Update3

(Various) 'Productivity, Labor & the Business Cycle' FRB St. Louis Review July/Aug. 05 Abadie Alberto, Guido Imbens 'Large Sample Properties of Matching Estimators for Average Treatment Effects' Econometrica 1/06 Achdou Yves, Olivier Pironneau 'Numerical Procedure for Calibration of Volatility with American Options' Applied Math. Finance 9/05 Agca Senay 'The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies under a Heath-Jarrow-Morton Framework' JF&QA 9/05 Aggoun Lakhdar, Robert Elliott ‘Measure Theory & Filtering’ Cambridge 2004 Ait-Sahalia Yacine, Robert Kimmel 'Maximum Likelihood Estimation of Stochastic Volatility Models' 1/05 Allievi A., R. Bermejo 'Finite Element Modified Method of Characteristics for the Navier-Stokes Equation' Inter. J. Numer. Methods Fluids 2000 Alvarez Fernando, Urban J. Jermann 'Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth' Econometrica 11/05 Alvarez Olivier, A. Tourin 'Viscosity Solutions of Nonlinear IntegroDifferential Equations' Ann. Inst. H. Poincare Anal. Non Lineaire 1996 Andersen Torben, Tim Bollerslev, Dobrislav Dobrev 'Nonparametric Exploration of Continuous Time Volatility Models with Leverage and Jumps' wp (in complete) 8/05 Anderson Edward, Huifu Xu 'VarEpsilon-Optimal Bidding in an Electricity Market with Discontinuous Market Distribution Function' SIAM J. Control & Opt. 11/05 Andritzky Jochen 'Default and Recovery Rates of Sovereign Bonds: A Case Study of the Argentine Crisis' J. Fixed Income 9/05 Angeles Maria, Carnero Fernandez, Daniel Peña, Esther Ruiz 'Persistence and Kurtosis in GARCH and Stochastic Volatility Models' Journal of Financial Econometrics, Vol. 2, No. 2, 2004 Angelini Flavio, Stefano Herzel 'Consistent Calibration Of HJM Models To Cap Implied Volatilities' J. Futures Markets 11/05 Artzner Philippe, Freddy Delbaen, Jean-Marc Eber, David Heath, H. Ku 'Coherent Multiperiod Risk Adjusted Values & Bellman's Principle' ETH 2003 Asai Manabu 'Comparison of MCMC Methods for Estimating Stochastic Volatility Models' Computational Economics 6/05 Babbs Simon, Andrew Johnson 'Severe loss probabilities in portfolio credit risk models' 1/9/2004 Bailey David, Paul Swartztrauber 'A Fast Method for Numerical Evaluation of Continuous Fourier & Laplace Transforms' SIAM J. Sci. Computing 15(5) 1994 Bailey David, Paul Swartztrauber 'The Fractional Fourier Transform & Applications' SIAM Review 1991 Bakshi Gurdip, Nengjiu Ju ‘A Refinement to Ait-Sahalia’s 2002 “Maximum Likelihood Estimation of Discretely Sampled Diffusions:A Closed Form Approximation Approach”’ Sept 05 JofB Baldick Ross 'Applied Optimization:Formulation & Algorithms for Engineering Systems' Cambridge Press Baquero Guillermo, Jenke ter Horst, Marno Verbeek 'Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance' JF&QA 9/05 Barles Guy, E. Jakobsen 'On the Convergence Rate of Approximation Schemes for Hamilton-Jacobi-Bellman Equations' Math. Model Numer. Analy 36, 2002 Barles Guy, Panagiotis Souganidis 'Convergence of Approximation Schemes for Fully Nonlinear Second Order Equations' Asymptot. Anal. 1991 Barles Guy, Rainer Buckdahn, Etienne Pardoux 'BSDE's & Integral-Partial Differential Equations' S&SR 1997

Barndorff-Nielsen Ole, Neil Shephard 'Power and Bipower Variation with Stochastic Volatility and Jumps' Journal of Financial Econometrics, Vol. 2, No. 1, 2004 Barone-Adesi Giovanni 'The Saga of the American Put' J. Banking & Finance 11/05 Basak Suleyman 'Asset Pricing With Heterogeneous Beliefs' J. Banking & Finance 11/05 Basak Suleyman, Alexander Shapiro ‘A Model of Credit Risk, Optimal Policies & Asset Prices’ July 05 JofB Bauerle Nicole 'Benchmark and Mean-Variance Problems For Insurers' Math. Methods of OR 9/05 Bayraktar Erhan, Li Chen, H. Vincent Poor 'Consistency Problems for Jumpdiffusion Models' Applied Math. Finance V.12,2 June 05 Bedendo Mascia, Lara Cathcart, Lina El-Jahel ‘The Shape of the Term Structure of Credit Spreads:An Empirical Investigation’ Imperial College 2004 Bedendo Mascia, Lara Cathcart, Lina El-Jahel, Lorenzo Liesch 'Trading Down The Slopes' RISK 11/05 Bekaert Geert, Campbell Harvey, Angel Ng ‘Market Integration & Contagion’ Jan 05 JofB Belaygorod Anatoliy, Michael Dueker 'Discrete Monetary Changes & Changing Inflation Targets in Estimating Dynamic Stochastic General Equilibrium Models' FRB St. Louis Review Nov/Dec. 05 Benth Fred Espen, Kenneth Hvistendahl Karlsen 'A PDE Representation Of The Density Of The Minimal Entropy Martingale Measure In Stochastic Volatility Markets' Stochastics 4/05 Bergemann Dirk, Stephen Morris 'Robust Mechanism Design' Econometrica 11/05 Berger Allen, Marco Espinosa-Vega, W. Scott Frame, NATHAN H. MILLER 'Debt Maturity, Risk, and Asymmetric Information' JofF 12/05 Bergomi Lorenzo 'Smile Dynamics II' RISK 10/05 Bermejo R. 'Analysis of a Class of Quasi-Monotone & Conservative SemiLangrangian Advection Schemes' Numer. Math 2001 Best Michael, Jaroslava Hlouskova ‘An Algorithm for Portfolio Optimization with Transaction Costs’ MS 11/05 Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Hedging Of Credit Derivatives In Models With Totally Unexpected Default’ June 30, 2005 Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Pricing And Trading Credit Default Swaps' 8/1/05 Bielecki Tomasz, Stephane Crepey, Monique Jeanblanc, Marek Rutkowski 'Valuation Of Basket Credit Derivatives In The Credit Migrations Environment' Sept.(?) 2005 Bielecki Tomasz, Stephane Crepey, Monique Jeanblanc, Marek Rutkowski 'Valuation of Convertible Bonds in an abstract set-up' 9/5/05 Bieri David, Ludwig Chincarini 'Riding the Yield Curve: A Variety of Strategies' J. Fixed Income 9/05 Blenman Lloyd, Steven Clark 'Options with Constant Underlying Elasticity in Strikes' Review Deriv. Research 8/05 Bobrowski Adam 'Functional Analysis for Probability & Stochastic Processes' Cambridge Press Borici Artan, Hans-Jakob Luthi 'Fast solutions of complementarity formulations in American put pricing' J. Computational Finance V.9, Number 1 2005 Boyarchenko Svetlana, Sergei Levendorskii 'American Options: the EPV Pricing Model' Annals of Finance 1, 267-292 (2005)

Boyarchenko Svetlana, Sergei Levendorskii 'General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion' SSRN 11/05 Boyle Phelim, David Emanuel 'Options on the General Mean' U. British Columbia 1980 Boyle Phelim, Mary Hardy, Ton Vorst 'Life after VaR' J. of Derivatives Fall 05 Bozuck Aslihan, M. Ameziane Lasfer 'The Information Content of Institutional Trades on the London Stock Exchange' JF&QA 9/05 Brace Alan 'Rank-2 Swaption Formulae' wp Financial Math. Modeling Analysis 1998 Brau James, Val E. Lambson, Grant McQueen 'Lockups Revisited' JF&QA 9/05 Brooks Chris, Simon Burke, Saeed Heravi, Gita Persand 'Autoregressive Conditional Kurtosis' Journal of Financial Econometrics, Vol. 3, No. 3, 2005 Bubák Pavel, Cornelis V. M. van der Mee, André C. M. Ran 'Approximation of Solutions of Riccati Equations' SIAM J. Control & Opt. 11/05 Buraschi Andrea, Francesco Corielli 'Risk Management Implications Of TimeInconsistency: Model Updating And Recalibration Of No-Arbitrage Models' J. Banking & Finance 11/05 Cakmak U., S. Ozekici 'Portfolio optimization in stochastic markets' Math. Methods of OR 10/05 Camara Antonio ‘Option Prices Sustained by Risk-Preferences’ Sept. 05 JofB Campi L. 'Some Results On Quadratic Hedging With Insider Trading' Stochastics 8/05 Caporale Guglielmo Maria, Christos Ntantamis, Theologos Pantelidis, Nikitas Pittis 'The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study' Journal of Financial Econometrics, Vol. 3, No. 2, 2005 Card David, Dean R. Hyslop 'Estimating the Effects of a Time-Limited Earnings Subsidy for Welfare-Leavers' Econometrica 11/05 Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'Self Decomposability and Option Pricing' 8/27/05 Casassus Jamie, Pierre Collin-Dufresne, Bob Goldstein 'Unspanned Stochastic Volatility And Fixed Income Derivatives Pricing' J. Banking & Finance 11/05 Case James 'Can Science Outperform the Shamans in Global Financial Markets?' Review of B. Mandelbrot, Richard Hudson's "The (Mis)Behavior of Markets:A Fractal View of Risk, Ruin & Reward"' SIAM News Oct. 2005 Cassesse Gianluca, Massimo Guidolin 'Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter?' Jan. 05 FRB St. Louis Castañeda-Leyva Netzahualcóyotl, Daniel Hernández-Hernández 'Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients' SIAM J. Control & Opt. 10/05 Cerny Ales 'Minimal Martingale Measure, CAPM, and Representative Agent Pricing in Incomplete Markets' SSRN, City University London - Faculty of Management 11/05 Chan Tony, Jianhong (Jackie) Shen 'Image Processing & Analysis:Variational, PDE, Wavelet & Stochastic Methods' 2005 SIAM Books Chang Ganlin, Suresh Sundaresan ‘Asset Prices & Default-Free Term Structure in an Equilibrium Model of Default’ May 05 JofB Chen Bin, Yongmiao Hong ‘Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models’ SSRN 12/05

Cheridito Patrick, Christopher Summer ‘Utility Maximization Under Increasing Risk Aversion In One-Period Models’ F&S 1/06 Chib Siddhartha, Michael Dueker 'Non-Markovian Regime Switching with Endogenous States & Time-Varying State Strenghts' 2004 wp FRB St. Louis Choi Kyoung Jin, Hyeng Keun Koo 'A preference change and discretionary stopping in a consumption and porfolio selection problem' Math. Methods of OR 7/05 Chong James, Joelle Miffre 'Conditional Risk Premia, Volatilities and Correlations in Commodity Futures Markets' SSRN 10/05 Choom Alexandre, Ole Hald 'Stochastic Tools in Mathematics & Finance' Springer 2005 Chua Choong Tze, Dean Foster, Krishna Ramaswamy, Robert Stine 'A Dynamic Model for the Forward Curve' Singapore Manag. U., U. Penn., SSRN 11/05 Chue Timothy ‘Conditional Market Comovements, Welfare & Contagions:The Role of Time-Varying Risk Aversion’ May 05 JofB Chung San-Li, Hsiao-Gen Yang 'Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy' Applied Math. Finance V.12,2 June 05 Cipra Barry 'Control Theorists Chart New Waters for Synchronized Swimmers' SIAM News 11/05 Cipra Barry 'Patient-Specific Models Take Aim at Uncertainty in Medical Treatment' SIAM News Oct. 2005 Ciurlia Pierangelo, Ilir Roko 'Valuation of American Continuous-Installment Options' Computational Economics 2/05 Cohen Benjamin ‘Derivatives and Asset Price Volatility: A Test Using Variance Ratios’ SSRN 12/05 Colin Andrew 'Fixed Income Attribution' Wiley 2005 Cooper Michael, Huseyin Gulen, P. Raghavendra Rau 'Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows' JofF 12/05 Cosma Antonio, Olivier Scaillet, Rainer von Sachs 'Multiariate Waveletbased Shape Preserving Estimation For Dependant Observation' 2005 FAME Research Paper Series rp144, International Center for Financial Asset Management and Engineering. Crack Timothy 'Heard on the Street: Quantitative Questions from Wall Street Job Interviews' 2003 Publisher ? Craine R, L. Lochstoer, K. Syrtveit 'Estimation of a Stochastic-Volatility Jump-Diffusion Model' wp U. California Berkeley 2000 Crandall M.G., Pierre-Louis Lions 'Two Approximations of Solutions of Hamilton-Jacobi Equations' Math. Comp. 43, 1984 Crawford Dean, Diana R. Franz, Gerald J. Lobo 'Signaling Managerial Optimism through Stock Dividends and Stock Splits: A Reexamination of the Retained Earnings Hypothesis' JF&QA 9/05 Cremers K.J. Martijn, Vinay Nair 'Governance Mechanisms and Equity Prices' JofF 12/05 Cripps Martin, Jeroen M. Swinkels 'Efficiency of Large Double Auctions' Econometrica 1/06 Dai Min, Yue Kuen Kwok 'American Options with Lookback Payoff' SIAM J. Appl. Math Vol 66, #1 2005 Dai Min, Yue Kuen Kwok 'Options with Combined Reset Rights on Strike and Maturity' JED&C 9/05 Danielsson Jon, H. Shin, J.-P. Zigrand 'Asset Price Dynamics with Value at Risk Constrained Traders' LSE 2001

d'Aspremont Alexandre 'Interest Rate Model Calibration Using Semidefinite Programming' 6/03 Davis Mark, Martin P. Johansson 'Malliavin Monte Carlo Greeks for Jump Diffusions' SP&A tobe 2006 Dawande Milind, H. Neil Geismar, Suresh P. Sethi ‘Dominance of Cyclic Solutions and Challenges in the Scheduling of Robotic Cells’ SIAM Review 12/05 Dayar Tugrul, Nail Akar 'Computing Moments of First Passage Times to a Subset of States in Markov Chains' SIAM J. Matrix Analysis & Applications 11/05 De Donno Marzia, Paolo Guasoni, Maurizio Pratelli 'Super-Replication And Utility Maximization In Large Financial Markets' SP&A 12/05 <many assets, Infinite-dimensional stochastic integration; Utility maximization; Admissible strategies; Convex duality> Deacon Mark, Andrew Derry, Dariush Mirfendereski 'Inflation-Indexed Securities' Wiley 2004 Deep Akash 'Optimal Dynamic Hedging Using Futures Under a Borrowing Constraint' Harvard 11/05 Denuit Michel, Anne-Cécile Goderniaux, Olivier Scaillet 'A KolmogorovSmirnov Type Test For Shortfall Dominance Against Parametric Alternatives' 2005 FAME Research Paper Series rp143, International Center for Financial Asset Management and Engineering. Derman Emanuel, Nassim Taleb 'The Illusions Of Dynamic Replication' QF 8/05 Detemple Jerome, Rene Garcia, Marcel Rindisbacher ‘Asymptotic Properties of Monte Carlo Estimators of Derivatives’ <Malliavin path, Malliavin weight, covariation, finite difference, likelihood ratio> MS 11/05 Detemple Jerome, René Garcia, Marcel Rindisbacher 'Intertemporal Asset Allocation: A Comparison Of Methods' J. Banking & Finance 11/05 Detlefsen Kai 'Hedging Exotic Options in Stochastic Volatility & Jump Diffusion Models' Humboldt U. 2005 Deuskar Prachi, Anurag Gupta, Marti G. Subrahmanyam ‘The Drivers and Pricing of Liquidity in Interest Rate Option Markets’ SSRN 12/05 d'Halluin Yahn, Peter Forsyth, George Labahn 'A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion' SIAM J. Sci. Comp. 9/05 Di Graziano Maria Gabriella, Stefano Galluccio 'Evaluating Tracking Hedging Errors for General Processes:Theory & Experiments' BNP Paribas, U. Cambridge 2005 Diebold Francis X., A. Inoue ‘Long-Memory & Regime Switching’ J. Econometrics Nov. 2001 Dieudonné Mathieu, Jean-Christophe Curtillet 'Estimating and Hedging Most Probable Extreme Changes in Multicurrency Term Structures' J. Fixed Income 9/05 Dionne Georges, Genevieve Gauthier, Khemais Hammami, Mathieu Maurice, JeanGuy Simonato ‘Default Risk in Corporate Yield Spreads’ SSRN 12/05 Dokuchaev Nikolai 'Optimal Solution of Investment Problems Via Linear Parabolic Equations Generated by Kalman Filter' SIAM J. Control & Opt. 10/05 Dong Ming 'Option pricing with a non-zero lower bound on stock price' J. Futures Markets 9/05 Dotsis George, Raphael Markellos 'The Finite Sample Properties of the GARCH Option Pricing Model' Athens U., SSRN 11/05 Douglas J., T. Russell 'Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics

with Finite Element or Finite Difference Procedures' SIAM J. Numer. Anal. 1982 Doumpos Michael, Fotios Pasiouras 'Developing and Testing Models for Replicating Credit Ratings: A Multicriteria Approach' Computational Economics 6/05 Dow James, Clara Raposo 'CEO Compensation, Change, and Corporate Strategy' JofF 12/05 Drucker Steven, Manju Puri 'On the Benefits of Concurrent Lending and Underwriting' JofF 12/05 Duarte Jefferson, Francis Longstaff, Fan Yu ‘Risk & Return in Fixed Income Arbitrage:Nickels in Front of a Steamroller?’ UCLA 2005 Duarte Jefferson, Xiaoxia Lou, Ronnie Sadka ‘Option-Based Hedging of Liquidity Costs in Short Selling’ SSRN 12/05 Dubil Robert 'An Arbitrage Guide to Financial Markets' Wiley 2004 Duffie Darrell 'Credit Risk Modeling With Affine Processes' J. Banking & Finance 11/05 Duffie Darrell, Nicolae Gârleanu, Lasse Heje Pedersen 'Over-the-Counter Markets' Econometrica 11/05 Düring Bertram, Erik Lüders 'Option Prices Under Generalized Pricing Kernels' Review Deriv. Research 8/05 Dutta Kabir, David Babbel ‘Extracting Probabilistic Information from the Prices of Interest Rate Options:Tests of Distributional Assumptions’ May 05 JofB Dyer James, Warren Hahn ‘Using Binomial Decision Trees to Solve Real-Option Valuation Problems’ Decision Analysis 6/05 Edwards Craig 'Derivative Pricing Models with Regime Switching: A General Approach' J. of Derivatives Fall 05 Emery Kenneth, Richard Cantor 'Default Correlation Among Non-Financial Corporate Affiliates' J. Fixed Income 9/05 Ericsson Jan, Joel Reneby ‘Estimating Structural Bond Pricing Models’ March 05 Ericsson Jan, Kris Jacobs, Rodolfo Oviedo-Helfenberger ‘The Determinates of Credit Default Swap Jumps’ 2004 McGill U. Eyraud-Loisel Anne 'Backward Stochastic Differential Equations With Enlarged Filtration: Option Hedging Of An Insider Trader In A Financial Market With Jumps' SP&A 10/05
Fock J. Henning, Christian Klein, Bernard Zwergel 'Performance of Candlestick Analysis on Intraday Futures Data' J. of Derivatives Fall 05 Fons J. ‘Using Default Swaps to Model the Term Structure of Credit Risk’ FAJ 1994 Franklin Joel 'Methods of Mathematical Economics:Linear & Nonlinear Programming, Fixed-Point Theorems' 2002 SIAM Books Fréchette Guillaume, John H. Kagel, Massimo Morelli 'Behavioral Identification in Coalitional Bargaining: An Experimental Analysis of Demand Bargaining and Alternating Offers' Econometrica 11/05 Fuhrmann J., H. Langmach 'Stability & Existence of Solutions of TimeImplicit Finite Volume Schemes for Viscous Nonlinear Conservation Laws' Appl. Numer. Math 2001 Fusai Gianluca 'Implementing Models in Quantiative Finance:Methods & Cases' Springer 2005 Fusai Gianluca, I. David Abrahams, Carlo Sgarra ‘An Exact Analytical Solution For Discrete Barrier Options’ F&S 1/06 Gablonsky, Andrew S. I. D. Lang Joerg M. ‘Modeling Basketball Free Throws’ SIAM Review 12/05 Galluccio Stefano, Yann Le Cam 'Implied Calibration of Stochastic Volatility Jump Diffusion Models' 9/30/05 Galluccio Stefano, Yann Le Cam 'Modelling Hybrids with Jumps & Stochastic Volatility' BNP Paribas, U. Evry 2005 Galluccio Stefano, Z. Huang, J.-M. Ly, Olivier Scaillet 'Theory and Calibration of Swap Market Models' 2005 FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering GebremedhinAssefaw Hadish, Fredrik Manne, Alex Pothen ‘What Color Is Your Jacobian? Graph Coloring for Computing Derivatives’ SIAM Review 12/05 Gelos R. Gaston, Shang-Jin Wei 'Transparency and International Portfolio Holdings' JofF 12/05 Geman Helyette 'From Measure Changes To Time Changes In Asset Pricing' J. Banking & Finance 11/05 Glasserman Paul, Jingyi Li ‘Importance Sampling for Portfolio Credit Risk’ MS 11/05 Gomes Francisco ‘Portfolio Choice & Trading Volume with Loss-Averse Investors’ March 05 JofB Goncalves Silvia, Massimo Guidolin 'Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface' Jan. 05 FRB St. Louis Gourieroux Christian, Jean-Paul Laurent, Olivier Scaillet ‘Sensitivity Analysis of Values at Risk’ J. Empirical Finance 1999-2000 Granger Clive ‘Current Perspectives on Long Memory Processes’ Institute of Economics Taiwan 2000 Granger Clive ‘Some Comments on Risk’ J. Applied Econometrics Sept/Oct. 2002 Granger Clive ‘The Present & Future of Empirical Finance’ FAJ July/Aug. 2005 Granger Clive, N. Hyung ‘Occasional Structural Breaks & Long Memory with Applications to the S&P 500 Absolute Stock Returns’ J. Empirical Finance June 2003 Granger Clive, N. Swanson ‘An Introduction to Stochastic Unit-Root Processes’ J. Econometrics 1997 Granger Clive, Oskar Morgenstern ‘Predictability of Stock Market Prices’ Lexington Books 1970 Gruber Urs, Martin Schweizer 'A Diffusion Limit for Generalized Correlated Random Walks' 2005 NCCR FINRISK working paper No. 223, ETH Zurich

Guan Lim Kian, Christopher Ting, Mitch Warachka 'The Implied Jump Risk Of LIBOR Rates' J. Banking & Finance 10/05 Guidolin Massimo 'High Equity Premia and Crash Fears. Rational Foundations' January 2005, Economic Theory, October 2006, 28(3) FRB St. Louis Guidolin Massimo 'Home Bias and High Turnover in an Overlapping Generations Model with Learning' January 2005 FRB St. Louis Guidolin Massimo, Allan Timmermann 'Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach' August 2005 FRB St. Louis Guidolin Massimo, Allan Timmermann 'International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences' June 2005 FRB St. Louis Guidolin Massimo, Allan Timmermann 'Properties of Equilibrium Asset Prices under Alternative Learning Schemes' Sept. 05, tobe Journal of Economic Dynamics and Control FRB St. Louis Guidolin Massimo, Allan Timmermann 'Size and Value Anomalies under Regime Shifts' Jan. 05 FRB St. Louis Guidolin Massimo, Eliana La Ferrara 'The Economic Effects of Violent Conflict:Evidence from Asset Market Reactions' October 2005 FRB St. Louis Guidolin Massimo, Sadayuki Ono 'Are the Dynamic Linkages Between the Macroeconomy and Asset Prices Time-Varying?' July 2005 FRB St. Louis Gul Faruk, Wolfgang Pesendorfer 'Random Expected Utility' Econometrica 1/06 Guo Hui, Kevin Kliesen 'Oil Price Volatility & U.S. Macroeconomic Activity' FRB St. Louis Review Nov/Dec. 05 Han Chirok, Peter Phillips 'GMM with Many Moment Conditions' Econometrica 1/06 Handley John 'On the Upper Bound of a Call Option' Review Deriv. Research 8/05 Hannam William, Gerald Marsh, George Stanford 'Smarter Use of Nuclear Waste' SA 12/05 Hardy M., J. Wirch 'The Iterated CTE:A Dynamic Risk Measure' North Amer. Actuarial J. 2004 Hefferman Janet, Jonathan. Tawn ‘Extreme Value Theory’ Lancaster U. 2003 Heifetz Aviad, Zvika Neeman 'On the Generic (Im)Possibility of Full Surplus Extraction in Mechanism Design' Econometrica 1/06 Hernandez-Lerma Onesimo, Jean Bernard Lasrre ‘Markov Chains & Invarient Probabilities’ Birkhauser 2003 Hilliard Jimmy, Adam Schwartz 'Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach' JF&QA 9/05 , 6/03 wp Hobson David, Peter Laurence, Tai-Ho Wang 'Static-Arbitrage Upper Bounds For The Prices Of Basket Options' QF 8/05 , 6/04 Hong Harrison, Jeffrey Kubik, Jeremy Stein 'Thy Neighbor's Portfolio: Wordof-Mouth Effects in the Holdings and Trades of Money Managers' JofF 12/05 Hornstein Andreas, Alexander Wolman 'Trend Inflation, Firm Specific Capital & Sticky Prices' FRB Richmond Economic Quarterly Fall 2005 Huang Shian-Chang, Mao-Wei Hung 'Pricing Foreign Equity Options Under Lévy Processes' J. Futures Markets 10/05 Hugger J. 'Wellposedness of the Boundary Value Formulation of a Fixed Strike Asian Option' J. Comput. Methods Sci. Engin tobe Hui Cho-Hoi, Chi-Fai Lo, Tak-Chuen Wong 'Benchmarking Model of Default Probabilities of Listed Companies' J. Fixed Income 9/05 Hyung N., P. Franses ‘Inflation Rates: Long Memory, Level Shifts or Both?’ Erasmus U. 2002

Itkin Andrey 'Pricing options with VG model using FFT' 3/17/05 Jain Pankaj 'Financial Market Design and the Equity Premium: Electronic versus Floor Trading' JofF 12/05 Jang Bong-Gyu, Hyeng Keun Koo 'American Put Options with Regime-Switching Volatility' SSRN, Korea Advanced Institute of Science and Technology, General & Ajou University 11/05 Jarrow Robert, Philip Protter 'Large Traders, Hidden Arbitrage, And Complete Markets' J. Banking & Finance 11/05 Jeffery Christopher 'The Evolution of Variance' RISK 11/05 Jiang Long 'Representation Theorems For Generators Of Backward Stochastic Differential Equations And Their Applications' SP&A 12/05 Jonsson Mattias, Jan Veèeø 'Insider Trading in Convergent Markets' Applied Math. Finance 9/05 Kamihigashi Takashi 'Necessity of the Transversality Condition for Stochastic Models with Bounded or CRRA Utility' JED&C 8/05 Kavajecz Kenneth, Donald Keim 'Packaging Liquidity: Blind Auctions and Transaction Efficiencies' JF&QA 9/05 Keener James 'A Window of Opportunity for Mathematics Departments' SIAM News 11/05 Kim In Joon, Sol Kim 'Is It Important To Consider The Jump Component For Pricing And Hedging Short-Term Options?' J. Futures Markets 10/05 Kim Mi Ae, Tong Suk 'Default Correlation Dynamics with Business Cycle and Credit Quality Changes' J. of Derivatives Fall 05 Klibanoff Peter, Massimo Marinacci, Sujoy Mukerji 'A Smooth Model of Decision Making under Ambiguity' Econometrica 11/05 Klöppel Susanne, Martin Schweizer 'Dynamic Indifference Valuation via Convex Risk Measures' 2005 preprint, ETH Zurich Klöppel Susanne, Martin Schweizer 'Dynamic Utility Indifference Valuation via Convex Risk Measures' 2005 NCCR FINRISK working paper No. 209, ETH Zurich Kollmann Robert 'A Dynamic Equilibrium Model of International Portfolio Holdings:Comment' Econometrica 1/06 Kolodko Anastasia, John Schoenmakers ‘Iterative Construction Of The Optimal Bermudan Stopping Time’ F&S 1/06 Korn Ralf, Olaf Menkens 'Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach' Math. Methods of OR 9/05 Kraft Holger, Mogens Steffensen 'Portfolio Problems Stopping At First Hitting Time With Application To Default Risk' Math. Methods of OR 10/05 Krishnan C., Peter Ritchken, James Thomson ‘On Credit Spread Slopes & Predicting Bank Risk’ J. Money, Credit & Banking’ 2005? Krylov N. 'On the Rate of Convergence of Finite Difference Approximations for Bellman's Equations' St. Petersburg Math. J. 9, 1997 Kuenzi David 'Variance Swaps & Non-Constant Vega' <stable gamma & Vega exposures> RISK 10/05 Laurence Peter, Tai Ho Wang 'Sharp Upper and Lower Bounds for Basket Options' Applied Math. Finance 9/05 Leary Mark, Michael Roberts 'Do Firms Rebalance Their Capital Structures?' JofF 12/05 Lee Donghoon, Kenneth Wolpin 'Intersectoral Labor Mobility and the Growth of the Service Sector' Econometrica 1/06 Lee Jon ‘A First Course in Combinational Optimization’ Cambridge 2004

Leitner Yaron 'Financial Networks: Contagion, Commitment, and Private Sector Bailouts' JofF 12/05 Lemke Wolfgang 'Term Structure Modeling & Estimation in a State Space Framework' 2006 Springer Leybourne S., M. McCabe, J. Tremayne ‘Can Economic Time Series Be Differenced to Stationarity?’ J. Business & Economic Statistics’ 1996 Leybourne S., M. McCabe, M. Mills ‘Randomized Unit Root Processes for Modeling & Forecasting Financial Time Series:Theory & Applications’ J. Forecasting 1996 Li George 'Information Quality, Learning, and Stock Market Returns' JF&QA 9/05 Lien Donald, Keshab Shrestha 'Estimating The Optimal Hedge Ratio With Focus Information Criterion' J. Futures Markets 10/05 Lindner Alexander, Ross Maller 'Lévy Integrals And The Stationarity Of Generalised Ornstein-Uhlenbeck Processes' SP&A 10/05 Liu Hong, Jiongmin Yong 'Option Pricing with an Illiquid Underlying Asset Market' JED&C 12/05 Lutkepohl H. 'New Introduction to Multiple Time Series Analysis' 2005 Springer Lutscher, Elizaveta Pachepsky, Mark A. Lewis Frithjof ‘The Effect of Dispersal Patterns on Stream Populations’ SIAM Review 12/05 Maclean Leonard, William T. Ziemba, Yuming Li 'Time To Wealth Goals In Capital Accumulation' QF 8/05 Madan Dilip 'Using Self-Decomposable Laws in the Construction of Local Levy Processes' 2005 conference papers Madan Dilip, Michael Konikov, Mircea Marinescu 'Credit and Basket Default Swaps' 9/26/04 Madan Dilip, Michael Konilov 'Variance Gamma Model:Gamma Weighted BlackScholes Implmentation' Bloomberg 7/04 Malevergne Y., V. Pisarenko, D. Sornette 'Empirical Distributions Of Stock Returns: Between The Stretched Exponential And The Power Law?' QF 8/05 Malmendier Ulrike, Geoffrey Tate 'CEO Overconfidence and Corporate Investment' JofF 12/05 Mancino Maria Elvira, Roberto Reno 'Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis' Applied Math. Finance V.12,2 June 05 Mania Michael, Martin Schweizer 'Dynamic Exponential Utility Indifference Valuation' Ann. Appl. Prob. 8/05 Martellini Lionel, Philippe Priaulet 'Fixed Income Securities:Dynamic Methods for Interest Rate Risk Pricing & Hedging' Wiley 1001 Matache A.-M., P.-A. Nitsche, C. Schwab 'Wavelet Galerkin pricing of American options on Lévy driven assets' QF 8/05 Matsumoto Koichi ‘Optimal Portfolio Of Low Liquid Assets With A Log-Utility Function’ F&S 1/06 Mattheij R., S. Rienstra, J. ten Thije Boonkkamp 'Partial Differential Equations:Modeling, Analysis & Computation' 2005 SIAM Books McCallum Bennett 'Monetary Policy & the Term Structure of Interest Rates' FRB Richmond Economic Quarterly Fall 2005 McGinty L., R. Ahluwalia ‘Introducing Base Correlations’ JP Morgan 2004 McNeil Alexander ‘Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory’ 1997 ETH Zurich McNeil Alexander ‘Extreme Value Theory for Risk Managers’ ETH Zurich 1999 Menchero Jose ‘Optimized Geometric Attribution’ FAJ July/Aug. 2005 Merrick John 'Tracking the U.S. Treasury: Footprints from the Treasury's Debt Buy-Back Program' J. Fixed Income 9/05

Mi Ae Kim, Tong Suk Kim 'Default Correlation Dynamics with Business Cycle and Credit Quality Changes' J. of Derivatives Fall 05 Miao Jianjun 'Optimal Capital Structure and Industry Dynamics' JofF 12/05 Monfort A., Monica Billio 'Kernel-Based Indirect Inference' Journal of Financial Econometrics, Vol. 1, No. 3, 2003 Morrison Alan ‘Credit Derivatives, Disintermediation & Investment Decisions’ March 05 JofB Muellera Carl, Leonid Mytnikb, Aurel Stanc 'The heat equation with timeindependent multiplicative stable Lévy noise' SP&A tobe 2006 Neely Christopher 'An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention' FRB St. Louis Review Nov/Dec. 05 Nielsen Peter Holm ‘Utility Maximization And Risk Minimization In Life And Pension Insurance’ F&S 1/06 Oosterlee C., F. Gaspar, J. Frisch 'WENO & Blended BDF Discretizations for Asian Options' Comput. Vis. Sci 2004 Oviedo Rodolfo 'The Suboptimality of Early Exercise of Futures-Style Options: A Model-Free Result' SSRN 10/05 Owens Raymond, Pierre-Daniel Sarte 'How Well Do Diffusion Indexes Capture Business Cycles? A Spectral Analysis' FRB Richmond Economic Quarterly Fall 2005 Palmitesta Paola, Corrado Provasi 'Aggregation of Dependent Risks Using the Koehler-Symanowski Copula Function' Computational Economics 2/05 Patton Andrew 'On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation' Journal of Financial Econometrics, Vol. 2, No. 1, 2004 Peng Cheng, Olivier Scaillet 'Linear-Quadratic Jump-Diffusion Modelling with Applications to Stochastic Volatility' U. Geneva, FAME 2004 Peress Joel 'Information vs. Entry Costs: What Explains U.S. Stock Market Evolution?' JF&QA 9/05 Perez Ana, Esther Ruiz 'Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models' Journal of Financial Econometrics, Vol. 1, No. 3, 2003 Pergamenshchikov Serguei, Omar Zeitouny 'Ruin Probability In The Presence Of Risky Investments' SP&A tobe 2006 Persson Mats, Torsten Persson, Lars E. O. Svensson 'Time Consistency of Fiscal and Monetary Policy: A Solution' Econometrica 1/06 Piazzesi M. 'An Econometric Model of the Yield Curve with Macroeconomic Jump Effects' NBER 2003 Pironneau O. 'On the Transport Diffusion Alogrithm & its Applications to the Navier-Stokes Equations' Numer Math 1982 Piterbarg Vladimir 'A Multi-Currency Model With Fx Volatility Skew' SSRN 2/05 Piterbarg Vladimir 'Smiling Hybrids' tobe RISK Piterbarg Vladimir 'Stochastic Volatility Model with Time-Dependent Skew' Applied Math. Finance V.12,2 June 05 Plasmans Jozef 'Modern Linear & Nonlinear Econometrics' 2005 Springer Polimenis Vassilis 'The Critical Kurtosis Value & Skewness Correction' 6/11/04 Poole William 'How Perdictable is Fed Policy?' FRB St. Louis Review Nov/Dec. 05 Prescott Edward 'Technology Design & Moral Hazard' FRB Richmond Economic Quarterly Fall 2005 Ray Bonnie, Clifford Hurvich 'The Local Whittle Estimator of Long-Memory Stochastic Volatility' Journal of Financial Econometrics, Vol. 1, No. 3, 2003

Reiß Oliver, John Schoenmakers, Martin Schweizer 'From Structural Assumptions to a Link between Assets and Interest Rates' 2004 Riedel F. 'Dynamic Coherent Risk Measures' Stanford U. 2003 Robinson Sara 'Math Model Explains High Prices in Electricity Markets' SIAM News Oct. 2005 Robinson Sara 'Toward an Optimal Algorithm for Matrix Multiplication' SIAM News 11/05 Rockafellar R. Tyrrell, Stan Uryasev, Michael Zabarankin ‘Generalized Deviations In Risk Analysis’ F&S 1/06 Röder Klaus, Sascha Wilkens 'Reverse Convertibles and Discount Certificates in the Case of Constant and Stochastic Volatilities' Financial Markets and Portfolio Management, Vol. 17, No. 1, 2003 Rosch Daniel, Harald Scheule 'A Multifactor Approach for Systematic Default and Recovery Risk' J. Fixed Income 9/05 Ryabchenko Valeriy, Sergey Sarykalin, Stanislav Uryasev 'Pricing European Options by Numerical Replication: Quadratic Programming with Constraints' 11/1/05 Santos Manuel, Adrian Peralta-Alva 'Accuracy of Simulations for Stochastic Dynamic Models' Econometrica 11/05 Sarretto Alessio 'Predicting and Pricing the Probability of Default' UCLA, SSRN 11/05 Scaillet Olivier 'A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence' 2005 FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering. Scaillet Olivier 'Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters' 2005 FAME Research Paper Series rp145, International Center for Financial Asset Management and Engineering Scaillet Olivier 'Nonparametric Estimation of Conditional Expected Shortfall' 2004 FAME Research Paper Series rp112, International Center for Financial Asset Management and Engineering Scaillet Olivier, Nikolas Topaloglou 'Testing for Stochastic Dominance Efficiency' 2005 FAME Research Paper Series rp154, International Center for Financial Asset Management and Engineering. Schal Manfred 'Control of ruin probabilities by discrete-time investments' Math. Methods of OR 9/05 Severini Thomas 'Elements of Distribution Theory' Cambridge Press Sidenius Jakob, Vladimir Piterbarg, Leif Andersen 'A New Framework for Dynamic Credit Portfolio Loss Modeling' 11/05 Siegl Thomas, Peter Quell 'Modelling Specific Interest Rate Risk with Estimation of Missing Data' Applied Math. Finance 9/05 Šikic Hrvoje, Renming Song, Zoran Vondracek 'Potential Theory of Geometric Stable Processes' Prob. Theory & Related Fields 9/05 Skinner Frank 'Pricing & Hedging Interest and Credit Risk Sensitive Instruments' Oxford Press 2005 Smith James E. ‘Alternative Approaches for Solving Real-Options Problems’ Decision Analysis 6/05 Soener H. 'Optimal Control of Jump-Markov Processes & Viscosity Solutions' in Stochastic Differential Systems IMA Vol Math Appl. 10, Springer 1988 Søndergaard Rasmussen Nicki 'Control Variates for Monte Carlo valuation of American Options' J. Computational Finance V.9, Number 1 2005 Stoeva Stilian, Murad Taqqu 'How Rich Is The Class Of Multifractional Brownian Motions?' SP&A tobe 2006 Tarantola Albert 'Inverse Problem Theory & Methods for Model Parameter Estimation' 2004 SIAM Books

Thompson Kevin, Alistair McLeod, Panayiotis Teklos, Shobhit Gupta 'Time for Multi-Period Capital Models' RISK 10/05 Thornton Daniel 'Predictions of Short-Term Rates & the Expectation Hypothesis of the Term Structure of Interest Rates' 2004 wp FRB St. Louis Timmermann Allan, Clive Granger ‘Efficient Market Hypothesis & Forecasting’ tobe J. Forecasting’ Toponogov Victor 'Probability & Its Applications:Differential Geometry of Curves & Surfaces:A Concise Guide' Birkhauser 2005 Torres-Torriti Miguel, Hannah Michalska ‘A Software Package for Lie Algebraic Computations’ SIAM Review 12/05 Trolle Anders 'Dynamic Interest Rate Derivative Strategies in the Presence of Unspanned Stochastic Volatility' SSRN 11/05 Vacca Luigi 'Unbiased Risk-Neutral Loss Distributions' <entropy maximisation (ME),portfolio loss probabilities, Gaussian Copula> RISK 11/05 Vanden Joel ‘Digital Contracts & Price Manipulation’ Sept. 05 JofB Veld Chris, Geoffrey Poitras, Yuriy Zabolotnyuk 'Put-Call Parity and the Early Exercise Premium for Currency Options' SSRN 10/05 Vigner Jacques 'An Economic Capital Approach For Hedge Fund Structured Products' RISK 11/05 Weber P., B. Rosenow 'Order Book Approach To Price Impact' QF 8/05 Wirch J., M. Hardy 'A Synthesis of Risk Measures for Capital Adequacy' Insurance:Mathematics & Economics 1999 Yan Yubin 'Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations' SIAM J. Math. Analysis 10/05 Ye George 'Asian Options Can Be More Valuable Than Plain Vanilla Counterparts' J. of Derivatives Fall 05 Yoon Gawon ‘A Simple Model That Generates Stylized Facts of Returns’ U. Cal. San Diego 2003 Yu Fan ‘How Profitable is Capital Structure Arbitrage?’ U. Cal. Irvine 2005 Zaffaroni Paolo 'Gaussian Inference on Certain Long-Range Dependent Volatility Models' book Banca d'Italia 2003 Zakamouline Valeri 'A Unified Approach To Portfolio Optimization With Linear Transaction Costs' Math. Methods of OR 10/05 Zhang J., Y. Xiang 'Implied Volatility Smirk' U. Hong Kong 2005 Zhou Hao 'Ito Conditional Moment Generator and the Estimation of Short-Rate Processes' Journal of Financial Econometrics, Vol. 1, No. 2, 2003 FRB 11/2/05 Zhu H. ‘An Empirical Comparison of Credit Spreads Between the Bond Market & the Credit Default Swap Market’ Bank for Intern. Settlements 2004 Zigrand Jean-Pierre ‘Rational Asset Pricing Implications from Realistic Trading Frictions’ May 05 JofB Žitkoviæ Gordan ‘Financial Equilibria In The Semimartingale Setting: Complete Markets And Markets With Withdrawal Constraints’ F&S 1/06