Update June 07

Aarão Jorge ‘Fundamental Solutions for Some Partial Differential Operators from
Fluid Dynamics and Statistical Physics’ SIAM Review June 2007, V. 49, #2
Abate James, James L. Grant, Chris Rowberry ’Understanding the Required Return
Under New Uncertainty’ Journal of Portfolio Management Fall 2006
Abhyankar Abhay, Devraj Basu, Alexander Stremme ‘Portfolio Efficiency and Discount
Factor Bounds with Conditioning Information: An Empirical Study’ Journal of
Banking and Finance Volume 31, Issue 2, Feb 2007
Abid Fathi, Mourad Mroua, Wing-Keung Wong ‘The Impact of Option Strategies in
Financial Portfolios Performance: Mean-Variance and Stochastic Dominance
Approaches’ SSRN 5/07
Abid Fathi, Nader Naifar ‘Copula Based Simulation Procedures for Pricing Basket
Credit Derivatives’ SSRN 4/07
Abreu Dilip, David Pearce ‘Bargaining, Reputation, and Equilibrium Selection in
Repeated Games with Contracts’ Econometrica 5/07
Acebrón Juan, Renato Spigler ‘The Remote Control and Beyond:the Legacy of Robert
Adler’ SIAM News June 2007
Acemoglu Daron, Asuman Ozdaglar ‘Competition and Efficiency in Congested Markets’
Mathematics of Operations Research Feb 2007 32
Adda Jermome, Russell Cooper 'Dynamic Economics:Quantitative Methods and
Applications' MIT Press 2003
Ait-Sahalia Yacine, Jean Jacod ‘Estimating the Degree of Activity of Jumps in High
Frequency Financial Data’ Conference on Volatility and High Frequency Data
Chicago, April 21-22, 2007
Ait-Sahalia Yacine, Jean Jacod ‘Testing For Jumps in a Discretely Observed Process’
Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007
Ait-Sahalia Yacine, Jialin Yu ‘High Frequency Market Microstructure Noise Estimates
and Liquidity Measures’ Conference on Volatility and High Frequency Data
Akdeniz Levent, W. Davis Dechert ‘The Equity Premium in Brock's Asset Pricing
Model’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Albanese Claudio, Alicia Vidler ‘A Structural Model for Credit-Equity Derivatives
and Bespoke CDOS’ Wilmott Magazine, Forthcoming 2007
Alexander Carol, Andreza Barbosa ‘Effectiveness of Minimum-Variance Hedging’
Journal of Portfolio Management Winter 2007
Allen Gregory ‘Does Size Matter?’ Journal of Portfolio Management Spring 2007
Altman Edward, William Stonberg ‘The Market in Defaulted Bonds and Bank Loans’
Journal of Portfolio Management Summer 2006
Alvarez Luis, Erkki Koskela ‘Optimal Harvesting Under Resource Stock and Price
Uncertainty’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Al-Zoubi Haitham, Aktham Maghyereh ‘The Relative Risk Performance of Islamic
Finance:A New Guide To Less Risky Investments’ International Journal of
Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2
Amenc Noel, Philippe Malaise, Lionel Martellini ‘From Delivering to Packaging of
Alpha’ Journal of Portfolio Management Winter 2006
Ammann Manuel, Stephan Kessler, Jurg Tobler ‘Analyzing Active Investment
Strategies’ Journal of Portfolio Management Fall 2006
Andersen Torben, Luca Benzoni ‘Do Bonds Span Volatility Risk in the U.S. Treasury
Market? A Specification Test for Affine Term Structure Models’ Conference on
Volatility and High Frequency Data Chicago, April 21-22, 2007
Andersen Torben, Per Frederiksen, Arne Staal ‘The Information Content of Realized
Volatility Forecasts’ 2007
Andersen Torben, Tim Bollerslev, Nour Meddahi ‘Realized Volatility Forecasting and
Market Microstructure Noise’ Conference on Volatility and High Frequency Data
Anderson E.J., A. B. Philpott, H. Xu ‘Modelling the Effects Of Interconnection
Between Electricity Markets Subject To Uncertainty’ Mathematical Methods of
Operations Research Feb. 2007
Anderson Matthew, Jung-Han Kimn ‘Basket Implied Volatility from Geodesics’ <SABR>
Andreou Panayiotis, Christakis Charalambous, Spiros Martzoukos ‘Generalized
Parameter Functions for Option Pricing’ SSRN 3/07
Andrikopoulos Andreas ‘On the Pricing of Options With Quadratic Payoffs: A Note’
SSRN May 2007
Andrikopoulos Andreas ‘On the Quadratic Approximation to the Value of American
Options: A Note’ Applied Financial Economics Letters, Forthcoming 2007
Angeletos George-Marios, Christian Hellwig, Alessandro Pavan ‘Dynamic Global Games
of Regime Change: Learning, Multiplicity, and the Timing of Attacks’
Econometrica 5/07
Annaert Jan, Sofie Van Osselaer, Bert Verstraete ‘Performance Evaluation of
Portfolio Insurance Strategies Using Stochastic Dominance Criteria’ SSRN 5/07
Antinolfi Gaetano, Costas Azariadis, James B. Bullard ‘Monetary Policy as
Equilibrium Selection’ Commentary Peter N. Ireland St. Louis Review JULY/AUGUST
2007 Vol. 89, No. 4
Arifovic Jasmina, John Ledyard ‘Call Market Book Information and Efficiency’
Journal of Economic Dynamics and Control V. 31, #6 June 2007
Asem Ebenezer ‘Misspecified Likelihood Function and Value-At-Risk Italian Banks’
Interest Rate Risk Exposure’ Journal of Risk Vol 9, #3 2007
Ashcraft Adam, João A.C. Santos ‘Has the CDS Market Lowered the Cost of Corporate
Debt?’ SSRN 6/07
Asmussen Søren, Mats Pihlsgård ‘Loss Rates for Lévy Processes with Two Reflecting
Barriers’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 308-321. <reflection,
Skorokhod, light tail, Lundberg, Markov modulated>
Asmussen Søren, Peter Glynn ‘Stochastic Simulation:Algorithms and Analysis’
Springer Press 2007
Assoe Kodjovi, Jean-Francois LHer, Francois Plante ‘The Relative Importance of
Asset Allocation and Security Selection’ Journal of Portfolio Management Fall
2006
Athreya Kartik, Andrea Waddle 'Implications of Some Alternatives to Capital Income
Taxation' FRB Richmond Economic Quarterly Winter 2007
Atkinson Colin, Gianluca Fusai ‘Discrete Extrema of Brownian Motion and Pricing of
Exotic Options’ Journal of Computational Finance V. 10, #3, March 2007
Babilua Petre ‘Semimartingale Local Time and the American Put Option’ Georgian
Mathematical Journal 13 (2006), No. 2, 199—214
Baele Lieven, Geert Bekaert, Koen Inghelbrecht ‘The Determinants of Stock and Bond
Return Comovements’ SSRN 6/07
Bakry D., O. Mazet ‘Characterization of Markov Semigroups on R Associated to Some
Families of Orthogonal Polynomials’ Séminaire de Probabilités XXXVII 2003 #1832
#1832
Balakrishna B.S. ‘Delayed Default Dependency and Default Contagion’ SSRN 4/07
Bali Turan, Suleyman Gokcan and Bing Liang ‘Value at Risk And The Cross-Section of
Hedge Fund Returns’ Journal of Banking and Finance Vol 31, #4 April 2007
Balu Mariana-Elena Voineagu, Felix Furtuna ‘Principal Component Analysis –
Statistical Method of Territorial Profile Factor Analysis’ SSRN May 2007
Banasiak Jacek, Luisa Arlotti ‘Perturbations of Positive Semigroups with
Applications’ Springer 2006;reviewed SIAM Review 5/07
Bandi Federico, Jeff Russell, Chen Yang ‘Realized Volatility Forecasting in the
Presence of Time-Varying Noise’ Conference on Volatility and High Frequency Data
Bandi Federico, Peter Phillips ‘A Simple Approach to the Parametric Estimation of
Potentially Nonstationary Diffusions’ Journal of Econometrics April 2007
Banerjee Suman, Vladimir Gatchev, Paul Spindt ‘Stock Market Liquidity and Firm
Dividend Policy’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2,
June 2007
Bank Peter, Christian Küchler ‘On Gittins Index Theorem in Continuous Time’ SP&A
tobe 2007
Bansal Ravi ‘Long-Run Risks and Financial Markets’ Commentary Thomas J. Sargent
St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4
Baptista Alexandre ‘On the Non-Existence of Redundant Options’ Vol 31, # 2 May 2007
Economic Theory
Bardos Mireille ‘What is at Stake in the Construction and Use of Credit Scores?’
Computational Economics Volume 29, Number 2 / March, 2007
Barndorff-Nielsen Ole, C. Halgreen 'Infinite Divisibility of the Hyperbolic and
Generalized Inverse Gaussian Distributions' Zeitschrift fur
Wahrscheinlickeitstheorie und verwandt Geiete 38, 1977
Barndorff-Nielsen Ole, Peter Reinhard Hansen, Asger Lunde, Neil Shephard ‘Designing
Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the
Presence of Noise’ Conference on Volatility and High Frequency Data Chicago,
April 21-22, 2007
Barone-Adesi Giovanni, Robert Elliott ‘Cutting the Hedge’ Computational Economics
Volume 29, Number 2 / March, 2007
Bastania A. Foroush, S. Mohammad Hosseini ‘A New Adaptive Runge–Kutta Method For
Stochastic Differential Equations’ <adaptive time stepping, forward/backward>
Journal of Computational and Applied Mathematics Volume 206, Issue 2, 15
September 2007, Pages 631-644
Battalio Robert, Andrew Ellul, Robert Jennings ‘Reputation Effects in Trading on
the New York Stock Exchange’ Journal of Finance June 2007
Baudoin Fabrice, Laure Coutin ‘Operators Associated with a Stochastic Differential
Equation Driven by Fractional Brownian Motions’ SP&A tobe 2007
Baurdoux Erik ‘Examples of Optimal Stopping via Measure Transformation for
Processes with One-Sided Jumps’ Stochastics Volume 79 Issue 3 & 4 2007
Baviera Roberto ‘Gigi Model (Or a Bivariate Bond Market Model)’ SSRN 4/07
Bayraktar Erhan ‘A Proof of the Smoothness of the Finite Time Horizon American Put
Option for Jump Diffusions’ SSRN 4/07
Baysal R. Evren, Jeremy Staum ‘Empirical Likelihood for Value at Risk and Expected
Shortfall’ 2007
Beckers Stan, Ross Curds, Simon Weinberger ‘Funds of Hedge Funds Take the Wrong
Risks’ Journal of Portfolio Management Spring 2007
Bekaert Geert, Campbell Harvey, Christian Lundblad, Stephan Siegel ‘Global Growth
Opportunities and Market Integration’ Journal of Finance June 2007
Bélanger Amélie, Bruce Simpson ‘Computing Two-Factor Deltas Using Unstructured
Meshes’ Journal of Computational Finance V.10, #3, March 2007
Ben Dor Arik, Jay Hyman, Patrick Houweling, Olaf Penninga ‘DTS (Duration Times
Spread)’ Journal of Portfolio Management Winter 2007
Ben Dor Arik, Simon Polbennikov, Jeremy Rosten ‘DTSsm (Duration Times Spread) for
CDS: A New Measure of Spread Sensitivity’ Journal of Fixed Income Spring 2007
Bender Carl, Steven Orszag ‘Advanced Mathematical Methods for Scientists and
Engineers’ Springer 1999 <highly recommended book>
Benedict Brandy 'Modeling Alcoholism as a Contagious Disease:How "Infected"
Drinking Buddies Spread Problem Drinking' SIAM News April 2007
Benigno Gianluca, Pierpaolo Benigno, Fabio Ghironi ‘Interest Rate Rules for Fixed
Exchange Rate Regimes’ Journal of Economic Dynamics and Control V. 37, #7 July
2007
Benner Wolfgang, Lyudmil Zyapkov ‘A Multifactoral Cross-Currency Libor Market Model
With a FX Volatility Skew’ SSRN 5/07
Bensoussan Alan, Jussi Keppo, Suresh Sethi ‘Optimal Consumption and Portfolio
Decisions with Partially Observable Real Prices’ SSRN 5/07
Bentahar Imen, Bruno Bouchard ‘Explicit Characterization of the Super-Replication
Strategy in Financial Markets with Partial Transaction Costs’ SP&A May 2007
Ben-Tal Aharon, Arkadi Nemirovski ‘Robust Convex Optimization’ Mathematics of
Operations Research (23) 1998
Ben-Tal Aharon, Marc Teboulle ‘An Old-New Concept Of Convex Risk Measures: The
Optimized Certainty Equivalent’ Pages 449–476 Mathematical Finance July 2007 -
Vol. 17 Issue 3
Berestycki Henri ‘Changing the Implied Volatility in Local and Stochastic
Volatility Models’ Conference on Volatility and High Frequency Data Chicago,
April 21-22, 2007
Berk Jonathan, Richard Stanton ‘Managerial Ability, Compensation, and the Closed-
End Fund Discount’ The Journal of Finance. Apr 2007. Vol. 62
Bernaschi Massimo, Maya Briani, Marco Papi, Davide Vergni ‘Scenario-Generation
Methods for an Optimal Public Debt Strategy’ Quantitative Finance, Volume 7
Issue 2 2007
Bernstein Peter ‘Capital Ideas Evolving’ Wiley 2007
Bertholon Henri, A. Monfort, Fulvio Pegoraro ‘Econometric Asset Pricing Modelling’
SSRN 3/07
Bertrand Marianne, Antoinette Schoar, David Thesmar ‘Banking Deregulation and
Industry Structure: Evidence from the French Banking Reforms of 1985’ The
Journal of Finance. Apr 2007. Vol. 62
Beskos Alexandros, Omiros Papaspiliopoulos, Gareth Roberts ‘A New Factorization of
Diffusion Measure with View Towards Simulation’ To Be Published. .
Beskos Alexandros, Omiros Papaspiliopoulos, Gareth Roberts ‘Retrospective Exact
Simulation of Diffusion Sample Paths with Applications’ 2006 Bernoulli, 12:1077–
1098.
Beskos Alexandros, Omiros Papaspiliopoulos, Gareth Roberts, Paul Fearnhead ‘Exact
and Computationally Efficient Likelihood-Based Estimation For Discretely
Observed Diffusion’ Processes”. J. R. Statist.Soc. B, 68:333–382. 2007 .
Bey Roger, Larry Johnson ‘Do Short-Selling and Margin Trading Impact the
Replication of Emerging Market Indexes?’ Journal of Portfolio Management Spring
2006
Bhansali Vineer ‘Putting Economics (Back) into Quantitative Models’ Journal of
Portfolio Management Spring 2007
BhargavaVivek, D. K. Malhotra ‘Do Price-Earnings Ratios Drive Stock Values?’
Journal of Portfolio Management Fall 2006
Bianco Simone, Roberto Reno ‘Unexpected Volatility and Intraday Serial Correlation’
Biegler Lorenz, Omar Ghattas, Matthias Heinkenschloss, David Keyes, Bart van
Bloemen Waanders (ed) ‘Real-Time PDE-Constrained Optimization’ 2007 SIAM Press
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski ‘Hedging of Basket Credit
Derivatives in Credit Default Swap Market’ Vol 3 #1 2007, Journal of Credit Risk
Bienstock Daniel ‘Experiments with Robust Optimization’ 2006
Billett Matthew, Tao-Hsien Dolly King, David Mauer ‘Growth Opportunities and the
Choice of Leverage, Debt Maturity, and Covenants’ The Journal of Finance. Apr
2007. Vol. 62
Bisesti Lorenzo, Antonio Castagna, Fabio Mercurio ‘Consistent Pricing and Hedging
of an FX Options Book’, Kyoto Economic Review 74(1) 2005
Björck Ake ‘Numerical Methods for Least Squares Problems’ SIAM Press 1996
Björk Tomas, Jan Grandell ‘An Insensitivity Property of the Ruin Probability’
Scand. Actuar. J. 1985, No. 3-4,
Björk Tomas, Jan Grandell ‘Exponential Inequalities for Ruin Probabilities in the
Cox Case’ Special Issue for ICA 1988 Helsinki. Scand. Actuar. J. 1988, No. 1-2,
Bladt Mogens, Michael Sørensen ‘Simple Simulation of Diffusion Bridges with
Application to Likelihood Inference for Diffusions’ <Options-Numeric> <EM,
Euler, Milstein> 2007
Bladt Mogens, Michael Sørensen ‘Statistical Inference For Discretely Observed
Markov Jump Processes’ J. R. Statist. Soc. B, 67:395 – 410. 2006 .
Blavatskyy Pavlo, Ganna Pogrebna ‘Models of Stochastic Choice and Decision
Theories: Why Both are Important for Analyzing Decisions’ SSRN 4/07
Bleichrodt Hans, Jose Maria Abellan-Perpiñan, Jose Luis Pinto-Prades, Ildefonso
Mendez-Martinez ‘Resolving Inconsistencies in Utility Measurement Under Risk:
Tests of Generalizations of Expected Utility’ Management Science March 2007,
Volume 53, Issue 3
Blitz David, Pim van Vliet ‘The Volatility Effect: Lower Risk without Lower Return’
SSRN 4/07
Bloch Daniel ‘LIBOR Market Models within the Affine and Quadratic Models’ SSRN 5/07
Boerger Reik, Alvaro Cartea, Ruediger Kiesel, Gero Schindlmayr ‘A Multivariate
Commodity Analysis and Applications to Risk Management’ SSRN 4/07
Boes Mark-Jan, Feike Drost, Bas J. M. Werker ‘The Impact of Overnight Periods on
Option Pricing’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2,
June 2007
Boisedffre Louis de ‘No-Arbitrage Equilibria with Differential Information:an
Existence Proof’ Vol 31, # 2 May 2007 Economic Theory
Bollerslev Tim ‘On the Correlation Structure for Generalized Autoregressive
Conditional Heteroskedastic Processes’ Journal of Time Series Analysis (9), 1988
Bollerslev Tim, Dobrislav Dobrev ‘No-Arbitrage Semi-Martingale Restrictions for
Continuous-Time Volatility Models Subject to Leverage Effects, Jumps and i.i.d.
Noise: Theory and Testable Distributional Implications’ NBER Working Paper No.
W12963 SSRN 3/07
Bollerslev Tim, Tzuo Hann Law, George Tauchen ‘Risk, Jumps, and Diversification’
Bona Jerry, Sanford Grossman ‘Price and Interest Rate Dynamics in a Transactions
Based Model of Money Demand’ November 1983.
Bonami Pierre, Miguel Lejeune ‘An Exact Solution Approach for Portfolio
Optimization Problems Under Stochastic and Integer Constraints’ SSRN 3/07
Bondarenko Oleg ‘Nonparametric Test of Affine Option Models’ Conference on
Bonet Blai ‘On the Speed of Convergence of Value Iteration on Stochastic Shortest-
Path Problems’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 365-373
Bookstaber Richard ‘A Demon of Our Own Design:Markets, Hedge Funds, and the Perils
of Financial Innovation’ Wiley 2007
Boone Audra, J. Harold Mulherin ‘How Are Firms Sold?’ The Journal of Finance. Apr
2007. Vol. 62
Borovkova Svetlana, Ferry Permana, Hans v.d. Weide ‘A Closed Form Approach to the
Valuation and Hedging of Basket and Spread Option’ Journal of Derivatives Summer
2007
Bossaerts Peter, Paolo Ghirardato, Serena Guarnaschelli and William Zame 'Prices
and Allocations in Asset Markets with Heterogeneous Attitudes Towards Ambiguity'
March 2007 <expected utility axioms, ambiguous states>
Boswijk H. Peter, Cars H. Hommes, Sebastiano Manzan ‘Behavioral Heterogeneity in
Stock Prices’ Journal of Economic Dynamics and Control V. 31, #6 June 2007
Boudoukh Jacob, Roni Michaely, Matthew Richardson, Michael R Roberts ‘On the
Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing’
The Journal of Finance. Apr 2007. Vol. 62
Bourguignon Francois, Marielle de Jong ‘The Importance of Being Value’ Journal of
Boyarchenko Nina, Sergei Levendorskii ‘On Errors and Bias of Fourier Transform
Methods in Quadratic Term Structure Models’ International Journal of Theoretical
& Applied Finance, Mar2007, Vol. 10 Issue 2
Boyle Phelim, Weidong Tian ‘Portfolio Management with Constraints’ Pages 319–343
Mathematical Finance July 2007 - Vol. 17 Issue 3
Brandt Achi, Colin Cryer ‘Multigrid Algorithms for the Solution of Linear
Complementary Problems Arising from Free Boundary Problems’ SIAM J. Sci.
Statist. Comput. 4(4) 1983
Bremaud Pierre ‘Martingale Theory of Point Processes over the Real Half Line
Admitting an Intensity’ Springer Lecture Notes in Econ & Math. Vol 107, 1974
Brennan Michael, Xiaoquan Liu, Yihong Xia ‘Option Pricing Kernels and the ICAPM’
(June 29, 2005). Finance. Paper 16-05 <investment opportunity set, FTSE 100,
S&P 500 index>
Brigo Damiano, Andrea Pallavicini, Roberto Torresetti ‘Calibration of CDO Tranches
With The Dynamical GPL Model’ Generalised Poisson, single names> RISK May 2007
Brigo Damiano, Fabio Mercurio, M. Morini ‘The Libor Model Dynamics: Approximations,
Calibration and Diagnostics’ European Journal of Operational Research 163, 2005
Bris Arturo, William Goetzmann, Ning Zhu ‘Efficiency and the Bear: Short Sales and
Markets Around the World’ Journal of Finance June 2007
Broadie Mark, Mikhail Chernov, Michael Johannes ‘Model Specification and Risk
Premia: Evidence from Futures Options’ Journal of Finance June 2007
Broadie Mark, Mikhail Chernov, Suresh Sundaresan ‘Optimal Debt and Equity Values in
the Presence Of Chapter 7 and Chapter 11’ Journal of Finance June 2007
Broadie Mark, Özgür Kaya ‘A Binomial Lattice Method for Pricing Corporate Debt and
Modeling Chapter 11 Proceedings’ Journal of Financial and Quantitative Analysis
Vol. 42, No. 2, June 2007
Brossard J. ’Deux Notions Équivalentes D'unicité En Loi Pour Les Équations
Différentielles Stochastiques’ Séminaire de Probabilités XXXVII 2003 #1832
Brownlees Christian, Giampiero Gallo ‘Comparison of Volatility Measures: a Risk
Management Perspective’ Conference on Volatility and High Frequency Data
Brummelhuis Raymond, Roger Kaufmann ‘Time Scaling of VAR in GARCH(1,1) and AR(1)-
GARCH(1,1) Processes’ Journal of Risk Volume 9 / Number 4 2007
Brush John ‘Value and Growth, Theory and Practice’ Journal of Portfolio Management
Spring 2007
Bruti-Liberati Nicola, Eckhard Platen ‘Approximation of Jump Diffusions in Finance
and Economics’ May 2007 Computational Economics
Brzezniak Z., A. Carroll ‘Approximation of the Wong-Zakai Type For Stochastic
Differential Equations In M-Type 2 Banach Spaces With Applications to Loop
Spaces’ Séminaire de Probabilités XXXVII 2003 #1832
Bungartz Hans-Joachim, Michael Griebel 'Spare Girds' Acta Numerica 2004 p. 1-123
Burtschell Xavier Jon Gregory, Jean-Paul Laurent ‘Beyond the Gaussian Copula:
Stochastic and Local Correlation’ Vol 3 #1 2007, Journal of Credit Risk
Caginalp Gunduz, Huseyin Merdan ‘Asset Price Dynamics with Heterogeneous Groups’
Physica D, Vol. 225, pp. 43-54, 2007
Campbell John, Jiang Wang, Stanford Grossman ‘Trading Volume and Serial Correlation
in Stock Returns’ Quarterly Journal of Economics, Vol. CVIII (4), November
1993, pp. 905-939.
Campbell John, Robert Schiller ‘Valuation Ratios and the Long-Run Stock Market
Outlook’ J. Portfolio Management v24, #2 Winter 1998
Cantor Richard, Christopher Mann ‘Analyzing the Tradeoff Between Ratings Accuracy
and Stability’ Journal of Fixed Income Spring 2007
Cao Guanghua, Nathan Coelen, Andrea Ling, Roderick George MacLeod ‘Simple
Computational Methods for Pricing Equity Default Swaps’ Morgan Stanley SSRN May
2007
Cao Guanghua, Nathan Coelen, Andrea Ling, Roderick George MacLeod ‘Simple
Computational Methods for Pricing a Down and Out Basket Bermudan Put’ Morgan
Stanley SSRN May 2007
Cao Guanghua, Roderick George MacLeod ‘Pricing Exotic Barrier Options with Finite
Differences’ Morgan Stanley SSRN May 2007
Cao Guilan, Kai He ‘Successive Approximation of Infinite Dimensional Semilinear
Backward Stochastic Evolution Equations with Jumps’ SP&A tobe 2007
Capriotti Luca ‘A Closed-Form Approximation of Likelihood Functions for Discretely
Sampled Diffusions: The Exponent Expansion’ SSRN 4/07
Capriotti Luca ‘Least Squares Importance Sampling for Monte Carlo Security Pricing’
SSRN 3/07
Carassus Laurence, Miklós Rásonyi ‘Optimal Strategies and Utility-Based Prices
Converge When Agents’ Preferences Do’ Mathematics of Operations Research Feb
2007 32
Carr Peter Carr ‘Recent Developments in Volatility Contracting’ Conference on
Carr Peter, Bjorn Flesaker ‘Robust Replication of Default Contingent Claims’ 2007
<static position, CDS>
Carr Peter, Roger Lee ‘Hedging Variance Options on Continuous Semimartingales’
Carr Peter, Roger Lee ‘Realised Volatility And Variance: Options Via Swaps’
<explicit formula, VIX> RISK May 2007
Cascos Ignacio, Ilya Molchanov ‘Multivariate Risks and Depth-Trimmed Regions’ p.
373-397 Finance and Stochastics Volume 11, Number 3 / July, 2007
Castagna Antonio, Fabio Mercurio ‘Consistent Pricing of FX Options’ 2006
<volatility> <Vanna-Volga, implied volatility>
Cavaglia Stefano, James Sefton, Alan Scowcroft, Bryn Smith ‘Global Style Investing’
Journal of Portfolio Management Summer 2006
Cecchetti Stephen ‘The Case of the Negative Nominal Interest Rates: New Estimates
of the Term Structure of Interest Rates During the Great Depression’ NBER
Working Paper No. W2472 SSRN 4/07
Ceria Sebastián, Robert Stubbs ‘Incorporating Estimation Errors into Portfolio
Selection:Robust Portfolio Construction’ Journal of Asset Management 7,2 7/06
Chamberlain Gary ‘Decision Theory Applied to an Instrumental Variables Model’
Econometrica 5/07
Chambers Donald, Qin Lu ‘A Tree-Model for Pricing Convertible Bonds with Equity,
Interest Rate, and Default Risk’ Journal of Derivatives Summer 2007
Chan Ngai Hang, Shi-Jie Deng, Liang Peng, Zhendong Xia ‘Interval Estimation of
Value-at-Risk Based on GARCH Models with Heavy-Tailed Innovations’ Journal of
Econometrics April 2007
Chari V., Patrick J. Kehoe, Ellen McGrattan ‘Business Cycle Accounting’
Econometrica 5/07
Cheevaprawatdomrong Torpong, Irwin Schochetman, Robert Smith, Alfredo Garcia
‘Solution and Forecast Horizons for Infinite-Horizon Nonhomogeneous Markov
Decision Processes’ Mathematics of Operations Research Feb 2007 32
Chellathurai Thamayanthi, Thangaraj Draviam ‘Dynamic Portfolio Selection with Fixed
and/or Proportional Transaction Costs Using Non-Singular Stochastic Optimal
Control Theory’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Chen Fei, Charles Sutcliffe ‘Better Cross Hedges with Composite Hedging? Hedging
Equity Portfolios Using Financial and Commodity Futures’ ICMA Centre Discussion
Papers in Finance No. DP2007-04 SSRN 5/07
Chen Xilong, Eric Ghysels ‘News - Good Or Bad - And Its Impact Over Multiple
Horizons’ Conference on Volatility and High Frequency Data Chicago, April 21-22,
2007
Chen Ying, Vladimir Spokoiny ‘Adaptive Volatility Estimation with Application to
Risk Management’ Conference on Volatility and High Frequency Data Chicago, April
21-22, 2007
Chen Yu-Ting, Cheng-Few Lee, Yuan-Chung Sheu ‘An ODE Approach for the Expected
Discounted Penalty at Ruin in a Jump-Diffusion Model’ p. 323-355 Finance and
Stochastics Volume 11, Number 3 / July, 2007
Cheridito P. ‘Representations of Gaussian Measures That Are Equivalent to Wiener
Measure’ Séminaire de Probabilités XXXVII 2003 #1832
Chesney Marc, Larry Scott ‘Pricing European Currency Options: a Comparison of the
Modified Black-Scholes Model and a Random Variance Model’ Journal of Financial
and Quantitative Analysis (24) 1989
Cheyette Oren, Boris Postler ‘Empirical Credit Risk’ Journal of Portfolio
Management Summer 2006
Chiarella Carl, Chih-Ying Hsiao, Willi Semmler ‘Intertemporal Asset Allocation When
the Underlying Factors Are Unobservable’ May 2007 Computational Economics
Choi Jaehyuk, Kwangmoon Kim, MinSuk Kwak ‘Numerical Approximation of the Implied
Volatility under Arithmetic Brownian Motion’ SSRN 6/07
Choulli Tahir, Christophe Stricker, Jia Li ‘Minimal Hellinger Martingale Measures
of Order Q’ p. 399-427 Finance and Stochastics Volume 11, Number 3 / July, 2007
Chourdakis Kyriakos 'The Pricing Kernel' <option-pricing> www.theponytail.net
Christophe Stephen, Michael G. Ferri, James J. Angel ‘Should Owners of Nasdaq
Stocks Fear Short-Selling?’ Journal of Portfolio Management Spring 2007
Chu Chi Chium Yue Kuen Kwok ‘Valuation of Guaranteed Annuity Options in Affine Term
Structure Models’ International Journal of Theoretical & Applied Finance,
Mar2007, Vol. 10 Issue 2
Chung San-Lin, Pai-Ta Shih ‘Generalized Cox-Ross-Rubinstein Binomial Models’
Management Science March 2007, Volume 53, Issue 3
Cipra Barry ‘Geosciences Conference Tackles Global Issues’ SIAM News June 2007
Cipra Barry 'Get with the (Sequentially Linear) Program:A Robust Approach to
Zapping Cancer' <short, targeted, multiple focus beams> SIAM News April 2007
Cizek Pavel, Wolfgang Hardle, Vladimir Spokoiny ‘Adaptive Pointwise Estimation in
Time-Inhomogeneous Time-Series Models’ SSRN 6/07
Clarke Roger, Harindra de Silva, Steven Thorley ‘Minimum-Variance Portfolios in the
U.S. Equity Market’ Journal of Portfolio Management Fall 2006
Clémençon Stéphan, Skander Slim ‘On Portfolio Selection under Extreme Risk Measure:
The Heavy-Tailed ICA Model’ International Journal of Theoretical & Applied
Finance, May 2007, Vol. 10 Issue 3 <Independent Component Analysis>
Cline Daren ‘Regular Variation of Order 1 Nonlinear AR-ARCH Models’ SP&A tobe 2007
Coggin T. Daniel, Bala Arshanapalli ‘Speed of Adjustment in U.S. Financial Markets’
Journal of Portfolio Management Winter 2006
Cohen-Cole Ethan ‘Asset Liquidity, Debt Valuation and Credit Risk’ FRB of Boston
Quantitative Analysis Unit Working Paper No. 07-5 6/07
Coleman Thomas ‘Fitting Forward Rates to Market Data’ SSRN 6/07
Coleman Thomas, Yohan Li Kim, Y. Li, M. Patron ‘Robustly Hedging Variable Annuities
With Guarantees Under Jump and Volatility Risks’ Journal of Risk & Insurance,
Vol. 74, Issue 2, pp. 347-376, June 2007 May 2007
Collamore Jeffrey, Andrea Höing ‘Small-Time Ruin for a Financial Process Modulated
by a Harris Recurrent Markov Chain’ p. 299-322 Finance and Stochastics Volume
11, Number 3 / July, 2007
Colwell David, Nadima El-Hassan, Oh Kang Kwon ‘Hedging Diffusion Processes by Local
Risk Minimization with Applications to Index Tracking’ Journal of Economic
Dynamics and Control V. 37, #7 July 2007
Confortola Fulvia ‘Dissipative Backward Stochastic Differential Equations with
Locally Lipschitz Nonlinearity’ SP&A tobe 2007
Connor Gregory Connor, Matthias Hagmann, Oliver Linton ‘Efficient Semiparametric
Estimation of the Fama-French Model and Extensions’ Conference on Volatility and
High Frequency Data Chicago, April 21-22, 2007
Consiglio Andrea, Annalisa Russino ‘How Does Learning Affect Market Liquidity? A
Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders’
Journal of Economic Dynamics and Control V. 31, #6 June 2007
Consiglio Andrea, Domenico De Giovanni ‘Pricing the Option to Surrender in
Incomplete Markets’ SSRN 4/07
Corrado Charles ‘The Hidden Martingale Restriction in Gram-Charlier Option Prices’
Journal of Futures Markets June 2007
Cramton Peter, et al (ed) 'Combinatorial Auctions' MIT Press 2006
Crosby John ‘Valuing Inflation Futures Contracts’ <Jarrow & Yildirim Model> RISK
3/07
Cryer Colin ‘The Efficient Solution of Linear Complementarily Problems for
Tridiagonal Minkowski Matrices’ ACM Trans. Math. Software 9(2) 1983
Cumby Robert ‘Is it Risk? Explaining Deviations from Uncovered Interest Parity’
NBER Working Paper No. W2380 SSRN 4/07
D’Addona Stefano, Mattia Ciprian ‘Time Varying Sensitivities on a Grid
Architecture’ International Journal of Theoretical & Applied Finance, Mar2007,
Vol. 10 Issue 2
D’Amico Guglielmo, Jacques Janssen, Raimondo Manca ‘Valuing Credit Default Swap in
a Non-Homogeneous Semi-Markovian Rating Based Model’ Computational Economics
Da Fonseca José, Martino Grasselli, Claudio Tebaldi ‘Option Pricing When
Correlations are Stochastic: An Analytical Framework’ SSRN 4/07
Daglish Toby, John Hull, W. Sou ‘Volatility Surfaces: Theory, Rules of Thumb, and
Empirical Evidence’ w.p. 2002
Das Sanghamitra, Mark J. Roberts, James Tybout ‘Market Entry Costs, Producer
Heterogeneity, and Export Dynamics’ Econometrica 5/07
Davies Andrew ‘International Bond Market Cointegration Using Regime Switching
Techniques’ Journal of Fixed Income Spring 2007
Davis Mark, Alison Etheridge (trans.) ‘Louis Bachelier's Theory Of Speculation :
The Origins Of Modern Finance’ <good history through Harrison/Pliska> Oxford
Press 2006
Dawid Herbert, Richard Day ‘On Sustainable Growth and Collapse: Optimal and
Adaptive Paths’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Dawkins Mark, Nilabhra Bhattacharya, Linda Smith Bamber ‘Systematic Share Price
Fluctuations after Bankruptcy Filings and the Investors Who Drive Them’ Journal
of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007
De Coster Colette ‘Two-Point Boundary Value Problems:Lower and Upper Solutions’
Elsevier 2006;reviewed SIAM Review 5/07
de Finetti Bruno ‘Il Problema Dei Pieni’, Giornale Istituto Italiano Attuari, 9, 1-
88., 1940 ; English translation by L. Barone available as “The Problem of “Full-
Risk Insurances”, Ch. 1 ‘The Problem in a Single Accounting Period’, Journal of
Investment Management, 4, 19-43, 2006. <same idea as Markowitz Mean-Variance but
in actuarial and mathematical context>
De Giorgi Enrico, Thorsten Hens, János Mayer ‘Computational Aspects of Prospect
Theory with Asset Pricing Applications’ May 2007 Computational Economics
Debnath Lokenath, Dambaru Bhatta 'Intergral Transforms & Their Application' 2007
CRC Press
Deelstra Griselda, Ahmed Ezzine, Dries Heyman, Michèle Vanmaele ‘Managing Value-At-
Risk For A Bond Using Bond Put Options’ Computational Economics Volume 29,
Number 2 / March, 2007
DeFusco Richard, Dennis McLeavey, Jerald Pinto, David Runkle ‘Quantitative
Investment Analysis’ Wiley Press 2007 2nd Ed.
Delarue D. ‘Estimates of the Solutions of a System of Quasi-Linear PDEs. A
Probabilistic Scheme’ Séminaire de Probabilités XXXVII 2003 #1832
Dembo Amir, Ofer Zeitouni 'Large Deviation Techniques and Applications' Jones &
Bartlet Pub. 1993
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Via the EM Algorithm (With Discussion)’. J. Roy. Statist. Soc. B, 39:1 –38. 1977
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Dempster Michael, Igor V. Evstigneev, Klaus R. Schenk-Hoppé ‘Volatility-Induced
Financial Growth’ Quantitative Finance, Volume 7 Issue 2 2007
Dempster Michael, Matteo Germano, Elena Medova, Muriel Rietbergen, Francesco
Sandrini, Mark Scrowston ‘Managing Guarantees’ Journal of Portfolio Management
Winter 2006
Dempster Michael, Matteo Germano, Elena Medova, Muriel Rietbergen, Francesco
Sandrini, Mark Scrowston ‘Designing Minimum Guaranteed Return Funds’
Quantitative Finance, Volume 7 Issue 2 2007
Den Iseger Peter ‘New algorithms for Laplace Transform Inversion’ presentation
2007
Den Iseger Peter ‘Numerical Transform Inversion Using Gaussian Quadrature’
Probability in the Engineering and Informational Sciences Volume 20, Issue 1
(January 2006)
Denardo Eric, Haechurl Park, Uriel G. Rothblum ‘Risk-Sensitive and Risk-Neutral
Multiarmed Bandits’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 374-394 <optimal
stopping>
Detlefsen Kai, Wolfgang Hardle ‘Calibration Risk for Exotic Options’ Journal of
Derivatives Summer 2007
Deuskar Prachi, Anurag Gupta, Marti Subrahmanyam ‘The Economic Determinants of
Interest Rate Option Smiles’ SSRN 4/07
Di Patti Emilia Bonaccorsi, Giorgio Gobbi ‘Winners or Losers? The Effects of
Banking Consolidation on Corporate Borrowers’ The Journal of Finance. Apr
2007. Vol. 62
Diaconis Persi, Susan Holmes, Richard Montgomery ‘Dynamical Bias in the Coin Toss’
SIAM Review June 2007, V. 49, #2
DiCecio Riccardo, Edward Nelson ‘An Estimated DSGE Model for the United Kingdom’
Commentary Martin Fuka? and Adrian R. Pagan St. Louis Review JULY/AUGUST 2007
Vol. 89, No. 4
Dobrev Dobrislav Dobrev ‘Capturing Volatility From Large Price Moves: Generalized
Range Theory And Applications’ Conference on Volatility and High Frequency Data
Doganoglu Toker, Christoph Hartz, Stefan Mittnik ‘Portfolio Optimization When Risk
Factors Are Conditionally Varying and Heavy Tailed’ May 2007 Computational
Economics
Dolinsky Yan,Yuri Kifer ‘Hedging with Risk for Game Options in Discrete Time’
Stochastics Volume 79 Issue 1 & 2 2007
Dong Gang Nathan ‘Improving Risk-Adjusted Returns of Fixed-Portfolios with VIX
Derivatives’ SSRN 5/07
Dopfel Frederick ‘Leverage and the Limits of the Possible’ Journal of Portfolio
Management Spring 2006
Doran James ‘The Influence of Tracking Error on Volatility Risk Premium Estimation’
Journal of Risk Vol 9, #3 2007
Dotsis George, Raphael Markellos ‘The Finite Sample Properties of the GARCH Option
Pricing Model’ Journal of Futures Markets June 2007
Doumerc Ya. ‘A Note on Representations of Eigenvalues of Classical Gaussian
Matrices’ Séminaire de Probabilités XXXVII 2003 #1832
Doust Paul ‘The Intrinsic Currency Valuation Framework’ RISK 3/07
Duarte Margarida, Diego Restuccia, Andrea Waddle 'Exchange Rates and Business
Cycles Across Countries' FRB Richmond Economic Quarterly Winter 2007
Dueker Michael, Christopher Neely ‘Can Markov Switching Models Predict Excess
Foreign Exchange Returns?’ Journal of Banking and Finance Volume 31, Issue 2,
Feb. 2007
Dufour Jean-Marie, René Garcia, Abderrahim Taamoutix ‘Measuring Causality Between
Volatility and Returns with High-Frequency Data’ Conference on Volatility and
High Frequency Data Chicago, April 21-22, 2007
Dufresne Pierre Collin, Julien Hugonnier ‘Pricing and Hedging in the Presence of
Extraneous Risks’ SP&A tobe 2007
Dunsky Robert, Thomas Ho ‘Valuing Fixed Rate Mortgage Loans with Default and
Prepayment Options’ Journal of Fixed Income Spring 2007
Durham Garland, A. Ronald Gallant ‘Numerical Techniques for Maximum Likelihood
Estimation of Continuous-Time Diffusion Processes’ 2002, J. Business & Econom.
Statist., 20:297–338. .
Dynkin Lev, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, Bruce Phelps
‘Quantitative Management of Bond Portfolios’ Princeton Press 2007
Ebmeyer Dirk ‘Hedging Contingent Claims with Constrained Portfolios and Nonlinear
Wealth Dynamics’ SSRN 4/07
Eckbo B. Espen, Oyvind Norli ‘Pervasive Liquidity Risk’ SSRN 6/07
Ederington Louis, Wei Guan ‘Higher Order Greeks’ Journal of Derivatives Spring 2007
Edwards Amy, Lawrence E. Harris, Michael Piwowar ‘Corporate Bond Market Transaction
Costs and Transparency’ Journal of Finance June 2007
Ehlers Philippe, Philipp Schönbucher ‘Background Filtrations and Canonical Loss
Processes for Top-Down Models of Portfolio Credit Risk’ Swiss Finance Institute
Research Paper No. 07-07
Einarsson Bo ‘Accuracy and Reliability in Scientific Computing’ 2005 SIAM Press
Eisenberg Larry ‘The Marginal Price of Risk with a CVaR Constraint’ SSRN 6/07
Eisenberg Larry ‘The Marginal Price of Risk with a VAR Constraint’ Journal of Risk
Volume 9 / Number 4 2007
Ekeland Ivar ‘The Best of All Possible Worlds:Mathematics and Density’ U.Chicago
Press 2006 <least action, mechanics, dynamics>
Ekström Erik, Johan Tysk ‘Properties of Option Prices in Models with Jumps’ Pages
381–397 Mathematical Finance July 2007 - Vol. 17 Issue 3
El Ghaoui Laurent, Hervé Lebret ‘Robust Solutions to Least-Squares Problems with
Uncertain Data’ SIAM J. on Matrix Analysis and Applications’ 18, 1997
El Ghaoui Laurent, Maksim Oks, Francois Oustry ‘Worst-Case Value-at-Risk and Robust
Portfolio Optimization:A Conic Optimization Approach’ Operations Research 51,4 ,
2003
Eliaz Kfir, Ran Spiegler ‘A Mechanism-Design Approach to Speculative Trade’
Econometrica 5/07
Elliott Robert, Cody Hyndman ‘Parameter Estimation in Commodity Markets: A
Filtering Approach’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Elliott Robert, Tak Kuen Siu, Leunglung Chan ‘Pricing Volatility Swaps Under
Heston's Stochastic Volatility Model with Regime Switching’ Applied Mathematical
Finance Vol. 14, #1 March 2007
Elton Edwin, Martin Gruber, T. Clifton Green ‘The Impact of Mutual Fund Family
Membership on Investor Risk’ Journal of Financial and Quantitative Analysis Vol.
42, No. 2, June 2007
Embrechts Paul, Jan Grandell, Hanspeter Schmidli ‘Finite-Time Lundberg Inequalities
in the Cox Case Scand. Actuar. J. 1993, No. 1
Engle Robert, Robert Ferstenberg ‘Execution Risk’ Journal of Portfolio Management
Winter 2007
Engle Robert, Zheng Sun ‘When is Noise Not Noise - A Microstructure Estimate of
Realized Volatility’ Conference on Volatility and High Frequency Data Chicago,
April 21-22, 2007
Eraker Bjorn ‘MCMC Analysis of Diffusion Models with Application to Finance’
Journal Of Business And Economic Statistics, 19:177–191, 2001 .
Ervin Vincent, Norbert Heuer, John Paul Roop ‘Numerical Approximation of a Time
Dependent, Nonlinear, Space-Fractional Diffusion Equation’ SIAM Journal on
Numerical Analysis April 2007
Escanciano Juan Carlos, Jose Olmo ‘Estimation Risk Effects on Backtesting for
Parametric Value-at-Risk Models’ SSRN 3/07
Ewald Christian-Olivier, Klaus Schenk-Hoppe, Zhaojun Yang ‘Closed-Form Solutions
for European and Digital Calls in the Hull and White Stochastic Volatility Model
and Their Relation to Locally R-Minimizing and Delta Hedges’ Swiss Finance
Institute Research Paper No. 07-11 SSRN 6/07
Fabozzi Frank, Petter Kolm, Dessislava Pachamanova, Sergio Focardi ‘Robust
Portfolio Optimization and Management’ Wiley 2007
Fabozzi Frank, Petter N. Kolm, Dessislava Pachamanova, Sergio Focardi ‘Robust
Portfolio Optimization’ Journal of Portfolio Management Spring 2007
Fabozzi Frank, Sergio Focardi, Caroline Jonas ‘Trends in Quantitative Equity
Management: Survey Results’ Quantitative Finance, Volume 7 Issue 2 2007
Fabozzi Frank, Sergio Focardi, Petter Kolm ‘Financial Modeling of the Equity
Market: From CAPM to Cointegration’ Wiley 2006
Fagiuoli E., F. Stella, A. Ventura ‘Constant Rebalanced Portfolios and Side-
Information’ Quantitative Finance, Volume 7 Issue 2 2007
Falkenstein Eric ‘Why Risk is Not Related to Return’ SSRN 4/07
Fama Eugene, Kenneth French ‘Average Returns, B/M, and Share Issues’ <book to
value> 11/06
Fama Eugene, Kenneth French ‘Migration’ March/April FAJ 2007 <firm changes as grow
in size>
Fang Y., R. Wu 'Optimal Dividend Strategy in the Compound Poisson Model with
Constant Interest' Stochastic Models V. 23, #1, 2007
Farr Dorsey ‘Exploring the Dimensions of Active Management’ Journal of Portfolio
Management Fall 2006
Faseruk Alex, Lev Blynski ‘Comparison of the Effectiveness of Option Price
Forecasting: Black-Scholes vs. Simple and Hybrid Neural Networks’ Journal of
Financial Management and Analysis, Vol. 19, No. 2, July-December 2006 SSRN 4/07
Fasshauer Greg ‘Meshfree Methods’
Fedyk Yuriy, Johan Walden ‘High-Speed Natural Selection in Financial Markets with
Large State Spaces’ SSRN 3/07
Feldhütter Peter ‘An Empirical Investigation of an Intensity-Based Model for
Pricing CDO Tranches’ SSRN 5/07
Feng Feng, Vadim Linetsky ‘Pricing Discretely Monitored Barrier Options and
Defaultable Bonds in Levy Process Models: A Fast Hilbert Transform Approach’
Mathematical Finance, Forthcoming 2007 <Esscher transform, discrete barrier
options, first passage time problems, credit risk, defaultable bonds, Fourier
transform, Hilbert transform, Whittaker cardinal series, Sinc expansion>
Feng Liming, Vadim Linetsky ‘Pricing Options in Jump-Diffusion Models: An
Extrapolation Approach’ Operations Research, Forthcoming SSRN 6/07 <Bermuda,
Barrier, V-G, PIDE>
Ferreira Miguel, Paul Laux ‘Corporate Governance, Idiosyncratic Risk, and
Information Flow’ The Journal of Finance. Apr 2007. Vol. 62
Feunou-Kamkui Bruno, Nour Meddahi ‘Realized Term Structure of Risk’ Conference on
Finn David ‘Falling Paper and Flying Business Cards’ SIAM News May 2007
Fiori Roberta, Simonetta Iannotti ‘Scenario-Based Principal Component Valueat- Risk
When the Underlying Risk Factors Are Skewed and Heavy-Tailed: an Application to
Italian Banks’ Interest Rate Risk Exposure’ Journal of Risk Vol 9, #3 2007
Fischel Daniel, Stanford Grossman ‘Customer Protection in Futures and Securities
Markets’ Journal of Futures Markets, Vol. 4 (3), 1984, pp. 273-295.
Fitzsimmons Patrick, Jim Pitman, Marc Yor ‘Markovian Bridges: Construction, Palm
Interpretation, and Splicing”. In Et Al., E. C., Editor, Seminar On Stochastic
Processes, Pages 101–134. Birkhauser. Prog. Probab., Vol. 32. 1992 .
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Portfolio Rebalancing with Transaction Costs’ March 1990.
Flury Markus ‘Large Deviations and Phase Transition for Random Walks in Random
Nonnegative Potentials’ SP&A tobe 2007
Forman Julie, Michael Sørensen ‘The Pearson Diffusions And Their Statistical
Analysis’ Preprint No. 9, Department Of Applied Mathematics And Statistics,
University Of Copenhagen. 2006 .
Francq Christian, Jean-Michel Zakoian ‘Quasi-Maximum Likelihood Estimation in GARCH
Processes When Some Coefficients Are Equal to Zero’ SP&A tobe 2007
Franzoni Francesco, Jose M. Marin ‘Portable Alphas from Pension Mispricing’ Journal
of Portfolio Management Summer 2006
Freire M.V., S. Popov, M. Vachkovskaia ‘Percolation for the Stable Marriage of
Poisson and Lebesgue’ SP&A 4/07
Fries Christian ‘Localized Proxy Simulation Schemes for Generic and Robust Monte-
Carlo Greeks’ SSRN 5/07
Fries Christian 'Mathematical Finance: Theory, Modeling, Implementation'
2007 Wiley Press
Fries Thomas-Peter, Hermann-Georg Matthies ‘Classication and Overview of Meshfree
Methods’ <numerics> 7/04
Fujishige Satoru, Akihisa Tamura ‘A Two-Sided Discrete-Concave Market with Possibly
Bounded Side Payments: An Approach by Discrete Convex Analysis’ Mathematics of
Operations Research Feb 2007 32
Funke Christian, Timo Gebken, Lutz Johanning ‘Predictability of Supplier Returns
After Large Customer Price Changes’ SSRN 5/07
Gabaix Xavier ‘A Unified Theory of Ten Financial Puzzles’ SSRN 4/07
Gabaix Xavier, Arvind Krishnamurthy, Olivier Vigneron ‘Limits of Arbitrage: Theory
and Evidence from the Mortgage-Backed Securities Market’ The Journal of
Finance. Apr 2007. Vol. 62
Gallmeyer Michael, Burton Hollifield, Francisco J. Palomino, Stanley E. Zin
‘Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models’ Commentary
Pamela Labadie St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4
Gallo Giampiero, Margherita Velucchi ‘On the Interaction between Ultra-High
Frequency Measures of Volatility’ Universita' di Firenze, Dipartimento di
Statistica Econometrics Working Paper No. 2007-01 SSRN May 2007
Galluccio Stefano 'Beyond Black-Scholes: Semimartingales and Lévy Processes for
Option Pricing' <Lévy processes, Fourier, Wavelet analysis> European Physical
Journal B. 4/2001
Galtchouk L. ‘On the Reduction of a Multidimensional Continuous Martingale to a
Brownian Motion’ Séminaire de Probabilités XXXVII 2003 #1832
Gamarnik David ‘On the Undecidability of Computing Stationary Distributions and
Large Deviation Rates for Constrained Random Walks’ MATHEMATICS OF OPERATIONS
RESEARCH 2007 32: 257-265 <Lyapnuov>
Gander Walter, Walter Gautschi ‘Adaptive Quadrature---Revisited’ BIT 40(1) 3/2000
Gapeev Pavel ‘Perpetual Barrier Options in Jump-Diffusion Models’ Stochastics
Volume 79 Issue 1 & 2 2007
Garcia João, Serge Goossens, Wim Schoutens ‘Let’s Jump Together Pricing of Credit
Derivatives: From Index Swaptions to CPPIs’ 5/8/07 <dynamic multivariate jump
driven model in a credit setting, dynamic Lévy, Multivariate Variance Gamma (VG)
model, for a series of correlated spreads, two step calibration procedure-
swaptions, correlation matching>
Garcia René, Éric Renault, Georges Tsafack ‘Proper Conditioning for Coherent VaR in
Portfolio Management’ Management Science March 2007, Volume 53, Issue 3
Gaver D.P. 'Observing Stochastic Processes, and Approximate Transform Inversion'
Operations Research, Vol. 14, No. 3. (May - Jun., 1966)
Gharghori Philip, Madhu Veeraraghavan, Quin See ‘Is Difference of Opinion Among
Investors a Source of Risk?’ SSRN 4/07
Ghosh Anisha ‘Realized Beta and the Conditional CAPM: A Time-Series Test When Risk
Premia Are Time-Varying’ Conference on Volatility and High Frequency Data
Ghysels Eric, Per Mykland, Eric Renault ‘In-Sample Asymptotics and Across-Sample
Efficiency Gains for Volatility Measurement’ Conference on Volatility and High
Frequency Data Chicago, April 21-22, 2007
Giese Alexander, Jan Maruhn ‘Cost-Optimal Static Super-Replication of Barrier
Options: an Optimization Approach’ Journal of Computational Finance V. 10, #3,
March 2007
Giese Guido ‘Modelling CDO Tranches with Dependent Loss Given Default’ <stochastic
loss given default> RISK June 2007
Glasserman Paul, Sira Suchintabandid ‘Correlation Expansions for CDO Pricing’
Journal of Banking and Finance Vol31, #5 May 2007 <normal copula, factor models>
Glasserman Paul, Wanmo Kang, Perwez Shahabuddin ‘Large Deviations in Multifactor
Portfolio Credit Risk’ <Gaussian Copula> Pages 345–379 Mathematical Finance July
2007 - Vol. 17 Issue 3
Glowinski Roland ‘Finite Element Methods for Incompressible Viscous Flow’ in
Handbook of Numerical Analysis Vol IX 2003
Gobet Emmanuel, Céline Labart ‘Error Expansion for the Discretization of Backward
Stochastic Differential Equations’ SP&A tobe 2007
Gockenbach Mark ‘Understanding and Implementing the Finite Element Method’ SIAM
books 2006
Goldberg Richard, James Read ‘Just Lucky? A Statistical Test for Option Backdating’
SSRN 4/07
Golden Linda, Mulong Wang, Chuanhou Yang ‘Handling Weather Related Risks Through
the Financial Markets: Considerations of Credit Risk, Basis Risk, and Hedging’
Journal of Risk & Insurance, Vol. 74, Issue 2, pp. 319-346, June 2007 May 2007
Goldenberg David ‘Early Exercise Error and the Pricing of American Put Options’
SSRN 6/07
Goldfarb Donald, Garud Iyengar ‘Robust Portfolio Selection Problems’ Mathematics of
Operations Research, 28.1, 2003
Goldfeld Stephen, Richard Quandt 'Nonlinear Methods in Econometrics' North Holland
1972
Goldfeld Stephen, Richard Quandt, Hal Trotter 'Maximization of Quadratic Hill-
Climbing' Econometrica Vol 34, 1966
Goldreich David ‘Underpricing in Discriminatory and Uniform-Price Treasury
Auctions’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June
2007
Goller Christian 'The Economics of Risk and Time' MIT Press 2004
Gomes Joao, Leonid Kogan, Motohiro Yogo ‘Durability of Output and Expected Stock
Returns’ NBER Working Paper No. W12986 SSRN 3/07
Gonçalves Carlos Pedro dos Santos, Carlos Gonçalves ‘An Evolutionary Quantum Game
Model of Financial Market Dynamics - Theory and Evidence’ SSRN 4/07
González-Hernández Juan, Raquiel R. López-Martínez, J. Rubén Pérez-Hernández
‘Markov Control Processes with Randomized Discounted Cost’ Mathematical Methods
of Operations Research Feb. 2007
Gorovoi Viatcheslav, Vadim Linetsky ‘Intensity-based Valuation of Residential
Mortgages: An Analytically Tractable Model’ to appear in Mathematical Finance
2007
Gorska Rumiana ‘Decomposition of the Realized Rate of Return On Investment in
Fixed-Income Securities’ SSRN 5/07
Gourieroux Christian, Joann Jasiak ‘The Econometrics of Individual Risk’ Princeton
Press 2007
Grandell Jan ‘A Class of Approximations of Ruin Probabilities’ Scand. Actuar. J.
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Grossman Sanford ‘Institutional Investing and New Trading Technologies’ prepared
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Grossman Sanford ‘Insurance Seen and Unseen: The Impact on Markets’ The Journal of
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Informational Externalities’ Review of Economic Studies, Vol. 64 (3), October
1977, pp. 431-449.
Grossman Sanford ‘The Informational Role of Prices’ MIT Press, Cambridge, MA (1989)
Grossman Sanford ‘Trading Technology and Financial Market Stability’ Innovation and
Technology in the Markets: A Reordering of the World's Capital Market Systems,
ed. Daniel R. Siegel, Probus Publishing Company, Chicago, IL, 1990, pp. 47-57.
Grossman Sanford, Angelo Melino, Robert Shiller ‘Estimating the Continuous-Time
Consumption-Based Asset-Pricing Model’ Journal of Business & Economic
Statistics, Vol. 5 (3), July 1987, pp. 315-327.
Grossman Sanford, David Levhari, Leonard Mirman ‘Consumption under Uncertainty’
General Equilibrium, Growth, and Trade, eds. Green and Scheinkman, Academic
Press, New York, 1979, pp. 105-124.
Grossman Sanford, Jean-Luc Vila ‘Optimal Dynamic Trading with Leverage Constraints’
with Jean-Luc Vila, Journal of Financial and Quantitative Analysis, Vol. 27 (2),
June 1992, pp. 151-168.
Grossman Sanford, Jean-Luc Vila ‘Portfolio Insurance in Complete Markets: A Note’
The Journal of Business, Vol. 62 (4), October 1989, pp. 473-476.
Grossman Sanford, Joseph Stiglitz ‘Information and Competitive Price Systems’
American Economic Review, Vol. 66 (2), 1976, pp. 246-253.
Grossman Sanford, Joseph Stiglitz ‘On the Impossibility of Informationally
Efficient Markets’ American Economic Review, Vol. 70 (3), June 1980, pp. 393-
408.
Grossman Sanford, Joseph Stiglitz ‘On Value Maximization and Alternative Objectives
of the Firm’ Journal of Finance, Vol. 32 (2), 1977, pp. 389-402.
Grossman Sanford, Joseph Stiglitz ‘Stockholder Unanimity in Making Production and
Financial Decisions’ Quarterly Journal of Economics, Vol. 94 (3), May 1980, pp.
543-566.
Grossman Sanford, L. Weiss ‘Heterogeneous Information and the Theory of the
Business Cycle’ Journal of Political Economy, Vol. 90 (4), August 1982, pp.
699-727.
Grossman Sanford, L. Weiss ‘Monetary Non-Neutrality When Prices are Observables’
Savings, Investment, and Capital Markets in an Inflationary Economy, eds.
Marshall Sarnal and Girogio Szego, Ballinger Publishing Co., Cambridge, MA,
1982, pp. 313-314.
Grossman Sanford, Motty Perry ‘Perfect Sequential Equilibrium’ Journal of Economic
Theory, Vol. 39 (1), June 1986, pp. 97-119.
Grossman Sanford, Motty Perry ‘Sequential Bargaining Under Asymmetric Information’
Journal of Economic Theory, Vol. 39 (1), June 1986, pp. 120-154.
Grossman Sanford, Oliver Hart ‘A Theory of Competitive Equilibrium in Stock Market
Economies’ Econometrica, Vol. 47 (2), March 1979, pp. 293-330.
Grossman Sanford, Oliver Hart ‘An Analysis of the Principal-Agent Problem’
Econometrica, Vol. 51 (1), January 1983, pp. 7-46.
Grossman Sanford, Oliver Hart ‘Corporate Financial Structure and Managerial
Incentives’ The Economics of Information and Uncertainty, ed. John McCall,
University of Chicago Press, Chicago, 1982, pp. 107-140.
Grossman Sanford, Oliver Hart ‘Implicit Contracts under Asymmetric Information’
Quarterly Journal of Economics, Vol. 98, 1983, pp. 123-156.
Grossman Sanford, Oliver Hart ‘Implicit Contracts, Moral Hazard and Unemployment’
American Economic Review, Vol. 71 (2), 1981, pp. 301-307.
Grossman Sanford, Oliver Hart ‘Takeover Bids, the Free-Rider Problem, and the
Theory of the Corporation’ Bell Journal of Economics, Vol. 11 (1), Spring 1980,
pp. 42-64.
Grossman Sanford, Oliver Hart ‘Take-Over Bids:The Managerial Theory of the Firm and
the Free Rider Problem’ Contemporary Economic Analysis, Vol. 2, eds. David A.
Currie, William Peters, and Croom Helm London, 1980, pp. 461-468.
Grossman Sanford, Robert Shiller ‘Consumption Correlatedness and Risk Measurement
in Economies with Non-Traded Assets, and Heterogeneous Information’ Journal of
Financial Economics, Vol. 10 (2), July 1982, pp. 195-210.
Grossman Sanford, Robert Shiller ‘The Determinants of the Variability of Stock
Market Prices’ American Economic Review, Vol. 71 (2), 1981, pp. 222-227.
Grüne Lars, Willi Semmler ‘Asset Pricing with Dynamic Programming’ May 2007
Computational Economics
Gunzburger Max ‘Numerical Methods for Stochastic PDEs’ <conference report> SIAM
News June 2007
Guo Xianping ‘Continuous-Time Markov Decision Processes with Discounted Rewards:
The Case of Polish Spaces’ Mathematics of Operations Research Feb 2007 32
Guthrie Raeme ‘Missed Opportunities: Optimal Investment Timing When Information is
Costly’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007
Güttler André, Mark Wahrenburg ‘The Adjustment of Credit Ratings in Advance of
Defaults’ Journal of Banking and Finance Volume 31, Issue 3, March 2007
Gwilym Owain Ap, James Seaton, Karina Suddason, Stephen Thomas ‘Does the Fed Model
Travel Well?’ Journal of Portfolio Management Fall 2006
Györfi László, András Urbán, István Vajda ‘Kernel-Based Semi-Log-Optimal Empirical
Portfolio Selection Strategies’ International Journal of Theoretical & Applied
Finance, May 2007, Vol. 10 Issue 3
Haberman Richard ‘Mathematical Models:Mechanical Vibrations, Population Dynamics
and Traffic Flows’ SIAM Press 1998
Haigh Michael, Naomi Boyd, Bahattin Buyuksahin ‘Herding Among Large Speculative
Traders in Futures Markets’ SSRN 4/07
Hamadène Said, Monique Jeanblanc ‘On the Starting and Stopping Problem: Application
in Reversible Investments’ Mathematics of Operations Research Feb 2007 32
Hamerle Alred, Michael Knapp, Nicole Wildenauer ‘Default and Recovery Correlations
- A Dynamic Econometric Approach’ RISK 3/07
Hammer Peter, Alexander Kogan, Miguel Lejeune ‘Reverse-Engineering Country Risk
Ratings: Combination Non-Recursive Models’ SSRN 4/07
Han Bing ‘Stochastic Volatilities and Correlations of Bond Yields’ Journal of
Finance June 2007
Han Chulwoo, Frank Park, Jangkoo Kang ‘Efficient Value-At-Risk Estimation for
Mortgage-Backed Securities’ Journal of Risk Vol 9, #3 2007
Harel Arie, Giora Harpaz ‘Fair Actuarial Values for Deductible Insurance Policies
in the Presence of Parameter Uncertainty’ International Journal of Theoretical &
Applied Finance, Mar2007, Vol. 10 Issue 2
Harel Arie, Giora Harpaz, Jack Clark Francis ‘Pricing Securities with Exchange-
Imposed Price Limits via Risk Neutral Valuation’ International Journal of
Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3
Harford Jarrad, Kai Li ‘Decoupling CEO Wealth and Firm Performance: The Case of
Acquiring CEOs’ The Journal of Finance. Apr 2007. Vol. 62
Harris Richard, Evarist Stoja, Jon Tucker ‘A Simplified Approach to Modeling the
Co-Movement Of Asset Returns’ Journal of Futures Markets June 2007
Hasseltoft Henrik ‘The Long-Run Risk Model: Dynamics and Cyclicality of Interest
Rates’ SSRN 6/07
Hatem Ben-Ameur, Michèle Breton, Lotfi Karoui, Pierre L’Ecuyer ‘A Dynamic
Programming Approach For Pricing Options Embedded In Bonds’ Journal of Economic
Dynamics and Control V. 37, #7 July 2007
Havil Justin 'Nonplussed !---Mathematical Proof of Implausible Ideas' Princeton
2007
Helmes Kurt, Richard Stockbridge ‘Linear Programming Approach to the Optimal
Stopping of Singular Stochastic Processes’ Stochastics Volume 79 Issue 3 & 4
2007
Helwege Jean, Christo Pirinsky, Rene Stulz ‘Why Do Firms Become Widely Held? An
Analysis of the Dynamics of Corporate Ownership’ Journal of Finance June 2007
Henrard Marc ‘CMS Swaps in Separable One-Factor Gaussian LLM and HJM Model’ SSRN
5/07
Henrard Marc ‘Skewed Libor Market Model and Gaussian HJM Explicit Approaches to
Rolled Deposit Options’ Journal of Risk Volume 9 / Number 4 2007
Hens Thorsten, Peter Wöhrmann ‘Strategic Asset Allocation and Market Timing: A
Reinforcement Learning Approach’ May 2007 Computational Economics
Herings P. Jean-Jacques, Felix Kubler ‘Approximate CAPM When Preferences are CRRA
Computational Economics Volume 29, Number 1 / February, 2007
Hernández–Hernández Daniel, Alexander Schied ‘A Control Approach to Robust Utility
Maximization with Logarithmic Utility and Time-Consistent Penalties’ SP&A tobe
2007
Herold Ulf, Raimond Maurer, Michael Stamos, Huy Thanh Vo ‘Total Return Strategies
for Multi-Asset Portfolios’ Journal of Portfolio Management Winter 2007
Herzog Florian, Gabriel Dondi, Hans Geering, Hans ‘Stochastic Model Predictive
Control and Portfolio Optimization’ International Journal of Theoretical &
Applied Finance, Mar2007, Vol. 10 Issue 2
Herzog Florian, Gabriel Dondi, Simon Keel, Lorenz Schumani, Hans Geering ‘Solving
ALM Problems Via Sequential Stochastic Programming’ Quantitative Finance, Volume
7 Issue 2 2007
Hetzel Robert 'The Contributions of Milton Friedman to Economics' FRB Richmond
Economic Quarterly Winter 2007
Higham Desmond, Xuerong Mao, Chenggui Yuan ‘Almost Sure and Moment Exponential
Stability in the Numerical Simulation of Stochastic Differential Equations’ SIAM
J. Numerical Analysis April 2007 < almost sure and small-moment stability , time
step to zero, backward Euler; Euler–Maruyama; implicit; one-sided Lipschitz
condition; linear growth condition; Lyapunov exponent; stochastic theta method>
Hill Joanne ‘Alpha as a Net Zero-Sum Game’ Journal of Portfolio Management Summer
2006
Hirano K. ‘On the Maximum of a Diffusion Process in a Random Lévy Environment’
Séminaire de Probabilités XXXVII 2003 #1832
Hiriart-Urruty Jean-Baptiste ‘Potpourri of Conjectures and Open Questions in
Nonlinear Analysis and Optimization’ SIAM Review June 2007, V. 49, #2
Hoberg Gerard ‘The Underwriter Persistence Phenomenon’ Journal of Finance June 2007
Hol Suzan, Sjur Westgaard , Nico van der Wijst, Tom Farmen ‘Default Risk and its
Greeks under an Objective Probability Measure’ SSRN 4/07
Homescu Chris, Linda R. Petzold, Radu Serban ‘Error Estimation for Reduced-Order
Models of Dynamical Systems’ SIAM Review June 2007, V. 49, #2
Hong Harrison, Jeremy Stein, Jialin Yu ‘Simple Forecasts and Paradigm Shifts’
Journal of Finance June 2007
Hou Kewei, Lin Peng, Wei Xiong ‘A Tale of Two Anomalies: The Implication of
Investor Attention for Price and Earnings Momentum’ SSRN 4/07
Howison Sam ‘A Matched Asymptotic Expansions Approach to Continuity Corrections for
Discretely Sampled Options. Part 2: Bermudan Options’ Applied Mathematical
Howison Sam, Mario Steinberg ‘A Matched Asymptotic Expansions Approach to
Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options’
Applied Mathematical Finance Vol. 14, #1 March 2007
Hsuku Yuan-Hung ‘Dynamic Consumption and Asset Allocation with Derivative
Securities’ Quantitative Finance, Volume 7 Issue 2 2007
Huang Jennifer, Kelsey Wei, Hong Yan ‘Participation Costs and the Sensitivity of
Fund Flows to Past Performance’ Journal of Finance June 2007
Huang Shirley, Jun Yu ‘On Stiffness in Affine Asset Pricing Models’ Journal of
Computational Finance V. 10, #3, March 2007
Huang Xin ‘Macroeconomic News Announcements, Financial Market Volatility and Jumps’
Huehne Florian ‘Defaultable Lévy Libor Rates and Credit Derivatives’ International
Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3
Huge Brian Norsk, Niels Rom-Poulsen ‘An Algorithm for Simulating Bermudan Option
Prices on Simulated Asset Prices’ Journal of Derivatives Summer 2007
Hull John ‘The Power Law’ <Extreme Tail Loss Distribution> RISK 3/07
Hull John ‘VAR versus Expected Shortfall’ RISK 3/07
Hur Jungshik, Vivek Sharma ‘Stock Market Returns and Size Premium’ SSRN 3/07
Hurd Tom, Alexey Kuznetsov ‘Affine Markov Chain Model of Multifirm Credit
Migration’ Vol 3 #1 2007, Journal of Credit Risk
Hurn Stan, Joseph Jeisman, Kenneth Lindsay ‘Seeing the Wood for the Trees: A
Critical Evaluation of Methods to Estimate the Parameters of Stochastic
Differential Equations’ 2006
Hurn Stan, Joseph Jeisman, Kenneth Lindsay ‘Teaching an Old Dog New Tricks:
Improved Estimation of the Parameters of SDEs by Numerical Solution of the
Fokker-Planck Equation’ 2006
Hurn Stan, Joseph Jeisman, Kenneth Lindsay ‘Transitional Densities of Diffusion
Processes: A New Approach to Solving the Fokker-Planck Equation’ Journal of
Derivatives Summer 2007 <PDF, CDF, likelihood> <option-pricing>
Hurst Simon, Eckhard Platen, Svetlozar Rachev 'Subordinated Market Index Models: a
Comparison' Financial Engineering and the Japanese Markets 4, 1997
Ikonen Samuli, Jari Toivanen ‘Componentwise Splitting Methods for Pricing American
Options Under Stochastic Volatility’ International Journal of Theoretical &
Applied Finance, Mar2007, Vol. 10 Issue 2 , wp 11/05 <Option-American> <Heston,
Strang symmetrization>
Ilinski Kirill, Oleg Soloviev ‘Stochastic Volatility Membrane’ Wilmott 2007
<implied volatility surface>
Infanger Gerd ‘Stochastic Programming for Funding Mortgage Pools’ Quantitative
Finance, Volume 7 Issue 2 2007
Ingber Lester ‘Real Options for Project Schedules (ROPS)’ SSRN 4/07
Inoue Akihiko, Yumiharu Nakano ‘Optimal Long-Term Investment Model with Memory’
Applied Mathematics and Optimization V. 55, #1 2007
Irala Lokanandha, Prakash Patil ‘Portfolio Size and Diversification’ SSRN 4/07
Isaenko Sergey ‘Dynamic Equilibrium with Overpriced Put Options’ Economic Notes,
Vol. 36, Issue 1, pp. 1-26, February 2007
Istas Jacques ‘Quadratic Variations of Spherical Fractional Brownian Motions’ SP&A
4/07
Jacka Saul, Abdelkarem Berkaoui ‘On the Density of Properly Maximal Claims in
Financial Markets with Transaction Costs’ Ann. App. Prob. April 2007
Jacobs Bruce, Kenneth Levy ‘Enhanced Active Equity Strategies’ Journal of Portfolio
Management Spring 2006
Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Financial Market Simulation’ J.
Portfolio Management 9/04
Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Portfolio Optimization with Factors,
Scenarios and Realistic Short Positions’ Operations Research July/Aug 2003
Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Trimability and Fast Optimization of
Long-Short Portfolios’ FAJ March/April 2006
Jacobs Bruce, Kenneth Levy, Harry Markowitz, David Starer ‘Optimization and
Neutrality of Long-Short Portfolios’ Jacobs Levy Equity Management, Florham
Park, NJ.
Jacobsen Martin, Anders Tolver Jensen ‘Exit Times for a Class of Piecewise
Exponential Markov Processes with Two-Sided Jumps’ SP&A tobe 2007
Jacod Jean, Philip Protter ‘Risk Neutral Compatibility with Option Prices’ 2006
Jacquier Eric, Michael Johannes, Nicolas Polson ‘MCMC Maximum Likelihood for Latent
State Models’ <simulated annealing, jumps, diffusion, stochastic volatility>
Journal of Econometrics April 2007
Jaffee Dwight, Andrei Shleifer ‘Costs of Financial Distress, Delayed Calls of
Convertible Bonds, and the Role of Investment Banks’ NBER Working Paper No.
W2558 SSRN 4/07
Jain Kamal ‘A Polynomial Time Algorithm for Computing an Arrow--Debreu Market
Equilibrium for Linear Utilities’ SIAM J. Computing 5/07
Jakubowski Jacek, Jerzy Zabczyk ‘Exponential Moments for HJM Models with Jumps’ p.
Jakubowski Tomasz ‘The Estimates of the Mean First Exit Time from a Ball for the
alpha-Stable Ornstein–Uhlenbeck Processes’ SP&A tobe 2007
Jamdee Sutthisit, Cornelis Los ‘Dynamic Risk Profile of the U.S. Term Structure by
Wavelet MRA’ International Research Journal of Finance and Economics Issue 5,
2006 <multi-resolution analysis>
Jarrow Robert, Haitao Li, Sheen Liu, Chunchi Wu ‘Reduced-Form Valuation of Callable
Corporate Bonds: Theory and Evidence’ SSRN 3/07
Ji Tingting ‘Essays on Consumer Portfolio Choice and Credit Risk’ Ohio State
University and KPMG LLP SSRN 5/07
Jiang Danling ‘Cross-Sectional Dispersion of Firm Valuations and Expected Returns’
SSRN 4/07
Jiang George ‘Extracting Model-Free Volatility from Option Prices: An Examination
of the VIX Index’ Journal of Derivatives Spring 2007
Jin Xing, Hwee Huat Tan, Junhua Sun ‘A State-Space Partitioning Method for Pricing
High-Dimensional American-Style Options’ <Tilley's Bundling Algorithm, Quasi-
Random, Dynamic Programming, 15 Dimensions> Pages 399–426 Mathematical Finance
July 2007 - Vol. 17 Issue 3
Jofré Alejandro, R. Terry Rockafellar, Roger J-B. Wets ‘Variational Inequalities
and Economic Equilibrium’ Mathematics of Operations Research Feb 2007 32
Johannes Michael, Nick Polson ‘Particle Filtering and Parameter Learning’ SSRN 5/07
Johnson Oliver ‘Log-Concavity and the Maximum Entropy Property of the Poisson
Distribution’ SP&A tobe 2007
Jones Charles, Jack Wilson ‘Using the Supply-Side Approach to Understand and
Estimate Equity Returns’ Journal of Portfolio Management Fall 2006
Jones Robert, Terence Lim, Peter Zangari ‘The Black-Litterman Model for Structured
Equity Portfolios’ Journal of Portfolio Management Winter 2007
Jorion Philippe, Gaiyan Zhang ‘Information Effects of Bond Rating Changes: The Role
of the Rating Prior to the Announcement’ Journal of Fixed Income Spring 2007
Joshi Mark ‘Achieving Higher Order Convergence for the Prices of European Options
in Binomial Trees’ SSRN 4/07
Kacperczyk Marcin, Amit Seru ‘Fund Manager Use of Public Information: New Evidence
on Managerial Skills’ The Journal of Finance. Apr 2007. Vol. 62
Kalemanova Anna, Bernd Schmid, Ralf Werner ‘The Normal Inverse Gaussian
Distribution for Synthetic CDO Pricing’ Journal of Derivatives Spring 2007
Kalnina Ilze Kalnina, Oliver Linton ‘Conducting Inference For Realised Variance
Using Infill Subsampling’ Conference on Volatility and High Frequency Data
Karpowicz Anna, Krzysztof Szajowski ‘Double Optimal Stopping of a Risk Process’
Stochastics Volume 79 Issue 1 & 2 2007
Kent John ‘Time-Reversible Diffusions’ Adv. Appl. Prob., 10:819–835. 1978 .
Keppo Jussi, Xu Meng, Michael Sullivan ‘A Computational Scheme for the Optimal
Strategy in an Incomplete Market’ Journal of Economic Dynamics and Control,
Forthcoming 2007
Khasminskii Rafail, Chao Zhu, Gang George Yin ‘Stability of Regime-Switching
Diffusions’ SP&A tobe 2007
Khoshnevisan D. ‘The Codimension of the Zeros of a Stable Process in Random
Scenery’ Séminaire de Probabilités XXXVII 2003 #1832
Kirchler Michael, Jürgen Huber ‘Fat Tails and Volatility Clustering in Experimental
Asset Markets’ Journal of Economic Dynamics and Control V. 31, #6 June 2007
Kirchler Michael, Jürgen Huber ‘Fat Tails and Volatility Clustering in Experimental
Asset Markets’ Journal of Economic Dynamics and Control June 2007
Kjaergaard Lars ‘Modelling Inflation’ Three factor Gaussian HJM , Jarrow Yildirim,
interest rates, calibrated> RISK June 2007
Klasa Sandy ‘Why Do Controlling Families of Public Firms Sell Their Remaining
Ownership Stake?’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2,
June 2007
Kling Arnold ‘Interest-Only/Principal-Only Mortgage-Backed Strips: A Valuation and
Risk Analysis’ NBER Working Paper No. W2340 SSRN 3/07
Klüppelberg Claudia, Serguei Pergamenchtchikov ‘Extremal Behaviour of Models with
Multivariate Random Recurrence Representation’ SP&A 4/07
Kocherlakota Narayana ‘Model Fit and Model Selection’ Commentary Lee Ohanian St.
Louis Review JULY/AUGUST 2007 Vol. 89, No. 4
Koh Annie, Richard Levich ‘Synthetic Eurocurrency Interest Rate Futures Contracts:
Theory and Evidence’ NBER Working Paper No. W3055 SSRN 4/07
Kohlmann Michael, Christina Niethammer ‘On Convergence to the Exponential Utility
Problem’ SP&A tobe 2007
Komzsik Louis 'Approximation Techniques for Engineers' 2007 CRC Press
Kondor Imre, Szilárd Pafka, Gábor Nagy ‘Noise Sensitivity of Portfolio Selection
Under Various Risk Measures’ Journal of Banking and Finance Vol 31, #5 May 2007
Kozhemiakin Alexander ‘The Risk Premium of Corporate Bonds’ Journal of Portfolio
Management Winter 2007
Koziol Christian, Peter Sauerbier ‘Valuation of Bond Illiquidity: An Option-
Theoretical Approach’ Journal of Fixed Income Spring 2007
Krishnan C.N.V. Peter Ritchken, James B. Thomson ‘Predicting Credit Spreads’ SSRN
6/07
Kristian Debrabanta Kristian, Andreas Rößler ‘Continuous Weak Approximation for
Stochastic Differential Equations’ <Milstein, Runge-Kutta> to be 2007 Journal
of Computational and Applied Mathematics
Kritzman Mark ‘Are Optimizers Error Maximizers?’ Journal of Portfolio Management
Summer 2006
Kritzman Mark, Lee Thomas ‘Re-Engineering Investment Management’ J. Portfolio
Management 9/04
Kritzman Mark, Simon Myrgren, Sebastien Page ‘Optimal Execution for Portfolio
Transitions’ Journal of Portfolio Management Spring 2007
Kritzman Mark, Simon Myrgren, Sebastien Page ‘Portfolio Rebalancing: A Test of the
Markowitz-Van Dijk Heuristic’ SSRN 4/07
Kritzman Mark, Simon Myrgren, Sebastien Page’Implementation Shortfall’ Journal of
Portfolio Management Fall 2006
Küchler Uwe, Michael Sørensen ‘Exponential Families Of Stochastic Processes’ 1977
Springer, New York. .
Küchler Uwe, Michael Sørensen ‘Statistical Inference for Discrete-Time Samples from
Affine Stochastic Delay Differential Equations’ 2007
Kühn Christoph, Andreas Kyprianou, Kees Van Schaik ‘Pricing Israeli Options: a
Pathwise Approach’ Stochastics Volume 79 Issue 1 & 2 2007
Kunieda Takuma ‘Asset Bubbles and Borrowing Constraints’ SSRN 5/07
La Chioma Claudia, Benedetto Piccoli ‘Heath–Jarrow–Morton Interest Rate Dynamics
And Approximately Consistent Forward Rate Curves’ <Nonlinear Nelson–Siegel
Family> Pages 427–447 Mathematical Finance July 2007 - Vol. 17 Issue 3
Lacey Nelson, Sanjay Nawalkha ‘Convexity, Risk, and Returns’ SSRN 5/07
Lachal A. ‘Application De La Théorie Des Excursions À L'intégrale Du Mouvement
Brownien’ Séminaire de Probabilités XXXVII 2003 #1832
Lain Lei, Federico Bandi ‘How Effective Are Realized Effective Spreads?’ Conference
on Volatility and High Frequency Data Chicago, April 21-22, 2007
Lam Swee-Sum, Ruth Seow-Kuan Tan, Glenn Tsao-Min Wee ‘Initial Public Offerings of
State-Owned Enterprises: An International Study of Policy Risk’ Journal of
Financial and Quantitative Analysis Vol. 42, No. 2, June 2007
Lambrecht Bart, StewartMyers ‘A Theory of Takeovers and Disinvestment’ The Journal
of Finance. Apr 2007. Vol. 62
Lasfer Meziane, Sharon Lin, Yaz Gulnur Muradoglu ‘Market Behaviour of Foreign
Versus Domestic Investors Following a Period of Stressful Circumstances’ SSRN
3/07
Ledoux M. ‘A Remark on Hypercontractivity and Tail Inequalities for the Largest
Eigenvalues of Random Matrices’ Séminaire de Probabilités XXXVII 2003 #1832
Lee Jyh-Huei, Dan Stefek, Alexander Zhelenyak ‘Robust Portfolio Optimization---A
Closer Look’ BARRA 6/06
Lee Suzanne ‘Jumps and Information Flow in Financial Markets’ Conference on
Lehmann Bruce, David Modest ‘The Empirical Foundations of the Arbitrage Pricing
Theory I: The Empirical Tests’ NBER Working Paper No. W1725 SSRN 4/07
Leibowitz Martin, Anthony Bova ‘Gathering Implicit Alphas in a Beta World‘ Journal
of Portfolio Management Spring 2007
Leizarowitz Arie, Alexander Zaslavski ‘Uniqueness and Stability of Optimal Policies
of Finite State Markov Decision Processes’ Mathematics of Operations Research
Feb 2007 32
Lejay A. ‘An Introduction to Rough Paths’ Séminaire de Probabilités XXXVII 2003
#1832 #1832
Leland Hayne ‘Financial Synergies and the Optimal Scope of the Firm: Implications
for Mergers, Spinoffs, and Structured Finance’ The Journal of Finance. Apr
2007. Vol. 62
Leon Angel, Javier Mencia, Enrique Sentana ‘Parametric Properties of Semi-
Nonparametric Distributions, with Applications to Option Valuation’ SSRN 4/07
Lerner Josh, Antoinette Schoar, Wan Wongsunwai ‘Smart Institutions, Foolish
Choices: The Limited Partner Performance Puzzle’ The Journal of Finance. Apr
2007. Vol. 62
LeVeque Randall ‘Finite Difference Methods for Ordinary and Partial Differential
Equations:Steady-State and Time-Dependent Problems’ SIAM Press 2007
Levy Andre, Peter Swan ‘Optimal Portfolio Balancing Under Conventional Preferences
and Transaction Costs Explains the Equity Premium Puzzle’ SSRN 3/07
Levy Gilat, Ronny Razin ‘On the Limits of Communication in Multidimensional Cheap
Talk: A Comment’ Econometrica 5/07
Levy Moshe, Golan Benita, Haim Levy ‘Financial Disclosure and Regulation’ Journal
of Portfolio Management Winter 2006
Lewis Alan ‘Option Valuation under Stochastic Volatility: Volume II’ Finance Press,
Newport Beach (2007 forthcoming)
Lewis Alan 'Geometries and Smile Asymptotics for a Class of Stochastic Volatility
Models' Feb 26, 2007 <small-time asymptotics for arbitrary stochastic
volatility models using a tranversality condition>
Li Juan, Shanjian Tang ‘A Local Strict Comparison Theorem and Converse Comparison
Theorems for Reflected Backward Stochastic Differential Equations’ SP&A tobe
2007
Li Minqiang ‘The Impact of Return Nonnormality on Exchange Options’ SSRN 4/07
Li Oi, Jeffrey Racine 'Nonparametric Econometrics:Theory and Practice' Princeton
Press 2007 <Kernel, semi-parametric, time series, simultaneous equation, panel
data>
Li Xiafei, Chris Brooks, Joelle Miffre ‘The Value Premium and Time-Varying
Unsystematic Risk’ SSRN 5/07
Li Yingying, Per Mykland ‘Robustness of Volatility Estimators’ Conference on
Lillestøl Jostein ‘Fat and Skew:Can NIG Cure? On the Prospects of Using the Normal
Inverse Gaussian Distribution in Finance’ 1998 Norweigian School of Econ.
Lin Chen-Miao, Stephen Smith ‘Hedging, Financing, and Investment Decisions: a
Simultaneous Equations Framework’ The Financial Review, Forthcoming 4/07
Lin J. Barry, Christos Pantzalis Jung Chul Park ‘Corporate Use of Derivatives and
Excess Value of Diversification’ Journal of Banking and Finance Volume 31, Issue
3, March 2007
Lindset Snorre, Arne-Christian Lund ‘A Monte Carlo Approach for the American Put
Under Stochastic Interest Rates’ Journal Economic Dynamics and Control April
2007
Litterman Robert ‘The Active Risk Puzzle:Implications for the Asset Management
Industry’ J. Portfolio Management 9/04
Litterman Robert 'Beyond Equilibrium:The Black-Litterman Approach' in Modern
Investment Management:An Equilibrium Approach Wiley Press 2003
Liu Hening ‘Dynamic Asset Allocation under Ambiguity for Unobservable Regime-
Switching Mean Returns’ SSRN 6/07
Liu Hening ‘Dynamic Asset Allocation under Ambiguity for Unobservable Regime-
Switching Mean Returns’ SSRN 6/07
Liu Xiaoquan, Mark Shackleton, Stephen Taylor, Xinzhong Xu ‘Closed-Form
Transformations from Risk-Neutral to Real-World Distributions’ Journal of
Banking and Finance Vol 31, #5 May 2007
Lo Andrew, Archie Craig MacKinlay ‘Stock Prices Do Not Follow Random Walks:Evidence
from a Simple Specification Test’ Review of Financial Studies (1) 1988
Lord Gabriel, Tony Shardlow ‘Postprocessing for Stochastic Parabolic Partial
Differential Equations’ SIAM Journal on Numerical Analysis Volume 45 Issue 2,
Pages 870-889, 2007 <stochastic exponential integrator; postprocessing;
numerical solution, implicit Euler–Maruyama, Galerkin approximation>
Lord Roger, Christian Kahl 'Optimal Fourier Inversion in Semi-Analytical Option
Pricing' SSRN May 2007 <option-numeric <Variance-Gamma,V-G, Option pricing,
Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic
function, damping, saddlepoint approximations>
Lord Roger, Remmert Koekkoek, Dick J.C. Van Dijk ‘A Comparison of Biased Simulation
Schemes for Stochastic Volatility Models < Heston, square root process, CEV
process, Euler-Maruyama, discretisation, strong convergence, weak convergence,
boundary behaviour, simulation method better than Broadie & Kaya > SSRN May 2007
Loukoianova Elena, Salih Neftci, Sunil Sharma ‘Pricing and Hedging of Contingent
Credit Lines’ Journal of Derivatives Spring 2007
Lukacs Eugene ‘Characteristic Functions’ 2nd Ed. Griffin Press 1970
Lyons Terry, Zhongmin Qian 'System Control and Rough Paths' Oxford Press 20002
Macey-Dare Rupert ‘Barrier-Lookback Options and Target Zone Reserves’ SSRN 5/07
Macey-Dare Rupert ‘Expected Loss Balance of Probability Theorem’ SSRN 6/07
Mackay Peter, Sara B. Moeller ‘The Value of Corporate Risk Management’ Journal of
Finance June 2007
Mackenzie Dana ‘Mathematicians Confront Climate Change’ SIAM News June 2007
Mahani Reza, Dan Bernhardt ‘Financial Speculators' Underperformance: Learning,
Self-Selection, and Endogenous Liquidity’ Journal of Finance June 2007
Mahieu Ronald, Ying Xu ‘Hedging With Interest Rate and Credit Derivatives by Banks’
SSRN 3/07
Maio Paulo ‘ICAPM with Time-Varying Risk Aversion’ SSRN 6/07
Malamud Semyon, Eugene Trubowitz ‘A Unified Approach to Market Incompleteness’ SSRN
6/07
Malamud Semyon, Eugene Trubowitz ‘Asset Prices and Insurance Loadings’ SSRN 4/07
Markose Sheri, Jasmina Arifovic, Shyam Sunder ‘Advances In Experimental And Agent-
Based Modelling: Asset Markets, Economic Networks, Computational Mechanism
Design And Evolutionary Game Dynamics’ Journal of Economic Dynamics and Control
V. 31, #6 June 2007
Markowitz Harry ‘Market Equilibrium in Non-CAPM World’ presentation 2006
Marosi András, Nadia Massoud ‘Why Do Firms Go Dark?’ Journal of Financial and
Quantitative Analysis Vol. 42, No. 2, June 2007
Marquardt D. 'An Algorithm for Least Squares Estimation of Nonlinear Parameters'
Journal of SIAM Vol 2 1963
Martin Duncan, Chris Marrison ‘Credit Risk Contagion’ <default, Merton Portfolio
model> RISK April 2006
Mauceri Christian, Diem Ho ‘Clustering by Kernel Density’ Computational Economics
Meidner Dominik, Boris Vexler ‘Adaptive Space-Time Finite Element Methods for
Parabolic Optimization Problems’ SIAM Journal on Control and Optimization March
2007
Meilijson I. ‘The Time to a Given Drawdown in Brownian Motion’ Séminaire de
Probabilités XXXVII 2003 #1832
Mercurio Fabio ‘No-Arbitrage Conditions for Cash-Settled Swaptions’ 2007
Mermin N. David ‘What Has Quantum Mechanics to do with Factoring?’ Physics Today
April 2007 <cryptography> <value is speed in finding cycles---like modulo, not
factoring>
Meucci Attilio ‘Risk Contributions from Generic User-Defined Factors’ <regression
to decompose Volatility, Value-At-Risk, Expected Shortfall, Principal
Components> RISK June 2007
Miermont G., J. Schweinsberg ‘Self-Similar Fragmentations and Stable Subordinators’
Séminaire de Probabilités XXXVII 2003 #1832
Milevsky Moshe Arye, Andrew Aziz, Allen Goss, Jane Comeault (Thompson), David
Wheeler ’Cleaning a Passive Index’ Journal of Portfolio Management Spring 2006
Miller Guy ‘Needles, Haystacks, and Hidden Factors’ Journal of Portfolio Management
Winter 2006
Milstein Gregori, John Schoenmakers, Vladimir Spokoiny ‘Forward and Reverse
Representations for Markov Chains’ SP&A tobe 2007
Mishra A. ‘The Market Reaction to Stock Splits — Evidence from India’ International
Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2
Mishra S.K. ‘The Nearest Correlation Matrix Problem: Solution by Differential
Evolution Method of Global Optimization’ SSRN 4/07
Mizrach Bruce ‘Recovering Probabilistic Information from Options Prices and the
Underlying’ SSRN 3/07
Molenkamp Jan Bertus ‘Model-Based Transition Management’ Journal of Portfolio
Management Fall 2006
Mönnigmann Martin, Wolfgang Marquardt, Christian H. Bischof, Thomas Beelitz, Bruno
Lang, Paul Willems ‘A Hybrid Approach for Efficient Robust Design of Dynamic
Systems’ SIAM Review June 2007, V. 49, #2
Morana Claudio ‘Estimating, Filtering and Forecasting Realized Betas’ The Journal
of Financial Forecasting, Forthcoming SSRN 4/07
Morana Claudio, Richard Baillie ‘Modeling Long Memory and Structural Breaks in
Conditional Variances: An Adaptive FIGARCH Approach’ SSRN 3/07
Mortell Michael, Robert O’Malley, Alexei Pokrovskii, Vladimir Sobolev (ed)
‘Singular Perturbations and Hysteresis’ 2005 SIAM Press
Mountford T. ‘Brownian Sheet Local Time and Bubbles’ Séminaire de Probabilités
XXXVII 2003 #1832
Mulvey John, Cenk Ural, Zhuojuan Zhang ‘Improving Performance for Long-Term
Investors: Wide Diversification, Leverage, and Overlay Strategies’ Quantitative
Finance, Volume 7 Issue 2 2007
Muthuraman Kumar ‘A Computational Scheme for Optimal Investment – Consumption with
Proportional Transaction Costs’ Rates’ Journal Economic Dynamics and Control
April 2007
Mykland Per, Lan Zhang ‘Partial Likelihood in Volatility Estimation’ Conference on
Nakata Hiroyuki ‘A Model of Financial Markets with Endogenously Correlated Rational
Beliefs’ Vol 30, # 3 March 2007 Economic Theory
Nanda Sudhir, Donald Peters ‘A Very Long-Term Buy-and-Hold Portfolio’ Journal of
Nawalkha Sanjay ‘A Contingent Claims Analysis of the Interest Rate Risk
Characteristics of Corporate Liabilities’ Financial Management Association
International Annual Meeting, October 1995, New York
Nawalkha Sanjay ‘Arbitrage and Equilibrium Foundations of the Duration Risk
Measure’ SSRN 4/07
Nawalkha Sanjay ‘Is the Arbitrage Pricing Theory Dead?’ SSRN 5/07
Nawalkha Sanjay ‘Simple Formulas for Financial Analysts for Pricing Zero-Dividend
and Positive-Dividend Stocks’ SSRN 4/07
Nawalkha Sanjay ‘The Duration Vector: a Continuous-Time Extension to Default-Free
Interest Rate Contingent Claims’ SSRN 5/07
Nawalkha Sanjay, Gloria Soto ‘Simple Formulas for Pricing Eurodollar/Euribor
Futures Using Preference-Free Multifactor Affine and Quadratic Models’ SSRN 5/07
Nawalkha Sanjay, Natalia Beliaeva ‘Efficient Trees for CIR and CEV Short Rate
Models’ SSRN 4/07
Nawalkha Sanjay, Natalia Beliaeva, Gloria M. Soto ‘Preference-Free Time-Homogeneous
USV Models for Pricing Fixed Income Derivatives’ SSRN 5/07
Nawalkha Sanjay, Natalia Beliaeva, Gloria Soto ‘A New Taxonomy of the Dynamic Term
Structure Models’ SSRN 5/07
Nawalkha Sanjay, Natalia Beliaeva, Gloria Soto ‘Simple Formulas for Pricing Credit
Default Swaps Using Preference-Free Multifactor Affine and Quadratic Models’
SSRN 5/07
Nayak Suhas ‘An Equilibrium-Based Model of Stock-Pinning’ International Journal of
Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3
Nekrasov Vasily ‘Comments on “Fourier Series Method for Measurement of Multivariate
Volatilities” by P. Malliavin and M. E. Mancino’ SSRN May 2007
Nelson Edward ‘Milton Friedman and U.S. Monetary History: 1961-2006’ FRB St. Louis
Review May/June 2007
Nielsen Lars Tyge ‘Dividends in the Theory of Derivatives Security Pricing’ Vol.
31, #3, June 2007 Economic Theory
Nikeghbali Ashkan ‘Non-Stopping Times and Stopping Theorems’ SP&A 4/07
Nishimura Kazuo, John Stachurski ‘Stochastic Optimal Policies When the Discount
Rate Vanishes’ Journal Economic Dynamics and Control April 2007
Novikov Alexander, Albert Shiryaev ‘On a Solution of the Optimal Stopping Problem
for Processes with Independent Increments’ Stochastics Volume 79 Issue 3 & 4
2007
Nualart David ‘Noncausal Stochastic Integrals and Calculus’ . L.N.M., 1516, 1988.
Nualart David, Etienne Pardoux ‘Stochastic Calculus with Anticipating Integrands’
Probability Theory and Related Fields. 78, 1988
Nualart David, Moshe Zakai ‘On the Relation Between the Stratonovich and Ogawa
Integrals’ Ann.Proba. 17, 1989
Nualart David, Suleyman Ustunel, Moshe Zakai 'On the Moments of a Multiple Wiener-
Ito Integral and the Space Induced by the Polynomials of the Integral'
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Obloj Jan ‘An Explicit Solution to the Skorokhod Embedding Problem for Functionals
of Excursions of Markov Processes’ SP&A 4/07
OCinneide Colm, Bernd Scherer, Xiaodong Xu ‘Pooling Trades in a Quantitative
Investment Process’ Journal of Portfolio Management Summer 2006
Oertel Frank 'The Stochastic Logarithm of Semimartingales and Market Price of Risk
Processes' 9/06
Ozbas Oguzhan, Lior Menzly ‘Market Segmentation and Cross-Predictability of
Returns’ SSRN May 2007
Pachamanova Dessislava ‘Handling Parameter Uncertainty in Portfolio Risk
Minimization’ Journal of Portfolio Management Summer 2006
Paganopoulos Stylianos, Peter Taylor ‘Deriving the Three-Factor Model of Fama &
French (1993)’ SSRN 6/07
Palia Darius, Yaxuan Qi, Yangru Wu ‘The Empirical Importance of Background Risks’
SSRN 3/07
Pan Xia ‘The Linear Dependence and Feedback Spectra Between Stock Market and
Economy’ International Journal of Theoretical & Applied Finance, May 2007, Vol.
10 Issue 3
Papapantoleon Antonis ‘An Introduction to Lévy Processes With Applications in
Finance’ <Lévy-Khintchine Formula, Lévy-Ito Decomposition>
Parke William, George Waters ‘An Evolutionary Game Theory Explanation of ARCH
Effects’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Peiris Shelton, David E. Allen, Wenling Joey Yang ‘An Examination of the Role of
Time and its Impact on Price Revision’ SSRN 4/07
Perold André ‘The Capital Asset Pricing Model’ J. Economic Perspectives V. 18, #3
9/04 <CAPM>
Perrson J., L. von Sydow ‘Pricing European Options Using a Space-Time Adaptive FD-
Method’ tobe Comp. Vis. Sci. 2005
Pesavento Elena, Barbara Rossi ‘Impulse Response Confidence Intervals For
Persistent Data: What Have We Learned?’ Journal of Economic Dynamics and Control
V. 37, #7 July 2007
Pfeiffer Thomas, Georg Schneider ‘Residual Income-Based Compensation Plans for
Controlling Investment Decisions Under Sequential Private Information’
Management Science March 2007, Volume 53, Issue 3
Phillips Peter ‘A Model of the IPO Process where Underpricing Can Be the
Equilibrium Outcome’ SSRN 4/07
Pironneau Olivier, Frederic Hecht ‘Mesh Adaption for the Black and Scholes
Equations’ East-West J. Numer. Math 2003
Pirvu Traian ‘Portfolio Optimization under the Value-At-Risk Constraint’
Quantitative Finance, Volume 7 Issue 2 2007
Piterbarg Vladimir 'Markovian Projection Method for Volatility Calibration' RISK
April 2007 , SSRN 5/06 <volatility> <Heston, Gyöngy inhomogeneous Markovian
mimicking 1D Ito, Derman/Kani, Dupire, basket options, parameter averaging,
index options>
Piterbarg Vladimir V. 'Mixture of Models: A Simple Recipe for a ... Hangover?'
Wilmott Magazine, pages 72–77, January 2005
Piterbarg Vladimir V. 'TARNs: Models, Valuation, Risk Sensitivities' Wilmott
Magazine, November 2004. <sausage monte carlo>
Pliska Stanley ‘A Discrete Time Stochastic Decision Model’ Advances in Filtering
and Optimal Stochastic Control’ edited by W.H. Fleming and L.G. Gorostiza,
Lecture Notes in Control and Information Sciences 42, Springer-Verlag, New York,
290-304, 1982.
Pliska Stanley ‘A Dynamic Programming Model for the Optimal Observation of a
Discrete Time, Linear Stochastic Process’, Australian J. of Statistics, Vol. 16,
No. 3, November 1974, 156-162.
Pliska Stanley ‘A Martingale Characterization of the Price of a Nonrenewable
Resource with Decisions Involving Uncertainty’ J. Econ. Theory, Vol. 35, No. 2,
April 1985, 322-342 (co-author: S.D. Deshmukh).
Pliska Stanley ‘A Risk Sensitive Intertemporal CAPM, With Application to Fixed
Income Management’ submitted for publication (co-author: T. Bielecki).
Pliska Stanley ‘A Semi-Group Representation of the Maximum Expected Reward Vector
in Continuous Parameter Markov Decision Theory’ SIAM J. Control, Vol. 13, No. 6,
Nov. 1975, 1115-1129.
Pliska Stanley ‘Accretive Operators and Markov Decision Processes’ Mathematics of
Operations Research, Vol. 5, No. 3, August 1980, 444-459.
Pliska Stanley ‘Choosing the Maximum from a Sequence with a Discount Function’
Applied Math. And Opt., Vol. 2., No. 3, 1975/76, 279-289 (co-author: W.
Rasmussen).
Pliska Stanley ‘Controlled Jump Processes’ Stochastic Processes Appl. Vol. 3, 1975,
259-282.
Pliska Stanley ‘Controlled Storage Processes’ Applied Stochastic Control in
Econometrics and Management Science, edited by A. Bensoussan, P. Kleindorfer,
and C. Tapiero, North-Holland, Amsterdam, 1980, 181-202 (co-author: P. de
Morais).
Pliska Stanley ‘Duality Theory for Some Stochastic Control Models’ Stochastic
Differential Systems, edited by M. Kohlmann and N. Christopeit, Lecture Notes in
Control and Information Sciences 43, Springer-Verlag, Berlin-Heidelberg-New
York, 329-337, 1982.
Pliska Stanley ‘Economic Properties of the Risk Sensitive Criterion for Portfolio
Management’ The Review of Accounting and Finance, to appear (co-author: T.R.
Bielecki).
Pliska Stanley ‘Financial Economics, With Applications to Investments, Insurance,
and Pensions’ 1998, The Actuarial Foundation, Schaumburg, Illinois (co-authors:
H. Panjer et al.).
Pliska Stanley ‘Index Arbitrage: Choosing Minimum Variance Market Basket Trading
Strategies’ Options:Recent Advances in Theory and Practice, edited by S.
Hodges, Manchester University Press, UK, 1990, 123-140.
Pliska Stanley ‘Management and Optimization of Queueing Systems’ Queueing Theory
and Applications, edited by S. Ozekici, Hemisphere Publishing Corporation, New
York, 1990, 168-187.
Pliska Stanley ‘Multi-Person Controlled Diffusions’ SIAM J. Control, Vol. 11, No.
4, November 1973, 563-586.
Pliska Stanley ‘On a Functional Differential Equation that Arises in a Markov
Control Problem’ J. Diff. Eqns., Vol. 28, No. 3, June 1978, 390-405.
Pliska Stanley ‘On the Transient Case for Markov Decision Chains with General State
Spaces’ Dynamic Programming and Its Applications, edited by M.L. Puterman,
Academic Press, New York, 1978, 335-350.
Pliska Stanley ‘Optimal Consumption and Exploration of Nonrenewable Resources Under
Uncertainty’ Econometrica, Vol. 48, No. 1, January 1980, 177-200 (co-author:
S.D. Deshmukh).
Pliska Stanley ‘Optimal Consumption of a Nonrenewable Resource with Stochastic
Discoveries and a Random Environment’ Review of Economic Studies, Vol. 50, 1983,
543-554 (co-author: S.D. Deshmukh).
Pliska Stanley ‘Optimal Control of Single Server Queueing Networks and Multi-Class
M/G/1 Queues with Feedback’ Operations Research, Vol. 25, No. 2, March-April
1977, 248-258 (co-author: Dong-Wan Tcha).
Pliska Stanley ‘Optimal Inspection Under Semi-Markovian Deterioration: Basic
Results’ Naval Research Logistics, Vol. 35, No. 5, October 1988, 373-392 (co-
author: A.Z. Milioni).
Pliska Stanley ‘Optimal Inspection Under Semi-Markovian Deterioration: The
Catastrophic Case’ Naval Research Logistics, Vol. 35, No. 5, October 1988, 393-
412 (co-author: A.Z. Milioni).
Pliska Stanley ‘Optimal Observations for Minimum Variance Filtering’, IEEE Trans.
Auto. Control, Vol. AC-19,No. 1, February 1974, 79-80.
Pliska Stanley ‘Optimal Policies for Batch Service Queueing Systems’ OPSEARCH, Vol.
19, No. 1, March 1981, 12-22 (co-author: H.J. Weiss).
Pliska Stanley ‘Optimal Portfolios with Asymptotic Criteria’ Annals of Operations
Research, Vol. 45, 1993, 187-204 (co-authors: H. Konno and K. Suzuki).
Pliska Stanley ‘Optimal Scheduling of Inspections: A Delayed Markov Model with
False Positives and Negatives’Operations Research, Vol. 39, No. 2, March-April
1991, 261-273 (co-author: S. Ozekici).
Pliska Stanley ‘Optimization of Multitype Branching Processes’ Management Science,
Vol. 23, No. 2, October 1976, 117-125.
Pliska Stanley ‘Option Pricing for Co-Integrated Assets’ Advances in Finance and
Stochastics, edited by K. Sandmann and P.J. Schönbucher, Springer, New York,
2002, 85-100 (co-author: J.-C. Duan).
Pliska Stanley ‘Option Valuation with Co-Integrated Asset Prices’ submitted for
publication (co-author: Jin-Chuan Duan).
Pliska Stanley ‘Risk Sensitive Asset Management with Constrained Trading
Strategies’ Recent Developments in Mathematical Finance, edited by J. Yong,
World Scientific, Singapore, 2002, 127-138 (coauthors: D. Hernandez-Hernandez
and T.R. Bielecki).
Pliska Stanley ‘Risk Sensitive Control with Applications to Fixed Income Portfolio
Management’ Proceedings of the European Congress of Mathematics, Barcelona, July
10-14, 2000, edited by C. Casacuberta et al., Birkhaüser, Basel, Switzerland,
331-345 (co-author: T. Bielecki).
Pliska Stanley ‘Risk-Sensitive Dynamic Asset Allocation, Asset & Liability
Management: A Synthesis of New Methodologies’ edited by R. Jarrow, Risk Books,
London, 129-140, 1998.
Pliska Stanley ‘Single Person Controlled Diffusions with Discounted Costs’ J.
Optimization Th. Appl., Vol. 12, No. 3, September 1973, 248-255.
Pliska Stanley ‘Supply of Storage Theory and Commodity Equilibrium Prices with
Stochastic Production’ Amer. J. Agri. Economics, Vol. 55, No. 4, November 1973,
653-658.
Pliska Stanley ‘The Effects of Regulations on Trading Activity and Return
Volatility in Futures Markets’ The Journal of Futures Markets, Vol. 11, No. 2,
April 1991, 135-151 (co-author: C.T. Shalen).
Poklukara Darja Rupnik ‘Nonlinear Filtering for Jump-Diffusions’ <Poisson, measure
transform> Dec. 2006 Journal of Computational and Applied Mathematics
Pool Veronika Krepely, Hans Stoll, Robert Whaley ‘Failure to Exercise Call Options:
An Anomaly and a Trading Game’ SSRN 3/07
Poole William ‘The GSEs: Where Do We Stand?’ FRB St. Louis Review May/June 2007
Post Thierry, Philippe Versijp ‘Multivariate Tests for Stochastic Dominance
Efficiency of a Given Portfolio’ Journal of Financial and Quantitative Analysis
Vol. 42, No. 2, June 2007
Poterba James, Larry Summers ‘Mean Reversion in Stock Prices:Evidence and
Implications’ Journal of Financial Economics (22) 1988
Poti Valerio ‘A Stochastic Discount Factor Volatility Upper Bound in a Mean-
Variance-Skewness World: No Good Deal Implications for Multi-Factor Models
Estimates’ SSRN 3/07
Poulsen Rolf ‘Approximate Maximum Likelihood Estimation of Discretely Observed
Diffusion Processes’ 1999 Working Paper 29, Centre for Analytical Finance,
Aarhus. .
Primbs James, Muruhan Rathinam, Yuji Yamada ‘Option Pricing with a Pentanomial
Lattice Model that Incorporates Skewness and Kurtosis’ Applied Mathematical
Protter Philip, Kazuhiro Shimbo ‘No Arbitrage and General Semimartingales’ 2006
equivalent martingale measure, Girsanov’s theorem, No Free Lunch with Vanishing
Risk, Semimartingales, Novikov’s condition>
Racicot François-Éric, Raymond Théoret ‘Les Modèles HJM et LMM Revisités et Leurs
Versions Étendues’ 2006 <sausage monte carlo, TARN, stochastic volatility
Cheyette>
Rapisarda Francesco, Damiano Brigo, Fabio Mercurio ‘Parameterizing Correlations: A
Geometric Interpretation’ IMA Journal of Management Mathematics 2006
Rappaport Alfred ‘Dividend Reinvestment, Price Appreciation and Capital
Accumulation’ Journal of Portfolio Management Spring 2006
Rásonyi Miklós ‘A Remark on The Superhedging Theorem Under Transaction Costs’
Séminaire de Probabilités XXXVII 2003 #1832 #1832
Ravazzolo Francesco, Philip Hans Franses, Dick J.C. van Dijk ‘Bayesian Model
Averaging in the Presence of Structural Breaks’ SSRN 4/07
Reichenstein William ‘Rationality of Naive Forecasts of Long-Term Rates’ Journal of
Portfolio Management Winter 2006
Reilly Frank, David J. Wright, Robert R. Johnson ‘Analysis of the Interest Rate
Sensitivity of Common Stocks’ Journal of Portfolio Management Spring 2007
Reimann S., A. Tupak ‘Prices Are Macro-Observables! Stylized Facts from
Evolutionary Finance’ May 2007 Computational Economics
Renò Roberto ‘Disentangling Jumps from Diffusion in Equity and Electricity Markets’
Renò Roberto, Antonio Roma, Stephen Schaefer ‘A Comparison of Alternative Non-
Parametric Estimators of the Short Rate Diffusion Coefficient’ Economic Notes,
Vol. 35, Issue 3, November 2006
Reynolds Daniel, Ryan Szypowski ‘SIAM Conference on CSE’ <computational science>
SIAM News May 2007
Roberts Gareth, Osnat Stramer ‘On Inference for Partially Observed Nonlinear
Diffusion Models Using Metropolis-Hastings Algorithms’ Biometrika, 88:603–621,
2001 .
Rogers L.C.G., José Scheinkman ‘Optimal Exercise of Executive Stock Options’ p.
Rogers L.C.G., Mike Tehranchi 'The Implied Volatility Surface Does Not Move by
Parallel Shifts' 2007?
Rosenberg Barr ‘Extra Market Components of Covariance In Security Returns’ Journal
of Finance and Quantitative Analysis, March 1974, pp. 263-274
Rosenberg Barr ‘Persuasive Evidence of Market Inefficiency’ Journal of Portfolio
Management 1985
Rosenberg Barr ‘Prediction of Common Stock Betas’ Journal of Portfolio Management,
1985
Rosenberg Barr ‘The Behavior of Random Variables with Nonstationary Variance and
the Distribution of Security Prices’ Research Program in Finance working paper,
1972
Rosenberg Barr ‘Varying Parameter Estimation’ Ph. D Thesis, Harvard University 1968
Rosenberg Barr, Andrew Rudd ‘Factor-Related and Specific Returns of Common Stocks:
Serial Correlation and Market Inefficiency’ Journal of Finance, 1982
Rosenberg Barr, James Ohlson ‘The Stationary Distribution of Returns and Portfolio
Separation in Capital Markets:A Fundamental Contradiction’ The Journal of
Financial and Quantitative Analysis, Vol. 11, Sep., 1976
Rosenberg Barr, Vinay Marathe ‘Tests of Capital Asset Pricing Hypotheses’ Research
in Finance, 1979
Rosenberg Barr, Vinay Marathe ‘The Prediction of Investment Risk: Systematic and
Residual Risk’ Proceedings of the Seminar on the Analysis of Security …, 1975
Rosenberg Barr, Walt McKibben ‘The Prediction of Systematic and Specific Risk in
Common Stocks’ JF&QA 1973
Rosu Ioanid, Dan Stroock ‘On the Derivation of the Black-Scholes Formula’ Séminaire
de Probabilités XXXVII 2003 #1832 #1832
Rubinstein Aviad, Jacob Rubinstein, Gershon Wolansky ‘Determining Sets for the
Discrete Laplacian’ SIAM Review June 2007, V. 49, #2
Rudebusch Glen, Brian P. Sack, Eric T. Swanson ‘Macroeconomic Implications of
Changes in the Term Premium’ Commentary by John H. Cochrane St. Louis Review
JULY/AUGUST 2007 Vol. 89, No. 4
Rudin Alexander, Jonathan Morgan ‘A Portfolio Diversification Index and Systematic
Risks of Hedge Fund Investment Styles’ Journal of Portfolio Management Winter
2006
Rutkowski Marek, K. Yousiph 'PDE Approach to the Valuation and Hedging of Basket
Credit Derivatives' UNSW 2006
Rutkowski Marek, Nannan Yu ‘An Extension of the Brody–Hughston–Macrina Approach to
Modeling of Defaultable Bonds’ International Journal of Theoretical & Applied
Finance, May 2007, Vol. 10 Issue 3
Saïda Ahmed Ben ‘Refining the Distribution of GARCH Models: Application to Stock
Indexes Returns’ SSRN 4/07
Scherer Bernd ‘How Different is Robust Optimization Really? Deutsche Asset
Management 2005
Schilling René 'Financial Modelling with Jump Processes' Journal of the Royal
Statistical Society: Series A (Statistics in Society) Volume 168 Issue 1 Page
250 - January 2005
Schweizer Martin Johannes Wissel 'Arbitrage-Free Market Models for Option Prices:
The Multi-Strike Case' May 2007 <drift restrictions, local implied volatilities
and price level, static and dynamic arbitrage>
Sennewald Ken ‘Controlled Stochastic Differential Equations under Poisson
Uncertainty and with Unbounded Utility’ Rates’ Journal Economic Dynamics and
Control April 2007
Sepp Artur ‘Variance Swaps under No Conditions’ <Conditional Variance Swaps, Heston
Stochastic Volatility Model, Closed-Form Solutions Pricing/Hedging> RISK 3/07
Shanken Jay, Guofu Zhou ‘Estimating And Testing Beta Pricing Models: Alternative
Methods and their Performance in Simulations’ Journal of Financial Economics
April 2007
Shapira Yair ‘Solving PDEs in C++:Numerical Methods in a Unified Object-Oriented
Approach’ SIAM books 2006
Sharpe William ‘Investors and Markets:Portfolio Choices, Asset Prices and
Investment Advice’ Princeton 2006
Sheppard Roelof, Gream West ‘Pricing Equity Derivatives under Stochastic
Volatility: A Partial Differential Equation Approach’, School of Computational
and Applied Mathematics University of Johannesburg, paper, <SABR, ADI and
Hopscotch, Soviet splitting, Ikonen & Toivanen, D’Yakonov scheme> 2006.
Shi Cheng Gin ‘Estimate of Term Structure Using DQTSM's with Non-Linear MPR’ SSRN
6/07
Shiller Robert ‘The Volatility of Long Term Interest Rates and Expectations Models
of the Term Structure’ Journal of Political Economy (87) 1979
Shiller Robert, Pierre Perron ‘Testing the Random Walk Hypothesis:Power Versus
Frequency of Observations’ Economic Letters (18) 1985
Shippy Saumya, Shubham Singh ‘Impact of Financial Derivative Products on Spot
Market Volatility’ SSRN May 2007
Shor Peter ‘Polynomial-Time Algorithms for Prime Factorization and Discrete
Logarithms on a Quantum Computer’ Proceedings of the 35th Annual Symposium on
Foundations of Computer Science, Santa Fe , NM , Nov. 20--22, 1994. SIAM
J.Sci.Statist.Comput. 26 (1997) 1484
Siegel Andrew, Artemiza Woodgate 'Performance of Portfolios Optimized with
Estimation Error' Management Science Vol 53, No. 6, June 2007 P. 1005-1015 <poor
out of sample mean-variance>
Silverman Dennis 'Derivation of the Black-Scholes Equation' <option-pricing> <Green
Function, heat equation, www.physics.uci.edu/~silverma/bseqn>
Sipics Michelle ‘Spare Matrix Algorithm Drives SPICE Performance Gains’ SIAM News
May 2007
Sircar Ronnie, Wei Xiong ‘A General Framework for Evaluating Executive Stock
Options’ Journal of Economic Dynamics and Control V. 37, #7 July 2007
Siu Tak-Kuen, Wai-Ki Ching, Eric S. Fung, Michael K. Ng ‘Extracting Information
from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden
Markov Models’ Jan 2007 Computational Economics
Skillicorn David 'Understanding Complex Datasets:Data Mining with Matrix
Decompositions' 2007 CRC Press
Slager Alfred, Kees Koedijk ‘Investment Beliefs’ Journal of Portfolio Management
Spring 2007
Smit Linda, Barbara Swat ‘Calculating the Price of Bond Convexity’ Journal of
Portfolio Management Winter 2006
Smith Daniel ‘Asymmetry in Stochastic Volatility Models: Threshold or Correlation?’
SSRN 3/07
Sorensen Eric, Ronal Hua, Edward Qian ‘Aspects of Constrained Long–Short Equity
Portfolios’ Journal of Portfolio Management Winter 2007
Staub Renato ‘Multilayer Modeling of a Market Covariance Matrix’ Journal of
Stehfest H. 'Remark on algorithm 368: Numerical Inversion of Laplace Transforms'
Commun. ACM 13, 10 Oct. 1970)
Stillwell John ‘Yearning for the Impossible: The Surprising Truths of Mathematics’
A K Peters,W ellesley 2006;reviewed SIAM Review 5/07
Strang Gilbert ‘On the Construction and Comparison of Difference Schemes’ <Strang
symmetrization> SIAM J. Num. Anal. 1968
Strasser E. ‘Necessary and Sufficient Conditions for the Supermartingale Property
of a Stochastic Integral with Respect to a Local Martingale’ Séminaire de
Probabilités XXXVII 2003 #1832
Strummer Wolfgang, Igor Vajda ‘Optimal Statistical Decisions about Some Alternative
Financial Models’ Journal of Econometrics April 2007
Stubbs R., P. Vance ‘Computing Return Estimation Error Matrices for Robust
Optimization’ Axioma Inc. 4/05
Sufi Amir ‘Information Asymmetry and Financing Arrangements: Evidence from
Syndicated Loans’ The Journal of Finance. Apr 2007. Vol. 62
Sun Walter, Ayres Fan, Li-Wei Chen, Tom Schouwenaars, Marius Albota ‘Optimal
Rebalancing for Institutional Portfolios’ Journal of Portfolio Management Winter
2006
Sun Yixiao Sun ‘Best Quadratic Unbiased Estimators of Integrated Variance in the
Presence of Market Microstructure Noise’ Conference on Volatility and High
Surya Budhi Atra ‘An Approach for Solving Perpetual Optimal Stopping Problems
Driven by Lévy Processes’ Stochastics Volume 79 Issue 3 & 4 2007
Surz Ronald ‘A Fresh Look at Investment Performance Evaluation’ Journal of
Portfolio Management Summer 2006
Sussman H.J. 'On the Gap Between Deterministic and Stochastic Ordinary Differential
Equations' Ann. Probability 6, #1 (1978)
Swishchuk Anatoliy 'Modeling of Variance and Volatility Swaps for Financial Markets
with Stochastic Volatility' U. Calgary
Szimayer Alex, Ross Maller ‘Finite Approximation Schemes for Lévy Processes, and
their Application to Optimal Stopping Problems’ SP&A tobe 2007
Taamouti Abderrahim Taamouti ‘Risk Measures and Portfolio Optimization Under Regime
Switching Models’ Conference on Volatility and High Frequency Data Chicago,
April 21-22, 2007
Takuji Arai ‘An Approximate Approach to the Exponential Utility Indifference
Valuation’ International Journal of Theoretical & Applied Finance, May 2007,
Vol. 10 Issue 3
Talagrand Michel ‘The Generic Chaining’ Springer 2005;reviewed SIAM Review 5/07
Tauchen George, Hao Zhou ‘Realized Jumps on Financial Markets and Predicting Credit
Spreads’ FEDS Working Paper No. 2006-35 , SSRN 3/07
Tauchen George, Viktor Todorov ‘Simulation Methods for Lévy-Driven CARMA Stochastic
Volatility Models’ Journal of Business and Economic Statistics, 24(4), pp. 455-
469, 2006
Tchuindjo Leonard ‘Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor
Hull-White Model’ Applied Mathematical Finance Vol. 14, #1 March 2007
Tédongap Roméo ‘Consumption Volatility and the Cross-Section of Stock Returns’ SSRN
5/07
Terazzan Omretta ‘Estimating the Term Structure of Credit Spreads on Euro-
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