 <optimal control, dynamic programming, HJB, partial observations>
Bowsher Clive, Roland Meeks 'High Dimensional Yield Curves: Models and
Forecasting' Nuffield Economics Discussion Paper 2006
Brandmarte Paolo 'Numerical Methods in Finance & Economics' 2007 1999 Wiley
Press
Brandt Michael, Pedro Santa-Clara 'Dynamic Portfolio Selection by
Augmenting the Asset Space' Bubble' Journal of Finance Vo. 61, #5 Oct.
2006
Brennan Michael, Yihong Xia 'International Capital Markets and Foreign
Exchange Risk' RFS Fall 2006
Brigo Damiano, Andrea Pallavicini, Roberto Torresetti 'Calibration of CDO
Tranches with the Dynamical Generalized-Poisson Loss Model' 9/06
Brigo Damiano, Andrea Pallavicini, Roberto Torresetti 'The Dynamical
Generalized- Poisson Loss Model Part 1' 2006
Brigo Damiano, Andrea Pallavicini, Roberto Torresetti 'The Dynamical
Generalized- Poisson Loss Model Part 2' 2006
Brigo Damiano, Naoufel El-Bachir ‘Credit Derivatives Pricing with a Smile-
Extended Jump Stochastic Intensity Model’ 12/06 <two factor, Credit
 Default Swap/Swaption, Jump-Diffusion, Stochastic Intensity, Doubly
Stochastic Poisson Process, Cox Process> SSRN
Brisley Neil 'Executive Stock Options: Early Exercise Provisions and Risk-
Taking Incentives' Bubble' Journal of Finance Vo. 61, #5 Oct. 2006
Brockhaus Oliver, Michael Farkas ‘Equity Derivatives and Market Risk
Models’ RISK Books 2000
Bru Bernard 'Un Hiver en Campagne' Comptes rendus de l'Académie des
sciences,. Mathématiques. Ser. 1, 331 2000, contribution of Wolfgang.
Doeblin to Brownian motion; same as Ito work>
Bru M. ‘Wishart Processes’ Journal of Theoretical Probability’ 4, 1991
Brunel Vivien 'Dealing with Seller's Risk' RISK 10/06
Bühler Hans 'Volatility Markets:Consistent Modeling, Hedging & Practical
Implementation' PhD U. Berlin 2006 <variance swaps, gamma swaps,
entropy swaps, Shadow options, Gyöngy>
Bühlmann Hans 'Mathematical Methods of Risk Theory' Springer 1970
Buraschi Andrea, Alexei Jiltsov ‘Model Uncertainty and Options Markets with
Heterogeneous Beliefs’ Journal Of Finance, Dec 2006. Vol. 61
Burkhard Jürg, Enrico De Giorgi 'An Intensity-Based Non-Parametric Default
Model for Residential Mortgage Portfolios' Journal of Risk v.8, #4 2006
Busse Jeffrey, Paul Irvine 'Bayesian Alphas and Mutual Fund Persistence'
Bubble' Journal of Finance Vo. 61, #5 Oct. 2006
Byström Hans ‘Back To the Future: Futures Margins In A Future Credit
Default Swap Index Futures Market’ Journal of Futures Markets 12/06
Callen Jeffrey, Joshua Livnat, Dan Segal ‘The Impact of Earnings on the
Pricing of Credit Default Swaps’ SSRN
Calvet Laurent, Adlai Fisher ‘Multifrequency Jump-Diffusions: An
Equilibrium Approach’ SSRN 12/06
Cameron R., W. Martin 'Transformation of Wiener Integral under Translation'
Ann. Math. 45, 1944
Campi Luciano, Walter Schachermayer ‘A Super-Replication Theorem in
Kabanov’s Model of Transaction Costs’ Finance and Stochastics 12/06
Carassus Laurence, Miklós Rásonyi 'Convergence of Utility Indifference
Prices To The Superreplication Price' Mathematical Methods of
Operations Research August 2006
Cariboni Jessica, Wim Schoutens 'Pricing Credit Default Swaps under Lévy
Models' UCS Report 2004
Carmona Rene, Michael Tehranchi 'Interest Rate Models: An Infinite
Dimensional Stochastic Analysis Perspective' Springer 2006 <HJM model,
Malliavin calculus>
Carmona Rene, Valdo Durrleman 'Pricing & Hedging Multivariate Contingent
Claims' wp Princeton 2003
Casares Miguel 'A Close Look at Model-Dependent Monetary Policy Design' FRB
St. Louis Review Sept/Oct 2006
Case James 'First Gauss Prize is Awarded to Kiyoshi Ito in Madrid' SIAM
News 12/06
Castellacci Giuseppe, Michael Siclari 'Asian Basket Spreads & Other Exotic
Averaging Options' Energy Power Risk Management 2003
Cerrai Sandra, Mark Freidlin 'On the Smoluchowski-Kramers Approximation For
A System With An Infinite Number Of Degrees Of Freedom' Probability
Theory & Related Fields 7/06 <Stochastic semi-linear damped wave
equations - Stochastic semi-linear heat equations - Stationary
distributions - Gradient systems - Invariant measures>
Çetin Umut, L. C. G. Rogers ‘Modeling Liquidity Effects in Discrete Time’
Mathematical Finance, Vol. 17, Issue 1, Pp. 59-79, January 2007
Chabaane Ali, Jean-Paul Laurent, Yannick Malevergne, Francoise Turpin
'Alternative Risk Measures for Alternative Investments' Journal of Risk
v.8, #4 2006
Chaleyat-Maurel Mireille, Valentine Genon-Catalot 'Computable Infinite-
Dimensional Filters with Applications to Discretized Diffusion
Processes' SP&A 10/06
Chan Ngai, Hoi-Ying Wong 'Simulation Techniques in Financial Risk
Management' 2006 1999 Wiley Press
Chang Geunhyuk, Jangkoo Kang, Hwa-Sung Kim, In Joon Kim ‘An Efficient
Approximation Method For American Exotic Options’ Journal Of Futures
Markets 12/06 <Floating Strike Look-Back, Quadratic Approximation
Barone-Adesi & Whaley, Barrier Option Formula>
Chang Xin, Sudipto Dasgupta, Gilles Hilary ‘Analyst Coverage and Financing
Decisions’ Journal Of Finance, Dec 2006. Vol. 61
Chantziara Thalia, George Skiadopoulos 'Can the Dynamics of the Term
Structure of Petroleum Futures be forecasted? Evidence from Major
Markets?' U. Warwick 2006
Charness Gary, Martin Dufwenberg 'Promises and Partnership' Econometrica
Nov. 2006
Charpentier Arthur, Alessandro Juri 'Limiting Dependence Structures For
Tail Events, With Applications To Credit Derivatives' J. Appl. Probab.
43, no. 2 (2006)
Chen Lin ‘Stochastic Mean and Stochastic Volatility: A Four-Dimensional
Term Structure of Interest Rates and Its Application to the Pricing of
Derivative Securities’ SSRN 1994
Cheridito Patrick 'Arbitrage in Fractional Brownian Motion Models' Finance
and Stochastics 2003
Chernick Michael 'Bootstrap Methods' 1999 Wiley Press
Chesney Marc, Laurent Gauthier ‘American Parisian Options’ Finance and
Stochastics 12/06 <option-Parisian>
Cipra Barry 'l1-Magics' SIAM News 11/06 <data compression, fourier,
wavelet>
Cipra Barry 'Theres More than One Way to Scan a CAT' SIAM News 11/06
<helix, rotating table>
Coleman Thomas, Yuying Li, Jay Henniger 'Minimizing Tracking Error While
Restricting The Number Of Assets' Journal of Risk v.8, #4 2006
Conrad Christian, Berthold Haag 'Inequality Constraints in the Fractionally
Integrated GARCH Model' Journal of Financial Econometrics, Vol. 4, pp.
413-449, 2006
Cook Steven 'The Robustness of Modified Unit Root Tests In The Presence Of
GARCH' Quantitative Finance 10/06
Corcuera José Manuel, David Nualart, Jeannette Woerner 'Power Variation of
Some Integral Long-Memory Processes'
Cornuejols Gerard 'Optimization Methods in Finance' Cambridge Press
Curran Michael 'Willow Power' 1998 Riskcare <faster than
binomial/trinomial, multiple asset>
Curran Michael 'Willow Power:Optimizing Derivative Pricing Trees' ALGO
Research 12/01 <option-numeric> <faster than binomial/trinomial,
multiple asset>
Da Fonseca José, Martino Grasselli, Claudio Tebaldi 'A Multifactor
Volatility Heston Model' 3/06 <volatility> <Wishart, matrix Riccati
ODE, fast Fourier, Carr/Madan, Wishart matrix multifactor, exotic,
cliquet, ratchet, smile/skew, correlation risk>
Dahl Lars 'Valuation of European Call Options on Multiple Underlying Assets
by Using a Quasi-Monte Carlo Method: A Case with Baskets from Oslo
Stock Exchange' AFIR 2000
Das Sanjiv, Laurence Freed, Gary Geng, Nikunj Kapadia 'Correlated Default
Risk' Journal of Fixed Income 9/06
Dassios Angelos, Jayalaxshmi Nagaradjasarma 'The Square-Root Process and
Asian Options' Quantitative Finance 10/06
Datey Jean-Yves, Geneviève Gauthier, Jean-Guy Simonato 'The Performance of
Analytical Approximations for the Computation of Asian-Quanto-Basket
Option Prices' The Multinational Finance Journal 2003
de Castro Luciano 'Corrigendum to "Existence of Equilibrium in Single and
Double Private Value Auctions"' Econometrica Nov. 2006
DeGroot Morris 'Probability and Statistics’ Addison-Wesley 1986
Dell'Ariccia Giovanni, Robert Marquez 'Lending Booms and Lending Standards'
Bubble' Journal of Finance Vo. 61, #5 Oct. 2006
Delloye Martin, Jean-David Fermanian, Mohammed Sbai 'Dynamic Frailties &
Credit Portfolio Modeling' RISK 10/06
Demarzo Peter, Yuliy Sannikov ‘Optimal Security Design and Dynamic Capital
Structure’ Journal Of Finance, Dec 2006. Vol. 61
Demchuk Andriy, Rajna Gibson 'Stock Market Performance and the Term
Structure of Credit Spreads' JF&QA 12/06
Demirtas K. Ozgur 'Nonlinear Asymmetric Models of the Short-Term Interest
Rate' Journal of Futures Markets 9/06
Dhaene Jan, Steven Vanduffel, Marc. Goovaerts, Rob Kaas, Q. Tang, David
Vyncke 'Risk Measures and Comonotonicity: A Review' Stochastic Models
V.22, #4 2006
Dias Alexandra Dias, Paul Embrechts 'Dynamic Copula Models for Multivariate
High-frequency Data in Finance' U. Warwick 2006
Ding B. 'The Willow Tree Development on Multiple Factor Models' Royal Bank
1999
Ding B. 'The Willow Tree Development on Single Factor Models' Royal Bank
1999 <faster than binomial/trinomial, multiple asset>
Dionne Georges, Geneviève Gauthier, Nadia Ouertani 'Basket Options on
Heterogeneous Underlying Assets' 2006
Dionne Georges, Geneviève Gauthier, Nadia Ouertani, Nabil Tahani
'Heterogeneous Basket Option Pricing Using Analytical Approximations'
2/06 <option-basket> <moment matching, Johnson and lognormal
distributions>
Dmitrašinovic-Vidovic Gordana, Antony Ware ‘Asymptotic Behaviour of Mean-
Quantile Efficient Portfolios’ Finance and Stochastics 12/06
Doeblin Wolfgang 'Sur l'Équation de Kolmogoroff' Comptes rendus de
l'Académie des sciences, Mathématiques Ser. 1, 331 1940 <same
work/results as Ito>
Dotsis George, Raphael Markellos 'The Finite Sample Properties of the GARCH
Option Pricing Model' Journal of Future Markets, Forthcoming 2006
Duarte Margarida, Diego Restuccia 'The Productivity of Nations' FRB
Richmond Economic Quarterly Summer 2006
Dueker Michael, Andreas Fischer 'Do Inflation Targeters Outperform Non-
Targeters?' FRB St. Louis Review Sept/Oct 2006
Durham J. Benson ‘An Estimate of the Inflation Risk Premium Using a Three-
Factor Affine Term Structure Model’ FEDS Working Paper No. 2006-42 SSRN
12/06
Durrell Fernando ‘Optimum Constrained Portfolio Rules in a Diffusion
Market’ Applied Mathematical Finance V. 13, #3 12/06
Durrett Rick 'Random Graph Dynamics' Cambridge Press
Eberlein Ernst, Nataliya Koval ‘A Cross-Currency Lévy Market Model’ QF
12/06
Eberlein Ernst, Wolfgang Kluge, Philipp Schönbucher 'The Lévy Libor Model
With Default Risk' J. of Credit Risk V.2, #2 2006
Einstein Albert 'On the Movement of Small Particles Suspended in a
Stationary Liquid Demanded by the Molecular-Kinetic Theory of Heat'
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Ekström Erik 'Bounds For Perpetual American Option Prices In A Jump
Diffusion Model' Journal of Applied Probability V. 43, #3, Sept. 2006
Eleswarapu Venkat, Kumar Venkataraman 'The Impact of Legal and Political
Institutions on Equity Trading Costs: A Cross-Country Analysis' RFS
Fall 2006
Elkenbracht Marije, Bert-Jan Nauta 'Managing Interest Rate Risk For Non-
Maturity Deposits' <Jarrow & van Deventer's model> RISK 11/06
Elliott Robert, P. Kopp 'Option Pricing & Hedging Portfolios for Poisson
Processes' Stochastic Anal. Appl. 9, 1990
Elouerkhaoui Youseff 'Hedging Basket Credit Derivative Claims: a Local
Risk-Minimisation Approach' 2005
Emery Michel 'Stochastic Calculus in Manifolds' Springer 1989
Emmons William, Aeimit Lakdawala, Christoper Neely 'What are the Odds?
Option-Based Forecasts of FOMC Target Changes' FRB St. Louis Review
Nov/Dec 06
Engelmann Bernd, Matthias Fengler, Peter Schwendner 'Better than its
Reputation: An Empirical Hedging Analysis of the Local Volatility Model
for Barrier Options' SSRN 10/06
Ericsson Jan, Olivier Renault 'Liquidity and Credit Risk' Bubble' Journal
of Finance Vo. 61, #5 Oct. 2006
Ewald Christian-Oliver 'Local Volatility in the Heston Model: a Malliavin
Calculus Approach' Journal of Applied Mathematics and Stochastic
Analysis Volume 2005 (2005), Issue 3 <volatility> <multidimensional
Ornstein-Uhlenbeck, local volatility, Monte-Carlo>
Faccio Mara, Ronald W Masulis, John J Mcconnell ‘Political Connections and
Corporate Bailouts’ Journal Of Finance, Dec 2006. Vol. 61
Fama Eugene, Kenneth 'The Value Premium and the CAPM' Bubble' Journal of
Finance Vo. 61, #5 Oct. 2006
Fantazzini Dean 'Dynamic Copula Modelling for Value at Risk' Frontiers in
Finance and Economics, Forthcoming
Favero Gino, Tiziano Vargiolu 'Shortfall Risk Minimising Strategies in the
Binomial Model: Characterisation and Convergence' Mathematical Methods
of Operations Research Oct 2006
Feng Huaguang, Aparna Gupta, Thomas Willemain 'Wavelet-Based Bootstrap for
Pricing Path-Dependent European Options' Journal of Computational
Finance 2006 V.10,#1
Ferson Wayne, Sergei Sarkissian, Timothy Simin 'Asset Pricing Models with
Conditional Betas and Alphas: The Effects of Data Snooping and Spurious
Regression' SSRN 11/06
Fidrmuc Jana, Marc Goergen, Luc Renneboog ‘Insider Trading, News Releases,
And Ownership Concentration’ Journal Of Finance, Dec 2006. Vol. 61
Figlewski Stephen, Halina Frydman, Weijian Liang 'Modeling the Effect of
Macroeconomic Factors on Corporate Default and Credit Rating
Transitions' NYU Stern 2006
Finlay Richard, Eugene Seneta 'Stationary-Increment Student and Variance-
Gamma Processes' J. Appl. Probab. 43, no. 2 (2006)
Fischer Bernd, Jan Modersitzki 'Mathematics Meets Medicine:An Alignment
Story' SIAM News 12/06
Flamouris Dimitris, Daniel Giamouridis 'Approximate Basket Option Valuation
for a Simplified Jump Process Journal of Futures Markets, Forthcoming
2006
Fleming Jeff, Chris Kirby, Barbara Ostdiek ‘Information, Trading, And
Volatility: Evidence From Weather-Sensitive Markets’ Journal Of
Finance, Dec 2006. Vol. 61
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Robustes' Actes Du Colloque "Aspects Des Mathématiques Financières",
Académie Des Sciences Paris (Ed. M. Yor), Lavoisier 2006
Föllmer Hans, Anne Gundel 'Robust Projections in The Class of Martingale
Measures' Illinois Journal of Mathematics; Vol. 50 No. 2 (2006)
Föllmer Hans, Irina Penner 'Convex Risk Measures and the Dynamics of Their
Penalty Functions' To Appear In: Statistics & Decisions (2006)
Forde Martin 'Calibrating Local Stochastic Volatility Models' U. Bristol
2006
Forde Martin 'The Small-Time Behaviour Of Diffusion And Time-Changed
Diffusion Processes On The Line' 9/06
Fortet Robert 'Les Fonctions Aléatoires Du Type De Markoff Associées À
Certaines Équations Linéaires Aux Dérivées Partielles Du Type
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t. 22, 1943
Freidlin Mark 'Some Remarks on the Smoluchowski-Kramers Approximation'
Journal of Statistical Physics V. 117, No. 3/4 11/04
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its Applications’ 2002
Friedman Craig, Sven Sandow 'Financially Motivated Model Performance
Measures' J. of Credit Risk V.2, #2 2006
Fries Christian, Jörg Kampen ‘Proxy Simulation Schemes for Generic Robust
Monte Carlo Sensitivities, Process-Oriented Importance Sampling And
High-Accuracy Drift Approximation’ Journal of Computational Finance Vol
10, #2 2006
Fries Christian, Mark Joshi ‘Partial Proxy Simulation Schemes for Generic
And Robust Monte-Carlo Greeks’ <Proxy Simulation, Digital Caps, Target
Redemption Notes>
Frittelli Marco, Giacomo Scandolo 'Risk Measures and Capital Requirements
for Processes' Mathematical Finance Oct. 2006
Fuhrman Marco, Ying Hu, Gianmario Tessitore 'On a Class of Stochastic
Optimal Control Problems Related to BSDEs with Quadratic Growth' SIAM
J. Control & Opt. 9/06
Fujiwara Tsukasa, Yoshio Miyahara 'The Minimal Entropy Martingale Measures
For Geometric Lévy Processes' Finance and Stochastics Oct. 2003
Gabih Abdelali, Wilfried Grecksch, Matthias Richter, Ralf Wunderlich
'Optimal Portfolio Strategies Benchmarking The Stock Market'
Mathematical Methods of Operations Research Oct 2006
Gallant A. Ronald, Chien-Te Hsu, George Tauchen 'Using Daily Range Data to
Calibrate Volatility Diffusions & Extract the Forward Integrated
Variance' R. Econ. & Stat V 81 #4 11/99 <volatility> <3 factor
stochastic volatility non-affine, Hull-White>
Galluccio Stefano, Jean-Michel Ly, Zhijiang Huang, Olivier Scaillet ‘Theory
and Calibration of Swap Market Models’ Mathematical Finance, Vol. 17,
Issue 1, Pp. 59-79, January 2007
Galwey N. 'Introduction to Mixed Modeling:Beyond Regression & Analysis of
Variance' 2006 1999 Wiley Press
Garriga Carlos, William Gavin, Don Schlagenhauf 'Recent Trends in
Homeownership' FRB St. Louis Review Sept/Oct 2006
Gatev Evan, William Goetzmann, K. Geert Rouwenhorst 'Pairs Trading:
Performance of a Relative-Value Arbitrage Rule' RFS Fall 2006
Geman Hélyette, Dilip Madan, Marc Yor ‘Self-Decomposability and Option
Pricing’ Mathematical Finance, Vol. 17, Issue 1, Pp. 59-79, January
2007
Giacomini Raffaella, Halbert White 'Tests of Conditional Predictive
Ability' Econometrica Nov. 2006
Giamouridis Daniel 'Estimation Risk in Financial Risk Management: A
Correction' Journal of Risk v.8, #4 2006
Gil-Bazo Javier 'The Value of the 'Swap' Feature in Equity Default Swaps'
QF 2/06
Gil-Bazo Javier 'The Value of the 'Swap' Feature in Equity Default Swaps'
Quantitative Finance 10/06 Errata for 2/06 article
Gill Richard, S. Johansen 'A Survey of Product-Integration with a View
Towards Applications in Survival Analysis' Annals of Statistics 1990
Gillemot László Gillemot, J. Doyne Farmer, Fabrizio Lillo 'There's More To
Volatility Than Volume' Quantitative Finance 10/06 <subordinated
processes, cluster, heavy tail>
Glynn Peter, Soren Asmussen 'Stochastic Simulation: Algorithms and
Analysis' Springer Press Feb. 07
Gollier Christian 'The Economics of Risk & Time' MIT Press 2004
Golub Gene, Michael Mahoney, Petros Drineas, Lek-Heng Lim 'Bridging the Gap
Between Numerical Linear Algebra, Theoretical Computer Science and Data
Applications' SIAM News 10/06
Gossner Olivier, Penélope Hernández, Abraham Neyman 'Optimal Use of
Communication Resources' Econometrica Nov. 2006
Goukasian Levon, Igor Cialenco 'The Reaction of Term Structure of Interest
Rates to the Monetary Policy Actions' Journal of Fixed Income 9/06
Gourieroux Christian, Alain Monfort, Vassilis Polimenis 'Affine Models for
Credit Risk Analysis' J. Financial Econometrics, Summer 2006
Gourieroux Christian, Razvan Sufana ‘Derivative Pricing with Multivariate
Stochastic Volatility:Application to Credit Risk’ CREST 2004
Gourieroux Christian, Razvan Sufana ‘Wishart Quadratic Term Structure
Models’ CREF 2003
Gourieroux Christian, Razvan Sufana 'A Classification of Two-Factor Affine
Diffusion Term Structure Models' J. Financial Econometrics, Winter 2006
Grandell Jan 'Doubly Stochastic Poisson Processes' vol 529 Lecture Notes in
Math. Springer 1976
Grasselli Martino, Claudio Tebaldi ‘Solvable Affine Term Structure Models’
to be Mathematical Finance
Gregoriou Greg (ed) 'Funds of Hedge Funds:Performance, Assessment,
Diversification, and Statistical Properties'
Butterworth/Heinemann/Elsevier, 2006
Haddad Wassim, Vijaysekhar Chellabonia, Sergey Nersesov 'Impulse & Hybrid
Dynamical Systems' Princeton Press
Hadjiliadis Olympia, Jan Vecer 'Drawdowns Preceding Rallies in the Brownian
Motion Model' Quantitative Finance 10/06 <rallies>
Haimes Yacov 'Risk Modeling, Assessment & Management' 2004 1999 Wiley Press
Hakala Jürgen, Uwe Wystup 'Foreign Exchange Risk' 2002 RISK books
Hansen Lars Peter, Thomas Sargent, Gauhar Turmuhambetova, Noah Williams
'Robust Control and Model Misspecification' Journal of Economic Theory
May 2006
Hanson Samuel, Til Schuermann 'Confidence Intervals For Probabilities of
Default' Journal of Banking and Finance 8/06
Hao Jia, Avner Kalay, Stewart Mayhew 'Ex-Dividend Arbitrage in Option
Markets' SSRN 11/06
Hauswald Robert, Robert Marquez 'Competition and Strategic Information
Acquisition in Credit Markets' RFS Fall 2006
Heath David 'Introduction to Models for the Evolution of the Term Structure
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Hendel Igal, Aviv Nevo 'Measuring the Implications of Sales and Consumer
Inventory Behavior' Econometrica Nov. 2006
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Deliver; Quality Option and Margining' Journal of Fixed Income 9/06
Hesthaven Jan, Sigal Gottlieb, David Gottlieb 'Spectral Methods for Time-
Dependent Problems' Cambridge Press
Hetzel Robert 'Making the Systematic Part of Monetary Policy Transparent'
FRB Richmond Economic Quarterly Summer 2006
Hintermüller Michael, K. Ito, Karl Kunisch 'The Primal-Dual Active Set
Strategy as a Semismooth Newton Method' SIAM J. Opt. 2003
Hinz Juri, Martina Wilhelm ‘Pricing Flow Commodity Derivatives Using Fixed
Income Market Techniques’ IJT&AF 12/06
Hipp Christian ‘Options for Guaranteed Index-Linked Life Insurance’ AFIR
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17, Issue 1, Pp. 59-79, January 2007
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Hu Zhengyun 'Semi-Analytic Lattice Integrator Going Beyond Conventional
Recombining Trees' SSRN 2005
Hu Zhengyun 'The State Tree' SSRN 2005
Hu Zhengyun, Jeroen Kerkhof, Paul McCloud, Jorg Wackertapp 'Cutting Edges
Using Domain Integration' <semi-analytic lattice integrator tree, a
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Huang Chi Fu, Robert Litzenberger ‘Foundations for Financial Economics’
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12/06 <Eberlein and Ozkan, intensity based defaultable model Bielecki
and Rutkowski, embedding it in the defaultable HJM framework>
Huehne Florian 'Malliavin Calculus for the Computation of Greeks in Markets
Driven by Pure-Jump Levy Processes' SSRN 12/06 <Monte-Carlo method,
pure jump Levy-process, functional derivatives, Malliavin Calculus,
Chaos Expansion, Skorohod Integral>
Hui Cho-Hoi, Chi-Fai Lo 'Currency Barrier Option Pricing With Mean
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Hull John 'Defining Copulas' RISK 10/06 <risk>
Hull John 'Risk Management and Financial Institutions' Prentice Hall 2006
Hull John, Alan White 'Valuing Credit Derivatives Using an Implied Copula
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Ikonen Samuli 'Efficient Numerical Solution of The Black-Scholes Equation
By Finite Difference Method', Licentiate thesis, University of
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Ikonen Samuli 'On The Accuracy Of Finite Difference Discretizations For
Parabolic Problems With Applications', Reports of the Department of
Mathematical Information Technology, Series B, Scientific Computing,
B15/2002. University of Jyväskylä, 2002.
Ikonen Samuli, Jari Toivanen 'Componentwise Splitting Methods for Pricing
American Options Under Stochastic Volatility' Reports of the Department
of Mathematical Information Technology, Series B, Scientific Computing,
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Strang symmetrization>
Ikonen Samuli, Jari Toivanen 'Efficient Numerical Methods for Pricing
American Options Under Stochastic Volatility' Reports of the Department
of Mathematical Information Technology, Series B, Scientific Computing,
B12/2005. University of Jyväskylä 2005.<options-American> <Heston,
 multigrid, operator splitting, penalty, Projected SOR,componentwise
splitting>
Ikonen Samuli, Jari Toivanen 'Operator Splitting Methods For American
Option Pricing' Applied Mathematics Letters, 17 (2004), pp. 809-814.
Ikonen Samuli, Jari Toivanen 'Pricing American Options Using LU
Decomposition' , Reports of the Department of Mathematical Information
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Jyväskylä (Revised November 12, 2005.)
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Bubble' Journal of Finance Vo. 61, #5 Oct. 2006
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St. Louis Review Nov/Dec 06
Jorgensen Palle 'Analysis & Probability:Wavelets, Signals, Fractals' 2006
Springer Press
Joshi Mark ‘A Simple Derivation of and Improvements to Jamshidian's and
Rogers' Upper Bound Methods For Bermudan Options’ Tobe Appear In
Applied Mathematical Finance
Joshi Mark ‘Achieving Decorrelation and Speed Simultaneously In the LIBOR
Market Model’
Joshi Mark ‘Achieving Smooth Asymptotics for the Prices of European Options
In Binomial Trees’
Joshi Mark ‘Monte Carlo Bounds for Callable Products with Non-Analytic
Break Costs’
Joshi Mark ‘Option Pricing and the Dirichlet Problem’ to Appear In Wilmott
Magazine
Joshi Mark, Alan Stacey ‘New and Robust Drift Approximations for The LIBOR
Market Model’ <Compared To PPR, Glasserman-Zhao And Predictor-
Corrector>
Joshi Mark, Lorenzo Liesch ‘Effective Implementation of Generic Market
Models’
Joshi Mark, Terence Leung ‘Using Monte Carlo Simulation and Importance
Sampling To Rapidly Obtain Jump-Diffusion Prices Of Continuous Barrier
Options’
Jost Céline 'Transformation Formulas for Fractional Brownian Motion' SP&A
10/06
Jouini Elyès 'Convergence of The Equilibrium Prices In A Family Of
Financial Models' Finance and Stochastics Oct. 2003
Jouini Elyès, Clotilde Napp 'Arbitrage with Fixed Costs and Interest Rate
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reflecting barriers, humps> JF&QA 12/06
Jourdain Benjamin 'Stochastic Flows Approach to Dupire's Formula' 10/06
<Put-Call duality, local volatility>
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1951
Kahale Nabil 'Sparse Calibrations of Contingent Claims' SSRN 12/06
Keiber Karl Ludwig ‘Insider Trading Rules and Price Formation In Securities
Markets: An Entropy Analysis Of Strategic Trading’ IJT&AF 12/06
Kelata William 'Cooperating Coloring' SIAM News 11/06
Khasminskii Rafail, Gregori Milstein 'On Estimation of the Linearized Drift
for Nonlinear Stochastic Differential Equations' Stochastics & Dynamics
1 2001
Kim Suk-Joong, Michael McKenzie 'Conditional Autocorrelation and Stock
Market Integration' SSRN 11/06
Kliesen Kevin 'Rising Natural Gas Prices & Real Economic Activity' FRB St.
Louis Review Nov/Dec 06
Klüppelberg Clauida, Andreas Kyprianou 'On Extreme Ruinous Behaviour of
Lévy Insurance Risk Processes' J. Appl. Probab. 43, no. 2 (2006)
Kogan Jacob 'Introduction to Clustering Large & High-Dimensional Data'
Cambridge Press
Kolev Nikolai, Ulisses dos Anjos, Beatriz Vaz de M. Mendes 'Copulas: A
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Kosowski Robert, Allan Timmermann, Russ Wermers, Hal White ‘Can Mutual Fund
"Stars" Really Pick Stocks? New Evidence From A Bootstrap Analysis’
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Kraus Alan, Jacob Sagi ‘Asset Pricing With Unforeseen Contingencies’ JFE
11/06
Krekel Martin 'The Pricing of Asian Options on Average Spot with Average
Strike' SSRN 11/06
Kruse Susanne 'Pricing of Inflation-Indexed Options under the Assumption of
a Lognormal Inflation Index as well as under Stochastic Volatility'
SSRN 12/06
Krylov Nicolai 'On the Relation Between Differential Operators of Second
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Kumar Alok, Charles M.C. Lee 'Retail Investor Sentiment and Return
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Lévy Paul 'Sur Certains Processus Stochastiques Homogènes' Compositio
Mathematica, 7 (1940)
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Institutions Are Large Shareholders: The Role Of Macro Corporate
Governance Environments’ Journal Of Finance, Dec 2006. Vol. 61
Li Minqiang, Shijie Deng, Jieyun Zhou ‘Closed-form Approximations for
Spread Option Prices and Greeks’ SSRN 12/06
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PDEs Involving Interfaces and Irregular Domains' 2006 SIAM Press
Lindley Dennis 'Understanding Uncertainty' 2006 1999 Wiley Press
Lo Andrew, Jiang Wang ‘Trading Volume: Implications Of An Intertemporal
Capital Asset Pricing Model’ Journal Of Finance, Dec 2006. Vol. 61
Lord Roger ‘Partially Exact and Bounded Approximations for Arithmetic Asian
Options’ Journal of Computational Finance Vol 10, #2 2006
Loudon Geoff, John Okunev, Derek White 'Hedge Fund Risk Factors and the
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Income 9/06
Luciano Elisa, Wim Schoutens 'A Multivariate Jump-Driven Financial Asset
Model' Quantitative Finance 10/06 <Lévy, copulas, risk neutral, skew,
jump, time change-Gamma, Variance Gamma, V-G> <volatility>
Ludvigson Sydney, Serena Ng ‘The Empirical Risk–Return Relation: A Factor
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Maccheroni Fabio, Massimo Marinacci, Aldo Rustichini 'Ambiguity Aversion,
Robustness, and the Variational Representation of Preferences'
Econometrica Nov. 2006
Madan Dilip ‘Equilibrium Asset Pricing: With Non-Gaussian Factors and
Exponential Utilities’ QF 12/06
Madan Dilip, Marc Yor 'Ito Integrated Formula for Strict Local Martingales'
in memoriam Paul Meyer Seminaire de Probabilits XXXXIX, 1874 (2006)
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Malz Allan 'Option-Implied Probability Distributions and Currency Excess
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Mansuy Roger 'On Processes which are Infinitely Divisible with Respect to
Time' 4/05 <Lévy, Gaussian>
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Martin Richard, Roland Ordovas 'An Indirect View from the Saddle'
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Masoliver Jaume, Josep Perelló 'Multiple Time Scales and the Exponential
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Mastinšek Miklavž 'Discrete-Time Delta Hedging and the Black-Scholes Model
with Transaction Costs' Mathematical Methods of Operations Research Oct
2006
Mausser Helmut, David Saunders, Luis Seco 'Optimising Omega' <portfolio,
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Mehra Yash 'Inflation Uncertainty & the Recent Low Level of the Long Bond
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Menon Govind, Robert Pego ‘Dynamical Scaling in Smoluchowski's Coagulation
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Milevsky Moshe, Kristen Moore, Virginia Young 'Asset Allocation and
Annuity-Purchase Strategies to Minimize the Probability of Financial
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Moore Lyndon, Steve Juh ‘Derivative Pricing 60 Years Before Black-Scholes:
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2006. Vol. 61
Morini Massimo, Nick Webber ‘An EZI Method to Reduce the Rank of a
Correlation Matrix in Financial Modelling’ Applied Mathematical Finance
V. 13, #3 12/06
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SIAM News 12/06
Musiela Marek, Thaleia Zariphopoulou 'Investment and Valuation under
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Pan Heping, Didier Sornette, Kenneth Kortanek 'Intelligent Finance-An
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Parks Michael, Richard Lehoucq 'Atomistic-to-Continuum Coupling'
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News 9/06
Paulsen Jostein 'Optimal Dividend Payouts for Diffusions with Solvency
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Pawlowski Roger, John N. Shadid, Joseph Simonis, Homer Walker
‘Globalization Techniques for Newton–Krylov Methods and Applications to
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12/06
Pellizzari Paolo 'Efficient Monte Carlo Pricing of European Options Using
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Reiß Markus Markus Riedle, Onno Van Gaans 'Delay Differential Equations
Driven By Lévy Processes: Stationarity and Feller Properties' SP&A
10/06
Reuter Jonathan 'Are IPO Allocations For Sale? Evidence from Mutual Funds'
Bubble' Journal of Finance Vo. 61, #5 Oct. 2006
Ribeiro Claudia, Nick Webber ‘Correcting for Simulation Bias in Monte Carlo
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Applied Mathematical Finance V. 13, #3 12/06
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Dynamic Replication": A Comment' Quantitative Finance 10/06
Ruszczynski Andrzej, Aexander Shapiro 'Conditional Risk Mappings'
Mathematics of Operations Research 8/06
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Evidence & Uncertainity in Measurement' 2007 Springer Press
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9/06
Sarte Pierre-Daniel 'Start Optimal Fiscal Policies & Sovereign Lending' FRB
Richmond Economic Quarterly Fall 2006
Schachermayer Walter 'A Super-Martingale Property of the Optimal Portfolio
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Schrager David, Antoon Pelsser 'Pricing Swaptions and Coupon Bond Options
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Sipics Michelle 'Step by Step, Math Models Unlock Secrets of Cancer
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Sipics Michelle 'Taking on the ITER Challenge, Scientists Look to
Innovative Algorithms, Petascale Computers' <International
Thermonuclear Reactor, large scale simulations, hard vrs. software>
SIAM News 9/06
Sipics Michelle 'The Way We Think About What it Means to Know Things'
<information, search engine, networks, Jon Kleinberg> SIAM News 12/06
Sipies Michelle 'The Human Heart Laid Open' SIAM News 11/06
Sirbu Mihai, Steven Shreve 'A Two-Person Game for Pricing Convertible
Bonds' SIAM Journal on Control and Optimization 11/06
Sircar Ronnie, Thaleia Zariphopoulou 'Utility Valuation of Credit
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Stochastics Oct. 2003
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2007
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2006. Vol. 61
Stentoft Lars 'Modelling the Volatility of Financial Asset Returns Using
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Stewart Ian 'To Find Fake Coin' <puzzels> SIAM News 12/06
Stoikov Sasha ‘Pricing Options from the Point Of View of A Trader’ IJT&AF
12/06
Stojanovic Srdjan 'Pricing and Hedging of Multi Type Contracts under
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Wan Henry 'Pricing American-Style Basket Options by Implied Binomial Tree'
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Wang Iris, Justin Wan, Peter Forsyth 'Robust Numerical Valuation of
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