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'(art18 6/17/05) (committee) 'A Rational Approach to Earth Management' SIAM News July/Aug 2001 (editor) 'Applied Math/Computing Programs at DOE:Focus is on Next-generations Capabilities' SIAM News 12/01 (editor) 'Medical/Seismic Imaging Problems Top Researcher Agenda at IPRPI' SIAM News 10/04 (editor) 'Meeting the World' Energy Needs' SIAM News 6/04 (Encycl.Britannica) 'Topological Group' (Integrety Systems) 'Elliptic Curve Cryptography' 98 (No Name) 'Anatolii Vladimirovich Skorokhod' Theory of Probability and It's Applications V45 #4 (No Name) 'Double Sided Gamma' (No Name) 'Hamiltonian & Lagrangian' (No Name) 'How to Catch a Higgs [Field]' U.Chicago Alumni May 2001 (Review) 'Invitation to an Unfamiliar Sort of Experimental Science:S. Wolfram's "New Kind of Science"' SIAM New Sept. 02 (Review) Krzysttof Silkorski 'Optimal Solution of Nonlinear Equations' SIAM Review 6/02 (various) CDOs and CLOs RISK 5/02 (various) 'Monetary Policy in Theory & Practice' FRB St. Louis Review July/Aug 01 (various) 'Real Options' J. Corp. Finance Summer 01 Aase Knut 'An Equilibrium Asset Pricing Model based on Levy Processes:Relations to Stochastic Volatility and the Survival Hypothesis' Insurance:Math. & Econ. 1/2001 Aase Knut 'Equilbrium Pricing in the Presence of Cumulative Dividends Following a Diffusion' MF 7/02 Aase Knut 'Equilibrium in a Reinsurance Syndicate:Existence & Characterization' ASTIN Bulletin 93 Aase Knut 'Premium in a Dynamic Model of Reinsurance Market' Scandinavian Acturial J. 93 Aase Knut 'Stochastic Continuous-Time Model Reference Adaptive Systems with Decreasing Gain' Adv. Appl. Prob. 1982 Abadie Alberto, Joshua Angrist, Guido Imbens 'Instrumental Variables Estimates of the Effect of Subsidized Training on the Quantiles of Trainee Earnings' Econometrica Jan 02 Abadir Karim, Kaddour Hadri, Elias Tzvalis 'Rejoinder to Comment by Doornik, Nielsen, and Rothenberg ' Abadir Karim, Paolo Paruolo 'Simple Robust Testing of Regression Hypotheses: A Comment 'Econometrica 9/02 Abaffy Jozsef, Marida Bertocchi, Jitka Dupaova 'A nonparametric model for analysis of the EURO bond market'J. Econ. Dynamics & Control 2003 Abate Joseph, Gagan Choudhury, Ward Whitt 'An Introduction to Numerical Transform Inversion & Its Application to Probability Models' 99 Abate Joseph, Ward Whitt 'An Operational Calculus for Probability Distributions via Laplace Transforms'8/94 Abate Joseph, Ward Whitt 'Computing Laplace Transforms for Numerical Inversion via Continued Fractions' J. Computing 99 Abate Joseph, Ward Whitt 'Transient Behavior of Regulated Brownian Motion I:Starting at the Origin' Adv. Appl. Prob. 1987 Abate Joseph, Ward Whitt 'Transient Behavior of Regulated Brownian Motion II:Non-Zero Initial Conditions' Adv. Appl. Prob. 1987 Abbad Mohammed, Khalid Rahhali 'Semi-infinite weighted Markov decision processes with perturbation'Math. of OR 10/04 Abbring Jaap, Gerad van den Berg 'The Nonparametric Identification of Treatment Effects in Duration Models' Econometrica 9/03
Abel Andrew 'Effects of a Baby Boom on Stock Prices & Capital Accumulation in the Presence of Social Security' Econometrica 3/03 Abhyankar Abhay, Devraj Basu 'Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusion?' JF&QA 9/01 Abraham R., L. Serlet 'Representations of the Brownian snake with drift'S&SR 2002 Abrahamson Allen 'A "One-Line" Simulator for Maxima or Minima on Drifting Brownian Paths' 5/02 Abrahamson Allen 'All Moments of Discrete & Continuous Arithmetic Averages on Brownian Paths:A Closed Form' 3/02 Abrahamson Allen 'Efficient Path-Dependent Valuation Using Lattices:Fixed & Floating Strike Asian Options' 5/03 Abreu Dilip, Markus Brunnemeier 'Bubbles and Crashes 'Econometric 1/03 Absil P., R. Mahony, R. Sepulctre, P. Van Dooern 'A Grassmann-Rayleigh Quotient Interation for Computing Invarient Subspaces' SIAM News 3/02 Abu-Mostafa Yaser, Blake LeBaron, Andreas Weigend (eds) 'Computational Finance 1999 MIT Press Acar Emmanuel, B. Maitra 'Hedging using Forward Rate Bias' RISK 2/2001 <currency, differential forward,correlation> Acedo F., F. Benito, Antonio Falco, A. Rubia, J. Torres 'A Computational Approach to the Fundamental Theorem of Asset Pricing in a Single-Period Market' Computational Economics 12/01 Acerbi Carlo 'Spectral measures of risk: A coherent representation of subjective risk aversion' Journal Of Banking And Finance (26)7 (2002) Acerbi Carlo, Dirk Tasche 'On the coherence of expected shortfall' Journal Of Banking And Finance (26)7 (2002) Acharya Viral 'Is the International Convergence of Capital Adequacy Regulation Desirable?' Taxation' JofF 12/03 Acharya Viral, Alberto Bisin ‘Optimal Financial-Market Integration and Security Design’ JofB 11/05 Acharya Viral, Iftekhar Hasan, Anthony Saunders ‘Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios’ JofB 7/06 Acharya Viral, Jennifer N. Carpenter 'Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy ' RFS Winter 02 Acharya Viral, Sanjiv Das, Rangarajan Sundarma 'Pricing Credit Derivatives with Rating Transitions' 2002 Achdou Yves 'An Inverse Problem for Parabolic Variational Inequality Arising in Volatility Calibration with American Options' SIAM J. Control & Opt. V.43, #5 3/05 Achdou Yves, O. Pironneau 'Volatility Smile by Multilevel Least Square' Inter. J. Theor. & Applied Finance 9/02 Acheson David '1089 & All That:Journey into Mathematics' Oxford Press, Reviewed SIAM News 4/04 Adamchuk Alexander 'From Supernova to Discovery to Supersymmetry in Finance' New Vistas in Mathematical Foundations of Finance 98 Adamic Lada 'Social Network Exposed' SIAM News 4/04 Adhikari S. 'Aspects of Combinatorics & Combinatorial Number Theory' 2002 Chapman & Hall/CRC Pub. Adler R. 'An Introduction to Continuity, Extemema & Related Topics for General Gaussian Processes' Insti. Math Studies 1990 Adler Robert 'Geometry of Random Fields' Wiley 1981 Adler Robert, Roger Tribe 'Uniqueness for a Historical SDE with a Singular Interaction ' 4/98 J. Theor. Prob. 'AER American Economic Review Afful Kofi 'AN EXPLANATION OF NON-EQUILIBRIUM CURRENCY BID-ASK SPREADS'IJT&AF 8/2004 Agarwal Ravi, Maria Meehan, Donal O'Regan 'Fixed Point Theory & Applications' 2001 Cambridge Press
Agarwal Ravi, Martin Bohner, Wan-Tong Li 'Nonoscillation Theory for Functional Differential Equations' Jan. 05 CRC Press Agca Senay, Donald Chance 'Speed & Accuracy Comparison of Bivariate Normal Distribution Aprroximations for Option Pricing' J. Comp. Finance Summer 03 Agca Senay, Donald Chance 'Two extensions for fitting discrete time term structure models with normally distributed factors' App. Math. Fin. 9/04 Aggarwal Rajesh, Andrew Samwick 'Performance Incentives within Firms: The Effect of Managerial Responsibility' JofF 8/03 Aggarwal Rajesh, Andrew Samwick 'Why Do Managers Diversify Their Firms? Agency Reconsidered' JofF 2/03 Aggarwal Reena, Nagpurnanand Prabhala, Manju Puri 'Institutional Allocation in Initial Public Offerings: Empirical Evidence' JofF 6/02 Aggoun Lakhdar, Robert Elliott 'Measure Theory & Filtering' 2004 Cambridge Press Aghion Philippe 'Schumpeterian Growth Theory and the Dynamics of Income Inequality' Econometrica 5/02 Agrawal Manindra, Neeraj Kayal, Nitin Saxena 'Primes is in P' 8/02 Aguirregabibia Victor, Pedro Mira 'Swapping the Nested Fixed Point Algorithm:A Class of Estimators for Discrete Markov Decision Models' Econometrica 7/02 Ahn Dong-Hyun, Bin Gao 'Locally Complete Markets, Exchange Rates & Currency Options' R. Deriv. Research V.6,#1 2003 Ahn Dong-Hyun, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw 'Partial Adjustment or Stale Prices? Implications from Stock Index & Futures Returns Autocorrelations' RFS v.15 #2 2002 Ahn Dong-Hyun, Jeff Dewynne, Philip Hua, Antony Penaud, Paul Wilmott 'The End-of-theYear Bonus:How to Optimally Reward a Trader?' Interna. J. Theor.& App. Finance 5/02 Ahn Dong-Hyun, Jennifer Conrad, Robert Dittmar 'Risk Adjustment and Trading Strategies'RFS Summer 03 Ahn Dong-Hyun, Robert Dittmar, A. Ronald Gallant 'Quadratic Term Structure Models: Theory and Evidence 'RFS Spring 2002 Ahn Dong-Hyun, Robert Dittmar, A. Ronald Gallant, Bin Gao 'Purebred or Hybrid?: Reproducing the Volatility in Term Structure Dynamics' J. Econometric Aug 2003 Ahn Hee-Joon, Kee-Hong Bae, Kalok Chan 'Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong' JofF 4/2001 Ahrens J., U. Dieter 'Computer Methods for Sampling from the Gamma, Beta, Poisson & Binomial Distributions' Computing 74 Ai Chunrong, Xiaochon Chen 'Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions' Econometrica 11/03 Aihara Shin Ichi, Arunabha Bagchi 'Estimation of Stochastic Volatility in the HullWhite Model' App. Math Finance 9/2000 Aihara Shin Ichi, Arunabha Bagchi 'Optimal Portfolio Control for Parabolic Type Infinite-dimensional Factor Model with Power Utility' Bachelier Conference 2004 Aihara Shin Ichi, Arunabha Bagchi 'STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITEDIMENSIONAL FORWARD RATES AND OPTION PRICING' Mathematical Finance vol 15, #1 1/05 Ait-Sahalia Yacine 'Closed-Form Likelihood Expansions for Multivariate Diffusions' NBER 2001 Ait-Sahalia Yacine 'Disentangling Volatility From Jumps' JFE 12/04 , NBER 8/03 Ait-Sahalia Yacine 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach' Econometrica Jan 02 Ait-Sahalia Yacine 'Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion' JofF 10/02 Ait-Sahalia Yacine 'Why Distinguishing Jumps from Volatility is Difficult' Bachelier conference 2002 Ait-Sahalia Yacine, Jefferson Duarte 'Nonparametric Option Pricing under Shape Restrictions' J. Econometric Aug 2003
Ait-Sahalia Yacine, Jonathan Parker, Motohiro Yogo 'Luxury Goods and the Equity Premium' JofF 12/04 Ait-Sahalia Yacine, Lan Zhang, Per Mykland 'A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data' to be Journal of the American Statistical Association Ait-Sahalia Yacine, Lars Hansen (editor) 'Handbook of Financial Econometrics' Elsevier Press Ait-Sahalia Yacine, Michael Brandt 'Variable Selection for Portfolio Choice', Discussion Jessica Wachter JofF 8/01 Ait-Sahalia Yacine, Per Mykland 'The Effects of Random & Discrete Sampling when Estimating Continuous-Time Diffusions' Econometrica 3/03 Ait-Sahlia Farid 'Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping: Theory and Applications' lecture Stanford 2004 Ait-Sahlia Farid 'Optimal Stopping & Weak Convergence Methods for Some Problems in Financial Economics' PhD Stanford Oper.Research 1996 Ait-Sahlia Farid, Lorens Imhof, Tze Leung Lai 'Pricing & Hedging of American Knock-In Options' J. Derivatives Spring 04 Ait-Sahlia Farid, Tze-Leung Lai 'Approximations for American Options' 1/96 Ait-Sahlia Farid, Tze-Leung Lai 'Exercise Boundaries & Efficient Approximations to American Option Prices & Hedge Parameters' J. Comp.Fin. Summer 01 Akahori Jiro 'Quasi Pricing of Caps/Floors & Swaptions' 7/00 Akesson Fredrik, John Lehoczky 'Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities' MS 2000 Akgiray Vedat, Geoffrey Booth 'The Stable-Law Model of Stock Returns' J. Buss& Econ Stats. 88 Akhavein Jalal, W. Scott Frame, Lawrence J. White ‘The Diffusion of Financial Innovations: An Examination of the Adoption of Small Business Credit Scoring by Large Banking Organizations’ JofB 3/05 Akian Marianne, Agnes Sulem, Michael Taksar 'Dynamic Optimization of Long-Term Growth Rates for a Portfolio with Transaction Costs & Logarithmic Utility' MF 4/2001 Akrivis Georgios, Michel Crouzeix, Vidar Thomee 'Numerical Methods for Ultra-Parabolic Equations' Calcol 96 Akulenko Leonid, Segei Nesterov 'High Precision Methods in Eigenvalue Problems & Their Applicaitons' 2004 CRC Press Alaton Peter, Boualem Djehiche, David Stillberger 'On Modelling & Pricing Weather Derivatives' App. Math. Finance 3/02 Albanese Claudio 'Credit Exposures, Diversification Risk & Coherent VaR' 97 Albanese Claudio, Alexey Kuznetsov 'Affine Lattice Models' IJT&AF 3/05 , 2003? Albanese Claudio, Alexey Kuznetsov 'Discretization Schemes for Subordinated Processes' <9/03 <stochastics><no-arbitrage> Albanese Claudio, Alexey Kuznetsov 'Underlying Volatility Models' Risk 3/04 Albanese Claudio, Alexey Kuznetsov 'Unifying the Three Volatility Models' 6/03 <state dependent, stochastic, jumps> Albanese Claudio, Alexey Kuznetsov, Pierre Hauviller 'A Classification Scheme for Integrable Diffusions' 8/02 <stochastics> Albanese Claudio, Giuseppe Campolieti 'Extensions of the Black-Scholes Formula' 4/2001 Albanese Claudio, Giuseppe Campolieti 'Integrability by Quadratures of Pricing Equations' Jan 01 <squared Bessel, CEV> Albanese Claudio, Giuseppe Campolieti 'New Families of Integrable Diffusions' 4/2001 Albanese Claudio, Giuseppe Campolieti, Oliver Chen, Andrei Zavidonov 'Credit Barrier Models' RISK 6/03 , wp 1/03
Albanese Claudio, Giuseppe Campolieti, Peter Carr, Alexander Lipton 'Black-Scholes Goes Hypergeometric'RISK 12/01 , wp 8/01 Albanese Claudio, Ken Jackson, Petter Wiberg 'A New Fourier Transform Algorithm for Value-at-Risk'QF 6/04 Albanese Claudio, Luis Seco 'Harmonic Analysis in Value at Risk Calculations'U. Toronto Albanese Claudio, Oliver Chen 'Credit barrier models in a discrete framework' Mathematics of finance : Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance 2003 Albanese Claudio, Oliver Chen 'Implied Migration Rates from Credit Barrier Models' 6/03 Albanese Claudio, Oliver Chen 'Pricing equity default swaps' RISK 6/05 Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'A Jump Model with Binomial Volatility' 3/2001 Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'A Two-State Jump Model' QF 4/03 Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'Model of Lines for Option Pricing with Jumps' 1/2001 <Euro,Amer.,Bermuda,variance-gamma> Albanese Claudio, Stephan Lawi 'Generating Functions for Stochastic Integrals' <stochastics> 1/04 Albanese Claudio, Stephan Lawi 'Laplace Transforms for Integrals of Markov Processes' 2/05 <markov> Albeverio Sergio, Eugene Lytvynov, Andrea Mahnig 'A model of the term structure of interest rates based on Lévy fields' SP&A 2004 Albeverio Sergio, Victoria Steblovskaya 'A Model Of Financial Market With Several Interacting Assets.Complete Market Case' to be Finance and Stochastics 2002 <multi-dimensional, B-S> Albeverio Sergio, Xuelei Zhao 'A Decomposition Theorem for Lévy Processes on Local Fields ' 1/01 J. Theor. Prob. Albrecher Hansjorg 'The Valuation of Asian Options for Market Models of Exponential Levy Type' 2004 in Proc. 2nd Actuarial & Financial Math. Days Albrecher Hansjorg, Jan Dhaene, Marc Goovaerts, Wim Schoutens 'Static Hedging of Asian Options under Levy Models:Comonotonicity Approach. UCS Report 2004 Albrecher Hansjorg, Jan Dhaene, Wim Schoutens 'STATIC HEDGING OF ASIAN OPTIONS UNDER LÉVY MODELS' J. of Derivatives Spring 05 Albrecher Hansjorg, Martin Predota 'Bounds & Approximations for Discrete Asian Options in a Variance-Gamma Model' Grazer Math. Ber. 2002 Albrecher Hansjorg, Martin Predota 'On Asian Option Pricing for NIG Levy Processes' J. Comput. Appl Math 2004 Albrecher Hansjorg, Wim Schoutens 'Static Hedging of Asian Options under Stochastic Volatility Models Using Fast Fourier Transforms.' in A. Kyprianou, et al 'Exotic Option Pricing & Advanced Levy Models' Wiley 2004 Albrecker Hansjoerg, Reinhold Kainhofer 'Risk Theory with a Nonlinear Dividend Barrier' Computing V. 68, 2002 <survival, parabolic dividend barrier> Aldrich Simon, William Greenberg, Brook Payner 'A Capital Markets View of Mortgage Servicing Rights' J. Fixed Income 6/2001 Aldroubi Akram, Katlheinz Grochenig 'Nonuniform Sampling & Reconstruction in ShiftInvariant Spaces' SIAM Review 12/01 Aleksander Janicki, Aleksander Weron 'Simulations & Chaotic Behavior of Alpha-Stable Stochastic Processes' Dekker 94 Aleksander Janicki, Ivilina Popova, Peter Ritchken, W. Woyczynski 'Option Pricing Bounds in an Alpha-Stable Security Market' Comm. in Stats-Stochastic Models' Alessandrini Giovanni, Antonino Morassi, Edi Rosset 'Detecting an Inclusion in an Elastic Body by Boundary Measurements' SIAM Review 9/04
Alexander Carol (Ed) Mastering Risk' Prentice Hall 2001 Alexander Carol 'Common Correlation Stuctures for Calibrating the LIBOR Model' 6/02 U. Reading Alexander Carol 'How to Generate Covariance Matrices' <positive semidefinite>Wilmott Publications 8/01 Alexander Carol 'Normal mixture diffusion with uncertain volatility: Modelling short and long-term smile effects' Journal of Banking and Finance 12/04 Alexander Carol 'Volatility & Correlations:Measurement, Models & Applications' Risk Mangement & Analysis V.1 1999 Alexander Carol, Andrew Scourse 'Bivariate normal mixture spread option valuation' QF 12/04 , 12/03 Alexander Carol, Emese Lazar 'Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling'SSRN 2004 Alexander Carol, Emese Lazar 'The Continuous Limit of Normal Mixture GARCH' SSRN 7/04 Alexander Carol, George Brintalos 'Pricing Options with a Term Structure for Kurtosis: An Extension of the Finite Normal Mixture Local Volatility Model' ISMA 2003 Alexander Carol, George Brintalos, Leonardo Nogueira 'Short-term & Long-term Smile Effects:The Binomial Normal Mixture Diffusion Model' 3/03 Alexander Carol, Leonardo Nogueira 'Hedging with Stochastic Local Volatility' SSRN 7/04 Alexander Carol, S. Narayanan 'Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis & Uncertainity in Volatility' ISMA Center 2001 Alexander David 'Heterogenous Beliefs, Trading Risk, and the Equity Premium' Bachelier Conference 2004 Alexander Gordon, Alexandre Baptista 'A Comparison of VaR & CVaR Constraints on Portfolio Selection with the Mean-Variance Model' MS 9/04 Alford Jonathan, Nick Webber 'Very High Order Lattice Methods for One Factor Models 1/2001 Ali Paul Usman 'New Applications for Credit Derivatives' 2001 Aliev Fazil 'New Characterization of Discrete Distribution Through Weak Records' SIAM Theor.Prob&App. v44 Alili Larbi, Andreas Kyprianou 'Some Remarks on the First Passage of Levy Processes, the American put & Pasting Principles' to be Annals of App. Prob. , wp 2002 Alili Larbi, Pierre Patie, Jesper Lund Pedersen 'Hitting Time of a Fixed Level by an OU Process' EHT Zurich 2003 Alizadeh Sassan, Michael Brandt, Francis Diebold 'Range-Based Estimation of Stochastic Volatility Models' JofF 6/02 Allaart Pieter 'Optimal stopping rules for correlated random walks with a discount'Journal of Applied Probability 6/2004 Allayannis George, Gregory Brown, Leora Klapper 'Capital Structure and Financial Risk: Evidence from Foreign Debt Use in East Asia' Taxation' JofF 12/03 Allayannis George, J. Weston 'The Use of Foreign Currency Derivatives and Firm Market Value' RFS 1/2001 Allegretto Walter, Yanping Lin, Hongtao Yang 'A Finite Element Method for Pricing American Put Options on Zero-Coupon Bonds' U. Alberta 5/2001 Allegretto Walter, Yanping Lin, Hongtao Yang 'Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation' SIAM J. Num. Anal. 2001 Allen Franklin 'Do Financial Institutions Matter?' JofF 8/01 Allen Franklin, Douglas Gale 'Financial Intermediaries and Markets' Econometrica 7/04 Allgower Eugene, Kurt Georg 'Introduction to Numerical Continuation Methods' SIAM Press 2003 Almazan Andres, Javier Suarez 'Entrenchment and Severance Pay in Optimal Governance Structures' JofF 4/03
Almazan Andres, Javier Suarez 'Managerial Compensation and the Market Reaction to Bank Loans' RFS 2003 Almeida Heitor, Murillo Campello, Michael Weisbach 'The Cash Flow Sensitivity of Cash' JofF 8/04 Almendral Ariel 'Numerical Valuation of American Options under the CGMY Process' in A. Kyprianou, et al 'Exotic Option Pricing & Advanced Levy Models' Wiley 2004 Almgren Robert 'Optimal Execution with Nonlinear Impact Functions & TradingEnhancement Risk' App. Math Finance 3/03 , 10/01 <portfolio> Almgren Robert, Neil Chriss 'Bidding Principes' RISK 6/03 <prgramm trading, mean/variance> Almgren Robert, Neil Chriss 'Optimal Execution of Portfolio Transactions' J.of Risk Winter 2000/2001 Alos Elisa, David Nualart 'An Extension of Itô's Formula for Anticipating Processes ' 4/98 J. Theor. Prob. Altay-Salih Ashhan, Mustofa Pinar, Seven Leyffer 'Constrained Nonlinear Programming for Volatility Estimation with GARCH Models' SIAM Review 9/03 Alti Aydogan 'How Sensitive Is Investment to Cash Flow When Financing Is Frictionless?' JofF 4/03 Altissimo Filippo 'Change of Measure in Monte Carlo Integration via Gibbs Sampling with an Application to Stochastic Volatility Models'"Computational Finance 1999" MIT Altman Edward, Brooks Brady, Andrea Resti, Andrea Sironi ‘The Link Between Default and Recovery Rates: Theory, Empirical Evidence, and Implications’ JofB 11/05 Altman Edward, Mario Onorato 'An Integrated Model for Defaultable Loans & Bonds' 2003 Alvarez Fernando, Urban Jermann 'Quantitative Asset Pricing Implications of Endogeneous Solvency Constraints' RFS Winter 2001 Alvarez Javier, Manuel Arellano 'The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators' Econometrica 7/03 Alvarez Luis H.R. 'On the Convexity & Risk-Sensitivity of the Price of American Interest Rate Derivatives' SIAM J. Applied Math 2003 Alvarez Luis H.R. 'On the Form & Risk-Sensitivity of Zero Coupon Bonds for a Class of Interest Rate Models' Insurance:Math & Econ. 2/2001 Alvarez Luis H.R. 'Singular Stochastic Control, Linear Diffusions, & Optimal Stopping:A Class of Solvable Problems' SIAM J. Opt.& Control 2001 <stochastics> Alvarez Luis H.R., Erkki Koskela ‘Irreversible Investment under Interest Rate Variability: Some Generalizations’ JofB 3/06 Alvarez Olivier, Martino Bardi 'Viscosity Solutions Methods for Singular Perturbations in Deterministic & Stochastic Control' SIAM J. Control & Opt. 2001 Alvarez, Patrick Kehoe, Pablo Neumeyer 'The Time Consistency of Optimal Monetary & Fiscal Policies' Econometrica 3/04 Alverez Luis H.R. 'Solving Optimal Stopping Problems of Linear Diffusions by Applying Convolution Approximations' Math. Methods of OR 2001 Alvino Angelo, Pierre-Louis Lions, Guido Trombetti 'Comparison Results for Elliptic & Parabolic Equations via Schwarz Symmetrization' Ann. IHP An Nonlineaire 90 Alvino Angelo, Silvano Matarasso, Guido Trombetti 'Variational Inequalities & Rearrangements' Rend Math. Acad Lincei 92 Alvino Angelo, Vincenzo Ferone, Guido Trombetti, Pierre-Louis Lions 'Convex Symmetrization & Applications' Anal. Non Lineiare 97 Amadori Anna 'Nonlinear Integro-Differential Evaluation Problems Arising in Option Pricing:A Viscosity Solution Approach' Amadori Anna 'Obstacle Problem for Nonlinear Integro-Differential Equations Arising in Option Pricing' 5/03 Amadori Anna, Kenneth Karlsen, Claudia La Chioma 'Nonlinear Degenerate Integro-Partial Differential Evolution Equations Related to Geometric Levy Processes & Applications to Backward Stochastic Differential Equations' S&SR 4/04 , wp 7/2003 <SDE>
Amar M., G. Bellettini 'A Notion of Total Variation Depending on a Metric with Discontinuous Coefficients' Ann. Inst.H. Poincare Anal Nonlineaire 94 Amari S., A. Cichocki, H. Yang 'A New Learning Algorithm for Blind Source Separation' in Advances in Neural Information Processing 1996 Amaro de Matos Joao 'MSM Estimators of European Options on Asset with Jumps' MF 4/2001 Amaro de Matos Joao, Paula Antão 'Equilibrium Option Pricing with Illiquid Underlying: Monopoly and Competition Between Market-Makers' Bachelier conference 2002 Amendinger Jurgen, Dirk Becherer, Martin Schweizer 'A Monetary Value for Initial Information in Portfolio Optimization ' Finance and Stochastics 2003 Amerio Emanuele, Gianluca Fusai, Antonio Vulcano 'Pricing of Implied Volatility Derivatives: a Risk Neutral Model for Market Implied Volatility' Bachelier conference 2002 Amerio Emanuele, Pietro Muliere, Pierceare Secchi 'REINFORCED URN PROCESSES FOR MODELING CREDIT DEFAULT DISTRIBUTIONS'IJT&AF 7/04 Amihud Yakov, Marcel Kahan, Rangarajan Sundaram 'The Foundations of Freezeout Laws in Takeovers' JofF 6/04 Amin Tahir, Ling Guan 'Prediction of Financial Time Series Using Independent Component Analysis' Ammann Manuel 'Credit Risk Valuation:Methods, Models and Applications' Springer 2001 Ammer John, Frank Packer 'How Consistent are Credit Ratings? A Geographic & Sectoral Analysis of Default Risk' J. Fixed Income 12/2000 An H.Z., Fred Hickernell, L. X. Zhu, 'A new class of consistent estimators for stochastic linear regressive models' J. Multivariate Anal. 63 (1997), An H.Z., Fred Hickernell, L. X. Zhu, 'Universally consistent estimation for stochastic regression models' Chinese Sci. Bull. 40 (1995), 802-807, MR Anastassiou George 'Quantitative Approximations' 1/2001 Chapman & Hall/CRC Anatolyev Stanislav 'GMM, GEL, Serial Correlation, and Asymptotic Bias' Econometrica 5/05 Anderlini Luca, Leonardo Felli 'Costly Bargaining & Renegotiation' Econometrica 3/2001 Andersen Erling, Anders Damgaard 'Utility Based Option Pricing with Proportional Transaction Costs & Diversification Problems:An Interior Point Optimization Approach' App. Numer. Math. 99 Andersen Leif 'Documentation for 1-D PIDE Solver' 6/03 <partial integro-differential,jump> Andersen Leif 'Simulation & Calibration of the HJM Model' GenRe 1995 Andersen Leif, Dan Buffum 'Calibration & Implementation of Convertible Bond Models' J. Comp. Fin. Winter 03 , 10/02 Andersen Leif, Jakob Sidenius, Susanta Basu 'All Your Hedges in One Basket' RISK 11/03 Andersen Leif, Jesper Andreasen, D. Eliezer ' Static Replication of Barrier Options: Some General Results' J. Computational Finance 03 Andersen Leif, Mark Broadie 'A Primal-Dual Simulation Algorithm for Pricing MultiDimensional American Options' MS 9/04 <monte carlo, confidence interval> Andersen Leif, Rupert Brotherton-Ratcliffe 'Extended Libor Market Models with Stochastic Volatility' 12/01 Gen Re Securities Andersen Leif, Vladimir Piterbarg 'Moment Explosions in Stochastic Volatility Models' 4/04 Andersen Lief, Jakob Sidenius 'Extensions to the Gaussian Copula Random Recovery and Random Factor Loadings' J. Credit Risk V.1 #1 2005 Andersen Torben, Luca Benzoni , Jesper Lund 'An Empirical Investigation of ContinuousTime Equity Return Models' JofF 6/02 Andersen Torben, Tim Bollerslev, A. Das 'Variance-Ratio Statistics & High-Frequency Data:Trading for Changes in Intraday Volatility Patterns' JofF 2/2001 Andersen Torben, Tim Bollerslev, Francis Diebold, Heiko Ebens 'The Distribution of Stock Return Volatility'
Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys 'Model & Forecasting Realized Volatility' Econometrica 3/03 Andersen Torben, Tim Bollerslev, Nour Meddahi 'Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities' Econometrica 1/05 Andersen Torben, Tim Bollerslev, Peter Christoffersen, Francis X. Diebold 'Volatility Forecasting' SSRN 5/05 Anderson Anne, William Maxwell, Theodore Barnhill 'Contingent Claims Analysis Applied in Credit Risk Modeling' J. Fixed Income 12/02 Anderson Edward, A. Philpott 'Optimal Offer Construction in Electricity Markets' Math.of OR 2/02 Anderson Edward, Huifu Xu 'Nash equilibria in electricity markets with discrete prices'Math. of OR 10/04 Anderson Edward, Huifu Xu 'Necessary & Sufficient Conditions for Optimal Offers in Electricity Markets'SIAM J. Control & Opt. 2002 Anderson Keith, Chris Brooks 'Decomposing the Price-Earnings Ratio' SSRN 6/05 Anderson Keith, Chris Brooks 'Extreme Returns from Extreme Value Stocks: Enhancing the Value Premium' U. Reading, U. London SSRN 6/05 Anderson Ronald, David Reeb 'Founding-Family Ownership and Firm Performance: Evidence from the S&P 500' JofF 6/03 Andersson Fredrik, Helmut Mausser, Dan Rosen, Stanislav Uryasev 'Credit Risk with Conditional Value-at-Risk' Math.Programming 2000 Andersson Henrik 'A Mean-Reverting Stochastic Volatility Option-Pricing Model With an Analytic Solution' <EGARCH> 2002 Andersson Jonas, Anders Agren 'Volatility Modeling in the Presence of Measurement Errors' J. of Risk Summer 01 Andersson Mats, Mikael Passare, Roger Sigurdsson 'Complex Convexity & Analytic Functions' Birkhauser 2004 Andjel Enrique, Pablo Ferrari, A. Siqueira 'Law of large numbers for the simple exclusion process'SP&A 10/04 Andreasen J. F. 'Pricing by Arbitrage in an International Economy' Res Int. Buss. Finance 95 Andreasen Jesper 'A Gaussian Exchange Rate & Term Structure Model' PhD chapter Andreasen Jesper 'Behind the Mirror' <method of images,stochastic volatility> RISK 11/01 Andreasen Jesper 'Pricing by Arbitrage in an International Economy' PhD chapter Andreasen Jesper 'Pricing of Discretely Sampled Asian & Lookback Options:Change of Numeraire Approach' PhD chapter Andreasen Jesper 'Split Schemes for Numerical Solution of PDEs' GRFP Research Notes 2000 Andreasen Jesper 'Stochastic Volatility in Fixed Income Modeling' 3/02 Andreasen Jesper 'Stochastic Volatility with Stochastic Volatility' BofA 01 Andreasen Jesper 'The Pricing of Bermuda Swaptions' 5/01? Andreasen Jesper 'Turbo Charging the Cheyette Model' 9/2000 Andreasen Jesper 'Yield Curve Modeling with Stochastic Volatility' 2/02 Andreasen Jesper, Leif Andersen 'Volatile of Volatility' RISK 12/02 Andreasen Jesper, Peter Carr 'Put Call Reversal'3/24/02 <jump> Andreasen Jesper, Pierre Collin-Dufresne, Wei Shi 'An Arbitrage Term Structure Model of Interest Rates with Stochastic Volatility' PhD chapter Andreev Andriy, Antti Kanto 'Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution' Journal of Risk Winter 05 Andreou Elena, Eric Ghysels 'Rolling-Sample Volatility Estimators:Some New Theoretical, Simulation & Empirical Results' J. Buss. & Econ. Stats. 2002
Andrews Donald 'Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators' Econometrica Jan 02 Andrews Donald 'Testing When a Paraemter is on the Boundary of the Maintained Hypothesis' Econometrica 5/2001 Andrews Donald 'Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum 'Econometric 1/03 Andrews Donald 'The Block-Block Bootstrap: Improved Asymptotic Refinements' Econometrica 5/04 Andrews Donald, Ptrik Guggenberger 'A Bia-Reduced Log-Periodogram Regression Estimator for the Long Memory Parameter' Econometrica 3/03 Andrews Donald, Yixiao Sun 'Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence' Econometrica 3/04 Andricopoulos Ari, Martin Widdicks, Peter Duck, David Newton 'Universal Option Valuation Using Quadrature Methods' JFE 3/2003, and Correction Ane Thierry, Cecile Kharoubi 'Dependent Structure & Risk Measure' 2001 Ane Thierry, Chariz Labidi 'Revisiting the Finite Mixture of Gaussian Distributions with Applications to Futures Markets' J. Fut. Markets 4/2001 Ane Thierry, Vincent Lacoste 'Understanding Bid-Ask Spreads of Derivatives Under Uncertain Volatility & Transaction Costs' Inter. Journ. Theor. & Applied Finance 6/2001 Ang Andre, Geert Bekaert 'International Asset Allocation With Regime Shifts ' RFS Fall 2002 Ang Andrew, Jun Liu 'How to Discount Cashflows with Time-Varying Expected Returns' JofF 12/04 Angelini Flavio, Stefano Herzel 'Consistent Initial Curves for Interest Rate Models'J. of Derivatives Summer 02 Antinolfi Gaetano, Todd Keister 'Dollarization as a Monetary Arrangement for Emerging Market Economics' Review FRB St. Louis Nov/Dec 01 Antonelli Fabio, Andrea Pascucci 'On the Viscosity Solution of a Stochastic Differential Utility Problem' J. Diff. Eqns 186 2002 Antonelli Fabio, Arturo Kohatsu-Higa 'Filtration Stability of Backward SDEs' Stochastic Analysis 2000 , <SDE> Antonelli Fabio, Jin Ma 'On Weak Solutions of Forward-Backward SDEs' 2001 <SDE> Antonuccio Francesco, Michael Proebsting 'A Risk Neutral Approach to Option Pricing with Jumps & Diffusions 'J. Risk Winter 02/03 Antweiler Werner, Murray Frank 'Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards' JofF 6/04 Aparicio Felipe, Didier Cossin 'Control of Collateralisation Using Quasi-Variational Inequalities' J. Comp. Finance Spring 2001 Aparicio Silio, Stewart Hodges 'Implied Risk-Neutral Distribution. A Comparison of Estimating Methods' Warwick 98 Apeda Rodolfo 'Arbitrage Portfolios' U. CEMA <SSRN source> 2002 Applebaum David 'Levy Processes & Stochastic Calculus' 2004 Cambridge Press Aquilina John, L.C.G. Rogers `Equilibrium models for dependent defaults.' 2005? Aquilina John, L.C.G. Rogers 'THE SQUARED ORNSTEIN-UHLENBECK MARKET' MF 10/04 Arai Takuji 'An extension of mean-variance hedging to the discontinuous case' F&S 1/05 Arai Takuji 'Mean-variance hedging for discontinuous asset price processes' Bachelier Conference 2004 Arai Takuji 'Minimal martingale measures for jump diffusion processes' Journal of Applied Probability 3/2004 Araudo Aloisio, Mario Rui Pascoa, Juan Pablo Torres-Martinez 'Collateral Avoids Ponzi Schemes in Incomplete Markets' Econometrica 7/02 Arcidiacono Peter, John Bailey Jones 'Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm ' Econometrica May 03 Arcones Miguel 'The Large Deviation Principle for Stochastic Processes. Part I' Theory Prob. & its Applications V47, #4
Arkin Vadim, Alexander D. Slastnikov 'Optimal Stopping Problem and Investment Models' in Dynamic Stochastic Optimization ed. Marti et al. Springer 2004 Arkin Vadim, Alexander Slastnikov 'Optimal Stopping Problems and Investment Models' Bachelier conference 2002 Armata Konstantina 'Closed Form Solutions for Pricing Asian Otpions' 3/2001 Armesto Michelle, William Gavin 'Monetary Policy & Commodity Futures' St. Louis FRB Review May/June 05 Armstrong Grant 'Valuation Formulae for Window Barrier Options' App. Math. Finance 12/01 Arnold Tom, Alexander Butler, Timothy Falcon Crack, Yan Zhang ‘The Information Content of Short Interest:A Natural Experiment’ JofB 7/05 Arnold Tom, Timothy Crack 'A Practical Guide to GMM (with Applications to Option Pricing' 10/99 Arouna Bouhari 'Adaptive Monte Carlo Method, A Variance Reduction Technique' J. Comp.Fin Winter 03 , 8/03 <monte carlo> Arouna Bouhari 'Robbins-Monro Algorithm, Variance Reduction Technique' J. Comp. Fin. Winter 03 , 4/03 <Monte Carlo> Arrow Kenneth, Frank Hahn 'General Equibrium Analysis' Holden Press Arslanalp Serkan, Peter Blair Henry 'Is Debt Relief Efficient?' JofF 4/05 Artzner Philipee, Freddy Delbaen, J-M. Eber, David Heath 'Coherent Multiperiod Risk Adjusted Values' 2001 Artzner Philippe, Freddy Delbaen, J-M. Eber, David Heath 'Risk Management & Capital Allocation with Coherent Measures of Risk' 2000 Arugaslan Onur 'Monitoring as a Motivation for IPO Underpricing'JofF 10/04 Arvanitis Angelo, Jon Gregory 'Credit:The Complete Guide to Pricing, Hedging & Risk Management' RISK Publications(?) 2001 Ascher Uri, Robert Mattheij, R. Russell 'Numerical Solution of Boundary Value Problems for Ordinary Differential Equations' 95 SIAM book Ashcroft Robert Neil 'Asset Pricing with Spectral Methods (Drift Terms, Interest Rates)' PhD Stanford 96 Aslanidis Nektarios, Denise Osborn, Marianne Sensier 'Smooth transition regression models in UK stock returns' Bachelier conference 2002 Asmussen Soren 'Applied Probability & Queues' Wiley 87 Asmussen Soren 'Stochastic Simulation with a View Towards Stochastic Processes' MaPhySto Lecture Notes 2, U. Aarhus 98 Asmussen Soren, Florin Avram, Martijn Pistorius 'Russian & American Put Options under Exponential Phase-Type Levy Models' SP&A 1/04 Asmussen Soren, Jan Rosinski 'Approximations of Small Jumps of Levy Processes with a View Towards Simulation' <stochastics> <Esseen, Brownian, Gamma distribution> 2001 Asmussen Soren, K. Binswanger 'Simulation of Ruin Probabilities for Subexponential Claims' ASTIN Bulletin 97 Asmussen Soren, K. Binswanger, B. Hojgaard 'Rare Events Simulation for Heavy Tailed Distributions' Bernoulli 2000 Asmussen Soren, Peter Glynn, J. Pitman 'Discretization Error in Simulation of OneDimensional Reflecting Brownian Motion' Annals of Appl. Prob. 95 Aspray William 'On John von Neumann & His Role in the Development of the Computer' SIAM News 3/05 Assing Sigurd, Ralf Manthey 'Invariant Measures for Stochastic Heat Equations with Unbounded Coefficients' SP&A 2/03 Astic Fabin, Nizar Touzi 'No Arbitrage Conditions and Liquidity' Bachelier Conference 2004 Atanasov Vladimir 'Optimal Portfolios with Monitoring, Private Benefits of Control, and Budget Constraints' Bachelier conference 2002
Athey Susan 'Single Crossing Properties & the Existence of Pure Strategy Equlibrium in Games of Incomplete Information' Econometrica 7/01 Athey Susan, Philip Haile 'Identification of Standard Auction Models ' Econometrica 11/02 Athreya Kartik 'Shame as it Ever Was:Stigma & Personal Bankruptcy' FRB Richmond Economic Quarterly Spring 04 Atiya Amir 'A Fast Monte Carlo Algorithm for the Level-Crossing Problem for JumpDiffusion Processes' wp CalTech 2000 Atkinson Colin, Sutee Mokkhavesa 'Towards the Determination of Utility Preferences from Optimal Portfolio Selections' Appl. Math Finance 3/2001 Atlan Marc, Helyette Geman, Dilip Madan, Marc Yor 'Correlation and the Pricing of Risks ' Bachelier Conference 2004 Attalienti Antonio 'Degenerate Evolution Problems & Markov Processes in Mathematical Finance' 2001 lecture Attari Makarram 'Option Pricing Using Fourier Transforms: A Numerically Efficient Simplification' 3/04 Attari Mukarram 'Testing Interest Rate Models:What Do Futures & Options Data Tell Us?' 2/2001 <skew,smile,humped volatility> Audrino Francesco, Fabio Trojani 'Accurate Yield Curve Scenarios Generation using Functional Gradient Descent' Bachelier Conference 2004 Audrino Francesco, Peter Buhlmann 'Volatility Estimation with Functional Gradient Descent for Very High Dimensional Financial Time Series' J. Comp. Finance Spring 03 Aurell Erik, Paolo Muratore-Ginanneschi 'GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS' IJT&AF 8/2004 Ausloos Marcel 'Financial Time Series & Statistical Mechanics' <power laws> 3/2001 Austin Mark, Graham Bates, Michael Dempster, Vasco Leemans, Stacy Williams 'Adaptive Systems for Foreign Exchange Trading' QF 8/04 Avellaneda Marco 'A Look Ahead at Option Pricing & Volatility' QF 10/04 Avellaneda Marco 'Quantitative Analysis in Financial Markets' III 2002 World Scientific Press Avellaneda Marco, Dash Boyer-Olson, Jerome Busca,Peter Friz 'Reconstructing Volatility:Pricing Index Options Using the Steepest-Descent Approximation' RISK 10/02;wp NYU 2002 Avellaneda Marco, Jingyi Zhu 'Distance to Default' RISK 12/01 Avellaneda Marco, Jingyi Zhu 'Modeling the Distance-to-Default Process of a Firm' 10/01 Avellaneda Marco, Liuren Wu 'Credit Contagion:Pricing Cross-Country Risk in Brady Debt Markets' Intern. J. of Theor. & Applied Finance 12/01 Aven Terje 'Foundations of Risk Analysis' 2004 Wiley Press Averbukh Victoria 'Pricing American Options Using Monte Carlo Simulation' PhD Cornell 97 Avram Florin, Andreas Kypianou, Martijn Pistorius 'Exit Problems for Spectrally Negative Levy Processes & Applications to Russian, American & Canadized Options' Ann. App. Prob. 04 , 2003 Avram Florin, Terence Chan, Miguel Usabel 'On the Valuation of Constant Barrier Options under Spectrally One Sided Exponential Levy Models & Carr's Approximation for American Puts' <Erlang, Gerber, Shiu> SP&A July/Aug. 2002 Avram Florin, Terence Chan, Miguel Usabel 'Pricing American Options under Spectrally Negative Exponential Levy Models' superceeded Avramidis Athanassios, Heinrich Matzinger 'Convergence of the Stochastic Mesh Estimator for Pricing American Options' 2002 Winter Simul Con.
Avramidis Athanassios, Heinrich Matzinger 'Convergence of the Stochastic Mesh Estimator for Pricing Bermuda Options' J. Comp. Finance Summer 2004 , 2/03 Avramidis Athanassios, J.R. Wilson 'Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments' OR 98 Avramidis Athanassios, Pierre L'Ecuyer, Pierre-Alexandre Tremblay 'Efficient Simulation of Gamma & Variance-Gamma Processes' 2003 Winter Simul. Confer. Avramov Doron 'Stock Return Predictability and Asset Pricing Models' RFS Fall 04 Avramov Doron, John Chao ‘An Exact Bayes Test of Asset Pricing Models with Application to International Markets’ JofB 1/06 Avramov Doron, Tarun Chordia, Gergana Jostova, Alexander Philipov 'Momentum and Credit Rating' U. Maryland, Emory, George Washington U. SSRN 6/05 Axelsson Owe, Vincent Barker 'Finite Element Solution of Boundary Value Problems:Theory & Computation' 2001 SIAM book Ayache Antoine, Jacques Levy Vehel 'On the identification of the Pointwise Hölder Exponent of the Generalized Multifractional Brownian Motion'SP&A 5/04 Ayache Ele 'The Discrete & the Continuous' Wilmott Pub. 10/01 Ayache Ele, Peter Forsyth, Kenneth Vetzal 'The Valuation of Convertible Bonds with Credit Risk' J. Derivatives Fall 03 ,6/02 Ayers Benjamin, Craig Lefanowicz, John Robinson 'Shareholder Taxes in Acquisition Premiums: The Effect of Capital Gains Taxation' JofF 12/03 Ayoola Ezekiel O. 'Lagrangian Quadrature Schemes for Computing Weak Solutions of Quantum Stochastic Differential Equations' SIAM J. Numerical Analysis 2002 Azcue Pablo, Nora Muler 'OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL' MF 4/05 Aziz Andrew, Eliamkim Katz, Eliezer Prisman 'Managing the Risk of Relative Price Changes by Splitting Index-Lined Bonds' J. of Risk Summer 01 Baaquie Belal 'Quantum Field Theory of Forward Rates with Stochastic Volatility' 10/01 Baaquie Belal 'Quantum Finance:Path Integrals & Hamiltonians for Options & Interest Rates' Cambridge Press 2004 Baaquie Belal, Claudio Coriano, Marakani Srikant 'Hamiltonian & Potentials in Derivative Pricing Models:Exact Results & Lattice Simulations' 5/03 Baaquie Belal, Claudio Coriano, Marakani Srikant 'Quantum Mechanics, Path Integrals & Option Pricing:Reducing the Complexity of Finance' 8/02 Baaquie Belal, Cui Liang, Mitch C. Warachka 'Hedging LIBOR Derivatives in a Field Theory Model of Interest Rates' Econophysics 5/05 Baaquie Belal, Marakani Srikant 'Hedging in Field Theory Models of the Term Structure' 11/03 Baaquie Belal, Marakani Srikant, Mitch Warachka 'A Quantum Field Theory Term Structure Model Applied to Hedging' Inter. J. Theor. & Appl. Finance 8/03 Baaquie Belal, Srikant Marakani 'Empirical Investigation of a Quantum Field Theory of Forward Rates' 6/01 Babbs Simon 'Conditional Gaussian Models of the Term Structure of Interest Rates' Finance and Stochastics 2002 Babuska Ivo, Raul Tempone, Georgios Zouraris 'Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations' 9/02 Baccarin Stefano 'Optimal impulse control for a multidimensional cash management system with nonlinear cost functions' Bachelier Conference 2004 Bacinello Anaa Rita 'Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option' Bachelier conference 2002 Back Andrew, Andreas Weigend 'A First Application of Independent Component Analysis to Extracting Structure from Stock Returns' Inter. J. Neural Sciences 10/7 <portfolio>
Back Kerry 'Incomplete & Asymmetric Information in Asset Pricing Theory' in Stochastic Methods in Finance Springer-Verlag July 03 conference Back Kerry, Shmuel Baruch 'Information in Securities Markets:Kyle Meets Glosten & Milgrom' Econometrica 3/04 Backus David, Liuren Wu 'The "Hump-Shaped" Mean Term Structure of Interest Rate Derivatives Vols.' Fordhap 98 Backus David, Silverio Foresi, A. Mozumdar, Liuren Wu 'Predictable Changes in Yields & Forward Rates' JFE 3/2001 , 4/97 Backus David, Silverio Foresi, Chris Telmer 'Affine Term Structure Models & the Forward Premium Anomaly' JofF 2/2001 Bacry Emmanuel, Jean-Francois Muzy 'Multifractal Stationary Random Measures & Multifractal Random Walks with Loginfinitely Divisible Scaling Laws' Physical Review 2002 Badea Lori, Junping Wang 'A New Formulation for the Valuation of American Options I :Solution Uniqueness' Badea Lori, Junping Wang 'A New Formulation for the Valuation of American Options II:Solution Existence' Badrinath S.G., Sunil Wahal ' Momentum Trading by Institutions'JofF 12/02 Bae Kee-Hong, G. Andrew Karolyi, René M. Stulz 'A New Approach to Measuring Financial Contagion' RFS Fall 03 Bae Kee-Hong, Jun-Koo, Jin-Mo Kim ' Tunneling or Value Added? Evidence from Mergers by Korean Business Groups'JofF 12/02 Baheti Prasun, Roy Mashal, Marco Naldi, Lutz Schloegl 'Squaring factor copula models' RISK 6/05 Bahra B. 'Implied Risk-Neutral Probability:Density Functions from Option Prices:Theory & Applications Bank of England 1997 Bai Jushan 'Inferential Theory for Factor Models of Large Dimensions 'Econometric 1/03 Bai Jushan, Serena Ng 'A PANIC Attack on Unit Roots and Cointegration ' Econometrica 7/04 Bai Jushan, Serena Ng 'Determining the Number of Factors in Approximate Factor Models' Econometrica Jan 02 Bai Y.Q., M. El Ghami, C. Roos 'A New Efficient Large-Update Primal-Dual InteriorPoint Method Based on a Finite Barrier' SIAM J. Optimization 1/02 Bailey Warren, Haitao Li, Connie Mao, Rui Zhong 'Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses' Taxation' JofF 12/03 Bain Alan 'Stochastic Calculus' <stochastics> 72 page wp Baker H. Kent, John Nofsinger, Daniel Weaver 'International Cross-Listing & Visibility' JF&QA 9/02 Baker M.D., Endre Suli, Antony (Tony) Ware 'Stability & Convergence of the Spectral Lagrange-Galerkin Method for Mixed Periodic/Non-Periodic Convection-Dominated Diffusion Problems' IMA J. Numer. Analysis V.19 #4 , wp 99 Baker Malcolm, Jeffrey Wurgler 'A Catering Theory of Dividends' JofF 6/04 Baker Malcolm, Jeffrey Wurgler 'Market Timing & Capital Structure' JofF 2/02 Bakhtin Yu. 'Existence and Uniqueness of a Stationary Solution of a Nonlinear Stochastic Differential Equation with Memory' Theory Prob. & its Applications V47, #4 Baks K., A. Metrick, J. Wachter 'Should Investors Avoid all Actively Managed Mutual Funds? Study in Bayesian Performance Evaluation' JofF 2/2001 Bakshi Gurdip, Dilip Madan 'Average Rate Claims with Emphasis on Catastrophe Loss Options' JF&QA 3/02 , 5/01 Bakshi Gurdip, Dilip Madan, F. Zhang 'Investigating the Sources of Default Risk:Lessons from Empirically Evaluating Credit Risk Models' 2/2001 Bakshi Gurdip, Dilip Madan, Frank Zhang ‘Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models’ JofB 9/06
Bakshi Gurdip, Nengjiu Ju ‘A Refinement to Ait-Sahalia's (2002) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach’ JofB 9/05 Bakshi Gurdip, Nikunj Kapadia 'Delta-Hedged Gains and the Negative Market Volatility Risk Premium 'RFS Summer 03 Bakshi Gurdip, Nikunj Kapadia, Dilip Madan 'Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options' RFS 2003 Bakshi Gurdip, Nikunj Kapadia, Dilip Madan 'Why are Implied Volatility Curves Embedded in Individual Eqity Options so Flat' U. Maryland 99 Balakrishnan V., L. Vandenberghe 'Connections Between Duality in Control Theory & Convex Optimization' 95 Balan R. 'Q-Markov Random Probability Measures & their Posterior Distributions' SP&A 2/04 Balasanov Yuri, Leonid Nazarov 'Pricing European Options on an Underlying with DoubleSided Gamma Distribution' 3/99 Balbus Lukasz, Andrzej S. Nowak 'Construction of Nash equilibria in symmetric stochastic games of capital accumulation' Math. of OR 10/04 Baldi Paolo 'Exact Asymptotics for the Probability of Exit from a Domain & Applications to Simulation' Annals of Pro. 95 Baldi Paolo 'Problemes de Simulation Pour des Options Path-Dependent:Le Role des Grandes Deviations' Baldini M., C. Mari 'Single Factor Models of the Term Structure with Generalized CIR Volatility Structure:an Application to the Italian Bond Market' 2001 lecture Balduzzi Pierluigi, Edwin Elton, T. Clifton Green 'Economic News & Bond Prices:Evidence from the U.S. Treasury Market' JF&QA 12/01 BAli Turan, Nusret Cakici, Xuemin (Sterling) Yan, Zhe Zhang 'Does Idiosyncratic Risk Really Matter?' JofF 4/05 Bali Turan, Salih Neftci 'Estimating the Term Structure of Interest Rate Volatility in Extreme Values' J. Fixed Income March 2001 Ball Clifford, Tarun Chordia 'True Spreads and Equilibrium Prices'JofF 10/01 Balland Philippe 'Deterministic Implied Volatility Models' QF 2/02 Balland Philippe., Lane Hughston 'Markov Market Model Consistent with Cap Smile' Inter.J. Theor & App. Finance 4/2000 Ballestero Enrique 'Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection' Applied Math. Finance 3/05 Ballotta Laura, Andreas Kyprianou 'A Note on the Alpha-Quantile Option' Applied Math. Finance 9/01 Bally Vlad, Anis Matoussi 'Weak Solutions for SPDEs & Backward Doubly Stochastic Differential Equations' Jan. 2001 J. Theor. Prob. , <SDE> <Sobolev, FeynmanKac> Bally Vlad, Denis Taly 'The Law of the Euler Scheme for Stochastic Differential Equations (I): Convergence Rate of the Distribution Funciton' Prob. Theory & Related Fields 95 Bally Vlad, Gilles Pages 'A Quantization Algorithm for Solving Multidimensional Optimal Stopping Problems' wp 2001 Bally Vlad, Gilles Pages 'Error Analysis of the Quantization Algorithm for Obstacle Problems' wp 2002 Bally Vlad, Gilles Pages, Jacques Printems 'A Quantization Tree Method for Pricing & Hedging Multi-Dimensional American Options' MF 1/05 ,5/02 Bally Vlad, Gilles Pages, Jacques Printems 'First-Order Schemes in the Numerical Quantization Method' MF 1/03 , 4/02 Bally Vlad, L. Caramellino, Antonino Zanette 'Pricing American Options by Monte Carlo Methods Using a Malliavin Calculus Approach' INRIA 2003 Ban Junhwa, Hyeong In Choi, Hyejin Ku 'Valuation of European Options in the Market with Daily Price Limit' App.Math.Finance 3/2000 Bana Gergei 'Risk-Free Internal Gains -- Black and Scholes Re-Examined' SSRN 5/05
Bandi Federico, Thong Nguyen 'On the Functional Estimation of Jump-Diffusion Models' 2/01 Bandi Fererico, Peter Philips 'Fully Nonparametric Estimation of Scalar Diffusion Models 'Econometric 1/03 Bandi Fererico, Thong Nguyen 'On the Functional Estimation of Jump-Diffusion Models' J. Econometric Aug 2003 Bandle C. 'Symmetrizations in Paraboic Differential Equations' J. Analyse 76 Banerjee Pradipto 'Close Form Pricing of Plain & Partial Outside Double Barrier Options' 2/03 Banerjee Suman, Laurent Gauthier, W. Tan, D. Zhu 'A Study of RASC Subprime Loan Prepayments, Delinquencies & Losses' J. Fixed Income 12/2000 Banerjee Suman, Thomas Noe ‘Exotics and Electrons: Electric Power Crises and Financial Risk Management’ JofB tobe 2005-2006 Bange Mary, Michael A. Mazzeo 'Board Composition, Board Effectiveness, and the Observed Form of Takeover Bids' RFS Winter 04 Banger Nicole 'PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS 'IJT&AF 2/04 Bank Peter 'Universal Exercise Signals for American Options: A New Approach to Optimal Stopping' Bachelier Conference 2004 abstract Bank Peter, Fabrice Baudoin, Hans Follmer, L.C.G. Rogers, H. Mete Soner, Nizar Touzi 'Paris-Princeton Lectures on Mathematical Finance 2002' Springer-Verlag 2003 Bank Peter, Frank Riedel 'Existence & Structures of Stochastic Equilibrium with Intertemporal Substituion' Finance & Stochastics Oct 01 Bank Peter, Hans Follmer 'American Options, Multi-Armed Bandists & Optimal Consumption Plans:A Unifying View' 4/03 Bank Peter, Nicole El Karoui 'A Stochastic Representation Theorem with Applications to Optimization & Obstacle Problems' Bank Peter, Nicole El Karoui, Frank Riedel 'Optimal consumption rules in the presence of durable and perishable goods' Bachelier conference 2002 Bank Randolph, Michasel Holst 'A New Paradigm for Parallel Adaptive Meshing Algorithms' SIAM Review 6/03 Banks John, Valentina Dragan, Arthur Jones 'Chaos:A Mathematical Introduction' 2003 Cambridge Press Banner Adrian, Robert Fernholz, Ioannis Karatzas 'Atlas models for equity markets' 2004 Bansal Ravi, Amir Yaron 'Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles' JofF 8/04 Bansal Ravi, Hao Zhou 'Term Structure of Interest Rates with Regime Shifts' JofF 10/02 Baptista Alexandre 'Spanning with American Options' JET 2003 Barbachan Jose Fajardo, Ernesto Mordecki 'Put-Call Duality & Symmetry' 6/03 Barbe Ph., W. P. McCormick 'Second-Order Expansion for the Maximum of Some Stationary Gaussian Sequences' SP&A 4/04 Barber Brad, Reven Lehavy, Maureen McNichols, Brett Trueman 'Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns' JofF 4/2001 Barber Brad, Terrance Odean 'Online Investors:Do the Slow Die First?' RFS v.15 #2 2002 Barberis Nicholas, Ming Huang 'Mental Accouting, Loss Aversion & Individual Stock Returns',Discussion M. Brennan JofF 8/01 Barclay Michael, Erwan Morellec, Clifford Smith ‘On the Debt Capacity of Growth Options’ JofB 1/06 Barclay Michael, Terrence Hendershott 'Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours' JofF 4/04 Barclay Michael, Terrence Hendershott, D. Timothy McCormick 'Competition among Trading Venues: Information and Trading on Electronic Communications Networks' Taxation' JofF 12/03 Barco Michael 'Bringing Credit Portfolio Modeling to Maturity' RISK 1/04 <mark-tomarket>
Barles Guy, Christian Daher, Marc Romano 'Convergence of Numerical Schemes for Problems Arising in Finance Theory' Math. Models Mech. App. Sci 5,1995 Barlow Martin 'A Diffusion Model for Electricity Prices 'MF Oct/02 Barlow Martin, Yuri Gusev, Manpo Lai 'CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS ' IJT&AF 3/04 Barndorff-Nielsen Ole 'Information & Exponetial Famililes in Statistical Theory' Wiley 98 Barndorff-Nielsen Ole, Elisa Nicolato, Neil Shephard 'Some Recent Developments in Stochastic Volatility Modeling' 12/01 Barndorff-Nielsen Ole, Neil Shephard 'Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics 'Econometrica 5/04 Barndorff-Nielsen Ole, Neil Shephard 'Estimating Quadratic Variation Using Realized Variance' 3/02 Barndorff-Nielsen Ole, Neil Shephard 'Estimating Quadratic Variation Using Realized Volatility' J. App. Econometrics 2002 Barndorff-Nielsen Ole, Neil Shephard 'Higher Order Variation & Stochastic Volatility Models' 7/01 Barndorff-Nielsen Ole, Neil Shephard 'How Accurate is the Asymptotic Approximationto the Distribution of Realized Volatility?' Scan. J. Stat. 6/03 , 8/01 Barndorff-Nielsen Ole, Neil Shephard 'Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy-processes' CAF 12/04 Barndorff-Nielsen Ole, Neil Shephard 'Integrated OU Processes & Non-Gaussian OU-Based Stochastic Volatility Models' 5/2001 Barndorff-Nielsen Ole, Neil Shephard 'Multipower Variation and Stochastic Volatility' 2004 Barndorff-Nielsen Ole, Neil Shephard 'Normal Modified Stable Processes' 6/10/01 Barndorff-Nielsen Ole, Neil Shephard 'Power & Bipower Variation with Stochastic Volatility & Jumps' Barndorff-Nielsen Ole, Neil Shephard 'Realized Power Variation & Stochastic Volatility Models' 8/01 Barndorff-Nielsen Ole, Peter Reinhard Hansen, Asger Lunde, Neil Shephard 'Regular and modified kernel-based estimators of integrated variance: the case with independent noise' CAF 12/04 Barndorff-Nielsen Ole, Steen Thorbjørnsen 'The Lévy-Itô decomposition in free probability' Prob. Theory & Related Fields 2/05 Barndorff-Nielsen Ole, Svend Graversen, Neil Shephard 'Power Variation & Stochastic Volatility:A Review & Some New Results' 5/03 Barner M., F. Feri 'On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market' Annals of Finance Jan 05 Barnett Richard, Eric Fisher 'Comment on: "Do Sunspots Matter When Spot Market Equilibria Are Unique?"' Econometrica Jan 02 Barnett W., S. Wu 'On user costs of risky monetary assets' Annals of Finance Jan 05 Barnhill T., G. Kopits 'Assessing fiscal sustainability under uncertainty 'J. Risk Summer 2004 Baron Ken, Jeffrey Lange 'From Horses to Hedging' RISK 2/03 Barone Adesi Giovanni, Henrik Rasmussen, Claudia Ravanelli 'An Option Pricing Formula for the GARCH Diffusion Model'<European> SSRN 1/04 Barone-Adesi Giovanni 'Electricity Derivatives' Barone-Adesi Giovanni, Ana Bermudez, John Hatgioannides 'Two-Factor Convertible Bonds Valuation using the Method of Characteristic/Finite Elements' J. Econ.Dyn. & Control 2003
Barone-Adesi Giovanni, Walter Allegretto, E. Dinenia, Ghulam Sorwar 'Valuation of Single Factor Default Free Bonds & Contingent Claims' 2003 NCR wp Barrett Christopher, et al 'Understanding Large-Scale Social & Infrastructure Networks:Simulation Based Approach' SIAM News 5/04 Barrett Garry, Stephen Donald 'Consistent Tests for Stochastic Dominance 'Econometric 1/03 Barrieu Pauline, Nicole El Karoui 'Inf-convolution of risk measures and optimal risk transfer' F&S 4/05 Barrieu Pauline, Nicole El Karoui 'Optimal derivatives design under dynamic risk measures' Mathematics of finance : Proceedings of an AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance 2003 Barrieu Pauline, Nicole El Karoui 'Optimal Derivatives Design under Dynamic Risk Measures' 2003 Barro Robert 'Rare Events and the Equity Premium' SSRN 6/05 Barrow J., J. Silk 'The Structure of the Early Universe' "Particle Physics in the Universe" Freeman & Co. {Scien.Amer. articles> Barucci Emilio 'Financial Markets Theory' 2003 Springer-Verlag Barucci Emilio, Paul Malliavin, Maria Elvira Mancino 'Harmonic analysis methods for volatility computation' Bachelier Conference 2004 Barucci Emilio, Paul Malliavin, Maria Elvira Mancino, Roberto Reno, Anton Thalmaier 'Price-Volatility Feedback Rate:An Implementatable Mathematical Indicator of Market Stability' MF 1/03 Barucci Emilio, Roberto Reno 'On Measuring Volatility & GARCH Forecasting Performance' J. International Financial Markets 2002 Barucci Emilio, Roberto Reno 'On Measuring Volatility of Diffusion Processes with High Frequency Data' Economic Letters 2002 Basak S., A. Shapiro 'Value At Risk Management:Optimal policies & Asset Prices' RFS Summer 2001 Basak Suleyman, Alex Shapiro ‘A Model of Credit Risk, Optimal Policies, and Asset Prices’ JofB 7/05 Basili M., F. Fontini 'Ambiguity & Portfolio Inertial' International J. Theoretical & Applied Finance 12/02 Bass Richard, Krzysztof Burdzy, Zhen-Qing Chen 'Stochastic Differential Equations Driven by Stable Processes for which Pathwise Uniqueness Fails*1'SP&A 5/04 Bassan B., C. Ceci 'Regularity of the value function and viscosity solutions in optimal stopping problems for general Markov processes'S&SR 2002 Basset Gib, Chen Chen, Rong Chen 'Time Series Properties of Cross-Sectional Equity Returns' Bachelier Conference 2004 Bassetto Marco 'A Game-Theoretic View of the Fiscal Theory of the Price Level 'Econometrica 11/02 Bassi F., Paul Embrechts, M. Kafetzaki 'Risk Managemetn & Quanitle Estimation' in A Practical Guide to Heavy Tails 98 Basso Antonella, Martina Nardon, Paolo Pianca 'Discrete and continuous time approximations of the optimal exercise boundary of American options' Bachelier conference 2002 Basso Antonella, Martina Nardon, Paolo Pianca 'Early Exerice Boundary of American Options' 2001 lecture Basso Antonella, Paolo Pianca 'Option Pricing Bounds with Standard Risk Aversion Preferences' 6/01 Basu A. 'An Introduction to Stochastic Processes' 2002 CRC Press Basu Kaushik, Tapan Mitra 'Aggregating Infinite Utility Streams with InterGenerational Equity: The Impossibility of Being Paretian' Econometrica 9/03 Basu Sankarshan, Angelos Dassios 'A Doubly Stochastic Poisson Process with Log-Normal Intensity' Bates David 'Empirical Option Pricing: a Retrospection' J. Econometric Aug 2003 Bates David 'Maximum Likelihood Estimation of Latent Affine Processes' NBER 5/03
Bates Thomas 'Asset Sales, Investment Opportunities, and the Use of Proceeds' JofF 2/05 Bather John 'Bounds on Optimal Stopping Times for the American Put' U. Suxxex 1997 Bather John 'Optimal Stopping Problems for Brownian Motion' Advances in Appl. Prob. 1970 Battaglini Marco 'Multiple Referals & Multidimenstional Cheap Talk' Econometrica 7/02 Battalio Raymond, Larry Samuelson, John Van Huyck 'Optimization Incentives & Coordination Failure in Laboratory Stag Hunt Games' Econometrica 5/2001 Battalio Robert, Brain Hatch, Robert Jennings 'Toward a National Market System for U.S. Exchange-listed Equity Options' JofF 4/04 Battalio Robert, Jason Greene, Brian Hatch, Robert Jennings 'Does the Limit Order Routing Decision Matter? 'RFS Spring 2002 Battauz Anna 'Pricing & Hedging Asset Derivatives with Discrete Stochastic Dividends' 2001 lecture Battauz Anna, Francesca Beccacece 'DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET 'IJT&AF 2/04 Battauz Anna, Maurizio Pratelli 'Optimal stopping and American options with discrete dividends and exogenous risk' Bachelier Conference 2004 Baudoin Fabrice 'Conditional Stochastic Differential Equations: Theory, Examples and Applictions to Finance' SP&A July/Aug 2002 <SDE> Baudoin Fabrice, Laurent Nguyen-Ngoc 'The financial value of a weak information on a financial market' FS 8/04 Baudoin Fabrice, Nicolas Gaussel 'Badly Arbitraged Marekts & Negative Martingale Measures' <martingale> 12/2000 Bauer Christian, Bernhard Herz 'Technical Trading & the Volatility of Exchange Rates' QF 8/04 Bauer K., S. Venkatraman, J. Wilson 'Estimation Procedures Based on Control Variates with Known Covariance Matrix' Proc. Winter Simulation Conference IEEE 87 Bauerle Nicole, Ulrich Rieder 'Portfolio optimization with Markov-modulated stock prices and interest rates' IEEE Trans. Automated Control 3/04 Baule Rainer, Marco Wilkens 'Lean Trees-A General Approach for Improving Performance of Lattice Models for Option Pricing' Rev. Deriv. Research 2004 , 12/2000 Baur Dirk, Robert Jung 'Spotting Special Spillovers' Bachelier conference 2002 Baurdoux E., A. Kyprianou 'Further Calculations for Israeli Options' S&SR 12/04 Baviera Roberto 'Transaction Costs:A New Point of View' Inter. J. Theoretical & Applied Finance 4/2001 Baviera Roberto 'Vol-Bond:An Analytical Solution' QF Aug. 2003 Baviera Roberto, M. Pasquini, J. Raboanary, M. Serva 'Moving Averages & Price Dynamics' Inter. J. Theor. & Applied Finance 9/02 Bavouzet-Morel Marie-Pierre, Vlad Bally, Marouen Messaoud 'Monte Carlo method using Malliavin calculus on Poisson space for the computation of Greeks' Bachelier Conference 2004 Baxendale Peter 'Stochastic averaging and asymptotic behavior of the stochastic Duffing-van der Pol equation' SP&A 10/04 Bayraktar Erhan, Savas Dayanik 'Quickest Detection of the Poisson Disorder with Exponential Delay Cost' Bachelier Conference 2004 Bayraktar Erhan, Vincent Poor, Ronnie Sircar 'ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS' IJT&AF 8/2004 Baz Jamil, George Chacko 'Financial Derivatives' 2004Cambridge Press Bazant Zdenek, Yong Zhou 'Why Did the World Trade Center Collapse' SIAM News 10/01 Beaglehole David 'Tax Clienteles & Stochastic Processes in the Gilt Market' wp U. Chicago 91 Beaglehole David, Alain Chebanier 'A Two-Factor Mean-Reverting Model' RISK 7/02 Beaglehole David, Alain Chebanier 'Mean Reverting Smiles' RISK 4/02 Bear Stearns 'Collateralized Synthetic Obligations:A New Asset Class' RISK 11/01
Beatson R., H. Bui 'Mollification Formulas & Implicit Smoothing' U. Cantebury 2003 Bebchuk Lucian 'Ex Ante Costs of Violating Absolute Priority in Bankruptcy' JofF 2/02 Becherer Dirk 'Rational Hedging & Valuation with Utility-Based Preferences' PhD 2001 <semi-complete market, PDE,numeraire,reaction-diffusion> Becherer Dirk 'Utility-Indifference Hedging & Valuation via Reaction-Diffusion Systems' Proc.:Math.,Physical & Engin. 1/04 Becherer Dirk, Martin Schweizer 'Classical Solutions to Reaction-Diffusion Systems for Hedging with Interacting Ito & Point Processes' 2003 Beck Thorsten, ASLI DEMIRGÜÇ-KUNT, VOJISLAV MAKSIMOVIC 'Financial and Legal Constraints to Growth: Does Firm Size Matter?' JofF 2/05 Becker J. 'A Second Order Backward Difference Method with Variable Timesteps for a Parabolic Problem' BIT 98 Becker-Kern Peter 'Random Integral Representation of Operator-Semi-Self-Similar Processes with Independent Increments' SP&A 2/04 Bedendo Mascia, Stewart Hodges 'A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA' IJT&AF 12/04 Beerends R., H. ter Morsche, J. van den Berg, E. van de Vrie 'Fourier & Laplace Transforms' Cambridge Press Beghdadi-Sakrani S. 'On Pathwise Uniqueness of Stochastic Differential Equations Without Drift' Journal Theor. Prob. 10/03 Beibel M., H. Lerche 'Optimal Stopping of Regular Diffusions under Random Discounting' Theory of Probability and It's Applications V45 #4 Bekaert Geert, Campbell Harvey, Christian Lundblad 'Equity Market Liberalization in Emerging Markets' Review FRB St. Louis July/Aug 03 Bekaert Geert, Jun Liu 'Conditioning Information & Variance Bounds on Pricing Kernels' RFS Summer 04 Bekaert Geert, Robert Hodrick 'Expections Hypotheses Tests',Discussion Matthew Richardson JofF 8/01 Belanger Alain, Steven Shreve, Dennis Wong 'A GENERAL FRAMEWORK FOR PRICING CREDIT RISK' MF 7/04 Belanger Alain, Steven Shreve, Dennis Wong 'A Unified Model for Credit Derivatives' 2/2001 Belbase Eknath 'A Lattice Implementation of the Black-Karasinski Rate Process' <simulation,pre-payment, mortgage> Andrew Davidson Co. www.ad-co.com 6/2000 Belbase Eknath, Daniel Szakallas 'The Yield Curve & Mortgage Current Coupons' J. Fixed Income March 02 Belensky A. 'Inner Market as a "Black Box" of Parameters for the Entire Market' Int. J. Theor.& Applied Fiannce 8/2002 Bell Leonie, Tim Jenkinson 'New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor' JofF 6/02 Bellalah Mondher, Marc Lavielle, Jean-Luc Prigent 'Pricing Standard & Exotic Options in the Presence of Finite Mixture of Gaussian Distributions:Theory & Empirical Tests' Bellalah Mondher, Mohamed Ahnani, Jean-Luc Prigent 'Option Pricing with a Finite Stochastic Volatility' 12/99 Bellalah Mondher, Z. Wu 'A Model for Market Closure & International Portfolio Mangement within Incomplete Information' Int. J. Theor.& Applied Fiannce 8/2002 Bellamy Nadine 'Wealth Optimization in an Incomplete Market Driven by a Jump-Diffusion Process' J. Math Econ. 2001 <portfolio> Bellini Fabio, Gianna Figagrae 'DETECTING AND MODELING TAIL DEPENDENCE'IJT&AF 5/04 Bellini Fabio, Marco Frittelli 'On the Existence of Minimax Martingale Measures' MF 1/02 <martingale> Belton Terrence, Pavan Wadhwa 'Swaps as a Synthetic Asset Class' J. Fixed Income 12/02 Belzil Christian, Jorgen Hansen 'Unobserved Ability and the Return to Schooling 'Econometrica 9/02
Ben Hariz Samir 'Uniform CLT for empirical process' SP&A 2/05 Benaim Michael, Jorgen Weilbull 'Deterministic Approximation of Stochastic Evolution in Games 'Econometrica May 03 Ben-Ameur Hatem, Michele Breton, Pierre L'Ecuyer 'A Dynamic Programming Procedure for Pricing American-Style Asian Options' Management Science May 02 <Path, Bermuda, Piecewise Polynomial> Ben-Ameur Hatem, Pierre L'Ecuyer, Christiane Lemieux 'Combination of General Antithetic Transformations & Control Variables' Math. of O.R. 11/04 <monte carlo> Ben-Ari Iddo, Ross Pinsky 'Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals' SP&A 2/05 Benartzi Shlomo 'Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock'JofF 10/01 Benartzi Shlomo, Richard Thaler 'How Much Is Investor Autonomy Worth?' JofF 8/02 Bencivenga Valerie, Bruce Smith 'Monetary Policy & Financial Market Evolution' Review FRB St. Louis July/Aug 03 Bender Christian 'The Fractional Ito Integral, Change of Measure & Absence of Arbitrage' 11/02 <martingale> Bender Christian, Michael Kohlmann 'BSDEs with Stochastic Lipschitz Condition' <SDE> 2/2000 Bender Christian, Robert Elliott 'Arbitrage in a Discrete Version of the Wick Fractional Black-Scholes Market' Math. of O.R. 11/04 <arbitrage> Beneder Reimer, Ton Vorst 'The Implied Volatility Skew' 2001 in Recent Dev. in Math. Finance:Shanghai Benes V.E. 'Girsanov Functions & Optimal Bang-Bang Laws for Final-Value Stochastic Control' SP&A 1974 Ben-Hamou Eric 'Efficient Computation of Greeks for Discontinuous Payoffs by Transformation of the Payoff Function' 1/02 <monte carlo, Asian, Lookback, Malliavin> Ben-Hamou Eric 'Fast Fourier Transform for Discrete Asian Options' J. Computational Finance Fall 02 , 3/2000 Ben-Hamou Eric 'Optimal Malliavin Weighting Function for the Computation of the Greeks' MF 1/03 , 12/01