Abaffy Jozsef, Marida Bertocchi, Jitka Dupacová, Vittorio Moriggia, Giorgio Consigli ‘Pricing Nondiversifiable Credit Risk in the Corporate Eurobond Market’ Journal of Banking and Finance V31 #8, Aug. 2007

Aboura Sofiane, Niklas Wagner ‘Systematic Credit Risk: CDX Index Correlation and Extreme Dependence’ SSRN 9/07

Acemoglu Daron ‘Equilibrium Bias of Technology’ Econometrica Volume 75, Issue 5, September 2007

Acerbi Carlo ‘Coherent Measures of Risk in Everyday Market Practice’ Quantitative Finance Volume 7 Issue 4 2007

Achdou Yves 'An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator Arising in the Calibration of Lévy Processes with American Options' 2006 in press

Acklam Peter ‘An Algorithm for Computing the Inverse Normal Cumulative Distribution Function’ http://home.online.no/~pjacklam/notes/invnorm/ 2004

Adam Tim, Sudipto Dasgupta, Sheridan Titman ‘Financial Constraints, Competition, and Hedging in Industry Equilibrium’ JofF Volume 62: Issue 5, October 2007

Adler Timothy, Mark Kritzman ‘Mean-Variance Analysis versus Full-Scale Optimization:Out of Sample’ J. of Asset Management 11/06

Ahn Chang Mo, D. Chinhyung Cho, Keehwan Park ‘The Pricing of Foreign Currency Options under Jump-Diffusion Processes’ (p 669-695) Journal of Futures Markets Volume 27, Issue 7 (July 2007)

Ahn Soohan, Andrei Badescu ‘On the Analysis of the Gerber–Shiu Discounted Penalty Function for Risk Processes with Markovian Arrivals’ Insurance: Mathematics and Economics V. 41, #2 Sept. 2007

Ahrend Rudiger, Pietro Catte, Robert Price ‘Factors Behind Low Long-Term Interest Rates’ OECD Working Paper No. 2006/18

Alanen J.D., Donald Knuth ‘Tables of Finite Fields’ Sankhya, the Indian Journal of Statistics Series A 26 no 4 12/64

Albanese Claudio, Antonio Dalessandro ‘Dynamic Credit Correlation Modeling’ 2005

Albrecher Hansjörg, Onno Boxma ‘On the Discounted Penalty Function in a Markov-Dependent Risk Model’ V.37, #3 Dec. 05 Insurance: Mathematics and Economics

Alexander Carol, Aanand Venkatramanan ‘Analytic Approximations for Spread Options’ SSRN 9/07

Alexander Carol, Leonardo Nogueira ‘Model-Free Hedge Ratios and Scale-Invariant Models’ Journal of Banking and Finance V. 31 #6 June 2007

Alfonsi Aurélien, Benjamin Jourdain ‘A Call-Put Duality for Perpetual American Options. Preprint Cermics 2006-307

Aliber Robert ‘New Techniques for Asessing International Risk: Discussion’ JofF May 1979 Volume 34: Issue 2

Allen Beth ‘Distinguishing Beliefs and Preferences in Equilibrium Prices: Discussion’ JofF May 1980 Volume 35: Issue 2,

Allen David, Zdravetz Lazarov, Michael Mcaleer ‘Modeling Intra-Day Seasonality and Forecasting Densities in Financial Duration Data’ J. Financial Forecasting V.1,#1 2007

Almeida Heitor, Murillo Campello ‘Financial Constraints, Asset Tangibility, and Corporate Investment’ RFS 9/07 Vol 20, #5

Almendral Ariel, Cornelis Oosterlee ‘On American Options under the Variance Gamma Process’ Applied Mathematical Finance, Volume 14 Issue 2 2007

Alois Geyer, Michael Hanke, Alex Weissensteiner ‘Life-cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming’ 3/07

Alòs Elisa, Jorge León, Josep Vives ‘On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models with Stochastic Volatility’ Finance and Stochastics Volume 11, Number 4 / October, 2007

Alparslan Gur Tuncay, Gennady Samorodnitsky ‘Ruin Probability with Certain Stationary Stable Claims Generated by Conservative Flows’ p.360-384 Advances in Applied Probability Volume 39, Number 2 , June 2007

Alves C.J.S., A.B. Cruzeiro ‘Monte-Carlo Simulation of Stochastic Differential Systems-A Geometrical Approach’ SP&A tobe 2007

Amin Ahsan ‘Calibrating Multi-Factor Libor Market Models: A New Approach’ 2005

Amin Ahsan ‘Multi-factor Cross Currency LIBOR Market Models: Implementation, Calibration and Examples’ working paper, unpublished. 2003

Amin Ahsan ‘Pricing Bermudan Fixed Income Derivatives in Multi-Factor Extended Libor Market Model’ 2005?

Amin Gaurav, Harry Kat ‘Stocks, Bonds and Hedge Funds:Not a Free Lunch’ J. Portfolio Management 29,4 2003

Ammann Manuel, Axel Kind, Christian Wilde ‘Simulation-Based Pricing of Convertible Bonds’ Journal of Empirical Finance, 2007

Ammann Manuel, Michael Verhofen ‘Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach’ European Financial Management, Vol. 13, 2007

Anderson Hamish, Christopher Malone, Ben Marshall ‘Time in the Market and the Long-Horizon Risk of Stocks and Bonds’ SSRN 7/07

Anderson James, Jess Yawitz ‘The Effect of Bond Refunding on Shareholder Wealth: Reply’ JofF June 1979 V. 34, #3

Anderson Matthew, Jung-Han Kimn ‘Basket Implied Volatility from Geodesics’ <SABR, multiple assets, stochastic volatility, Varadhan asymptotics> March 07

Andreasen Jesper ‘Stochastic Volatility for Real’ SSRN March 2006 <combine separable volatility structures in HJM framework with calibration SV, multi-factor SV term structure models, Libor, Markov property>

Androshchuk Taras ‘Approximation of a Stochastic Integral With Respect to Fractional Brownian Motion by Integrals with Respect to Absolutely Continuous Processes’ Theor. Probability and Math. Statist. No. 73 (2006), 19-29.

Androshchuk Taras ‘The Local Asymptotic Normality of a Family of Measures Generated by Solutions of Stochastic Differential Equations with a Small Fractional Brownian Motion’ Theor. Probability and Math. Statist. No. 71 (2005), 1-15.

Angeletos George-Marios, Alessandro Pavan ‘Efficient Use of Information and Social Value of Information’ Econometrica July 2007 - Volume 75 Issue 4

Antonio Katrien, Jan Beirlant ‘Actuarial Statistics with Generalized Linear Mixed Models’ Insurance: Mathematics and Economics V. 40, #1 Jan 2007

Antonov Alexandre, Dimitri Raevsky ‘Effective Solutions of the Quasi-Multi Period Model for Large Credit and ABS Portfolios’ Numerix Quantitative Research Working Paper No. 4 2003

Antonov Alexandre, Han Lee ‘Interest Rate Modelling Framework in Discrete Rolling Spot Measure’ 2004

Antonov Alexandre, Serguei Mechkov, Timur Misirpashaev ‘Analytical Techniques for Synthetic CDSs and Credit Default Measures’ NumeriX 2005

Antonov Alexandre, Timur Misirpashaev, Vladimir Piterbarg ‘Markovian Projection onto a Heston Model’ <reduction of dimensionality of smile-enabled models projecting to displaced two-dimensional Heston process, efficient, analytical approximations to European option prices in such models, stochastic volatility, Gyöngy lemma, index options, basket options, spread options> SSRN 7/07

Apreda Rodolfo ‘Differential Rates, Residual Information Sets and Transactional Algebras’ Documento de Trabajo nro. 256 SSRN 9/07

Arisoy Yakup Eser, Aslihan Altay Salih, Mustafa Pinar ‘Nonnegative Wealth, Options, and C-CAPM’ SSRN 8/2007

Armerin Fredrik, Bjarne Astrup Jensen, Tomas Björk ‘Term Structure Models with Parallel and Proportional Shifts’ Applied Mathematical Finance, Volume 14 Issue 3 2007

Asimit Alexandru, Bruce Jones ‘Extreme Behavior of Bivariate Elliptical Distributions’ Insurance: Mathematics and Economics V. 41, #1 July 07

Asimit Alexandru, Bruce Jones ‘Extreme Behavior of Multivariate Phase-Type Distributions’ Insurance: Mathematics and Economics V. 41, #2 Sept. 2007

Asness Clifford, John Liew, Ross Stevens ‘Parallels between The Cross- Sectional Predictability Of Stock And Country Returns’ The Journal Of Portfolio Management Spring 1997

Astic Fabian, Nizar Touzi ‘No Arbitrage Conditions and Liquidity’ Journal of Mathematical Economics V. 43, #6 Aug. 07

Athreya Krishna, Soumendra Lahir ‘Measure Theory and Probability Theory’ Springer 2006

Audrino Francesco, Fabio Trojani ‘Accurate Short-Term Yield Curve Forecasting Using Functional Gradient Descent’ University of St.Gallen, Department of Economics, Discussion Paper No. 2007-24 SSRN 7/07

Avanzi Benjamin, Hans Gerber, Elias Shiu ‘Optimal Dividends in the Dual Model’ Insurance: Mathematics and Economics V. 41, #1 July 07

Avouyi-Dovi Sanvi, Sébastien Morin, David Neto ‘Optimal Asset Allocation with Omega Function’ w. Banque de France 2004

Avramov Doron, Tarun Chordia, Gergana Jostova, Alexander Philipov ‘Momentum and Credit Rating’ JofF Volume 62: Issue 5, October 2007

Ayres Herbert, John Barry ‘Prologue to a Unified Portfolio Theory’ JofF May 1982 Volume 37: Issue 2,

Azeredo Francisco, Viral Shah ‘Asset Pricing in an Exchange Economy with Bayesian Agents’ SSRN 8/07

Bacchetta Philippe, Eric van Wincoop ‘Incomplete Information Processing: A Solution to the Forward Discount Puzzle’ SSRN 8/07

Bacchetta Philippe, Eric van Wincoop ‘Random Walk Expectations and the Forward Discount Puzzle’ NBER Working Paper No. W13205 SSRN 7/07

Back Kerry, Shumuel Baruch ‘Working Orders in Limit Order Markets and Floor Exchanges’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Baev A.V., B.V. Bondarev ‘On the Ruin Probability of an Insurance Company Dealing in a $BS$-Market’ Theor. Probability and Math. Statist. No. 74 (2007), 11-23.

Baiman Stanley ‘Issues in Financial Accounting: Discussion’ JofF May 1980 Volume 35: Issue 2,

Bajari Patrick, C. Lanier Benkard, Jonathan Levin ‘Estimating Dynamic Models of Imperfect Competition’ Econometrica Volume 75, Issue 5, September 2007

Bajlum Claus, Peter Tind Larsen ‘Accounting Transparency and the Term Structure of Credit Default Swap Spreads’ SSRN 8/07

Bakhtin Yuri ‘Exit Asymptotics for Small Diffusion about an Unstable Equilibrium’ SP&A tobe 2007

Bali Turan, Susan Hume, Terrence Martell ‘A New Look at Hedging With Derivatives: Will Firms Reduce Market Risk Exposure?’ Journal of Futures Markets Volume 27, Issue 11 (November 2007)

Balland Philippe ‘Markov LIBOR Models' Risk Conference 2002 Balland Philippe 'Semi-Analytic Mesh:from S to M' Merrill Lynch 1999 Bandi Federico, Jeff Russell ‘Volatility Estimation’ Handbooks in Operations

Research and Management Science—Financial Engineering V. 15, 2007 Bansal Ravi, A. Ronald Gallant, George Tauchen ‘Rational Pessimism, Rational

Exuberance, and Asset Pricing Models’ Review of Economic Studies, Vol. 74, Issue 4 10/07

Banz Rolf ‘The Relative Efficiency of Various Portfolios: Some Further Evidence: Discussion’ JofF May 1980 Volume 35: Issue 2,

Baquero Guillermo, Marno Verbeek ‘Do Sophisticated Investors Believe in the Law of Small Numbers?’ AFA 2007 Chicago Meetings Paper SSRN 7/07

Baran Michal ‘Asymptotic Pricing in Large Financial Markets’ Volume 66, Number 1 / August, 2007 Journal Mathematical Methods of Operations Research

Barbe Philippe, William Mccormick, Chenhua Zhang ‘Tail Expansions for the Distribution of the Maximum of a Random Walk With Negative Drift and Regularly Varying Increments’ SP&A tobe 2007

Barber Sarah, Timothy Chartier ‘Bending a Soccer Ball with CDF’ <computational fluid dynamics> SIAM News July/Aug 2007

Barco Michael ‘Going Downturn’ <downturn loss given default (LGD)> RISK August 2007

Bardou Olivier, Sandrine Bouthemy, Gilles Pagès ‘Optimal Quantization for the Pricing of Swing Options’ 4/07 <stochastic control, optimal quantization, energy>

Bardou Olivier, Sandrine Bouthemy, Gilles Pagès ‘When Are Swing Options Bang-Bang And How To Use It?’ 4/07 <pay-off, stochastic control, optimal quantization, energy>

Barrieu Pauline, Nadine Bellamy ‘Optimal Hitting Time and Perpetual Option in a Non-Lévy Model: Application to Real Options’ p.510-530 Advances in Applied Probability Volume 39, Number 2 , June 2007

Baruch Shmeul, G. Andrew Karolyi, Michael Lemmon ‘Multimarket Trading and Liquidity: Theory and Evidence’ JofF Volume 62: Issue 5, October 2007

Basak Suleyman, Anna Pavlova, Alexander Shapiro ‘Optimal Asset Allocation and Risk Shifting in Money Management’ RFS 9/07 Vol 20, #5

Batta George, George Chacko, Bala Dharan ‘Valuation Consequences of Convertible Debt Issuance’ SSRN 9/07

Baudoin Fabrice, Josef Teichmann ‘Hypoellipticity in Infinite Dimensions and an Application to Interest Rate Theory’ (arXiv/0508452), Annals of Applied Probability 15 (3), 1765-1777, 2005.

Bauer Christian ‘A Better Asymmetric Model of Changing Volatility in Stock Returns: Trend-GARCH’ Universität Bayreuth Diskussionspapier No. 03-05 SSRN 7/07

Bauer Christian, Sebastian Horlemann ‘Modeling the Term Structure of Exchange Rate Expectations’ SSRN 7/07

Bauwens Luc, Arie Preminger, Jeroen Rombouts ‘Theory and Inference for a Markov Switching GARCH Model’ SSRN 9/07

Bauwens Luc, Fausto Galli ‘Efficient Importance Sampling for ML Estimation of SCD Models’ CORE Discussion Paper No. 2007/53

Bauwens Luc, Giuseppe Storti ‘A Component GARCH Model with Time Varying Weights’ CORE Discussion Paper No. 2007/19

Baviera Roberto ‘A Simple Solution for Sticky Cap and Sticky Floor’ Quantitative Finance, Volume 7 Issue 3 June 2007

Baxter Martin ‘Lévy Simple Structural Models’ International Journal of Theoretical and Applied Finance Vol. 10, No. 4 (June 2007)

Bayraktar Erhan, Ulrich Horst, Ronnie Sircar ‘Queuing-Theoretic Approaches to Financial Price Fluctuations’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Bayraktar Erhan, Virginia Young ‘Hedging Life Insurance with Pure Endowments’ Insurance: Mathematics and Economics V. 40 #3 May 2007

Bayraktar Erhan, Virginia Young ‘Minimizing the Probability of Lifetime Ruin under Borrowing Constraints’ Insurance: Mathematics and Economics V. 41, #1 July 07

Becker Ralf, Adam E. Clements, Scott I. White ‘Does Implied Volatility Provide Any Information Beyond that Captured In Model-Based Volatility Forecasts?’ Journal of Banking and Finance V31 #8, Aug. 2007

Bégyn Arnaud ‘Functional Limit Theorems for Generalized Quadratic Variations of Gaussian Processes’ SP&A tobe 2007

Beja Avraham, M. Barry Goldman ‘Market Prices vs. Equilibrium Prices: Returns’ Variance, Serial Correlation, and the Role of the Specialist’ JofF June 1979 V. 34, #3

Beja Avraham, M. Barry Goldman ‘On the Dynamic Behavior of Prices in Disequilibrium’ JofF May 1980 Volume 35: Issue 2,

Belzunce Félix, Eva-María Ortega, José Ruiz ‘On Non-Monotonic Ageing Properties from the Laplace Transform, with Actuarial Applications’ Insurance: Mathematics and Economics V. 40, #1 Jan 2007

Bender Christian, Robert Denk ‘A Forward Scheme for Backward SDEs’ SP&A tobe 2007

Benito Juan José, Francisco Ureña, Luis Gavete 'Solving Parabolic and Hyperbolic Equations by the Generalized Finite Difference Method' Journal of Computational and Applied Mathematics Vol 209, #2 12/07

Benninga Simon ‘An Immunization Strategy is a Minimax Strategy: Discussion’ JofF May 1979 Volume 34: Issue 2

Benninga Simon ‘General Equilibrium with Financial Markets: Existence, Uniqueness, and Implications for Corporate Finance’ JofF May 1979 Volume 34: Issue 2

Benth Fred Espen, Jan Kallsen, Thilo Meyer-Brandis ‘A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing’ Applied Mathematical Finance, Volume 14 Issue 2 2007

Benth Fred Espen, Steen Koekebakker, Fridthjof Ollmar ‘Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation’ Journal of Derivatives. New York : Fall 2007. Vol. 15, Iss. 1

Benzoni Luca, Pierre Collin-Dufresne, Robert Goldstein ‘Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated’ JofF Volume 62: Issue 5, October 2007

Berd Berd, Robert Engle, Artem Voronov ‘The Underlying Dynamics Of Credit Correlations’ Journal of Credit Risk Volume 3 / Number 2 2007

Berndt Antje, Robert Jarrow, Choongoh Kang ‘Restructuring Risk in Credit Default Swaps: An Empirical Analysis’ SP&A tobe 2007

Berrospide Jose, Amiyatosh Purnanandam, Uday Rajan ‘The Financial Effects of Real Hedging’ SSRN 9/07

Bester Alan, Christian Hansen ‘Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model’ SSRN 9/07

Bhattacharya Sudipto ‘Aspects of Monetary and Banking Theory and Moral Hazard’ JofF May 1982 Volume 37: Issue 2,

Bhattacharya Sudipto ‘General Equilibrium with Financial Markets: Existence, Uniqueness, and Implications for Corporate Finance: Discussion’ JofF May 1979 Volume 34: Issue 2

Bhattacharya Sudipto ‘Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy’ Bell Journal of Economics. Spring 1979, TVI V. II

Bianchi Sergio, Augusto Pianese ‘Modelling Stock Price Movements: Multifractality or Multifractionality?’ Quantitative Finance, Volume 7 Issue 3 June 2007

Bielecki Tomasz, Stephane Crépey, Monique Jeanblanc, Marek Rutkowski ‘Valuation of Basket Credit Derivatives in the Credit Migrations Environment’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Bienstock Daniel ‘Histogram Models for Robust Portfolio Optimization’ J. Computational Finance V. 11, #1 2007

Billett Mathew, Hui Xue ‘The Takeover Deterrent Effect of Open Market Share Repurchases’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Binay Murat, Vladimir Gatchev, Christo Pirinsky ‘The Role of Underwriter-Investor Relationships in the IPO Process’ JF&QA Vol. 42, No. 3, September 2007

Birge John ‘Optimization Methods in Portfolio Management’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Bizid Abdelhamid, Elyes Jouini, Pierre-François Koehl ‘Pricing of Non-Redundant Derivatives in a Complete Market’ SSRN 8/2007

Björk Tomas ‘Topics in Interest Rate Theory’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Blitz David, Pim van Vliet ‘The Volatility Effect: Lower Risk without Lower Return’ ERIM Report Series Reference No. ERS-2007-044-F&A 9/07

Blume Marshall ‘The Relative Efficiency of Various Portfolios: Some Further Evidence’ JofF May 1980 Volume 35: Issue 2,

Bochet Olivier ‘Switching from Complete to Incomplete Information’ Journal of Mathematical Economics V. 43, #6 Aug. 07

Boguth Oliver, Murray Carlson, Adlai J. Fisher, Mikhail Simutin ‘Conditional Risk, Overconditioning, and the Performance of Momentum Strategies’ SSRN 7/07

Bollen Nicolas ‘Mutual Fund Attributes and Investor Behavior’ JF&QA Vol. 42, No. 3, September 2007

Bondarenko Oleg, I. Rodriguez Longarela ‘Benchmark Good-Deal Bounds: An Application to Stochastic Volatility Models of Option Pricing’ SSRN 9/07

Bookstaber Richard ‘Global Risk Management: Are We Missing the Point?’ Journal of Portfolio Management, 1997

Bookstaber Richard ‘Observed Option Mispricing and the Nonsimultaneity of Stock and Option Quotations’ The Journal of Business, 1981

Bookstaber Richard ‘Risk Management in Complex Organizations’ Financial Analysts Journal 55, #2 (March/April 1999) p. 18-20

Bookstaber Richard ‘Understanding and Monitoring the Liquidity Crisis Cycle’ Financial Analysts Journal, 2000

Bookstaber Richard, David Jacob ‘The Composite Hedge: Controlling The Credit Risk Of High-Yield Bonds’ Financial Analysts Journal, March/April 1986

Bookstaber Richard, Joseph Langsam ‘On the Optimality of Coarse Behavior Rules’ Journal of Theoretical Biology 116, 1985 p. 161-193

Bookstaber Richard, Roger Clarke ‘Options Can Alter Portfolio Return Distributions’ Journal of Portfolio Management, 1981

Bookstaber Richard, Steven Pomerantz ‘An Information-Based Model Of Market Volatility’ Financial Analysts Journal, 1989

Borden Sara, Asani Sakar ‘Securitizing Property Catastrophe Risk’ Current Issues in Economics and Finance, Vol. 2, No. 9, August 1996

Borisov A.V. ‘State Analysis of Hidden Markov Models Governed by Special Jump Processes’ Theory of Probability and Its Applications Volume 51, Issue 3 2007

Bossaerts Peter, Charles Plott, William Zame ‘Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments’ Econometrica July 2007 - Volume 75 Issue 4

Bossy Mireille, Emmanuel Gobet, Denis Talay ‘A Symmetrized Euler Scheme for an Efficient Approximation of Reflected Diffusions’ J. Appl. Probab., 41 (2004), Pp. 877–889.

Bouchard Bruno, Romuald Elie ‘Discrete-Time Approximation of Decoupled Forward–Backward SDE with Jumps’ SP&A tobe 2007

Bouezmarni Taoufik, Jeroen Rombouts 'Semiparametric Multivariate Density Estimation for Positive Data Using Copulas’ CORE Discussion Paper No. 2007/54

Bower Richard ‘Admissible Rate Bases, Fair Rates of Return, and the Structure of Regulation: Discussion’ JofF May 1980 Volume 35: Issue 2,

Bowman Robert ‘The Theoretical Relationship Between Systematic Risk and Financial (Accounting) Variables’ JofF June 1979 V. 34, #3

Boyarchenko Nina, Sergei Levendorskii ‘American Options in Regime-Switching Models with Stochastic Interest Rates’ Computational Methods in Finance U. Waterloo 7/07

Boyarchenko Nina, Sergei Levendorskii ‘The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models’ Mathematical Finance 10/07 V. 17, #4

Boyarchenko Svetlana, Sergei Levendorski ‘American Options in Lévy: Models with Stochastic Interest Rates’ SSRN 9/07

Boyarchenko Svetlana, Sergei Levendorski ‘American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates’ SSRN 9/07

Boyarchenko Svetlana, Sergei Levendorskii ‘Optimal Stopping Made Easy’ Journal of Mathematical Economics V. 43, #2 Feb.07

Boyle Phelim, Carole Bernard ‘Les Méthodes De Monte Carlo Sont Plus Que Jamais D’actualité’ Computational Methods in Finance U. Waterloo 7/07

Boyle Phelim, Mary Hardy ‘Financial Engineering: Applications in Insurance’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Boyle Phelim, Shui Feng, Weidong Tian ‘Large Deviation Techniques and Financial Applications’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Boyle Phelim, Thangaradj Draviam ‘Pricing Exotic Options under Regime Switching’ Insurance: Mathematics and Economics V. 40, #2 March 2007

Braga Maria Debora Debora, Francesco Paolo Natale ‘TEV Sensitivity to Views in Black-Litterman Model’ SSRN 9/07

Brandt Michael Kenneth Kavajecz, Shane Underwood ‘Price Discovery in the Treasury Futures Market’ Journal of Futures Markets Volume 27, Issue 11 (November 2007)

Bratiychuk M.S., D. Derfla ‘On a Modification of the Classical Risk Process’ Insurance: Mathematics and Economics V. 41, #1 July 07

Breeden Douglas ‘Consumption Risk in Futures Markets’ JofF May 1980 Volume 35: Issue 2,

Breeden Douglas ‘The Term Structure: Discussion’ JofF May 1980 Volume 35: Issue 2,

Brenner Menachem, Marti Subrahmanyam ‘A Simple Formula to Compute the Implied Standard Deviation’ Financial Analyst Journal, 5:80–83, 1988.

Briand Philippe, Fulvia Confortola ‘BSDEs with Stochastic Lipschitz Condition and Quadratic PDEs in Hilbert Spaces’ SP&A tobe 2007

Briani Maya, Roberto Natalini, Giovanni. Russo ‘Implicit-Explicit Numerical Schemes for Jump-Diffusion Processes’ IAC Report 38 2004

Brigo Damiano, Andrea Pallavicini, Roberto Torresetti ‘Cluster-Based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names’ International Journal of Theoretical and Applied Finance Vol. 10, No. 4 (June 2007)

Brinson Gary, L. Randolph Hood, Gilbert Beebower ‘Determinants of Portfolio Performance’ FAJ July/Aug 1986

Brooks Robert, Xibin Zhang, Emawtee Bissoondoyal Bheenick ‘Country Risk and the Estimation of Asset Return Distributions’ Quantitative Finance, Volume 7 Issue 3 June 2007

Brown Jeffrey, Nellie Liang, Scott Weisbenner ‘Executive Financial Incentives and Payout Policy: Firm Responses to the 2003 Dividend Tax Cut’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Brusco Sandro, Fabio Castiglionesi ‘Liquidity Coinsurance, Moral Hazard, and Financial Contagion’ JofF Volume 62: Issue 5, October 2007

Buchmann F.M., W. P. Petersen ‘Solving Dirichlet Problems Numerically Using the Feynman–Kac Representation’ BIT, 43 (2003), Pp. 519–540.

Buckman Gregory, James Ohlson ‘Toward a Theory of Financial Accounting’ JofF May 1980 Volume 35: Issue 2,

Buescu Cristin, Abel Cadenillas, Stanley Pliska ‘A Note on the Effects of Taxes on Optimal Investment’ Mathematical Finance 10/07 V. 17, #4

Buraschi Andrea, Paolo Porchia, Fabio Trojani ‘Correlation Risk and Optimal Portfolio Choice’ 5/06

Burgert Christian, Ludger Rüschendorf ‘Consistent Risk Measures for Portfolio Vectors’ V38 #2 April 06 Insurance: Mathematics and Economics

Burnside A. Craig ‘Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors’ NBER Working Paper No. W13357 9/07

Buser Stephen ‘Anti-Diversification or Optimal Programmes for Infrequently Revised Portfolios: Discussion’ JofF May 1979 Volume 34: Issue 2

Cadsby Charles ‘Performance Hypothesis Testing with the Sharpe and Treynor Measures: A Comment’ JofF Volume 41: Issue 5, December 86

Cai Jie, Anand Vijh ‘Incentive Effects of Stock and Option Holdings of Target and Acquirer CEOs’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Cai Jun ‘On the Time Value of Absolute Ruin with Debit Interest’ p. 343-359 Advances in Applied Probability Volume 39, Number 2 , June 2007

Calvet Laurent, Adlai Fisher ‘Multifrequency News and Stock Returns’ J. Financial Economics Vol 86, # 1 Oct. 2007

Camara Antonio, Chung San-Lin, Yaw-Huei Wang ‘The Cost of Equity Capital Implied by Option Market Prices’ SSRN 8/07

Camara Antonio, Weiping Li ‘Role of Jumps in Equilibrium Option Prices’ SSRN 7/07

Campi Luciano, Umut Çetin ‘Insider Trading in an Equilibrium Model with Default: A Passage from Reduced-Form to Structural Modelling’ Finance and Stochastics Volume 11, Number 4 / October, 2007

Campolieti Giuseppe, Roman Makarov ‘Option Pricing Under Solvable Multivariate Diffusion Models’ Computational Methods in Finance U. Waterloo 7/07

Cantor Richard, David Hamilton ‘Adjusting Corporate Default Rates for Rating Withdrawals’ Journal of Credit Risk Volume 3 / Number 2 2007

Cao Melanie, Anlong Li, Jason Zhanshun Wei ‘Weather Derivatives: A New Class of Financial Instruments’ SSRN 9/07

Caporale Guglielmo Maria, Luis A. Gil-Alana ‘Long-Range Forecasting of the S&P 500 Stock Market Index Using Fractional Integration Techniques’ J. Financial Forecasting V.1,#1 2007

Carassus Laurence, Elyes Jouini ‘A Discrete Stochastic Model for Investment with a Discrete Stochastic Model for Investment with an Application to the Transaction Costs Case’ Journal of Mathematical Economics, Vol. 33, pp. 57-80, 2000

Cariboni Jessica, Wim Schoutens ‘Pricing Credit Default Swaps under Lévy Models’ Journal of Computational Finance 2007 Volume 10 / Number 4

Carlier G., R.-A. Dana ‘Are Generalized Call-Spreads Efficient?’ <Insurance> Journal of Mathematical Economics V. 43, #5 June 07

Carlin Bruce Ian, Miguel Sousa Lobo, S. Viswanathan ‘Episodic Liquidity Crises: Cooperative and Predatory Trading’ JofF Volume 62: Issue 5, October 2007

Carlson Murray, Zeigham Khokher, Sheridan Titman ‘Equilibrium Exhaustible Resource Price Dynamics’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Carr Peter, Liuren Wu ‘Stochastic Skew in Currency Options’ <Time-changed Lévy processes> J. Financial Economics Vol 86, # 1 Oct. 2007

Carr Peter, Liuren Wu ‘Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options’ Journal of Banking and Finance V31 #8, Aug. 2007

Carr Peter, Liuren Wu 'Variance Risk Premia' Review of Financial Studies to be 2007?

Carr Peter, Roger Lee ‘At-the-Money Implied as A Robust Approximation of the Volatility Swap Rate’ working paper, Bloomberg LP

Carr Peter, Roger Lee ‘Robust Replication of Volatility Derivatives’ June 2, 2007

Carr Peter, Wim Schoutens ‘Hedging Under the Heston Model with Jump-to-Default’ <variance swaps, CDS> SSRN 9/07

Cascon Ana, Con Keating, William Shadwick ‘The Omega Function’ 3/03 Castanias Richard ‘Macroinformation and the Variability of Stock Market

Prices’ JofF May 1979 Volume 34: Issue 2 Castellucci A., R. Giuliano Antonini ‘Laws of Iterated Logarithm for

Stochastic Integrals of Generalized Sub-Gaussian Processes’ Theor. Probability and Math. Statist. No. 73 (2006), 47-56.

Chadjiconstantinidis Stathis, Konstadinos Politis ‘Two-Sided Bounds for the Distribution of the Deficit at Ruin in the Renewal Risk Model’ Insurance: Mathematics and Economics V. 41, #1 July 07

Chambers Donald, Sanjay Nawalkha ‘An Improved Approach to Computing Implied Volatility’ The Financial Review, 38:89–100, 2001.

Chan K.C. ‘Can Tax-Loss Selling Explain the January Seasonal in Stock Returns?’ JofF Volume 41: Issue 5, December 86

Chance Don ‘A Generalized Simple Formula to Compute the Implied Volatility’ The Financial Review, 31:859–867, 1996.

Chang Chuang-Chang, San-Lin Chung, Richard Stapleton ‘Richardson Extrapolation Techniques for the Pricing of American-Style Options’ (p 791-817) Journal of Futures Markets Volume 27, Issue 8 (August 2007)

Chang Eric, Joseph W. Cheng, Yinghui Yu ‘Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market’ JofF Volume 62: Issue 5, October 2007

Chapovsky Alexander, Andrew Rennie, Pedro Tavares ‘Stochastic Intensity Modeling for Structured Credit Exotics’ International Journal of Theoretical and Applied Finance Vol. 10, No. 4 (June 2007)

Charalambous Chris, Nicos Christofides, Eleni Constantinide, Spiros Martzoukos ‘Implied Non-Recombining Trees and Calibration for the Volatility Smile’ Quantitative Finance Volume 7 Issue 4 2007

Charnes Abraham, William Cooper ‘Programming with Linear Fractional Functionals’ Naval Research Logistics Quarterly 1962

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Chaumont Loïc, Víctor Rivero ‘On Some Transformations between Positive Self-Similar Markov Processes’ SP&A tobe 2007

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Gorovoy Vyacheslav, Vadim Linetsky ‘Intensity-Based Valuation of Residential Mortgages: An Analytically Tractable Model’ Mathematical Finance 10/07 V. 17, #4

Gorovyi S.O. ‘The Limit Value of the Price of a European Call Option in the Binomial Model’ Theor. Probability and Math. Statist. No. 74 (2007), 25-28.

Gorton Gary, Fumio Hayashi, K. Geert Rouwenhorst ‘The Fundamentals of Commodity Futures Returns’ NBER Working Paper No. W13249 SSRN 7/07

Gourieroux Christian, Razvan Sufana ‘Pricing with Wishart Risk Factors’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Goyenko Ruslan, Avanidhar Subrahmanyam, Andrey Ukhov ‘The Term Structure of Bond Market Liquidity’ SSRN 8/07

Grandits Peter, Christopher Summer ‘Risk Averse Asymptotics and the Optional Decomposition’ Theory of Probability and its Application Volume 51, Issue 2 (2006-2007)

Grasselli Matheus, Tom Hurd ‘Indifference Pricing and Hedging for Volatility Derivatives’ p.303 – 317 Applied Mathematical Finance, Volume 14 Issue 4 2007

Gray Philip, Shane Edwards, Egon Kalotay ‘Canonical Valuation and Hedging of Index Options’ Journal of Futures Markets Volume 27, Issue 8 (Aug. 2007)

Green Richard ‘Positively Weighted Portfolios on the Minimum-Variance Frontier’ JofF Volume 41: Issue 5, December 86

Green Richard ‘Presidential Address: Issuers, Underwriter Syndicates, and Aftermarket Transparency’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Greenwald Bruce ‘Admissible Rate Bases, Fair Rates of Return and the Structure of Regulation’ JofF May 1980 Volume 35: Issue 2,

Grinold Richard, Ronald Kahn ‘Active Portfolio Management’ McGraw Hill 2000 Grinols Earl ‘Production and Risk Leveling in the Intertemporal Capital

Asset Pricing Model’ JofF Volume 39: Issue 5, Dec. 1984 Guidolin Massimo, Allan Timmermann ‘Asset Allocation under Multivariate

Regime Switching’ JED&C 11/07 V. 31, #11 Gulpinar Nalan, Berc Rustem ‘Worst-Case Robust Decisions for Multi-period

Mean-Variance Portfolio Optimization’ 2/06 <stochastic programming, nonlinear programming, risk management, scenario tree>

Gundel Anne, Stefan Weber ‘Robust Utility Maximization with Limited Downside Risk in Incomplete Markets’ SP&A tobe 2007

Guo Hui, Jason Higbee ‘Market Timing with Aggregate and Idiosyncratic Stock Volatilities’ Journal of Portfolio Management Summer 2007

Guo Jia-Hau ‘Pricing American Options on Foreign Currency with Stochastic Volatility, Jumps, and Stochastic Interest Rates’ Journal of Futures Markets Volume 27, Issue 9 (Sept. 2007)

Guo Jia-Hau, Mao-Wei Hung ‘A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model’ p.339 – 345 Applied Mathematical Finance, Volume 14 Issue 4 2007

Gupta Aparna, Zhisheng Li ‘Integrating Optimal Annuity Planning With Consumption–Investment Selections in Retirement Planning’ Insurance: Mathematics and Economics V. 41, #1 July 07

Gusak D.V. ‘Versions of a Compound Poisson Process’ Theor. Probability and Math. Statist. No. 69 (2004), 27-38.

Gustafson Mark, Gauray Jetley ‘A Hybrid Approach to Valuing American Parisian Options’ SSRN 7/07

Guthrie Graeme, Lewis T. Evans ‘Commodity Price Behavior with Storage Frictions’ SSRN 7/07

Hackbarth Dirk, Christopher Hennessy, Hayne Leland ‘Can the Trade-off Theory Explain Debt Structure?’ RFS 9/07 Vol 20, #5

Hakansson Nils ‘To Pay or Not to Pay Dividend’ JofF May 1982 Volume 37: Issue 2,

Hall A., M.G. Temido ‘On the Maximum Term of MA and Max-AR Models with Margins in Anderson's Class’ Theory of Probability and its Application Volume 51, Issue 2 (2006-2007)

Hamada Robert ‘Financial Theory and Taxation in an Inflationary World: Some Public Policy Issues’ JofF May 1979 Volume 34: Issue 2

Han Chuan-Hsiang, Yongzeng Lai ‘A Generalized Control Variate Method for Pricing Asian Options Under Stochastic Volatility Models’ Computational Methods in Finance U. Waterloo 7/07

Hansen Bruce ‘Least Squares Model Averaging’ Econometrica July 2007 - Volume 75 Issue 4

Hanson Floyd ‘Applied Stochastic Processes and Control for Jump Diffusions:Modeling, Analysis and Computation’ SIAM Press 2007

Hao Tao ‘Option Pricing and Hedging Bounds in Incomplete Markets’ SSRN 9/07 Hart Oliver ‘Take-over Bids and Stock Market Equilibrium’ JET 10/77 , TVI V.

II Hart Oliver, Sanford Grossman ‘Disclosure Laws and Takeover Bids’ JofF May

1980 Volume 35: Issue 2, Hashorva Enkelejd ‘On the Asymptotic Distribution of Certain Bivariate

Reinsurance Treaties’ Insurance: Mathematics and Economics V. 40, #2 March 2007

Hatchondo Juan Carlos, Leonardo Martinez, Horacio Sapriza ‘The Economics of Sovereign Defaults’ FRB Richmond Economic Quarterly Spring 2007 Vol. 93 No. 2

Haug Especn Gaarder, Nassim Taleb ‘Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula’ SSRN 9/07

Haugh Martin, Leonid Kogan ‘Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

He Chang, J. S. Kennedy, Thomas Coleman, Peter Forsyth, Y. Li, Kenneth Vetzal ‘Calibration and Hedging under Jump Diffusion’ Review of Derivative Research Volume 9, Number 1, January, 2006

He Ping ‘A Theory of IPO Waves’ Review of Financial Studies Volume 20, Number 4 July 2007

He Zhongzhi (Lawrence), Sahn-Wook Huh, Bong-Soo Lee ‘Dynamic Factors and Asset Pricing’ SSRN 9/07

Hennessy Christopher, Toni Whited ‘How Costly Is External Financing? Evidence from a Structural Estimation’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Hennessy David, Harvey E. Lapan ‘On the Nature of Certainty Equivalent Functionals’ Journal of Mathematical Economics V. 43, #6 Dec. 06

Hernández-Murillo Ruben ‘Experiments in Financial Liberalization: The Mexican Banking Sector’ Review St. Louis September/October 2007 Vol. 89, No. 5

Herz Bernhard, Christian Bauer ‘Technical Trading and the Volatility of Exchange Rates’ Review of Quantitative Finance and Accounting, Vol. 4, No. 4, 2004

Hess Patrick ‘Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium: Discussion’ JofF May 1980 Volume 35: Issue 2,

Hess Patrick ‘The Ex-Dividend Day Behavior of Stock Returns: Further Evidence on Tax Effects’ JofF May 1982 Volume 37: Issue 2,

Hester D.D. ‘Aspects of Monetary and Banking Theory and Moral Hazard: Discussion’ JofF May 1982 Volume 37: Issue 2,

Hilliard Jimmy ‘Hedging Interest Rate Risk with Futures Portfolios under Term Structure Effects’ JofF Volume 39: Issue 5, Dec. 1984

Hillman Robert, Mark Salmon ‘Intrinsic Stationarity: Investigating Predictability in Real-Time Forex Transactions’ J. Financial Forecasting V.1,#1 2007

Hinrichsen H. ‘Non-Equilibrium Critical Phenomena and Phase Transitions into Absorbing States’ Adv. In Phys., 49 (2000), Pp. 815–958.

Hoag James ‘Towards Indices of Real Estate Value and Return’ JofF May 1980 Volume 35: Issue 2,

Hobson David, Peter Laurence, Tai-Ho Wang ‘Static-Arbitrage Optimal Subreplicating Strategies for Basket Options’ V.37, #3 Dec. 05 Insurance: Mathematics and Economics

Hoderlein Stefan, Enno Mammen ‘Identification of Marginal Effects in Nonseparable Models without Monotonicity’ Econometrica Volume 75, Issue 5, September 2007

Hoerdahl Peter, Oreste Tristani ‘Inflation Risk Premia in the Term Structure of Interest Rates’ BIS Working Paper No. 228 SSRN 9/07

Holod Dmytro, Joe Peek ‘Asymmetric Information and Liquidity Constraints: A New Test’ Journal of Banking and Finance V31 #8, Aug. 2007

Holowczak Ricjard, Yusif Simaan, Liuren Wu ‘Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach’ Review of Derivative Research Volume 9, Number 1, January, 2006

Hong Yongmiao, Jun Tu, Guofu Zhou ‘Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation’ RFS 9/07 Vol 20, #5

Horowitz Joel, Sokbae Lee ‘Nonparametric Instrumental Variables Estimation of a Quantile Regression Model’ Econometrica July 2007 - Volume 75 Issue 4

Hou Kewei ‘Industry Information Diffusion and the Lead-lag Effect in Stock Returns’ Review of Financial Studies Volume 20, Number 4 July 2007

Houdré Christian, Philippe Marchal ‘Median, Concentration and Fluctuations for Lévy Processes’ SP&A tobe 2007

Houthakker Hendrik ‘The Regulation of Financial and Other Futures Markets’ JofF May 1982 Volume 37: Issue 2,

Hsieh K.C., Peter Ritchken ‘An Empirical Comparison of GARCH Option Pricing Models’ Review of Derivative Research Volume 8, Number 3 / December, 2005

Hu Jian ‘Assessing the Credit Risk of CDOs Backed by Structured Finance Securities: Rating Analysts' Challenges and Solutions’ SSRN 9/07

Huang Lixin, Hong Liu ‘Rational Inattention and Portfolio Selection’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Huang Teng-Hao, Yaw-Huei Wang ‘The Volatility and Density Prediction Performance of Alternative GARCH Models’ SSRN 8/07

Huang Xinzheng, Cornelis Oosterlee, Hans Van Der Weide ‘Higher Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model’ J. Computational Finance V. 11, #1 2007

Hubalek Friedrich, Josef Teichmann, Robert Tompkins ‘Flexible Complete Stochastic Volatility Models Generalising Hobson-Rogers’ Working Paper, 2004.

Hubbard Carl, J. Louis Heck, Philip L. Cooley ‘Contributing Authors and Institutions to the Journal of Finance: 1946-1985’ JofF Volume 41: Issue 5, December 86

Hubner Georges ‘How Do Performance Measures Perform?’ Journal of Portfolio Management Summer 2007

Hubrich Stefan ‘An Alpha Unleashed: Optimal Derivative Portfolios for Portable Alpha Strategies’ SSRN 9/07

Hull John, Alan White ‘Forwards And European Options On CDO Tranches’ Journal of Credit Risk Volume 3 / Number 2 2007

Hung Chi-Hsiou ‘Return Explanatory Ability and Predictability of Non-Linear Market Models’ SSRN 8/07

Hung Lin, Ark Hackleton ‘Generalised Geske--Johnson Interpolation of Option Prices’ Journal of Business Finance & Accounting, Vol. 34, Issue 5-6, pp. 976-1001, June/July 2007

Husmann Sven, Andreas Stephan ‘On Estimating an Asset's Implicit Beta’ Journal of Futures Markets Volume 27, Issue 10 (Oct. 2007)

Hwang Soosung, Stephen Satchell ‘Modeling Emerging Risk Premia Using Higher Moments’ International J. of Finance and Economics 1999

Ibbotson Roger, Paul Kaplan ‘Does Asset Allocation Policy Explain 40, 90 or 100 Percent of Performance’ FAJ Jan/Feb. 2000

Ibragimov Rustam, Johan Walden ‘The Limits of Diversification When Losses May Be Large’ Journal of Banking and Finance V31 #8, Aug. 2007

Ihaela Erban, Nthony Rockwell, Ohn Ehoczky, Anjay Rivastava ‘Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series’ Journal of Time Series Analysis, Vol. 28, Issue 5, pp. 763-782, September 2007

Ikeda Ryoichi, Takao Kobayashi ‘A Structural Approach without Path Dependency’ SSRN 7/07

Iksanov O., P. Negadailov ‘The Supremum of a Martingale Related to a Branching Random Walk’ Theor. Probability and Math. Statist. No. 74 (2007), 49-57.

Il’chenko O.V. ‘Stochastically Bounded Solutions of a Linear Nonhomogeneous Stochastic Differential Equation’ Theor. Probability and Math. Statist. No. 68 (2004), 41-48.

Inderst Roman, Holger Mueller, Felix Münnich ‘Financing a Portfolio of Projects’ Review of Financial Studies Volume 20, Number 4 July 2007

Ingersoll Jonathan ‘Dynamics of Borrower-lender Interaction: Partitioning Final Payoff in Venture Capital Finance: Discussion’ JofF May 1979 Volume 34: Issue 2

Ingersoll Jonathan ‘The Pricing of Commodity-Linked Bonds: Discussion’ JofF May 1982 Volume 37: Issue 2,

Ingersoll Jonathan ‘Valuing Reload Options’ Review of Derivative Research Volume 9, Number 1, January, 2006

Ingersoll Jonathan, Matthew Spiegel, William Goetzmann, Ivo Welch ‘Portfolio Performance Manipulation and Manipulation-proof Performance Measures’ RFS 9/07 Vol 20, #5

Iscoe Ian, Ken Jackson, Alex Kreinin, Xiaofang Ma ‘Pricing Correlation-Dependent Derivatives Based on Exponential Approximations to the Hockey Stick Function’ Jan. 24, 2007 <ABS, CDO>

Itkin Andrey ‘Pricing Options with VG Model using FFT’ 3/31/07 <VG can blow up but A. Lewis method works>

Itkin Andrey, Peter Carr ‘New Splitting Finite-Difference Method to Efficiently Price Barrier Options Under Stochastic Skew Model’ Computational Methods in Finance U. Waterloo 7/07 <option-pricing>

Ivanov Anatoli, Anatoliy Swishchuk ‘Optimal Control of Stochastic Differential Delay Equations with Application In Economics’ December 6, 2004 (submitted to SIAM J. on Control and Optimization)

Ivanov Anatoli, Anatoliy Swishchuk ‘Optimal Control of Stochastic Differential Delay Equations’ December 10, 2003 (submitted to Applied Mathematics Letters)

Ivanov Roman ‘On the Pricing of American Options in Exponential Lévy Markets’ p. 409-419 Journal of Applied Probability Volume 44, Number 2 ,, June 2007

Ivkovic Zoran, Scott Weisbenner ‘Information Diffusion Effects in Individual Investors' Common Stock Purchases: Covet Thy Neighbors' Investment Choices’ Review of Financial Studies Volume 20, Number 4 July 2007

Jackson Kenneth, Sebastian Jaimungal, Vladimir Surkov ‘Shout Options via Fourier Transforms’ wp 2007

Jackson Kenneth, Sebastian Jaimungalb, Vladimir Surkovc ‘Fourier Space Time-stepping for Option Pricing with Lévy Models’ <option-pricing> <jump diffusion, PIDE, multi-asset options> 3/07

Jackson Kenneth, Sebastian Jaimungalb, Vladimir Surkovc 'Option Pricing with Regime Switching Lévy Processes Using Fourier Space Time Stepping' 4/07 <option-pricing> <American, Catastrophe>

Jacobs Bruce, Kenneth Levy ‘Alpha Transport with Derivatives’ The Journal of Portfolio Management, May 1999

Jacobs Bruce, Kenneth Levy ‘Disentangling Equity Return Regularities: New Insights and Investment Opportunities’ Financial Analysts Journal, May/June 1988

Jacobs Bruce, Kenneth Levy ‘Engineering Portfolios: A Unified Approach’ Journal of Investing, Winter 1995

Jacobs Bruce, Kenneth Levy ‘Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios’ Journal of Portfolio Management Summer 2007

Jacobs Bruce, Kenneth Levy ‘Residual Risk: How Much is Too Much?’ Journal of Portfolio Management, Spring 1996

Jacobs Bruce, Kenneth Levy ‘The Complexity of the Stock Market’ Journal of Portfolio Management, Fall 1989

Jacobs Bruce, Kenneth Levy ‘The Law of One Alpha’ The Journal of Portfolio Management, Summer 1995

Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Financial Market Simulation’ Journal of Portfolio Management, 30th Anniversary Issue, September 2004

Jacobsen Jon ‘As Flat As Possible’ SIAM Review V. 49,#3 0/07 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 ‘Asymptotic Properties of Realized Power Variations and Related

Functionals of Semimartingales’ SP&A tobe 2007 Jacquier Antoine ‘Asymptotic Skew Under Stochastic Volatility’ Birkbeck

Working Paper in Economics & Finance No. 0703 SSRN 7/07 Jacquier Antoine ‘Variance Dispersion and Correlation Swaps’ SSRN 7/07

<correlation exposure, dispersion trade> Jagannathan Ravi, Yong Wang ‘Lazy Investors, Discretionary Consumption, and

the Cross-Section of Stock Returns’ Journal of Finance Aug. 2007 Vol. 62 Issue 4

Jaimungal Sebastian, Tao Wang ‘Catastrophe Options With Stochastic Interest Rates and Compound Poisson Losses’ V. 38 #3, June 06 Insurance: Mathematics and Economics

Jang Bong-Gyu, Hyeng Keun Koo, Hong Liu, Mark Loewenstein ‘Liquidity Premia and Transaction Costs’ JofF Volume 62: Issue 5, October 2007

Jang Bong-Gyu, Mi Ae Kim, Ho-Seok Lee ‘A First-Passage-Time Model under Regime-Switching Market Environment’ SSRN 8/07

Jang Jiwook ‘Jump Diffusion Processes and Their Applications in Insurance and Finance’ Insurance: Mathematics and Economics V. 41, #1 July 07

Janssen A.J.E.M., J.S.H. Van Leeuwaarden ‘Cumulants of the Maximum of the Gaussian Random Walk’ SP&A tobe 2007

Jarrow Robert, Li Li, Mark Mesler, Donald Van Deventer ‘The Determinants of Corporate Credit Spreads’ <CDS> RISK 9/07

Jarrow Robert, Philip Protter ‘A Partial Introduction to Financial Asset Pricing Theory’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Jarrow Robert, Phillip Protter ‘Liquidity Risk and Option Pricing Theory’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Ji Shaolin, Shige Peng ‘Terminal Perturbation Method for the Backward Approach to Continuous-Time Mean-Variance Portfolio Selection’ SP&A tobe 2007

Jin Hui, Jun-ya Gotoh, Ushio Sumita ‘A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions’ Journal of Derivatives. New York : Fall 2007. Vol. 15, Iss. 1

Joe Stephen, Frances Kuo ‘Remark on Algorithm 659:Implementing Sobol’s Quasirandom Sequence Generator’ ACM Trans. Math. Software 29, no 1 2003

Johnson Paul, Nick Sharp, Peter Duck, David Newton ‘Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings’ SSRN 8/07

Johnson Seanna, Ronald N. Kahn, Dean Petrich ‘Optimal Gearing’ Journal of Portfolio Management Summer 2007

Jolis Maria, Noèlia Viles ‘Continuity with Respect to the Hurst Parameter of the Laws of the Multiple Fractional Integrals’ SP&A tobe 2007

Jondeau Eric, Michael Rockinger ‘Optimal Portfolio Allocation under Higher Moments’ European Financial Management 12, 1 2006

Jones Bruce, Ricardas Zitikis ‘Risk Measures, Distortion Parameters, and Their Empirical Estimation’ Insurance: Mathematics and Economics V. 41, #2 Sept. 2007

Jönsson H., A. G. Kukush, D. S. Silvestrov ‘Threshold Structure of Optimal Stopping Strategies for American Type Option. II’ Theor. Probability and Math. Statist. No. 72 (2006), 47-58.

Jönsson H., A. G. Kukush, D. S. Silvestrov ‘Threshold Structure of Optimal Stopping Strategies for American Type Option. I’ Theor. Probability and Math. Statist. No. 71 (2005), 93-103.

Jordan James ‘Term Structure Modeling Using Exponential Splines: Discussion’ JofF May 1982 Volume 37: Issue 2,

Jordan Jerry ‘Monetary Policy: Assessing the Burns Year: Discussion’ JofF May 1979 Volume 34: Issue 2

Jorion Philippe, Gaiyan Zhang ‘Good and Bad Credit Contagion: Evidence From Credit Default Swaps’ Journal of Financial Economics Volume 84, Issue 3, (June 2007)

Joshi Mark ‘A Simple Derivation of and Improvements to Jamshidian’s and Rogers’ Upper Bound Methods for Bermudan Options’ Applied Mathematical Finance, Volume 14 Issue 3 2007

Joshi Mark, Terence Leung ‘Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options’ Journal of Computational Finance 2007 Volume 10 / Number 4

Jouini Elyes ‘Arbitrage and Control Problems in Finance. Presentation’ SSRN 8/2007

Jouini Elyes ‘Convergence of the Equilibrium Prices in a Family of Financial Models’ SSRN 8/2007

Jouini Elyes ‘Market Imperfections, Equilibrium and Arbitrage’ SSRN 8/2007 Jouini Elyes, Clotilde Napp ‘Arbitrage Pricing and Equilibrium Pricing:

Compatibility Conditions’ SSRN 8/2007 Jouini Elyès, Clotilde Napp ‘Consensus Consumer and Intertemporal Asset

Pricing With Heterogeneous Beliefs’ Review of Economic Studies, Vol. 74, Issue 4 10/07

Jouini Elyes, Pierre-François Koehl, Nizar Touzi ‘Incomplete Markets, Transaction Costs and Liquidity Effects’ The European Journal of Finance, Vol. 3, pp. 325-347, 1997

Jouini Elyes, Vincent Porte ‘Efficient Trading Strategies’ SSRN 7/07 Jourdain Benjamin ‘Stochastic Flow Approach to Dupire’s Formula’ Finance and

Stochastics Volume 11, Number 4 / October, 2007 <Option-Pricing> <put-call duality, local volatility>

Jumarie Guy ‘Merton’s Model of Optimal Portfolio in a Black-Scholes Market Driven by a Fractional Brownian Motion with Short-Range Dependence’ V.37, #3 Dec. 05 Insurance: Mathematics and Economics

K.-H. Indlekofer, O.I. Klesov ‘The Complete Convergence in the Strong Law of Large Numbers for Double Sums Indexed by a Sector with Function Boundaries’ Theor. Probability and Math. Statist. No. 68 (2004), 49-53.

Kabanov Yuri, Masaaki Kijima, Sofiane Rinaz ‘A Positive Interest Rate Model with Sticky Barrier’ Quantitative Finance, Volume 7 Issue 3 June 2007

<Short-term interest rate models; Partial integro-differential equation, PIDE; Zero-interest rate; Finite difference methods>

Kadankova T.V. ‘On the Joint Distribution of the Supremum, Infimum, and the Value of a Semicontinuous Process with Independent Increments’ Theor. Probability and Math. Statist. No. 70 (2005), 61-70.

Kadankova T.V. ‘Two-Boundary Problems for a Random Walk With Negative Geometric Jumps’ Theor. Probability and Math. Statist. No. 68 (2004), 55-66.

Kaen Fred, G. Geoffrey Booth, John Burt ‘Foreign Exchange Market Efficiency Under Flexible Exchange Rates: Reply’ JofF June 1979 V. 34, #3

Kahn Ronald, J Scott Shaffer ‘The Surprisingly Small Effect of Asset Growth on Expected Alpha’ J. Portfolio Management Fall 2005

Kahn Ronald, Roland Lochoff ‘Convexity and Exceptional Returns’ J. Portfolio Management Winter 1990

Kalay Avner ‘Regulation of Financial Markets: Principles and Application: Discussion’ JofF May 1982 Volume 37: Issue 2,

Kalay Avner, Kose John ‘Costly Contracting and Optimal Payout Constraints’ JofF May 1982 Volume 37: Issue 2,

Kalcheva Ivalina, Karl Lins ‘International Evidence on Cash Holdings and Expected Managerial Agency Problems’ Review of Financial Studies Volume 20, Number 4 July 2007

Kallio Markku, William Ziemba ‘Using Tucker’s Theorem of the Alternative to Simplify, Review and Expand Discrete Arbitrage Theory’ Journal of Banking and Finance V31 #8, Aug. 2007

Kalnina Ilze, Oliver Linton ‘Inference About Realized Volatility Using Infill Subsampling’ SSRN 9/07

Kaminski M. ‘Central Limit Theorem for Certain Classes of Dependent Random Variables’ Theory of Probability and its Application Volume 51, Issue 2 (2006-2007)

Kanagawa S., Y. Saisho ‘Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Computer Simulation’ Monte Carlo Methods Appl., 6 (2000), Pp. 105–114.

Kane Edward ‘Market Incompleteness and Divergences Between Forward and Futures Interest Rates’ JofF May 1980 Volume 35: Issue 2,

Kang Wei, Naz Bedrossian ‘Pseudospectral Optimal Control Theory Makes Debut Flight, Saves NASA $1M in under Three Hours’ SIAM News V. 40, #7 Sept. 2007

Kaniovski Y.M., G.Ch. Pflug ‘Risk Assessment for Credit Portfolios: A Coupled Markov Chain Model’ Journal of Banking and Finance V31 #8, Aug. 2007

Kaplan Paul, James Knowles ‘A Generalized Downside-Risk Performance Measure’ wp Morningstar 2003

Kapustyan O.V., J. Valero, O. V. Pereguda ‘Random Attractor for the Reaction-Diffusion Equation Perturbed by a Stochastic Càdlàg Process’ Theor. Probability and Math. Statist. No. 73 (2006), 57-69.

Karatzas Ioannis, Constantinos Kardaras ‘The Numéraire Portfolio in Semimartingale Financial Models’ Finance and Stochastics Volume 11, Number 4 / October, 2007

Karpeev Dmitry ‘Self-Organization of Complex Biological Phenomena’ SIAM News V. 40, #7 Sept. 2007

Karpoff Jonathan ‘A Theory of Trading Volume’ JofF Volume 41: Issue 5, December 86

Kassberger Stefan, Hanno Schmidt ‘Efficient Calibration of Time-Changed Lévy Models to Forward Implied Volatility Surfaces’ <forward implied volatilities undetermined for model calibrated only to vanilla options> 2006

Kaut Michal, Hercules Vladimirou, Stein W. Wallace, Stavros Zenios ‘Stability Analysis of Portfolio Management with Conditional Value-At-Risk’ Quantitative Finance Volume 7 Issue 4 2007

Kazemi Hossein, Thomas Schneeweis, Raj Gupta ‘Omega as a Performance Measure’ 6/03

Kazmerchuk Yuriy, Anatoliy Swishchuk, Jianhong Wu ‘The Pricing of Options for Securities Markets with Delayed Response’ Mathematics and Computers in Simulation V. 75, #3-4 July 2007

Keating Con, William Shadwick ‘An Introduction to Omega’ Keppo Jussi, Xu Meng, Michael G. Sullivan ‘A Computational Scheme for the

Optimal Strategy in an Incomplete Market’ JED&C 11/07 V. 31, #11 Khaliq Abdul, Bruce Wade, Muhammad Yousuf, Jesús Vigo-Aguiar ‘High Order

Smoothing Schemes for Inhomogeneous Parabolic Problems with Applications in Option Pricing’ Numerical Methods for Partial Differential Equations, An International Journal, to appear in 2007

Khaliq Abdul, Dale Voss, Muhammad Yousuf ‘Pricing Exotic Options with L-Stable Padé Schemes’ Journal of Banking and Finance, to appear in 2007

Khandani Amir, Andrew Lo ‘What Happened to the Quants in August 2007?’ <Quant funds> SSRN 9/07

Khang Chulsoon, G.O. Bierwag ‘An Immunization Strategy is a Minimax Strategy’ JofF May 1979 Volume 34: Issue 2

Khrennikov A. Yu. ‘A Formula of Total Probability with the Interference Term and the Hilbert Space Representation of the Contextual Kolmogorovian Model’ Theory of Probability and Its Applications Volume 51, Issue 3 2007

Kidwell David, Michael Joehnk ‘Comparative Costs of Competitive and Negotiated Underwritings in the State and Local Bond Market’ JofF June 1979 V. 34, #3

Kiefer Nicholas 'The Probability Approach to Default Probabilities' RISK 7/07

Kifer Yuri ‘Optimal Stopping and Strong Approximation Theorems’ Stochastics Jun2007, Vol. 79 Issue 3/4

Kim Bara, Hwa-Sung Kim ‘Moments of Claims in a Markovian Environment’ Insurance: Mathematics and Economics V. 40 #3 May 2007

Kim E. Han ‘Dividend Policy and Valuation: Theory and Tests: Discussions’ JofF May 1982 Volume 37: Issue 2,

Kim E. Han ‘Miller’s Equilibrium, Shareholder Leverage Clienteles, and Optimal Capital Structure’ JofF May 1982 Volume 37: Issue 2,

Kim Panki, Renming Song ‘On Dual Processes of Non-Symmetric Diffusions with Measure-Valued Drifts’ SP&A tobe 2007

Kingsland Louis ‘Projecting the Financial Condition of a Pension Plan Using Simulation Analysis’ JofF May 1982 Volume 37: Issue 2,

Kirk E. ‘Correlation in the Energy Markets’ Risk Books 1995 Kleinow Torsten, Mark Willder ‘The Effect of Management Discretion on

Hedging and Fair Valuation of Participating Policies with Maturity Guarantees’ Insurance: Mathematics and Economics V. 40 #3 May 2007

Kliesen Kevin ‘How Well Does Employment Predict Output?’ Review St. Louis September/October 2007 Vol. 89, No. 5

Kling Alexander, Andreas Richter, Jochen Ruß ‘The Interaction of Guarantees, Surplus Distribution, and Asset Allocation in With-Profit Life Insurance Policies’ Insurance: Mathematics and Economics V. 40, #1 Jan 2007

Klokov S.A. ‘Lower Bounds of Mixing Rate for a Class of Markov Processes’ Theory of Probability and Its Applications Volume 51, Issue 3 2007

Koch Inge, Ann De Schepper ‘An Application of Comonotonicity and Convex Ordering to Present Values with Truncated Stochastic Interest Rates’ Insurance: Mathematics and Economics V. 40 #3 May 2007

Kojanov Igor ‘The Equity Capital Puzzle: A Consumption-Based Model’ SSRN 9/07

Kolari James, Ted Moorman, Sorin M. Sorescu ‘Foreign Exchange Risk and the Cross-Section of Stock Returns’ Journal of International Money and Finance, Forthcoming 2007

Kole Erik, Kees Koedijk, Marno Verbe ‘Selecting Copulas for Risk Management’ Journal of Banking and Finance V31 #8, Aug. 2007

Kolkovska Ekaterina, José A. López-Mimbela, José Villa Morales ‘Occupation Measure and Local Time of Classical Risk Processes’ V.37, #3 Dec. 05 Insurance: Mathematics and Economics

Kon Stanley, W. Patrick Lau ‘Specification Test for Portfolio Regression Parameter Stationarity and the Implications for Empirical Research’ JofF May 1979 Volume 34: Issue 2

Kopteva Natalia ‘Maximum Norm a Posteriori Error Estimates for a 1d Singularly Perturbed Semilinear Reaction–Diffusion Problem’ IMA J Numer Anal 2007 27: 576-592

Korn Olaf, Marliese Uhrig-Homburg ‘Do Lead-Lag Effects Affect Derivative Pricing?’ Journal of Derivatives. New York : Fall 2007. Vol. 15, Iss. 1

Kostadinova Radostina ‘Optimal Investment for Insurers When the Stock Price Follows an Exponential Lévy Process’ Insurance: Mathematics and Economics V. 41, #2 Sept. 2007

Kostika Eleftheria, Raphael Markellos ‘Optimal Hedge Ratio Estimation and Effectiveness Using ARCD’ SSRN 8/07

Kou Steven ‘Discrete Path-Dependent Options’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Kou Steven ‘Jump Diffusion Models’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

Kramkov Dmitry, Mihai S?rbu ‘Asymptotic Analysis of Utility-Based Hedging Strategies for Small Number of Contingent Claims’ SP&A tobe 2007

Krasker William ‘Minimax Behavior in Portfolio Selection’ JofF May 1982 Volume 37: Issue 2,

Kraus Alan, Amir Rubin ‘The Effect of Short Sale Constraint Removal on Volatility in the Presence of Heterogeneous Beliefs’ International Review of Finance, Vol. 4, pp. 171-188, 2003

Kraus Alan, Gordon Sick ‘Distinguishing Beliefs and Preferences in Equilibrium Prices’ JofF May 1980 Volume 35: Issue 2,

Kritzman Mark ‘Are Optimizers Error Maximizers: Hype Versus Reality?’ The Journal of Portfolio Management, Summer 2006.

Kritzman Mark ‘Determinants of Portfolio Performance---20 Years Later:A Comment’ FAJ Jan/Feb 2006

Kritzman Mark ‘What’s Wrong with Portfolio Insurance?’ J. Portfolio Management Fall 1986

Kritzman Mark, Donald Rich ‘The Mismeasurement of Risk’ FAJ May-June 2001 Kritzman Mark, Sebastien Page ‘The Hierarchy of Investment Choice’ J.

Portfolio Management Summer 2003 Kritzman Mark, Sebastien Page ‘The Relative Importance of Asset Allocation

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Linetsky Vadim ‘Spectral Methods in Derivatives Pricing’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

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Liu Guoxin, Jinyan Zhao ‘Joint Distributions of Some Actuarial Random Vectors in the Compound Binomial Model’ Insurance: Mathematics and Economics V. 40, #1 Jan 2007

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Lombra Raymond ‘Monetary Policy: Assessing the Burns Years: Discussion’ JofF May 1979 Volume 34: Issue 2

Lord Roger, Antoon Pelsser ‘Level-Slope-Curvature - Fact or Artifact?’ Applied Mathematical Finance, Volume 14 Issue 2 2007

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Macbeth James, Larry Merville ‘Tests of the Black-Scholes and Cox Call Option Valuation Models’ JofF May 1980 Volume 35: Issue 2,

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Manaster Steven ‘Tests of the Black-Scholes and Cox Call Option Valuation Models: Discussion’ JofF May 1980 Volume 35: Issue 2,

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Marsh Terry ‘Equilibrium Term Structure Models: Test Methodology’ JofF May 1980 Volume 35: Issue 2,

Marshall William ‘The Effect of Fuel Adjustment Clauses on the Systematic Risk and Market Values of Electric Utilities: Discussion’ JofF May 1980 Volume 35: Issue 2,

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Mayer Thomas ‘Monetary Policy: Assessing the Burns Years: Discussion’ JofF May 1979 Volume 34: Issue 2

McBrady Matthew, Michael Schill ‘Foreign Currency-Denominated Borrowing in the Absence of Operating Incentives’ J. Financial Economics Vol 86, #1 Oct. 2007

McConnell John ‘Leverage and Dividend Irrelevancy Under Corporate and Personal Taxation: Discussion’ JofF May 1980 Volume 35: Issue 2,

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McLean R. David ‘Momentum and Long-Term Reversals: A Costly Arbitrage Evaluation of Mispricing Theories’ SSRN 7/07

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Mesfioui Mhamed Mesfioui, Jean-François Quessy ‘Bounds on The Value-At-Risk for the Sum of Possibly Dependent Risks’ V. 37 #1, Aug. 2005 Insurance: Mathematics and Economics

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Milidonis Andreas, Shaun Wang ‘Estimation of Distress Costs Associated with Downgrades Using Regime Switching Models’ SSRN 9/07

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Pagès Gilles ‘Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications’ <Hilbert valued random variable>

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Penaranda Francisco, Jon Danielsson ‘On the Impact of Fundamentals, Liquidity and Coordination on Market Stability’ SSRN 7/07

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Pflug Georg, David Wozabal ‘Ambiguity in Portfolio Selection’ Quantitative Finance Volume 7 Issue 4 2007

Philip Dennis, Chihwa Kao, Giovanni Urga ‘Testing for Instability in Factor Structure of Yield Curves’ CEA@Cass Working Paper No. WP–CEA–09-2007 SSRN 7/07

Pierce James ‘The Political Economy of Arthur Burns’ JofF May 1979 Volume 34: Issue 2

Pironneau Olivier ‘Dupire-Like Identities for Complex Options’ Jan 07 Comptes Rendus Acad. Sci. Paris Mathematique I, 344, 2 <Lévy driven, basket, barrier>

Piterbarg Vladimir ‘Modern Approaches to Stochastic Volatility Calibration’ Proceedings of the WBS 3rd Fixed Income Conference, Amsterdam 2006

Piterbarg Vladimir ‘Towards a Multi-Stochastic Volatility Model for CMS Spread Exotics’ 2006 conference

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Pólik Imre, Tamás Terlaky ‘A Survey of the S-Lemma’ SIAM Review V. 49,#3 0/07

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Poskitt Russell ‘Benchmark Tipping and the Role of the Swap Market in Price Discovery’ Journal of Futures Markets Volume 27, Issue 10 (Oct. 2007)

Pospisil Libor, Jan Vecer ‘PDE Methods for the Maximum Drawdown’ Computational Methods in Finance U. Waterloo 7/07

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Potts Daniel, Gabriele Steidl, Arthur Nieslony ‘Fast Convolution with Radial Kernels at Nonequispaced Knots’ Numer. Math., 98(2):329–351, 2004

Povel Paul, Rajdeep Singh, Andrew Winton ‘Booms, Busts, and Fraud’ Review of Financial Studies Volume 20, Number 4 July 2007

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Raberto Marco, Enrico Scalas, Gianaurelio Cuniberti, Massimo Riani ‘Volatility in the Italian Stock Market: An Empirical Study,’ Finance 0411006 2004

Rachev Svetlozar, Teo Jašic, Stoyan Stoyanov, Frank Fabozzi ‘Momentum Strategies Based on Reward–Risk Stock Selection Criteria’ Journal of Banking and Finance V31 #8, Aug. 2007

Radchenko V.M. ‘Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times’ <European call option; Föllmer–Schweizer decomposition; nonrandom jump times; minimal martingale measure> Theory of Probability and Its Applications Volume 51, Issue 3 2007

Ramaswamy Krishna, Robert Litzenberger ‘Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium’ JofF May 1980 Volume 35: Issue 2,

Ramaswamy Krishna, Robert Litzenberger ‘The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?’ JofF May 1982 Volume 37: Issue 2,

Rasche Robert, Marcela Williams ‘The Effectiveness of Monetary Policy’ Review St. Louis September/October 2007 Vol. 89, No. 5

Rasmusen Eric ‘When Does Extra Risk Strictly Increase an Option's Value?’ RFS 9/07 Vol 20, #5

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Rebonato Riccardo ‘Interest-Rate Term-Structure Pricing Models: A Review’ Royal Society of London Proceedings Series A, vol. 460, Issue 2043, p.667-728 2004

Reinhart Walter ‘The Channels of Influence of Tobin-Brainard’s `Q’ on Investment: Discussion’ JofF May 1979 Volume 34: Issue 2

Ren Yong, Dilip Madan, Michael Qian Qian ‘Calibrating and Pricing with Embedded Local Volatility Models’ <VIX, interest rate/equity hybrids, stochastic, quanto correction in local volt. Models, Dupire, Derman-Kani, Gyöngy> RISK 9/07

Renaud Jean-François, Xiaowen Zhou ‘Distribution of the Present Value of Dividend Payments in a Lévy Risk Model’ p. 420-427 Journal of Applied Probability Volume 44, Number 2 , June 2007

Renwick F.B. ‘Valuation Model Bias and the Scale Structure of Dividend Discount Returns: Discussion’ JofF May 1982 Volume 37: Issue 2,

Richard Scott ‘Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing: Discussion’ JofF May 1980 Volume 35: Issue 2,

Ritter J.R. ‘Optimal Managerial Contracts and Equilibrium Security Prices: Discussion’ JofF May 1982 Volume 37: Issue 2,

Roberts Gordon, Jerry Viscione ‘The Impact of Seniority and Security Covenants on Bond Yields: A Note’ JofF Volume 39: Issue 5, Dec. 1984

Rockafellar R. Terry, Roger J-B. Wets ‘Nonanticipative and L1 Martingales in Stochastic Optimization Problems’ Math. Programming Stud. 6, 1976

Rockafellar R. Tyrrell, Stanislav Uryasev, Michael Zabarankin ‘Equilibrium with Investors Using a Diversity of Deviation Measures’ SSRN 7/07

Rogalski Richard ‘New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Periods: A Note’ JofF Volume 39: Issue 5, Dec. 1984

Rogers L.C.G. ‘Pathwise Stochastic Optimal Control’ SIAM Journal on Control and Optimization 10/07 <optimal control> <discrete-time controlled Markov processes, dual Lagrangian martingale term, monte carlo American options, multi-dimensional problems, dynamic programming>

Rogers L.C.G., John Aquilina `Equilibrium Models for Dependent Defaults' In preparation.

Roland Rocky, George Xiang 'Portfolio Selection and Omega as a Performance Measure' 2004

Roll Richard, Eduardo Schwartz, Avanidhar Subrahmanyam ‘Liquidity and the Law of One Price: The Case of the Futures-Cash Basis’ JofF Volume 62: Issue 5, October 2007

Roman Diana, Kenneth Darby-Dowman, Gautam Mitra ‘Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach’ Quantitative Finance Volume 7 Issue 4 2007

Roorda Berend, J.M. Schumacher ‘Time Consistency Conditions for Acceptability Measures, with an Application to Tail Value At Risk’ Insurance: Mathematics and Economics V. 40, #2 March 2007

Roos Bero ‘On Variational Bounds in the Compound Poisson Approximation of the Individual Risk Model’ Insurance: Mathematics and Economics V. 40 #3 May 2007

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Rosser J. Barkley ‘The Rise And Fall Of Catastrophe Theory Applications In Economics: Was The Baby Thrown Out With The Bathwater?’ JED&C V.31, # 10 Oct. 2007

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Rubinstein Mark ‘A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period’ JofF Volume 39: Issue 5, Dec. 1984

Rudd Andrew, Barr Rosenberg ‘Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency’ JofF May 1982 Volume 37: Issue 2,

Rudd Andrew, Barr Rosenberg ‘The "Market Model" In Investment Management’ JofF May 1980 Volume 35: Issue 2,

Sadka Ronnie, Anna Scherbina ‘Analyst Disagreement, Mispricing, and Liquidity’ JofF Volume 62: Issue 5, October 2007

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Sancetta Alessio, Stephen Satchell ‘Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines’ Applied Mathematical Finance, Volume 14 Issue 3 2007

Sannikov Yuliy ‘Games with Imperfectly Observable Actions in Continuous Time’ Econometrica Volume 75, Issue 5, September 2007

Santomero Anthony, Jeremy Siegel ‘A General Equilibrium Money and Banking Paradigm’ JofF May 1982 Volume 37: Issue 2,

Sass J., Karl Kunisch ‘Trading Regions for Portfolio Optimization under Proportional Transaction Costs’ Computational Methods in Finance U. Waterloo 7/07

Sawyer Nick 'SG CIB Launches Timer Options' RISK 7/07 <option extends/contracts on diff. of Realized and Implied Volt>

Sbuelz Alessandro, Fabio Trojani ‘Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility’ SSRN 7/07

Sbuelz Alessandro, Luciano Campi, Simon Polbennikov ‘Systematic Equity-Based Credit Risk: A CEV Model with Jump to Default’ SSRN 7/07

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Scalas Enrico, Silvano Cincotti ‘A Double-Auction Artificial Market with Time-Irregularly Spaced Orders,’ Computing In Economics and Finance 2004 225, Society For Computational Economics

Schachermayer Walter, Josef Teichmann ‘How Close Are the Option Pricing Formulas of Bachelier and Black-Merton-Scholes?’ tobe, 2006.

Schaefer Stephen ‘Conditional Predictions of Bond Prices and Returns: Discussion’ JofF May 1980 Volume 35: Issue 2,

Scherer Bernd, Xiaodong Xu ‘The Impact of Constraints on Value-Added’ Journal of Portfolio Management Summer 2007

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Schurz Henri ‘Stability, Stationarity, and Boundedness of Some Implicit Numerical Methods for Stochastic Differential Equations and Applications’ Logos-Verlag, Berlin, 1997.

Schwartz Eduardo ‘The Pricing of Commodity-Linked Bonds’ JofF May 1982 Volume 37: Issue 2,

Schwartz Eduardo ‘Theories of Corporate Debt Policy: A Synthesis: Discussion’ JofF May 1979 Volume 34: Issue 2

Schwartz Eduardo ‘Who Should Buy Portfolio Insurance?: Discussion’ JofF May 1980 Volume 35: Issue 2,

Schwartz Eduardo, John Long ‘Financial Theory and Taxation in an Inflationary World: Some Public Policy Issues: Discussion’ JofF May 1979 Volume 34: Issue 2

Schwartz Eduardo, Michael Brennan ‘Conditional Predictions of Bond Prices and Returns’ JofF May 1980 Volume 35: Issue 2,

Schwartz Eduardo, Michael Brennan ‘Regulation and Corporate Investment Policy’ JofF May 1982 Volume 37: Issue 2,

Scott James ‘The Tax Effects of Investment in Marketable Securities on Firm Valuation’ JofF May 1979 Volume 34: Issue 2

Sealey C. William ‘Credit Rationing in the Commercial Loan Market: Estimates of a Structural Model Under Conditions of Disequilibrium’ JofF June 1979 V. 34, #3

Sen Rituparna ‘Hedging Options in the Incomplete Market with Stochastic Volatility’ SSRN 9/07

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Senbet Lemma, Robert Haugen ‘The Role of Options in the Resolution of Agency Problems: A Reply’ JofF Volume 41: Issue 5, December 86

Sepp Artur ‘Pricing Options on Realized Volatility in Heston Model with Jumps’ 2007

Sepp Artur ‘Universal Pricing under Time-Dependent Affine Mode’ 2006 Shadwick William ‘From Alpha to Omega:New Performance Measurement Tools’

2002 Shalit Haim, Shlomo Yitzhaki ‘Mean-Gini, Portfolio Theory, and the Pricing

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Mathematical Programming and Financial Planning, 1 1987 Sharpe William ‘Plasm: Pension Liability and Asset Simulation Model:

Discussion’ JofF May 1982 Volume 37: Issue 2, Shay Brian, Robert Fernholz ‘Stochastic Portfolio Theory and Stock Market

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Sipics Michellet ‘Unknown Naonostructures Give Up Secrets to Interdisciplinary Group at LBNL’ SIAM News July/Aug 2007

Skiadas Costis ‘Dynamic Portfolio Choice and Risk Aversion’ Handbooks in Operations Research and Management Science—Financial Engineering V. 15, 2007

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Smidt Seymour ‘Best Executive in Securities Markets: An Application of Signaling and Agency Theory: Discussion’ JofF May 1982 Volume 37: Issue 2,

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Smith Robert D. ‘An Almost Exact Simulation Method for the Heston Model’ J. Computational Finance V. 11, #1 2007

Soderlind Paul ‘Predicting Stock Price Movements: Regressions Versus Economists’ University of St.Gallen, Department of Economics, Discussion Paper No. 2007-23 SSRN 7/07

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Sosin Howard, Lawrence Shepp, M. Barry Goldman ‘On Contingent Claims that Insure Ex-Post Optimal Stock Market Timing’ JofF May 1979 Volume 34: Issue 2

Speight Adam ‘Multilevel Approach to Control Variates’ Computational Methods in Finance U. Waterloo 7/07

Stanhouse Bryan ‘Commercial Bank Portfolio Behavior and Endogenous Uncertainty’ JofF Volume 41: Issue 5, December 86

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Steinert Mariano, Juan Pablo Torres-Martínez ‘General Equilibrium in CLO Markets’ Journal of Mathematical Economics V. 43, #6 Aug. 07

Stewart Christian, Niklas Wagner ‘Pricing CDX Credit Default Swaps with CreditGrades and Trinomial Trees’ SSRN 8/2007

Stoll Hans, Thomas Ho ‘On Dealer Markets Under Competition’ JofF May 1980 Volume 35: Issue 2,

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Susanne Klöppel Susanne, Martin Schweizer ‘Dynamic Indifference Valuation via Convex Risk Measures’ Mathematical Finance 10/07 V. 17, #4

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Swishchuk Anatoliy ‘Explicit Option Pricing Formula for a Mean-Reverting Asset’ February 25, 2005, 12 p. (PPT March 10, 2005) E-Yellow Series Preprint at the Dept of Math & Stat, U of C (October 17, 2005)

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Swishchuk Anatoliy ‘Modelling and Pricing of Variance Swaps for Stochastic Volatilities with Delay’ December 2, 2004, 26 p. (accepted for publication by WILMOTT Magazine (September Issue, 2005))

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Thompson Rex ‘The Tax Effects of Investment in Marketable Securities on Firm Valuation: Discussion’ JofF May 1979 Volume 34: Issue 2

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Toivanen Jari ‘Numerical Valuation of European and American Options under Kou’s Jump-Diffusion Model’ <PIDE, LCP, Rannacher scheme, option pricing, jump-diffusion model, partial integro-differential equation, linear complementarity problem, finite difference method, operator splitting method, penalty method>

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Villamil Jaime ‘Models of Valuation of European Options in Continuous Time’ SSRN 8/07

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Wolter Hans-Jürgen ‘Risk-based Capital Models in Life Insurance’ Presentation International Congress on Industrial and Applied Mathematics, ICIAM 2007

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Zardkoohi Asghar, James Kolari, Nanda Rangan ‘Homogeneity Restrictions on the Translog Cost Model: A Note’ JofF Volume 41: Issue 5, December 86

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Zimmerman Jerold ‘Corporate Capital Investment, Accounting Methods and Earnings: A Test of the Control Hypothesis: Discussion’ JofF May 1980 Volume 35: Issue 2,

Zumbach Giles ‘Time Reversal Invariance in Finance’ SSRN 8/07