Abadie Alberto, Guido Imbens 'On the Failure of the Bootstrap for Matching

Estimators' Econometrica V.76,#6 Nov. 2008

Abhyankar Abhay, Keng-Yu Ho, Huainan Zhao 'Value Versus Growth: Stochastic Dominance
Criteria' QF V.8,#7 2008
Acerbi Carlo, Giacomo Scandolo 'Liquidity Risk Theory and Coherent Measures of Risk'
QF V.8,#7 2008
Acharya Viral, Douglas Gale, Tanju Yorulmazer 'Rollover Risk and Market Freezes'
SSRN 1/09
Acharya Viral, Peter DeMarzo, Ilan Kremer 'Endogenous Information Flows and the
Clustering of Announcements' SSRN 9/08
Adler Timothy 'The Cost of Socially Responsible Investing' J. Portfolio Management
Fall 2008
Adrian Tobias, Francesco Franzoni 'Learning about Beta: Time-Varying Factor
Loadings, Expected Returns, and the Conditional CAPM' SSRN 11/08
Adrian Tobias, Joshua Rosenberg 'Stock Returns and Volatility: Pricing the Short-Run
and Long-Run Components of Market Risk' JofF V.63,#6 Dec. 2008
Agca Senay, Deepak Agrawal, Saiyid Islam 'Implied Correlations: Smiles or Smirks?'
J. Derivatives Winter 2008
Aggarwal Rajesh, Philippe Jorion 'The Performance of Emerging Hedge Fund Managers'
AFA Meeting 2009
Agrawal Deepak, Jeffrey R. Bohn 'Humpbacks in Credit Spreads' Journal of Investment
Management 3Q 2008   
Aharonov Dorit, Wim van Dam, Julia Kempe, Zeph Landau, Seth Lloyd, Oded Regev
'Adiabatic Quantum Computation Is Equivalent to Standard Quantum Computation'
SIAM Review V.50, #4 Dec. 08
Ahern Kenneth Robinson 'Why are Some Stocks More Elastic than Others? Evidence from
Normal Trading Data of NYSE Stocks' SSRN 12/08
Aït-Sahalia Yacine, Michael Brandt 'Consumption and Portfolio Choice with Option-
Implied State Prices' AFA Meeting 2009
Aït-Sahalia Yacine, Robert Kimmel 'Estimating Affine Multifactor Term Structure
Models Using Closed-Form Likelihood Expansions' SSRN 10/08
Albuquerque Rui, Eva de Francisco, Luis Marques 'Marketwide Private Information in
Stocks: Forecasting Currency Returns' JofF V.63,#5 Oct. 2008
Albuquerque Rui, Jianjun Miao 'Advance Information and Asset Prices' AFA Meeting
2009
Alefeld G. 'Some Convergence Results for the Peaceman-Rachford Method in the
Noncommutative Case' Lecture Notes in Mathematics V.631, 1978
Alexander Gordon, Alexandre Baptista, Shu Yan 'Bank Risk Management with Value-at-
Risk and Stress Testing: An Alternative to Conditional Value-at-Risk?' AFA
Meeting 2009
Alfarano Simone, Mishael Milakovic 'Network Structure and N-Dependence In Agent-
Based Herding Models' JED&C 1/09 V.33,#1
Alfonsi Aurélien, Alexander Schied, Antje Schulz 'Constrained Portfolio Liquidation
in a Limit Order Book Model'tobe Banach Center Publications 2007
Alfonsi Aurélien, Alexander Schied, Antje Schulz 'Optimal Execution Strategies in
Limit Order Books with General Shape Functions' 2007
Allen P., E. Beinstein 'Enhancing our Framework for Index Tranche Analysis' JP
Morgan 2005
Almeida Caio, Getulio Vargas, René Garcia 'Empirical Likelihood Estimators for
Stochastic Discount Factors' AFA Meeting 2009
Almeida Caio, José Vicente 'The Role of No-Arbitrage on Forecasting: Lessons from a
Parametric Term Structure Model' J. Banking and Finance V.32,#12 Dec. 2008
Alrefaei Mahmoud, Houssam Abdul-Rahman 'An Adaptive Monte Carlo Integration
Algorithm with General Division Approach' Mathematics and Computers in
Simulation V.79,#1 Oct. 2008
Ambrose Brent, Yildiray Yildirim 'Credit Risk and the Term Structure of Lease Rates:
A Reduced Form Approach' Journal of Real Estate Finance and Economics, V.37,
#3, 2008  
Amihud Yakov, Clifford Hurvich 'Predictive Regressions: A Reduced-Bias Estimation
Method' SSRN 11/08
Amihud Yakov, Clifford Hurvich, Yi Wang 'Multiple-Predictor Regressions: Hypothesis
Testing' RFS Jan. 2009 V.22,#1
Amir Rabah, Igor Evstigneev, Klaus Reiner Schenk-Hoppé 'Asset Market Games of
Survival' SSRN 11/08
Ammann Manuel, David Skovmand, Michael Verhofen ' Implied and Realized Volatility in
the Cross-Section of Equity Options' SSRN 1/09
Ammer John, Clara Vega, Jon Wongswan 'Do Fundamentals Explain the International
Impact of U.S. Interest Rates? Evidence at the Firm Level' FRB International
Finance Discussion Paper #952 SSRN 11/08
Andoseh Stephen 'Interest Rates and the Relative Performance of Style and Size-
Defined Indices' SSRN 11/08
Ang Andrew, Jun Liu, Krista Schwarz 'Using Individual Stocks or Portfolios in Tests
of Factor Models' AFA Meeting 2009
Ang Andrew, Matthew Rhodes-Kropf, Rui Zhao 'Do Funds-of-Funds Deserve Their Fees-on-
Fees?' J. Investment Management 4Q 2008
Ang Andrew, Nicolas Bollen 'Locked Up by a Lockup: Valuing Liquidity as a Real
Option' SSRN 11/08
Annaert Jan, Sofieke Van Osselaer, Bert Verstraete 'Performance Evaluation of
Portfolio Insurance Strategies using Stochastic Dominance Criteria' J.Banking
and Finance V.33,#2 Feb. 09
ap Gwilym Rhys 'Simulating Asset Prices under Behavioural Assumptions' SSRN 11/08
Arnsdorf Matthias, Igor Halperin 'BSLP: Markovian Bivariate Spread-Loss Model for
Portfolio Credit Derivatives' (JP Morgan research paper) 2007
Asgharian Hossein, Sonnie Karlsson 'An Empirical Analysis of Factors Driving the
Swap Spread' J. Fixed Income Fall 2008
Assenmacher-Wesche Katrin, Stefan Gerlach 'The Term Structure of Interest Rates
across Frequencies' SSRN 12/08
Atamer Murat, Sohnke Bartram, Gregory Brown 'How Important is Financial Risk?' AFA
Meeting 2009
Avram Florin, Zbigniew Palmowski, Martijn Pistorius 'Exit Problem of a Two-
Dimensional Risk Process from the Quadrant: Exact and Asymptotic Results'
Annals of Applied Probability V.18,#6 Dec. 2008  
Avramov Doron, Satadru Hore ‘Momentum, Information Uncertainty, and Leverage - An
Explanation Based on Recursive Preferences’ AFA Meeting 2009
Avramov Doron, Scott Cederburg, Satadru Hore 'Cross-Sectional Asset Pricing Puzzles:
An Equilibrium Perspective' SSRN 12/08
Azoulay Eddy, Menachem Brenner, Yoram Landskroner 'Inflation Expectations Derived
from Foreign' SSRN 11/08
Backus David, Bryan Routledge, Stanley Zin 'Recursive Preferences' SSRN 10/08
Bade Alexander, Gabriel Frahm, Uwe Jaekel 'A General Approach to Bayesian Portfolio
Optimization' Mathematical Methods of Operations Research, Forthcoming 2008?
Bailey Warren, Alok Kumar, David Ng 'Behavioral Biases and Mutual Fund Clienteles'
Baker Malcolm, C. Fritz Foley, Jeffrey Wurgler 'Multinationals as Arbitrageurs: The
Effect of Stock Market Valuations on Foreign Direct Investment' RFS Jan. 2009
V.22,#1
Baker Malcolm, Jeffery Wurgler 'Government Bonds and the Cross-Section of Stock
Return Size' SSRN 11/08
Baker Malcolm, Robin Greenwood, Jeffrey Wurgler 'Catering Through Nominal Share
Prices' SSRN 11/08
Bakshi Gurdip, Dilip Madan, George Panayotov 'Deducing the Implications of Jump
Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates,
and Extremes'  SSRN Jan. 09
Bakshi Gurdip, George Panayotov 'A Framework for Studying Option Mispricing: A
General Test and Empirical Evidence' AFA Meeting 2009
Balder Sven, Michael Brandl, Antje Mahayni 'Effectiveness of CPPI Strategies Under
Discrete-Time Trading' JED&C 1/09 V.33,#1
Bali Turan, K. Ozgur Demirtas, Hassan Tehranian 'Aggregate Earnings, Firm-Level
Earnings, and Expected Stock Returns' JF&QA V.43, #3, September 2008
Bali Turan, Robert Engle ‘Investigating ICAPM with Dynamic Conditional Correlations’
AFA Meeting 2009
Bandi Federico, Claudia Moise, Jeffrey Russell 'The Joint Pricing of Volatility and
Liquidity' 2008
Bandi Federico, Jeffrey Russell, Yinghua Zhu 'Using High-Frequency Data in Dynamic
Portfolio Choice' Econometric Reviews, V.27 #1-3 Jan.-June 2008
Banergee Shantanu, Sudioto Dasgupta, Yungsan Kim 'Buyer-Supplier Relationships and
the Stakeholder Theory of Capital Structure' JofF V.63,#5 Oct. 2008
Bao Jack, Jun Pan 'Excess Volatility of Corporate Bonds' AFA Meeting 2009
Barber Brad, Terrance Odean, Ning Zhu 'Do Retail Trades Move Markets?' RFS Jan. 2009
V.22,#1
Barndorff-Nielsen Ole, Peter Reinhard Hansen, Asger Lunde, Neil Shephard 'Designing
Realized Kernels to Measure the ex post Variation of Equity Prices in the
Presence of Noise' Econometrica V.76,#6 Nov. 2008
Barone-Adesi Giovanni, Nicola Fusari, John Theal 'Barrier Option Pricing Using
Adjusted Transition Probabilities' J. Derivatives Winter 2008
Barron Orie, Mary Harris Stanford, Yong Yu 'Further Evidence on the Relation between
Analysts' Forecast Dispersion and Stock Returns' SSRN 11/08
Bartholomew-Biggs Michael 'Nonlinear Optimization with Engineering Applications'
Springer 2008
Basak Suleyman, Georgy Chabakauri 'Dynamic Mean-Variance Asset Allocation' AFA
Meeting 2009
Basurto Miguel Segoviano, Manmohan Singh 'Counterparty Risk in the Over-the-Counter
Derivatives Market' SSRN 12/08
Baumeister Christiane, Eveline John Durinck, Gert Peersman 'Liquidity, Inflation and
Asset Prices in a Time-Varying Framework for the Euro Area' SSRN 11/08
Baysal Rafet Evren, Jeremy Staum 'Empirical Likelihood for Value-at-Risk and
Expected Shortfall' Journal of Risk V.11,#1 2008
Bebchuk Lucian Arye 'Self-Fulfilling Credit Market Freezes' Harvard Law and
Economics Discussion Paper #623 2008?
Becherer Dirk, Mark Davis 'Arrow-Debreu Prices' article for the Wiley Encyclopaedia
of Quantitative Finance, May 2008
Beechey Meredith, Erik Hjalmarsson, Par Osterholm 'Testing the Expectations
Hypothesis When Interest Rates Are Near Integrated' FRB International Finance
Discussion Paper #953 Oct. 2008
Bekaert Geert, Campbell Harvey, Christian Lundblad, Stephan Siegel 'What Segments
Equity Markets?' AFA Meeting 2009
Bekaert Geert, Lieven Baele, Koen Inghelbrecht 'The Determinants of Stock and Bond
Return Comovements' AFA Meeting 2009
Bekaert Geert, Robert Hodrick, Xiaoyan Zhang 'Is There a Trend in Idiosyncratic
Volatility?' AFA Meeting 2009
Bélanger Amélie, Peter Forsyth, George Labahn 'Valuing the Guaranteed Minimum Death
Benefit Clause with Partial Withdrawals' 5/08
Belfadli R., Youssef Ouknine 'On the Pathwise Uniqueness of Solutions of Stochastic
Differential Equations Driven By Symmetric Stable Lévy Processes' Stochastics
V.80,#6 2008
Belomestny Denis, Christian Bender, John Schoenmakers 'True Upper Bounds for
Bermudan Products via Non-Nested Monte Carlo' Mathematical Finance Jan. 2009
V19, #1
Benaim Shalom, Peter Friz 'Regular Variation and Smile Asymptotics' Mathematical
Finance Jan. 2009 V19, #1
Bender Christian, Tommi Sottinen, Esko Valkeila 'Pricing by Hedging and No-Arbitrage
Beyond Semimartingales' Finance and Stochastics V.12,#4 Oct. 2008 <quadratic
variation>
Benhamou Eric, Emmanuel Gobet, Mohammed Miri 'Closed Forms for European Options in a
Local Volatility Model' SSRN 10/08
Benzschawel Terry, Julio DaGraca, Abhinav Kamra,  Joe Yu 'Valuing LCDS
Cancelability' J. Credit Risk Fall 2008 V.4,#3 <American style>
Berger Allen, Geraldo Cerqueiro, Maria Fabiana Penas 'Does Debtor Protection Really
Protect Debtors? Evidence from the Small Business Credit Market' AFA Meeting
2009
Berndt Antje, Anurag Gupta 'Moral Hazard and Adverse Selection in the Originate-to-
Distribute Model of Bank Credit' SSRN 10/08
Bernhardt Dan, Bart Taub 'Cross-Asset Speculation in Stock Markets' JofF V.63,#5
Oct. 2008
Bertholon Henri, Alain Monfort, Fulvio Pegoraro 'Econometric Asset Pricing
Modelling' Journal of Financial Econometrics, V.6,#4, 2008
Beveridge Christopher, Mark Joshi 'Juggling Snowballs' <nested Monte Carlo vrs.
tight bounds without sub-simulations, sub-optimal exercise>  RISK 12/08
Bharath Sreedhar, Sandeep Dahiya, Anthony Saunders, Anand Srinivasan 'Lending
Relationships and Loan Contract Terms' AFA Meeting 2009
Biagini Francesca, Yuliya Bregman, Thilo Meyer-Brandis 'Pricing of Catastrophe
Insurance Options under Immediate Loss Reestimation' J. Applied Probability
V.45,#3 9/08
Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski 'Pricing and Trading Credit
Default Swaps in a Hazard Process Model' <first-to-default claims, hedging,
immersion of filtrations, Hypothesis H> Annals of Applied Probability V.18,#6
Dec. 2008  
Bielecki Tomasz, Stphane Crpey, Monique Jeanblanc, Marek Rutkowski 'Arbitrage
Pricing of Defaultable Game Options with Applications to Convertible Bonds' QF
V.8,#8 2008
Biely Christoly, Stefan Thurner 'Random Matrix Ensembles of Time-Lagged Correlation
Matrices: Derivation of Eigenvalue Spectra and Analysis of Financial Time-
Series' QF V.8,#7 2008
Bjork Tomas, Mark Davis, Camilla Landen 'Optimal Investment under Partial
Information' 4/08
Blanchet-Scalliet Christophette, Nicole El Karoui, Monique Jeanblanc, Lionel
Martellini 'Optimal Investment Decisions When Time-Horizon is Uncertain' J.
Math. Econ. 11/08 V.44,#11
Blitz David, Laurens Swinkels 'Fundamental Indexation: An Active Value Strategy in
Disguise' Journal of Asset Management, V.9, #4
Blitz David, Pim Van Vliet 'Global Tactical Cross-Asset Allocation: Applying Value
and Momentum across Asset Classes' J. Portfolio Management Fall 2008
Blundell Richard, Martin Browning, Ian Crawford 'Best Nonparametric Bounds on Demand
Responses' Econometrica V.76,#6 Nov. 2008
Boehme Rodney, Gonul Colak 'Idiosyncratic Risk, Short-Sale Constraints, and Other
Market Frictions in IPO Stocks' SSRN 12/08
Böhm Volker, Tomoo Kikuchi, George Vachadze 'Asset Pricing and Productivity Growth:
The Role of Consumption Scenarios' Computational Economics V.32,#1-2, 9/08
Boivin Jean, Sen Dong, Andrew Ang 'Monetary Policy Shifts and the Term Structure'
AFA Meeting 2009
Bona Miklos 'Combinatorics of Permutations' 2004 CRC Press
Bonfim Diana 'Credit Risk Drivers: Evaluating the Contribution of Firm Level
Information and of Macroeconomic Dynamics' J.Banking and Finance V.33,#2 Feb.
09
Boone Audra 'The Process of Mergers & Acquisitions' AFA Meeting 2009
Bouchard Bruno, Jean-François Chassagneux 'Discrete-time Approximation For
Continuously and Discretely Reflected BSDEs' SP&A V.118,#12 12/08
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw ' The Myth of Long-Horizon
Predictability' SSRN 11/08
Boyarchenko Mitya 'Carr's Randomization for Finite-Lived Barrier Options: Proof of
Convergence' SSRN 10/08
Boyarchenko Mitya 'Discontinuity of Value Functions of Certain Options with
Barriers' SSRN 12/08
Boyarchenko Nina 'Are Analysts Right? Macroeconomic Factors and Regime Switching in
the Term Structure of Interest Rates' AFA Meeting 2009
Boyd John 'Multiscale Numerical Algorithms for Weather Forecasting and Climate
Modeling: Challenges and Controversies' SIAM News Nov. 08
Boyd John 'The Blasius Function: Computations Before Computers, the Value of Tricks,
Undergraduate Projects, and Open Research Problems' SIAM Review V.50, #4 Dec.
08
Boyson Nicole 'Hedge Fund Performance Persistence: A New Approach' FAJ Nov/Dec 2008
V.64,#6
Boyson Nicole, Christof Stahel, René Stulz 'Why Do Hedge Funds' Worst Returns
Cluster? Common Liquidity Shocks vs. Contagion' AFA Meeting 2009
Brandes Institute 'Value vs. Glamour: A Global Phenomenon' SSRN 11/08
Brandes Institute 'Value vs. Glamour: Bond Performance' SSRN 11/08
Branger Nicole, Beate Breuer, Christian Schlag 'Optimal Derivative Strategies with
Discrete Rebalancing' J. Derivatives Winter 2008
Brav Alon, Wei Jiang, Frank Partnoy, Randall Thomas 'The Returns to Hedge Fund
Activism' FAJ Nov/Dec 2008 V.64,#6
Brennan Thomas, Andrew Lo 'Impossible Frontiers' SSRN 11/08
Brenner Menachem, Ben Schreiber 'Liquidity and Efficiency in Three Related Foreign
Exchange Options Markets' SSRN 11/08
Brenner Menachem, Jinghong Shu, Jin Zhang 'The Market for Volatility Trading; Vix
Futures' SSRN 11/08
Brenner Menachem, Rangarajan Sundaram, David Yermack 'On Rescissions in Executive
Stock Options' SSRN 11/08
Breuer Thomas 'Overcoming Dimensional Dependence of Worst Case Scenarios and Maximum
Loss' Journal of Risk V.11,#1 2008
Briere Marie, Ariane Szafarz 'Crisis-Robust Bond Portfolios' J. Fixed Income Fall
2008
Brigo Damiano, Agostino Capponi 'Bilateral Counterparty Risk Valuation with
Stochastic Dynamical Models and Application to Credit Default Swaps' SSRN 12/08
Brisley Neil, Chris Anderson 'Employee Stock Option Valuation with an Early Exercise
Boundary' Financial Analysts Journal, September/October 2008, V.64, #5
Broadie Mark, Menghui Cao 'Improved Lower and Upper Bound Algorithms for Pricing
American Options by Simulation' QF V.8,#8 2008
Brochet Francois 'Information Content of Insider Trades: Before and After the
Sarbanes-Oxley Act' AFA Meeting 2009
Brody Dorje, Mark Davis, Robyn Friedman, Lane Hughston 'Informed Traders' July 2008
Brown Lawrence, Gerald Gay, Marian Turac 'Creating a “Smart” Conditional Consensus
Forecast' FAJ Nov/Dec 2008 V.64,#6
Brown Stephen 'Elusive Return Predictability: Discussion' SSRN 11/08
Brown Stephen, Paul Lajbcygier, Bob Li 'Going Negative: What to Do with Negative
Book Equity Stocks' J. Portfolio Management Fall 2008
Brown Stephen, Thomas Fraser, Bing Liang 'Hedge Fund Due Diligence: A Source Of
Alpha In A Hedge Fund Portfolio Strategy' J. Investment Management 4Q 2008
Brown Stephen, William Goetzmann, Bing Liang, Christopher Schwarz 'Mandatory
Disclosure and Operational Risk: Evidence from Hedge Fund Registration' JofF
V.63,#6 Dec. 2008
Brualdi Richard, Dragos Cvetkovic 'A Combinational Approach to Matrix Theory and its
Applications' 2008 CRC Press
Bruche Max 'Bankruptcy Codes, Liquidation Timing, and Debt Valuation' AFA Meeting
2009
Budhiraja Amarjit, Kevin Ross 'Optimal Stopping and Free Boundary Characterizations
for Some Brownian Control Problems' <Martins, Shreve and Soner>Annals of
Applied Probability V.18,#6 Dec. 2008  
Buehler Hans 'Volatility and Dividends:Volatility Modelling with Cash Dividends and
Simple Credit Risk' 6/08
Büttler Hans-Jurg, Jörg Waldvogel 'Numerical Evaluation of Callable Bonds using
Green's Function' Swiss National Bank. 1993
Büttler Hans-Jurg, Jörg Waldvogel 'Pricing the European and Semi-American Callable
Bond by Means of Series Solutions of Parabolic Differential Equations' Swiss
National Bank. 1993
Buitelaar Jacob, Roger Lord 'Control Variates for Callable LIBOR Exotics - A
Preliminary Study' SSRN 11/08
Bullard James 'Three Funerals and a Wedding' Review St. Louis Fed V. 91, # 1
Burkard Rainer, Mauro Dell'Amico, Silvano Martello 'Assignment Problems' SIAM Books
2008
Buss Adrian, Grigory Vilkov 'Option-Implied Correlation and Factor Betas Revisited'
SSRN 11/08
Buti Sabrina,Barbara Rindi 'Hidden Orders and Optimal Submission Strategies in a
Dynamic Limit Order Market' AFA Meeting 2009
Byoun Soku 'How and When Do Firms Adjust Their Capital Structures toward Targets?'
JofF V.63,#6 Dec. 2008
Caballero Ricardo, Arvind Krishnamurthy 'Collective Risk Management in a Flight to
Quality Episode' JofF V.63,#5 Oct. 2008
Cai Jian, Anjan Thakor 'Liquidity Risk, Credit Risk, and Interbank Competition' AFA
Meeting 2009
Cai Zongwu, Henong Li 'Convergency and Divergency of Functional Coefficient Weak
Instrumental Variables Models' Statistics and Its Interface V.1,#2 2008
Calhoun Donna, Christiane Helzel, Randall LeVeque 'Logically Rectangular Grids and
Finite Volume Methods for PDEs in Circular and Spherical Domains' SIAM Review
V.50, #4 Dec. 08
Callen Jeffrey, Joshua Livnat, Dan Segal 'The Impact of Earnings on the Pricing of
Credit Default Swaps' Accounting Review, Forthcoming 2009
Camara Antonio 'FX Risk Neutral Valuation Relationships for the Su Jump-Diffusion
Family' SSRN 9/08
Camara Antonio,Weiping Li 'Jump-Diffusion Option Pricing Without IID Jumps' SSRN
10/08
Campbell John, Adi Sunderam, Luis Viceira 'Inflation Bets or Deflation Hedges? The
Changing Risks of Nominal Bonds' AFA Meeting 2009
Campbell John, Jens Hilscher, Jan Szilagyi 'In Search of Distress Risk' JofF V.63,#6
Dec. 2008
Campi Luciano, Simon Polbennikov, Alessandro Sbuelz 'Systematic Equity-Based Credit
Risk: A CEV Model with Jump to Default' JED&C 1/09 V.33,#1
Canty Paul 'Seasonally Adjusted Prices for Inflation-Linked Bonds' RISK 1/09
Cao Charles, Oliver Hansch, Xiaoxin Wang 'The Information Content of an Open Limit-
Order Book' J. Futures Markets V.29, #1 Jan.2009
Cao H. Henry, Hui Ou-Yang 'Differences of Opinion of Public Information and
Speculative Trading in Stocks and Options' RFS Jan. 2009 V.22,#1
Cao Huining Henry, Hui Ou-Yang 'Beauty Contests, Heterogeneous Beliefs, and Bubbles
in Stocks and Options' AFA Meeting 2009
Caporin Massimiliano, Juliusz Pres 'Memory Time-Varying Models for Weather
Derivative Pricing' SSRN Jan. 09
Carmona René, Michael Ludkovski 'Pricing Asset Scheduling Flexibility using Optimal
Switching' Applied Math. Finance 2008 V.15,#5,6
Carmona René, Sergey Nadtochiy 'Local Volatility Dynamic Models' Finance and
Stochastic 1/09 V.13,#1
Carpenter Jennifer, Richard Stanton, Nancy Wallace 'Estimation of Employee Stock
Option Exercise Rates and Firm Cost: Methodology' SSRN 11/08
Carpenter Jennifer, Richard Stanton, Nancy Wallace 'Optimal Exercise of Executive
Stock Options and Implications for Firm Cost' AFA Meeting 2009
Carriero Andrea, George Kapetanios, Massimiliano Marcellino 'Forecasting Exchange
Rates with a Large Bayesian VAR' SSRN 12/08
Cassola Nuno, Claudio Morana Modelling 'Short-Term Interest Rate Spreads in the Euro
Money Market' SSRN 12/08
Cerny Ales, Ioannis Kyriakou 'An Improved Convolution Algorithm for Discretely
Sampled Asian Options' SSRN Jan. 09
Chalmers Graeme, Desmond Higham 'Asymptotic Stability of a Jump-Diffusion Equation
and Its Numerical Approximation' SIAM J. Sci. Comput. V.31,#2 2008 <Poisson-
driven jumps, theta-method discretizations, result of Appleby, Berkolaiko, and
Rodkina>  
Chamberlain Gary 'Comment on "Decision Theory Applied to an Instrumental Variables
Model"' Econometrica V.76,#6 Nov. 2008
Chambers Matthew, Carlos Garriga, Don Schlagenhauf 'Mortgage Innovation, Mortgage
Choice, and Housing Decisions' Review FRB St. Louis Nov/Dec. 2008 V.90,#6
Chan Justin, Marti Subrahmanyam 'Liquidity and Asset Prices in Multiple Markets'
SSRN 11/08
Chang George, James Feigenbaum 'Detecting Log-Periodicity in a Regime-Switching
Model of Stock Returns' QF V.8,#7 2008
Chava Sudheer, Michael R. Roberts 'How Does Financing Impact Investment? The Role of
Debt Covenants' JofF V.63,#5 Oct. 2008
Chemmanur Thomas, Debarshi Nandy, An Yan 'Capital Structure and Security Issuance
under Heterogeneous Beliefs' AFA Meeting 2009
Chen Bin, Yongmiao Hong 'Characteristic Function-Based Testing for Multifactor
Continuous-Time Markov Models Via Nonparametric Regression' SSRN 10/08
Chen Long, Claudia Moise, Xinlei Zhao 'What Drives Price Momentum and Reversal?'
2008
Chen Qi, Itay Goldstein, Wei Jiang 'Directors' Ownership in the U.S. Mutual Fund
Industry' JofF V.63,#6 Dec. 2008
Chen Zhaohui, William Wilhelm Jr. 'A Theory of the Transition to Secondary Market
Trading of IPOs' JFE V.90,#3 12/08
Chen Zhiping, Yi Wang 'Two-Sided Coherent Risk Measures and their Application In
Realistic Portfolio Optimization' J. Banking and Finance V.32,#12 Dec. 2008
Chen Zhiyong, Paul Glasserman 'Sensitivity Estimates for Portfolio Credit
Derivatives using Monte Carlo' Finance and Stochastics V.12,#4 Oct. 2008
Chen Zhuliang, Kenneth Vetzal, Peter Forsyth 'The Effect of Modelling Parameters on
the Value of GMWB Guarantees' Insurance: Mathematics and Economics 43 (2008)
Cheng Ai-Ru, Yin-Wong Cheung 'Return, Trading Volume, and Market Depth in Currency
Futures Markets' SSRN 1/09
Cherkes Martin, Jacob Sagi, Richard Stanton 'A Liquidity-Based Theory of Closed-End
Funds' RFS Jan. 2009 V.22,#1
Cherny Alexander 'Capital Allocation and Risk Contribution with Discrete-Time
Coherent Risk' Mathematical Finance Jan. 2009 V19, #1
Cheung Steven Yan-Leung, Raghavendra Rau, Aris Stouraitis 'Buy High, Sell Low: How
Listed Firms Price Asset Transfers in Related Party Transactions' SSRN 10/08
Chiang Yao-Min, Yiming Qian, Ann Sherman 'Endogenous Entry and Partial Adjustment in
IPO Auctions: Are Institutional Investors Better Informed?' AFA Meeting 2009
Chiarella Carl, Roberto Dieci, Laura Gardini, Lucia Sbragia 'A Model of Financial
Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence'
Computational Economics V.32,#1-2, 9/08
Choi Jaewon 'Credit Risk Model with Lagged Information' J. Derivatives Winter 2008
Choueifaty Yves, Yves Coignard 'Toward Maximum Diversification' J. Portfolio
Management Fall 2008
Christoffersen Peter, Kris Jacobs, Chayawat Ornthanalai, Yintian Wang 'Option
Valuation with Long-Run and Short-Run Volatility Components' JFE V.90,#3 12/08
Chu C.F., K.P. Lam 'Impact of Overnight Information on MEM Volatility Prediction'
Statistics and Its Interface V.1,#2 2008
Chuliá Helena, Hipòlit Torró 'The Economic Value of Volatility Transmission between
the Stock and Bond Markets' J. Futures Markets V.28, #11 Nov.2008
Cincotti Silvanoi, Laura Gardini, Thomas Lux 'New Advances in Financial Economics:
Heterogeneity and Simulation' Computational Economics V.32,#1-2, 9/08
Coifman Ronald, Mauro Maggioni 'Geometry Analysis and Signal Processessing on
Digital Data, Emergent Structures and Knowledge Building' SIAM News Dec.08
Colucci Domenico, Vincenzo Valori 'Asset Price Dynamics When Behavioural
Heterogeneity Varies' Computational Economics V.32,#1-2, 9/08
Conesa Juan Carlos, Carlos Garriga 'Optimal Response to a Transitory Demographic
Shock in Social Security Financing' Review St. Louis Fed V. 91, # 1
Conn Andrew, Katya Scheinberg, Luis Vicente 'Introduction to Derivative-Free
Optimization' SIAM Books 2009
Conrad Jennifer 'Heterogeneity and the Cross-section of Returns' AFA Meeting 2009
Cooper Ilan, Richard Priestley 'Real Investment and Risk Dynamics' AFA Meeting 2009
Corona Erika, Sabrina Ecca, Michele Marchesi, Alessio Setzu 'The Interplay Between
Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach'
Computational Economics V.32,#1-2, 9/08
Correa Ricardo, Gustavo Suarez 'Firm Volatility and Banks: Evidence from U.S.
Banking Deregulation' AFA Meeting 2009
Corsi Fulvio, Stefan Mittnik, Christian Pigorsch, Uta Pigorsch 'The Volatility of
Realized Volatility' Econometric Reviews, V.27 #1-3 Jan.-June 2008
Corwin Shane, Jay Coughenour 'Limited Attention and the Allocation of Effort in
Securities Trading' JofF V.63,#6 Dec. 2008
Coval Joshua, David Hirshleifer, Siew Hong Teoh 'Deception and Self-Deception in
Capital Markets' Deception in Markets, Caroline Gerschlager, Ed., Palgrave
Macmillan/U.K, 2005 
Coval Joshua, Jakub Jurek, Erik Stafford 'The Economics of Structured Finance'
Harvard Business School Finance Working Paper #09-060 SSRN 10/08
Cremers Martijn, Joost Driessen, Pascal Maenhout, David Weinbaum 'Individual Stock-
Option Prices and Credit Spreads' J. Banking and Finance V.32,#12 Dec. 2008
Croce Mariano Massimiliano, Martin Lettau, Sydney Ludvigson 'Investor Information,
Long-Run Risk, and the Duration of Risky Cash Flows' AFA Meeting 2009
Croce Mariano, Martin Lettau, Sydney Ludvigson 'Investor Information, Long-Run Risk,
and the Duration of Risky Cash Flows' SSRN 11/08
Czerwonko Michal, Stylianos Perrakis 'Portfolio Selection with Transaction Costs and
Jump-Diffusion Asset Dynamics' SSRN 11/08
Da Fonseca José, Martino Grasselli, Florian Ielpo 'Hedging (Co)Variance Risk with
Variance Swaps' SSRN 10/08
Da Zhi, Pengjie Gao, Ravi Jagannathan 'When Does a Mutual Fund's Trade Reveal its
Skill?' AFA Meeting 2009
Dahlquist Magnus, Frank de Jong 'Pseudo Market Timing: A Reappraisal' <new issues>
JF&QA V.43, #3, September 2008
Dai Qiang, Anh Le, Kenneth Singleton ' Discrete-Time Dynamic Term Structure Models
with Generalized Market Prices of Risk' SSRN 11/08
Dai Weizhong 'A Generalized Peaceman–Rachford ADI Scheme for Solving Two-Dimensional
Parabolic Differential Equations' Journal of Scientific Computing V.12, #4 1/97
Daniel Gilles, Didier Sornette, Peter Wohrmann 'Look-Ahead Benchmark Bias in
Portfolio Performance Evaluation' SSRN 11/08
Daniel Naveen, David Denis, Lalitha Naveen ‘Dividends, Investment, and Financial
Flexibility’ AFA Meeting 2009
Dash Mihir, Dinesh Kumar 'A Study on the Effect of Macroeconomic Variables on Indian
Mutual Funds' SSRN 12/08
Dash Srikant, Berlinda Liu 'Capturing the Index Effect Via Options' SSRN Jan. 09
Dash Srikant, Philip Murphy 'Benchmarking 130/30 Strategies' SSRN Jan. 09
Davies Phil, Bernadette Minton, Catherine Schrand 'Investor Demand for Industry
Factor Price Exposure' SSRN 12/08
Davis Mark 'Arbitrage Bounds on the Prices of Vanilla Options and Variance Swaps'
2008
Davydenko Sergei 'When Do Firms Default? A Study of the Default Boundary' AFA
Meeting 2009
de Clippel Geoffroy, Roberto Serrano 'Marginal Contributions and Externalities in
the Value' Econometrica V.76,#6 Nov. 2008
De Goyet Cédric de Ville, Geert Dhaene, Piet Sercu 'Testing the Martingale
Hypothesis for Futures Prices: Implications for Hedgers' J. Futures Markets
V.28, #11 Nov.2008
de Melo Mendes  Beatriz Vaz 'A Conditional Approach for Risk Estimation' Journal of
Risk V.11,#1 2008
de Pooter Michiel,  Martin Martens, Dick van Dijk 'Predicting the Daily Covariance
Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?'
Econometric Reviews, V.27 #1-3 Jan.-June 2008
De Vallière Dimitri, Emmanuel Denis, Yuri Kabanov 'Hedging of American Options Under
Transaction Costs' Finance and Stochastic 1/09 V.13,#1
Dempster Michael, Elena Medova, Ke Tang 'Long Term Spread Option Valuation and
Hedging' J. Banking and Finance V.32,#12 Dec. 2008
Deo Rohit 'Spectral Tests of the Martingale Hypothesis under Conditional
Heteroscedasticity' SSRN 11/08
Deo Rohit, Mengchen Hsieh, Clifford Hurvich 'Tracing the Source of Long Memory in
Volatility' SSRN 11/08
Detemple Jérôme, Thomas Emmerling 'American Chooser Options' JED&C 1/09 V.33,#1
Detragiached Enrica, Thierry Tressel, Poonam Gupta 'Foreign Banks in Poor Countries:
Theory and Evidence' JofF V.63,#5 Oct. 2008
Deuskar Prachi, Anurag Gupta, Marti Subrahmanyam 'Liquidity Effects in Interest Rate
Options Markets: Premium or Discount?' SSRN 11/08
Deuskar Prachi, Marti Subrahmanyam 'The Drivers and Pricing of Liquidity in Interest
Rate Option Markets' SSRN 11/08
di Bernardo Mario, Chris Budd, Alan Champneys, Piotr Kowalczyk, Arne Nordmark,
Gerard Olivar Tost, Petri Piiroinen 'Bifurcations in Nonsmooth Dynamical
Systems' SIAM Review V.50, #4 Dec. 08
Diavatopoulos Dean, Andy Fodor , Shawn Howton, Shelly Howton 'Do REIT Repurchases
Signal Value Changes in Rivals? An Analysis of the Stock Price Reaction of Non-
Repurchasing REITs' SSRN 1/09
Diavatopoulos Dean, James Doran, Andy Fodor, David Peterson 'The Information Content
of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for
Stock and Option Returns' SSRN 12/08
Diavatopoulos Dean, James Doran, David Peterson 'The Information Content in Implied
Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from
the Option Markets' J. Futures Markets V.28, #11 Nov.2008
Dickinson Eric 'Credit Default Swaps: So Dear to Us, So Dangerous' SSRN 12/08
Dierkes Maik 'Option-Implied Risk Attitude under Rank Dependent Utility' SSRN Jan.
09
Dinlersoz Emin, Rubén Hernández-Murillo, Han Li, Roger Sherman 'Drug Prices Under
the Medicare Drug Discount Card Program' Review FRB St. Louis Nov/Dec. 2008
V.90,#6
Dissanaike Gishan, Kim-Hwa Lim 'The Sophisticated and the Simple: The Profitability
of Contrarian Strategies' European Financial Management Journal, Forthcoming
2008
Diwekar U. 'Introduction to Applied Optimization' Springer 2008
Domian Dale, William Reichenstein 'Returns-Based Style Analysis of Convertible Bond
Funds' J. Fixed Income Winter 2009
Doran James, Ehud Ronn 'Computing the Market Price of Volatility Risk in the Energy
Commodity Markets' J. Banking and Finance V.32,#12 Dec. 2008
Douglas Stratford, Thomas Garrett, Russell Rhine 'Disallowances and
Overcapitalization in the U.S. Electric Utility Industry' Review St. Louis Fed
V. 91, # 1
Drechsler Itamar, Amir Yaron 'What's Vol Got to Do With It' AFA Meeting 2009
Duarte Jefferson, Christopher Jones 'The Price of Market Volatility Risk' AFA
Meeting 2009
Duarte Jefferson, Douglas McManus 'Residential Mortgage Credit Derivatives' SSRN
10/08
Ecca Sabrina, Michele Marchesi, Alessio Setzu 'Modeling and Simulation of an
Artificial Stock Option Market' Computational Economics V.32,#1-2, 9/08
Eckner Andreas 'Computational Techniques for Basic Affine Models of Portfolio Credit
Risk' 2007 (Stanford University research paper)
Ehlers Philippe, Philipp Schönbucher 'Background Filtrations and Canonical Loss
Processes for Top-Down Models of Portfolio Credit Risk' Finance and Stochastic
1/09 V.13,#1
Elbirt Adam 'Understanding and Applying Cryptography and Data Security' 2008 CRC
Press
Elie R. 'Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution
Approach' Applied Math. & Optimization V.58,#3 12/08
Eloe P., R.H. Liu, M. Yatsuki, G. Yin, Q. Zhang 'Optimal Selling Rules in a Regime-
Switching Exponential Gaussian Diffusion Model' SIAM J. Appl. Math. V.69, # 3
2008 <Markov chain, regime-switching, boundary value problem, stochastic
recursive algorithm>
Engle Robert 'Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH
Models' SSRN 11/08
Engle Robert 'High Dimension Dynamic Correlations' SSRN 11/08
Engle Robert 'New Frontiers for ARCH Models' SSRN 11/08
Engle Robert, Magdalena Sokalska, Ananda Chanda 'High Frequency Multiplicative
Component GARCH' SSRN 11/08
Eraker Bjørn 'Affine General Equilibrium Models'  <no-arbitrage, CAPM, Epstein-Zin
preferences, non-Gaussian shocks, diffusion, stochastic model applications> MS
12/08 V.54,#12
Erneux T. 'Applied Delay Differential Equations' Springer 2008
Es-Sebaiy Khalifa, David Nualart, Youssef Ouknine, Ciprian Tudor 'Occupation
Densities for Certain Processes Related to Fractional Brownian Motion' 2/08
Estrada Javier 'Investing in Emerging Markets: A Black Swan Perspective'SSRN 11/08
Estrada Javier 'The Gain-Loss Spread: A New and Intuitive Measure of Risk' SSRN
11/08
Ewald Christian-Oliver, Zhaojun Yang 'Utility Based Pricing and Exercising of Real
Options under Geometric Mean Reversion and Risk Aversion Toward Idiosyncratic
Risk' Math. Methods of O.R. V.68,#1 8/08
Fabozzi Frank, K.C. Ma, Becky Oliphant 'Sin Stock Returns' J. Portfolio Management
Fall 2008
Fabozzi Frank, Sergio Focardi, Caroline Jonas 'On the Challenges in Quantitative
Equity Management' QF V.8,#7 2008
Fama Eugene, Kenneth French 'Average Returns, B/M, and Share Issues' JofF V.63,#6
Dec. 2008 <book to value>
Fan Jianqing, Yazhen Wang 'Spot Volatility Estimation for High-Frequency Data'
Statistics and Its Interface V.1,#2 2008
Fan Yingying, Jianqing Fan 'Testing and Detecting Jumps Based on a Discretely
Observed Process' SSRN Jan. 09
Fang Fang, Cornelis Oosterlee 'A Novel Pricing Method for European Options Based on
Fourier-Cosine Series Expansions' SIAM J. Sci. Comput. V.31,#2, 11/08
Farinelli Simone, Paolo Vanini 'Joint Interest Rate Risk Management of Balance Sheet
and Hedge Portfolio in a Present Value Perspective' The Icfai University
Journal of Financial Risk Management, V.V, #3, September 2008
Favilukis Jack 'Reconciling Increasing Wealth Inequality with Increasing Market
Participation and a Decreasing Equity Premium' SSRN 11/08
Feldhütter Peter, David Lando 'Decomposing Swap Spreads' J. Financial Economics
V.88, #2, May 2008
Feng Yongchang, Rong Chen, Gilbert Bassett 'Quantile Momentum' Statistics and Its
Interface V.1,#2 2008
Fernandes Jose, Jose Renato Haas Ornelas 'Hidden Risks in Mean-Variance
Optimization: An Intergrated-Risk Asset Allocation Proposal' SSRN 11/08
Fernandez Pablo, Heinrich Liechtenstein 'The Equity Premium Puzzle: High Required
Premium, Undervaluation and Self Fulfilling Prophecy' SSRN 10/08
Ferrero Giuseppe, Andrea Nobili 'Futures Contract Rates as Monetary Policy
Forecasts' SSRN 12/08
Figlewski Stephen 'Assessing the Incremental Value of Option Pricing Theory Relative
to an "Informationally Passive" Benchmark' SSRN 11/08
Filipovic Damir, Eckhard Platen 'Consistent Market Extensions under the Benchmark
Approach' Mathematical Finance Jan. 2009 V19, #1
Fillat Jose 'Housing as a Measure for Long-Run Risk in Asset Pricing' AFA Meeting
2009
Finger Christopher, Vladimir Finkelstein, George Pan, Jean-Pierre Lardy, Thomas Ta,
John Tierney 'CreditGrades technical document' 2002 RiskMetircs Group
Finkelstein Vladimir 'Assessing Default Probabilities From Equity Markets' 2001
Presentation, Credit Risk Summit, NewYork
Fleming Jeff, Chris Kirby 'Component-Driven Regime-Switching Volatility' SSRN Jan.
09
Fletcher Tristan 'Hybrid Evolutionary Techniques for FX Arbitrage Prediction' SSRN
Jan. 09
Florens Jean-Pierre, James Heckman, Costas Meghir, Edward Vytlacil 'Identification
of Treatment Effects Using Control Functions in Models with Continuous,
Endogenous Treatment and Heterogeneous Effects' Econometrica V.76,#5, 9/08
Föllmer Hans, Alexander Schied 'Coherent and Convex Risk Measures' 2008?
Foroni Ilaria, Anna Agliari 'Complex Price Dynamics in a Financial Market with
Imitation' Computational Economics V.32,#1-2, 9/08
Forsyth Peter 'A Hamilton Jacobi Bellman Approach to Optimal Trade Execution' 11/08
Foucault Thierry Foucault, David Sraer, David Thesmar ‘Individual Investors and
Volatility’ AFA Meeting 2009
Fouque Jean-Pierre, Ronnie Sircar, Knut Solna 'Multiname and Multiscale Default
Modeling'
Frahm Gabriel 'Linear Statistical Inference for Global and Local Minimum Variance
Portfolios' SSRN 9/08
Frahm Gabriel 'Testing for the Best Alternative with an Application to Performance
Measurement' SSRN 9/08
Frahm Gabriel, Christoph Memmel 'Dominating Estimators for the Global Minimum
Variance Portfolio' SSRN 9/08
Francioni Reto, Sonali Hazarika, Martin Reck, Robert Schwartz 'Equity Market
Microstructure: Taking Stock of What We Know' J. Portfolio Management Fall 2008
Frank Murray, Vidhan Goyal 'Profits and Capital Structure' AFA Meeting 2009
Fraser Andrew 'Hidden Markov Models and Dynamical Systems' SIAM Books 2008
Frey Stefan, Patrik Sandas 'The Impact of Hidden Liquidity in Limit Order Books' AFA
Meeting 2009
Frisén Marianne (ed) 'Financial Surveillance' Wiley Press 2008 <statistical models
in finance, likelihood surveillance of volatility, optimal portfolio weights>
Gabaix Xavier 'Linearity-Generating Processes: A Modelling Tool Yielding Closed
Forms for Asset Prices' SSRN 11/08
Gagliardini Patrick,  Christian Gourieroux, Eric Renault 'Efficient Derivative
Pricing by the Extended Method of Moments' Oct. 08 <Option-Pricing>
Galichon Alfred 'The VAR at Risk' SSRN 10/08
Gamba Andrea, Alexander Triantist 'The Value of Financial Flexibility' JofF V.63,#5
Oct. 2008
Gao Fuqing, Jun Yan 'Functional Large Deviations and Moderate Deviations for Markov-
Modulated Risk Models with Reinsurance' J. Applied Probability V.45,#3 9/08
Garcia Joao, Serge Goossens 'Base Expected Loss Explains Lévy Base Correlation
Smile' SSRN 11/08
Garleanu Nicolae Bogdan, Stavros Panageas 'Young, Old, Conservative, and Bold: The
Implications of Heterogeneity and Finite Lives for Asset Prices' AFA Meeting
2009
Gastineau Gary 'The Cost of Trading Transparency: What We Know, What We Don't Know,
and How We Will Know' J. Portfolio Management Fall 2008
Gaur Vishal, Sridhar Seshadri, Marti Subrahmanyam 'Intermediation and Value Creation
in an Incomplete Market: Implications for Securitization' SSRN 11/08
Gaur Vishal, Sridhar Seshadri, Marti Subrahmanyam 'Market Incompleteness and Super
Value Additivity: Implications for Securitization' SSRN 11/08
Geman Hélyette, Stelios Kourouvakalis 'A Lattice-Based Method for Pricing
Electricity Derivatives Under the Threshold Model' Applied Math. Finance 2008
V.15,#5,6
Gerlach Stefan, Katrin Assenmacher-Wesche 'Financial Structure and the Impact of
Monetary Policy on Asset Prices' SSRN 10/08
Giaccherini Luca, Giovanni Pepe 'How Secure are Ratings?' RISK 9/08
Giannetti Mariassunta, Xiaoyun Yu 'Connections and Information Acquisition in
Capital Allocation' AFA Meeting 2009
Gibson Rajna, Carsten Murawski 'Default Risk Mitigation Mechanisms in Derivatives
Markets' SSRN 10/08
Gibson Rajna, Carsten Murawski 'The Price of Protection: Derivatives, Default Risk,
and Margining' SSRN 12/08
Gibson Rajna, Songtao Wang 'Hedge Fund Alphas: Do They Reflect Managerial Skills or
Mere Compensation for Liquidity Risk Bearing?' SSRN 11/08
Giesecke Kay 'An Overview of Credit Derivatives' SSRN 11/08
Giesecke Kay, Thorsten Schmidt, Stefan Weber 'Measuring the Risk of Large Losses' J.
Investment Management 4Q 2008
Glasserman Paul, Kyoung-Kuk Kim 'Saddlepoint Approximations for Affine Jump-
Diffusion Models' JED&C 1/09 V.33,#1
Glasserman Paul, Wanmo Kang, Perwez Shahabuddin 'Fast Simulation of Multifactor
Portfolio Credit Risk' Operations Research V.56,#5 Sept/Oct 2008
Goel Anandl, Anjan Thakor 'Overconfidence, CEO Selection, and Corporate Governance'
JofF V.63,#6 Dec. 2008
Goeree Michelle Sovinsky 'Limited Information and Advertising in the U.S. Personal
Computer Industry' Econometrica V.76,#5, 9/08
Goetzmann William 'More Social Security, Not Less' J. Portfolio Management Fall 2008
Goetzmann William, Akiko Watanabe, Masahiro Watanabe 'Investor Expectations,
Business Conditions, and the Pricing of Beta-Instability Risk' AFA Meeting 2009
Goldbaum David, Bruce Mizrach 'Estimating the Intensity of Choice in a Dynamic
Mutual Fund Allocation Decision' JED&C V., #12 12/08
Goldberg Lisa, Rajnish Kamat, Vijay Poduri 'A Structural Analysis of the Default
Swap Market, Part 1 (Calibration)' Journal of Investment Management 3Q 2008   
Golosnoy Vasyl, Yarema Okhrin 'Flexible Shrinkage in Portfolio Selection' JED&C 2/09
V.33,#2
Gomez Juan Pedro, Fernando Zapatero, Richard Priestley 'The Effect of Relative
Wealth Concerns on the Cross-Section of Stock Returns' AFA Meeting 2009
Gonalves da Silva Afonso, Peter Robinson 'Finite Sample Performance in Cointegration
Analysis of Nonlinear Time Series with Long Memory' Econometric Reviews, V.27
#1-3 Jan.-June 2008
Gonalves da Silvia, Nour Meddahi 'Edgeworth Corrections for Realized Volatility'
Econometric Reviews, V.27 #1-3 Jan.-June 2008
Goodman Jacob, Joseph O'Rourke 'Handbook of Discrete and Computational Geometry'
2004 CRC Press
Gorton Gary 'Information, Liquidity, and the (Ongoing) Panic of 2007' SSRN 1/09
Gorton Gary 'The Subprime Panic' NBER Working Paper #W14398 SSRN 10/08
Goyal Amit, Christophe Pérignon, Christophe Villa 'How Common are Common Return
Factors across the NYSE and Nasdaq?' JFE V.90,#3 12/08
Grané Aurea, Helena Veiga 'Accurate Minimum Capital Risk Requirements: a Comparison
of Several Approaches' J. Banking and Finance V.32,#11 Nov. 2008
Grasselli Matheus, Vicky Henderson 'Risk Aversion and Block Exercise of Executive
Stock Options' JED&C 1/09 V.33,#1
Grasselli Matheus, Tom Hurd 'Malliavin Calculus' 4/05
Greatrex Caitlin Ann 'Credit Default Swap Market Determinants' J. Fixed Income
Winter 2009
Green Richard, Dan Li, Norman Schuerhoff 'Price Discovery in Illiquid Markets' AFA
Meeting 2009
Grenadier Steven, Andrei Malenko 'A Bayesian Approach to Real Options: The Case of
Distinguishing between Temporary and Permanent Shocks' AFA Meeting 2009
Griffin Jim, Roel C.A. Oomen 'Sampling Returns for Realized Variance Calculations:
Tick Time or Transaction Time?' Econometric Reviews, V.27 #1-3 Jan.-June 2008
Grisse Christian 'Higher Order Beliefs and the Comovement of Asset Prices' AFA
Meeting 2009
Griva Igor, Stephen Nash, Ariela Sofer 'Linear and Nonlinear Optimization' SIAM
Books 2008
Gross Jonathan 'Combinatorial Methods with Computer Applications' 2008 CRC Press
Gross Jonathan, Jay Yellen 'Graph Theory and its Applications' 2006 CRC Press
Guan Zhenke, Bing Gan, Aisha Khan, Ser-Huang Poon 'Choice of Interest Rate Term
Structure Models for Assets and Liability Management' SSRN 10/08
Guerci Eric, Stefano Ivaldi, Silvano Cincotti 'Learning Agents in an Artificial
Power Exchange: Tacit Collusion, Market Power and Efficiency of Two Double-
auction Mechanisms' Computational Economics V.32,#1-2, 9/08
Guerra Joao, David Nualart 'Stochastic Differential Equations Driven by Fractional
Brownian Motion and Standard Brownian Motion' 2/08
Guiso Luigi, Paola Sapienza, Luigi Zingales 'Trusting the Stock Market' JofF V.63,#6
Dec. 2008
Guler Osman 'Foundations of Optimization in Finite Dimensions' Springer 2009
Gundel Anne, Stefan Weber 'Utility Maximization under a Shortfall Risk Constraint'
J. Math. Econ. 11/08 V.44,#11
Guo Xin, Robert Jarrow, Yan Zeng 'Modeling the Recovery Rate in a Reduced Form
Model' Mathematical Finance Jan. 2009 V19, #1
Gupta-Mukherjee Swasti 'When Active Fund Managers Deviate from Their Peers: The
Impact on Performance' AFA Meeting 2009
Hale Galina, Assaf Razin, Hui Tong 'Credit Crunch, Creditor Protection, and Asset
Prices' SSRN 1/09
Han Bing, David Hirshleifer, John Persons 'Promotion Tournaments and Capital
Rationing' RFS Jan. 2009 V.22,#1
Han Lu 'The Risk-Return Relationship in Housing Markets: Financial Risk Versus
Consumption Insurance' SSRN 1/09
Hanhardt Andreas, Carmen Ansotegui ' Employing the Fama & French Factors as Means to
Test for European Stock Market Integration' SSRN 12/08
Hansen Peter,  Jeremy Large, Asger Lunde 'Moving Average-Based Estimators of
Integrated Variance' Econometric Reviews, V.27 #1-3 Jan.-June 2008
Har Clement, Venky Nagar, Paolo Petacchi 'The Effect of Rational Capital Markets
Versus Regulatory Enforcement on the Valuation of Innovative Financial Assets'
SSRN 11/08
Hautsch Nikolaus 'Capturing Common Components in High-Frequency Financial Time
Series: a Multivariate Stochastic Multiplicative Error Model' JED&C V., #12
12/08
Hautsch Nikolaus, Yangguoyi Ou 'Discrete-Time Stochastic Volatility Models and MCMC-
Based Statistical Inference' SSRN 11/08
Haworth Helen, Christoph Reisinger, William Shaw 'Modelling Bonds and Credit Default
Swaps Using a Structural Model with Contagion' QF V.8,#7 2008
Hayre Lakhbir, Manish Saraf 'A Loss Severity Model for Residential Mortgages' J.
Fixed Income Fall 2008
He Zhiguo 'Agency Problems, Firm Valuation, and Capital Structure' AFA Meeting 2009
He Zhiguo, Arvind Krishnamurthy 'A Model of Capital and Crises' NBER Working Paper
#1 SSRN 10/08
Henrard Marc 'Bermudan Swaptions in Gaussian HJM One-Factor Model: Analytical and
Numerical Approaches' SSRN 10/08
Henry Tyler, Jennifer Koski 'Short Selling Around Seasoned Equity Offerings' AFA
Meeting 2009
Herbertsson Alexander, Holger Rootzén 'Pricing kth-to-Default Swaps under Default
Contagion: the Matrix-Analytic Approach' Journal of Computational Finance 12.1
(Fall 2008)
Heuvel Skander Van den 'Temporal Risk Aversion and Asset Prices' AFA Meeting 2009
Hikspoors Samuel, Sebastian Jaimungal 'Asymptotic Pricing of Commodity Derivatives
using Stochastic Volatility Spot Models' Applied Math. Finance 2008 V.15,#5,6
Hinnerich Mia 'Inflation-Indexed Swaps And Swaptions'J. Banking and Finance V.32,#11
Nov. 2008
Ho Thomas, Sang Bin Lee 'A Unified Credit and Interest Rate Arbitrage-free
Contingent Claim Model' J. Fixed Income Winter 2009
Hoberg Gerard, Nagpurnanand Prabhala 'Disappearing Dividends, Catering, and Risk'
RFS Jan. 2009 V.22,#1
Hoshikawa Toshiya, Keiji Nagai, Taro Kanatani, Yoshihiko Nishiyama 'Nonparametric
Estimation Methods of Integrated Multivariate Volatilities' Econometric
Reviews, V.27 #1-3 Jan.-June 2008
Hotchkiss Edith, Michael Goldstein 'Dealer Behavior and the Trading of Newly Issued
Corporate Bonds' AFA Meeting 2009
Hsu Chih-Chiang, Chih-Ping Tseng, Yaw-Huei Wang 'Dynamic Hedging With Futures: A
Copula-Based GARCH Model' J. Futures Markets V.28,#11 Nov. 2008  
Hsu Chun-Pin ' State-Dependent Stock Market Reactions to Foreign Investment
Behaviors' SSRN 1/09
Hsu Chun-Pin 'State-Dependent Stock Market Reactions to Foreign Investment
Behaviors' SSRN 12/08
Hsu Scott, Adam Reed, Jörg Rocholl 'The New Game in Town: Competitive Effects of
IPOs' AFA Meeting 2009
Hsu Y.L., T.I. Lin, C.F. Lee 'Constant Elasticity of Variance (CEV) Option Pricing
Model: Integration and Detailed Derivation' Mathematics and Computers in
Simulation V.79,#1 Oct. 2008
Hu Jean 'Modelling Subordinated Stochastic Processes with Student's t and
Generalized Secant Hyperbolic Increments: Empirical Study of Speculative Energy
Markets' SSRN 12/08
Huang Huaxiong, Moshe Milevsky' Portfolio Choice and Mortality-Contingent Claims:
the General HARA Case' J. Banking and Finance V.32,#11 NoV.2008
Huang Jennifer, Ilan Guedj 'Are ETFs Replacing Index Mutual Funds?' AFA Meeting 2009
Huang Jennifer, Jiang Wang 'Market Liquidity, Asset Prices, and Welfare' AFA Meeting
2009
Huang Jiekun 'Dynamic Liquidity Preferences of Mutual Funds' AFA Meeting 2009
Huang Jing-Zhi, Hao Zhou 'Specification Analysis of Structural Credit Risk Models'
AFA Meeting 2009
Huang Jing-Zhi, Weipeng Kong 'Macroeconomic News Announcements and Corporate Bond
Credit Spreads' AFA Meeting 2009
Huang Shirley, Jun Yu 'An Efficient Method for Maximum Likelihood Estimation of a
Stochastic Volatility Model' Statistics and Its Interface V.1,#2 2008
Hüsler Jürg, Vladimir Piterbarg 'A Limit Theorem for the Time Of Ruin in a Gaussian
Ruin Problem' SP&A V.118,#11 11/08
Hughston Lane 'Inflation Derivatives' wp Merrill Lynch 1998
Hundsdorfer Willem, Jan Verwer 'Stability and Convergence of the Peaceman-Rachford
ADI Method for Initial-Boundary Value Problems' Mathematics of Computation,
V.53, #187 (Jul., 1989)
Hung Chi-Hsiou 'Return Predictability of Higher-Moment CAPM Market Models' Journal
of Business Finance & Accounting, V.35, #7-8, September/October 2008
Hurvich Clifford, Yi Wang 'A Pure-Jump Transaction-Level Price Model Yielding
Cointegration, Leverage, and Nonsynchronous Trading Effects' SSRN 11/08
Hwang Byoung-Hyoun 'Distinguishing Behavioral Models of Momentum' SSRN 10/08
Inglis Stewart, Domingo Tavella 'Pricing with Jump Signals in the PDE Framework'
Wilmott Magazine 24, 2006
Ivashina Victoria, Vinay Nair, Anthony Saunders, Nadia Massoud, Roger Stover 'Bank
Debt and Corporate Governance' RFS Jan. 2009 V.22,#1
Ivkovich Zoran, Clemens Sialm, Scott Weisbenner 'Portfolio Concentration and the
Performance of Individual Investors' JF&QA V.43, #3, September 2008
Jabbour Carlos, Javier Peña, Juan Vera, Luis Zuluaga 'An Estimation-Free, Robust
Conditional Value-at-Risk Allocation Model' Journal of Risk V.11,#1 2008
Jacka Saul, Abdelkarem Berkaoui, Jon Warren 'No Arbitrage and Closure Results for
Trading Cones with Transaction Costs' Finance and Stochastics V.12,#4 Oct. 2008
Jäckel Peter 'Splitting the Core' 2004
Jacoby Gady 'Duration and Pricing of TIPS' J. Fixed Income Fall 2008
Jaimungal Sebastian, Vladimir Surkov 'A Lévy Based Framework for Commodity
Derivative Valuation via FFT' SSRN 11/08
Jaimungal Sebastian, Vladimir Surkov 'Stepping Through Fourier Space' SSRN 10/08
Jansson Michael 'Semiparametric Power Envelopes for Tests of the Unit Root
Hypothesis' Econometrica V.76,#5, 9/08
Jarrow Robert, Haitao Li, Sheen Liu, Chunchi Wu 'Reduced-Form Valuation of Callable
Corporate Bonds: Theory and Evidence' AFA Meeting 2009
Jeannin Marc, Giulia Iori, David Samuel 'Modeling Stock Pinning' QF V.8,#8 2008
Jennings William 'What are These Alternatives? A Simple Two-Way Categorization of
Alternative Investments' SSRN 10/08
Jia Panle 'What Happens When Wal-Mart Comes to Town: An Empirical Analysis of the
Discount Retailing Industry' Econometrica V.76,#6 Nov. 2008
Jiang George, Tong Yao 'Stock Price Jumps and Cross-Sectional Return Predictability'
SSRN 9/08
Jiang Wenjiang, Zhenyu Wu, Gemai Chen 'A New Quantile Function Based Model for
Modeling Price Behaviors in Financial Markets' Statistics and Its Interface
V.1,#2 2008
Jimenez Gabriel, Jesus Saurina Salas, Steven Ongena, Jose Luis Peydro 'Hazardous
Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say about
the Effects of Monetary Policy on Credit Risk?' AFA Meeting 2009
Jin Justin Yiqiang 'Investor Attention and Stock Mispricing' SSRN Jan. 09
Johannes Michael, Arthur Korteweg, Nick Polson 'Sequential Learning, Predictive
Regressions, and Optimal Portfolio Returns' AFA Meeting 2009
Johnson William Fount 'Tracking Errors of Exchange Traded Funds' SSRN Jan. 09
Jondeau Eric 'Contemporaneous Aggregation of GARCH Models and Evaluation of the
Aggregation Bias' SSRN 10/08
Jou Jyh-bang, Tan Lee 'Irreversible Investment, Financing, and Bankruptcy Decisions
in an Oligopoly' JF&QA V.43, #3, September 2008
Joyce Michael, Iryna Kaminska, Peter Lildholdt 'Understanding the Real Rate
Conundrum: An Application of No-Arbitrage Finance Models to the UK Real Yield
Curve' SSRN 12/08
Ju Nengjiu, Jianjun Miao 'Ambiguity, Learning, and Asset Returns' AFA Meeting 2009
Judd Kenneth, Felix Kubler, Karl Schmedders 'Bond Ladders and Optimal Portfolios'
SSRN 11/08
Julio Brandon, Woojin Kim, Michael Weisbach 'What Determines the Structure of
Corporate Debt Issues?' AFA Meeting 2009
Jylha Petri, Matti Suominen, Jussi-Pekka Lyytinen 'Arbitrage Capital and Currency
Carry Trade Returns' AFA Meeting 2009
Kabanov Yuri, Mher Safaria 'Markets with Transaction Costs: Mathematical Theory'
2009
Kaloshin Vadim, Mark Levi 'Geometry of Arnold Diffusion' SIAM Review V.50, #4 Dec.
08
Kalotay Andrew, Michael P Dorigan 'What Makes the Municipal Yield Curve Rise?' J.
Fixed Income Winter 2009
Kama Itay 'On the Market Reaction to Revenue and Earnings Surprises' Journal of
Business Finance & Accounting, forthcoming 2008
Kampen Jörg, Anastasia Kolodko, John Schoenmakers 'Monte Carlo Greeks for Financial
Products via Approximative Transition Densities' SIAM J. Scien. Comp.10/08
Kanas Angelos 'A Multivariate Regime Switching Approach to the Relation Between the
Stock Market, the Interest Rate and Output' IJT&AF  Nov. 2008 V.11,#7
Kang Jun-Koo, Jin-Mo Kim 'The Geography of Block Acquisitions' JofF V.63,#6 Dec.
2008
Karpoff Jonathan, D. Scott Lee, Gerald S. Martin 'The Cost to Firms of Cooking the
Books' JF&QA V.43, #3, September 2008
Katz Barbara, Joel Owen 'The Emergence of Concentrated Ownership and the Rebalancing
of Portfolios Due to Shareholder Activism in a Financial Market Equilibrium'
SSRN 11/08
Kaustia Markku, Samuli Knüpfer 'Do Investors Overweight Personal Experience?
Evidence from IPO Subscriptions' JofF V.63,#6 Dec. 2008
Kawai Reiichiro 'Optimal Importance Sampling Parameter Search for Lévy Processes via
Stochastic Approximation' SIAM J. Numerical Analysis V.47,#1 11/08 <Monte Carlo
importance sampling variance reduction constrained or unconstrained algorithm
of the stochastic approximation, almost sure convergence to a unique stationary
point, numerical examples>
Ke Dongmin, Ziyu Zheng 'The Valuation of Corporate Securities: Fundamental and
Market' SSRN 12/08
Kebaier Ahmed, Arturo Kohatsu-Higa 'An Optimal Control Variance Reduction Method for
Density Estimation' SP&A V.118,#12 12/08
Kelly Bryan, Alexander Ljungqvist 'Testing Asymmetric-Information Asset Pricing
Models' SSRN 1/09
Kerkhof Jeroen 'Inflation Derivatives Explained: Market Products and Pricing' Lehman
Brothers 2005
Kiefer Nicholas 'Annual Default Rates Are Probably Less Than Long-Run Average Annual
Default Rates' J. Fixed Income Fall 2008
Kilin Fiodar, Martin Keller-Ressel 'Forward-Start Options in the Barndorff-Nielsen-
Shephard Model' SSRN 9/08
Kim E. Han 'International Finance: Structural Frictions' AFA Meeting 2009
Kimmel Robert 'Changing Times: The Pricing Problem in Non-Linear Models' SSRN 12/08
Kjaer Mats 'Pricing of Swing Options in a Mean Reverting Model with Jumps' Applied
Math. Finance 2008 V.15,#5,6
Klassen Timothy 'Pricing Variance Swaps with Cash Dividends' SSRN 10/08
Kleptsyna Marina, Alain Le Breton, Michel Viot 'On the Linear-Exponential Filtering
Problem for General Gaussian Processes' SIAM J. Control Optim. V.47, #6,2008
<conditional Cameron–Martin-type formula ,conditional expectations and
conditional covariances in some auxiliary optimal risk-neutral filtering
problem, closed form equations of the Itô–Volterra- and Riccati–Volterra–types>
Kocay William, Donald Kreher 'Graphs, Algorithms and Optimization' 2005 CRC Press
Koch Stefan, Christian Westheide 'The Conditional Relation between Fama-French Betas
and Return' SSRN 10/08
Kogan Leonid, Stephen Ross, Jiang Wang, Mark Westerfield 'Market Selection' AFA
Meeting 2009
Koijen Ralph 'The Cross-Section of Managerial Ability and Risk Preferences' AFA
Meeting 2009
Koijen Ralph, Otto Van Hemert, Stijn Van Nieuwerburgh 'Mortgage Timing' SSRN 12/08
Kolasinski Adam, Adam Reed, Matthew Ringgenberg 'A Multiple Lender Approach to
Understanding Supply and Demand in the Equity Lending Market' AFA Meeting 2009
Kolmogorov, A.N. (Andrei Nikolaevich) 'Foundations of the Theory of
Probability' <Grundbegriffe der Wahrscheinlichkeitsrechnung> 1956
Kondor Peter, Veronica Guerrieri 'Fund Managers and Defaultable Debt' AFA Meeting
2009
Korolkiewicz Malgorzata, Robert Elliott 'A Hidden Markov Model of Credit Quality'
JED&C V., #12 12/08
Korteweg Arthur, Nick Polson 'Volatility, Liquidity, Credit Spreads and Bankruptcy
Prediction' AFA Meeting 2009
Kostakis Alexandros, Nikolaos Panigirtzoglou, George Skiadopoulos 'Asset Allocation
with Option-Implied Distributions: A Forward-Looking Approach' SSRN 10/08
Kraft Holger, Frank Thomas Seifried 'Foundations of Continuous-Time Recursive
Utility: Differentiability and Normalization of Certainty Equivalents' SSRN
12/08
Kreiss Jens-Peter, Michael Neumann, Qiwei Yao 'Bootstrap Tests for Simple Structures
in Nonparametric Time Series Regression' Statistics and Its Interface V.1,#2
2008
Krishnan C.N.V., Ralitsa Petkova 'Analyzing the Time-Varying Stock Market Risk-
Return Relation' SSRN 12/08
Kritzman Mark 'Behavioral Investing: A Practitioners Guide To Applying Behavioral
Finance' <book review> J. Investment Management 4Q 2008
Küfer Karl-Heinz, Oliver Stein, Anton Winterfeld 'A Deterministic Approach to
Gemstone Cutting' SIAM News Oct. 08
Kühn Christoph, Kees van Schaik 'Perpetual Convertible Bonds with Credit Risk'
Stochastics V.80,#6 2008
Kuehn Lars-Alexander 'Asset Pricing with Real Investment Commitment' AFA Meeting
2009
Kulikov A.V. 'Multidimensional Coherent and Convex Risk Measures' Theory of Prob.
and its Applications V.52, #4 2008
Kumar B. Prasanna, M.V. Supriya 'Hedging Effectiveness with Physical Delivery and
Cash Settlement at Indian Commodity Futures Market: An Empirical Comparison
Analysis' SSRN 11/08
Kumar B. Prasanna, M.V. Supriya 'Signaling in CNX Nifty Futures: A Perceptual
Approach' Asia-Pacific Business Review, V.4, #3, July-September 2008
Lai Sandy Lai, Melvyn Teo 'Home-Biased Analysts in Emerging Markets' JF&QA V.43, #3,
September 2008
Lai Tze Leung, Samuel Po-Shing Wong 'Statistical Models for the Basel II Internal
Ratings-Based Approach to Measuring Credit Risk of Retail Products' Statistics
and Its Interface V.1,#2 2008
Lally Martin, Tony van Zijl 'Capital Gains and the Capital Asset Pricing Model' SSRN
10/08
Lamba Harbir, Tim Seaman 'Market Statistics of a Psychology-Based Heterogeneous
Agent Model' IJT&AF  Nov. 2008 V.11,#7
Lamberton Damien, Mohammed Mikou 'The Critical Price for The American Put in an
Exponential Lévy Model' Finance and Stochastics V.12,#4 Oct. 2008 <optimal
stopping>
Landier Augustin, David Thesmar 'Financial Contracting with Optimistic
Entrepreneurs' RFS Jan. 2009 V.22,#1
Landini Simone, Mariacristina Uberti 'A Statistical Mechanic View of Macro-dynamics
in Economics' Computational Economics V.32,#1-2, 9/08
Lanne Markku, Helmut Luetkepohl ' Stock Prices and Economic Fluctuations: A Markov
Switching Structural Vector Autoregressive Analysis' SSRN 10/08
Larson Erik, Hwan-Sik Choi 'Development and Validation of Credit Scoring Models' J.
Credit Risk Fall 2008 V.4,#3
Lawson J.D., J. Ll. Morris 'The Extrapolation of First Order Methods for Parabolic
Partial Differential Equations. I' SIAM Journal on Numerical Analysis, V.15,#6
Dec., 1978
Layton William 'Introduction to the Numerical Analysis of Incompressible Viscous
Flows' SIAM Books 2008
Le Anh 'Separating the Components of Default Risk:A Derivative-Based Approach' SSRN
11/08
Lee Jae, Edward Stohr 'Representing Knowledge for Portfolio Management Decision
Making' SSRN 11/08
Lee Kiseop, Mingxin Xu 'Parameter Estimation with k-Means Clustering' <CRR, tree
models, multinomial trees, jump-diffusion> RISK 11/08
Lee Roger 'Gamma Swap' 8/08
Lee Yi-Tsung, Yu-Jane Liu, Ning Zhu 'The Costs of Owning Employer Stocks: Lessons
from Taiwan' JF&QA V.43, #3, September 2008
Leentvaar Coen, Cornelis Oosterlee 'Multi-asset Option Pricing Using a Parallel
Fourier-Based Technique' Journal of Computational Finance 12.1 (Fall 2008)
Leippold Markus, Fabio Trojani 'Asset Pricing with Affine Matrix Jump Diffusions'
SSRN 9/08
Lemke Wolfgang, Theofanis Archontakis 'Bond Pricing when the Short-Term Interest
Rate Follows a Threshold Process' QF V.8,#8 2008
Lemmon Michael, Sophie Ni 'The Effects of Investor Sentiment on Speculative Trading
and Prices of Stock and Index Options' SSRN 11/08
Len Jorge, Samy Tindel 'Itô's Formula for Linear Fractional PDEs' Stochastics
V.80,#5 2008
Lentz Rasmus, Dale Mortensen 'An Empirical Model of Growth through Product
Innovation' Econometrica V.76,#6 Nov. 2008
Leoni Peter, Wim Schoutens 'Multivariate Smiling' Wilmott Mag. 2008
Lettau Martin, Stijn VanNieuwerburgh 'Reconciling the Return Predictability
Evidence' SSRN 11/08
Lettau Martin, Sydney Ludvigson 'Expected Returns and Expected Dividend Growth' SSRN
11/08
Leuccadito Arturo, Radu Tunaru, Giovanni Urga 'CMCDS Premia Implicit in the Term
Structure of Corporate CDS Spreads' SSRN 10/08
Leung Tim 'Employee Stock Options: Accounting for Optimal Hedging, Suboptimal
Exercises, and Contractual Restrictions' SSRN 11/08
Leung Tim, Ronnie Sircar 'Accounting for Risk Aversion, Vesting, Job Termination
Risk and Multiple Exercises in Valuation Of Employee Stock Options'
Mathematical Finance Jan. 2009 V19, #1
Levendorskii Sergei 'American and European Options in Multi-Factor Jump-Diffusion
Models, Near Expiry' Finance and Stochastics V.12,#4 Oct. 2008 <Critical price
near expiry, Exchange options, Bond options, ATSM – QTSM>
Lewellen Stefan 'SPACs as an Asset Class' SSRN 10/08
Li Haitao, Feng Zhao 'Nonparametric Estimation of State-Price Densities Implicit In
Interest Rate Cap Prices' AFA Meeting 2009
Li Hongyun 'Convexity Adjustments in Inflation-lined Derivatives using a Multi-
Factor Version of Jarrow and Yildirim Model' MSc diss. Imperial College 2007
Li Ming, Paul Vitányi 'An Introduction to Kolmogorov Complexity and its
Applications' Springer 2009
Li Song, Don (Tissa) U.A. Galagedera 'Co-Movement of Conditional Volatility Matter
in Asset Pricing: Further Evidence in the Downside and Conventional Pricing
Frameworks' Icfai Journal of Applied Finance, V.14, #9, September 2008 
Lieberman Offer, Peter C.B. Phillips 'Refined Inference on Long Memory in Realized
Volatility' Econometric Reviews, V.27 #1-3 Jan.-June 2008
Lin Junyi, Xiaoqun Wang 'New Brownian Bridge Construction in Quasi-Monte Carlo
Methods for Computational Finance' Journal of Complexity 24 2008 <Asian,
American options>
Linnainmaa Juhani, Ioanid Rosu 'Time Series Determinants of Liquidity in a Limit
Order Market' AFA Meeting 2009
Linton Oliver 'A Nonparametric Threshold Model with Application to Zero Returns'
Statistics and Its Interface V.1,#2 2008
Linzert Tobias, Sandra Schmidt 'What Explains the Spread between the Euro Overnight
Rate and the ECB's Policy Rate?' SSRN 12/08
Lipton Alexander 'Evaluating the Latest Structural and Hybrid Models for Credit
Risk' Conference 2003
Lipton Alexander 'Pricing of Credit-Linked Notes and Related Products' Merrill Lynch
2007
Liu David 'Inflation Modeling' SSRN 10/08
Liu Hong 'Portfolio Insurance and Underdiversification' AFA Meeting 2009
Lochstoer Lars 'Expected Returns and the Business Cycle: Heterogeneous Goods and
Time-Varying Risk Aversion' SSRN 11/08
Loggie Keith 'Volatility Arbitrage Indices - A Primer' SSRN Jan. 09
Lord Roger 'Comment on: A Note on the Discontinuity Problem in Heston's Stochastic
Volatility Model' SSRN 10/08
Lustig Hanno, Stijn Van Nieuwerburgh, Adrien Verdelhan 'The Wealth-Consumption
Ratio: A Litmus Test for Consumption-Based Asset Pricing Models' SSRN 11/08
Lynch Anthony 'Explaining the Magnitude of Liquidity Premia: The Roles of Return
Predictability, Wealth Shocks and State-Dependent Transaction Costs' SSRN 11/08
Maasoumi Esfandiar, Michael McAleer 'Realized Volatility and Long Memory: An
Overview' Econometric Reviews, V.27 #1-3 Jan.-June 2008
MacRae Cecil Duncan 'The Employee Stock Option: An Installment Option' SSRN 11/08
Madan Dilip, Marc Yor 'Representing the CGMY and Meixner Lévy Processes as Time
Changed Brownian Motions' Journal of Computational Finance 12.1 (Fall 2008)
Madan Dilip, Wim Schoutens 'Break on Through to the Single Side' J. Credit Risk Fall
2008 V.4,#3  
Majumdar Satya, Jean-Philippe Bouchaud 'Optimal Time to Sell a Stock in the Black-
Scholes Model: Comment on 'Thou Shalt Buy and Hold', by A. Shiryaev, Z. Xu and
X.Y. Zhou' QF V.8,#8 2008
Mamoghli Chokri, Sami Daboussi 'Performance Measurement of Hedge Funds Portfolios in
a Downside Risk Framework' SSRN 9/08
Marín Jose, Jacques Olivier 'The Dog That Did Not Bark: Insider Trading and Crashes'
JofF V.63,#5 Oct. 2008
Marosi Andras, Nadia Massoud '"You Can Enter but You Cannot Leave...": U.S.
Securities Markets and Foreign Firms' JofF V.63,#5 Oct. 2008
Marquez Robert, Bilge Yilmaz 'Information and Efficiency in Tender Offers'
Econometrica V.76,#5, 9/08
Marquez Robert, M. Deniz Yavuz 'Financial Contracting and the Specialization of
Assets' AFA Meeting 2009
Martin Richard, Helen Haworth, Fer Koch 'Struck Off' <Credit default swaps, CDSs,
default contingent annuity> 11/08
Mashayekh-Ahangarani Pouyan 'The Structural Change in Mortgage–Treasury Spreads
during the Credit Crunch' J. Fixed Income Winter 2009
Massa Massimo, Ayako Yasuda, Lei Zhang 'Supply Uncertainty of Institutional Bond
Investors and the Leverage of the Firm' AFA Meeting 2009
Mathews Richmond, David Robinson 'Market Structure, Internal Capital Markets, and
the Boundaries of the Firm' JofF V.63,#6 Dec. 2008
Matzkin Rosa 'Identification in Nonparametric Simultaneous Equations Models'
Econometrica V.76,#5, 9/08
Maymin Philip 'Pricing Multiple Warrants' SSRN 11/08
Mayston Daniel, Alexander Kempf, Pradeep Yadav 'Resiliency in Limit Order Book
Markets: A Dynamic View of Liquidity' AFA Meeting 2009
McAleer Michael, Marcelo Medeiros 'Realized Volatility: A Review' Econometric
Reviews, V.27 #1-3 Jan.-June 2008
McCoy Eric 'Maturity Adjustments Under Asymptotic Single Risk Factor Models: A
Comparative Analysis' J. Credit Risk Fall 2008 V.4,#3
McGinty Lee, Eric Beinstein, Rishad Ahluwalia 'Introducing Base Correlation' 2004 JP
Morgan research
Melchiori Mario 'Which Archimedean Copula is the Right One?' 2003 <Risk>
Meligkotsidou Loukia, Ioannis Vrontos 'Detecting Structural Breaks and Identifying
Risk Factors in Hedge Fund Returns: a Bayesian Approach' J. Banking and Finance
V.32,#11 Nov. 2008
Menchero Jose, Indrajit Mitra 'The Structure of Hybrid Factor Models' Journal of
Investment Management 3Q 2008   
Meng Lei, Owain ap Gwilym, Jose Varas 'Volatility Transmission among the CDS,
Equity, and Bond Markets' J. Fixed Income Winter 2009
Menz Klaus-Michael 'Is Corporate Governance Relevant for Euro-Credit Spreads?
Evidence from the CDS Market' SSRN 12/08
Menz Klaus-Michael 'The Empirical Evaluation of Euro Corporate Bonds - Evidence from
a Panel-Econometric Analysis' SSRN 12/08
Mishura Yu, G. Shevchenko 'The Rate of Convergence for Euler Approximations of
Solutions of Stochastic Differential Equations Driven by Fractional Brownian
Motion' Stochastics V.80,#5 2008
Moise Claudia 'Volatility Pricing in the Stock and Treasury Markets' 2008
Morellec Erwan, Boris Nikolov, Norman Schuerhoff 'Dynamic Capital Structure under
Managerial Entrenchment: Evidence from a Structural Estimation' AFA Meeting
2009
Morlais Marie-Amélie 'Quadratic BSDEs Driven by a Continuous Martingale and
Applications to the Utility Maximization Problem' Finance and Stochastic 1/09
V.13,#1
Mougeot Nicolas 'Variance Swaps and Beyond' . BNP Paribas, 2005
Müller Ulrich, Mark Watson 'Testing Models of Low-Frequency
Variability' Econometrica V.76,#5, 9/08
Mykland Per, Lan Zhang 'Inference for Volatility-Type Objects and Implications for
Hedging' Statistics and Its Interface V.1,#2 2008
Nasakkala E., Jussi Keppo 'Hydropower with Financial Information' Applied Math.
Finance 2008 V.15,#5,6
Nashikkar Amrut, Martin Subrahmanyam 'Latent Liquidity and Corporate Bond Yield
Spreads' SSRN 11/08
Necula Ciprian 'Asset Pricing in a Two-Country Discontinuous General Equilibrium
Model' SSRN 11/08
Necula Ciprian 'Barrier Options and a Reflection Principle of the Fractional
Brownian Motion' SSRN 10/08
Neely Christopher, David E. Rapach 'Real Interest Rate Persistence: Evidence and
Implications' Review FRB St. Louis Nov/Dec. 2008 V.90,#6
Neuenkirch Andreas 'Optimal Pointwise Approximation of Stochastic Differential
Equations Driven by Fractional Brownian Motion' SP&A V.118,#12 12/08
Newman Daniel, Frank Fabozzi, Douglas Lucas, Laurie Goodman 'Empirical Evidence on
CDO Performance' J. Fixed Income Fall 2008
Nieuwenhuis J.W., Michel Vellekoop 'Weak Convergence of Tree Methods to Price
Options on Defaultable Assets' Decisions in Economics and Finance, 27 2004
Nijskens Rob, Wolf Wagner 'Credit Risk Transfer Activities and Systemic Risk: How
Banks Became Less Risky Individually but Posed Greater Risks to the Financial
System at the Same Time' SSRN 12/08
Nobili Stefano, Gerardo Palazzo 'A Beta Based Framework for (Lower) Bond Risk
Premia' SSRN 11/08
Norden Lars, Wolf Wagner 'Credit Derivatives and Loan Pricing' J. Banking and
Finance V.32,#12 Dec. 2008
Nualart David, Bruno Saussereau 'Malliavin Calculus for Stochastic Differential
Equations Driven by a Fractional Brownian Motion' 10/06
Nualart David, Murad Taqqu 'Wick-Itô Formula for Regular Processes and Applications
to the Black and Scholes Formula' Stochastics V.80,#5 2008
Ofeka Eli, Matthew Richardson, Robert Whitelaw 'Limited Arbitrage and Short Sales
Restrictions: Evidence from the Options Markets' SSRN 11/08
Okimoto Tatsuyoshi 'New Evidence of Asymmetric Dependence Structures in
International Equity Markets' JF&QA V.43, #3, September 2008
Olszewski Wojciech, Alvaro Sandroni 'Manipulability of Future-Independent Tests'
Econometrica V.76,#6 Nov. 2008
Omran Mohammed, John Pointon 'A Scenario Analysis of the Risk Premium In G7
Countries' IJT&AF  Nov. 2008 V.11,#7
Owen Mark, Gordan Žitkovic 'Optimal Investment with an Unbounded Random Endowment
and Utility-Based Pricing' Mathematical Finance Jan. 2009 V19, #1
Oyer Paul 'The Making of an Investment Banker: Stock Market Shocks, Career Choice,
and Lifetime Income' JofF V.63,#6 Dec. 2008
Ozeki Takaaki, Yuji Umezawa, Akira Yamazaki, Daisuke Yoshikawa 'An Extension of
Creditgrades Model Approach with Lévy Processes' SSRN 11/08
Ozeki Takaaki, Yuji Umezawa, Akira Yamazaki, Daisuke Yoshikawa 'Valuation of
Residential Mortgage-Backed Securities with Proportional Hazard Model: Cumulant
Expansion Approach to Pricing RMBS' SSRN 11/08
Ozerturk Saltuk 'Risk Sharing, Risk Shifting and the Role of Convertible Debt' J.
Math. Econ. 11/08 V.44,#11
Pain A., O. Renault, D. Shelton 'Base Correlation - The Term Structure Dimension'
2005 Citigroup
Palacios Miguel 'The Value and the Risk of Aggregate Human Capital: Implications
from a General Equilibrium Model' SSRN 11/08
Palczewski Jan, Klaus Reiner Schenk-Hoppé 'From Discrete to Continuous Time
Evolutionary Finance Models' SSRN 11/08
Palmon Dan, Ephraim Sudit, Ari Yezegel 'The Accruals Anomaly and Company Size'
Financial Analysts Journal, September/October 2008, V.64, #5
Pan Jun, Kenneth Singleton 'Default and Recovery Implicit in the Term Structure of
Sovereign CDS Spreads' JofF V.63,#5 Oct. 2008
Pandes Ari 'Bought Deals: The Value of Underwriter Certification in Seasoned Equity
Offerings' AFA Meeting 2009
Paravisini Daniel 'Local Bank Financial Constraints and Firm Access to External
Finance' JofF V.63,#5 Oct. 2008
Park Kwangwoo, George Pennacchi 'Harming Depositors and Helping Borrowers: The
Disparate Impact of Bank Consolidation' RFS Jan. 2009 V.22,#1
Pasquariello Paolo 'Informative Trading or Just Noise? An Analysis of Currency
Returns, Market Analysis of Currency Returns, Market Proximity of Central Bank
Interventions' SSRN 11/08
Pástor Lubo, Meenakshi Sinha, Bhaskaran Swaminathan 'Estimating the Intertemporal
Risk–Return Tradeoff Using the Implied Cost of Capital' JofF V.63,#6 Dec. 2008
Patel Samir, Daniel Kirsch 'Introducing the Consumption Option' RISK Oct. 2008
<timer option>  
Paulot Louis, Xavier Lacroze 'Efficient Pricing of CPPI Using Markov Operators' SSRN
1/09
Pavlova Anna, Roberto Rigobon 'Equilibrium Portfolios and External Adjustment under
Incomplete Markets' AFA Meeting 2009
Pedersen Thomas Quistgaard 'Intertemporal Asset Allocation with Habit Formation in
Preferences: An Approximate Analytical Solution' SSRN 12/08
Pei Dingyi 'Authentication Codes and Combinatorial Designs' 2006 CRC Press
Peng Shige 'Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus
under G-Expectation' SP&A V.118,#12 12/08
Perignon Christophe, Daniel R. Smith 'A New Approach to Comparing VaR Estimation
Methods' J. Derivatives Winter 2008
Petersen Mitchell 'Estimating Standard Errors in Finance Panel Data Sets: Comparing
Approaches' RFS Jan. 2009 V.22,#1
Peterson Brian, Kris Boudt 'Component VAR for a Non-Normal World' 11/08
Philippe Charlot, Vêlayoudom Marimoutou 'Hierarchical Hidden Markov Structure for
Dynamic Correlations: The Hierarchical RSDC Model' SSRN 10/08
Philippon Thomas 'The Y-Theory of Investment' SSRN 11/08
Philippon Thomas, Yuliy Sannikov 'Real Options in a Dynamic Agency Model, with
Applications to Financial Development, IPOs, and Business Risk' SSRN 11/08
Philips Thomas, Arun Muralidhar 'Saving Social Security: A Better Approach' FAJ
Nov/Dec 2008 V.64,#6
Piazzesi Monika 'Interest Rates, Government Debt' AFA Meeting 2009
Piskorski Tomasz, Alexei Tchistyi 'Stochastic House Appreciation and Optimal
Mortgage Lending' AFA Meeting 2009
Pitaraks Jean-Yves 'Comment on: Threshold Autoregressions with a Unit Root'
Econometrica V.76,#5, 9/08
Piterbarg Vladimir 'Rates Squared' <parameterised class of multi-factor quadratic
Gaussian models, calibration formulas> RISK 1/09
Platikanova Petya 'Long-Term Price Effect of S&P 500 Addition and Earnings Quality'
Financial Analysts Journal, September/October 2008, V.64, #5
Pojarliev Momtchil, Richard Levich 'Do Professional Currency Managers Beat the
Benchmark?' Financial Analysts Journal, September/October 2008, V.64, #5
Polk Christopher, Paola Sapienza 'The Stock Market and Corporate Investment: A Test
of Catering Theory' RFS Jan. 2009 V.22,#1
Pollet Joshua, Mungo Wilson 'How Does Size Affect Mutual Fund Behavior?' JofF
V.63,#6 Dec. 2008
Portero L., J.C. Jorge 'A Generalization of Peaceman-Rachford Fractional Step
Method' Journal of Computational and Applied Mathematics V.189, #1 May 2006
Poteshman Allen 'Forecasting Future Volatility from Option Prices' UIUC 2000
Potì Valerio 'A Note on Return Predictability and Price Bubbles' SSRN 11/08
Puckett Andy, Xuemin Sterling Yan 'The Interim Trading Skills of Institutional
Investors' AFA Meeting 2009
Qian Edward 'Optimal Trading Strategy with Optimal Horizon' Journal of Investment
Management 3Q 2008 <Trading Strategy><Liquidity, fixed cost, risk, calculus of
variations>  
Qiao Huijie, Xicheng Zhang 'Homeomorphism Flows for Non-Lipschitz Stochastic
Differential Equations with Jumps' SP&A V.118,#12 12/08
Raberto Marco, Andrea Teglio, Silvano Cincotti 'Integrating Real and Financial
Markets in an Agent-Based Economic Model: An Application to Monetary Policy
Design' Computational Economics V.32,#1-2, 9/08
Rauch Joshua, Amir Sufi 'Capital Structure and Debt Structure' AFA Meeting 2009
Rebonato Riccardo, Andrey Pogudin, Richard White 'Delta and Vega Hedging in the SABR
and LMM-SABR Models' <market data> RISK 12/08
Rehmeyer Julie 'What's the Weather Like Now?' <ensemble Kalman filter> SIAM News
Dec.08
Rice Tara, Philip Strahan 'Does Credit Supply Affect Small-Firm Finance?' AFA
Meeting 2009
Richie Nivine, Robert Daigler, Kimberly Gleason 'The limits to stock index
arbitrage: Examining S&P 500 futures and SPDRS' J. Futures Markets V.28,#12
Dec.2008
Rigotti Luca, Chris Shannon, Tomasz Strzalecki 'Subjective Beliefs and ex ante
Trade' Econometrica V.76,#5, 9/08
Roache Shaun 'Commodities and the Market Price of Risk' IMF Working Paper #08/221
SSRN 10/08
Roberts A.J. 'Elementary Calculus of Financial Mathematics' SIAM Books 2008
Roberts Michael 'Corporate Capital Structure' AFA Meeting 2009
Rodrigo Marianito, Rogemar Mamon 'A New Representation of the Local Volatility
Surface' IJT&AF  Nov. 2008 V.11,#7
Rodriguez Abel, Enrique ter Horst 'Measuring Expectations in Options Markets: An
Application to the S&P500 Index' SSRN 12/08
Roncalli Thierry, Guillaume Weisang 'Tracking Problems, Hedge Fund Replication and
Alternative Beta' SSRN 1/09
Roncoroni Andrea 'Arbitrage Models of Commodity Prices' SSRN 10/08
Rosen Dan, David Saunders 'Analytical Methods for Hedging Systematic Credit Risk
with Linear Factor Portfolios' JED&C 1/09 V.33,#1
Rosenthal Dale 'Approximating Correlated Defaults for Credit Default Options and
Swaps' SSRN 12/08
Rosenthal Dale 'Approximating Correlated Defaults for Credit Default Options and
Swaps' SSRN 12/08
Rossi Marco ‘Market Participation and Dividend Clienteles’ AFA Meeting 2009
Rountree Brian, James Weston, George Allayannis 'Do Investors Value Smooth
Performance?' JFE V.90,#3 12/08
Ryten M. 'Practical Modeling for Limited Price Index and Related Inflation Products'
presentation ICBI Global conference 2007
Safra Zvi, Uzi Segal 'Calibration Results for Non-Expected Utility Theories'
Econometrica V.76,#5, 9/08
Sarkissian Sergei, Michael Schill 'Are There Permanent Valuation Gains to Overseas
Listing?' RFS Jan. 2009 V.22,#1
Sasaki Yuya, Arthur Caplan 'Matching Heterogeneous Traders in Quantity-Regulated
Markets' Computational Economics V.31,#4 April 2008
Schachermayer Walter, Mihai Sîrbu, Erik Taflin 'In Which Financial Markets Do Mutual
Fund Theorems Hold True?' Finance and Stochastic 1/09 V.13,#1
Schenk-Hoppé Klaus Reiner, Jan Palczewski 'Market Selection of Constant Proportions
Investment Strategies in Continuous Time' SSRN 11/08
Schied Alexander, Torsten Schöneborn 'Liquidation in the Face of Adversity: Stealth
vs. Sunshine Trading' 2007
Schied Alexander, Torsten Schöneborn 'Optimal Basket Liquidation with Finite Time
Horizon for CARA Investors' 2008
Schied Alexander, Torsten Schöneborn 'Optimal Portfolio Liquidation for CARA
Investors' 2007
Schied Alexander, Torsten Schöneborn 'Risk Aversion and the Dynamics of Optimal
Liquidation Strategies in Illiquid Markets' tobe Finance and Stochastics
Schiller Frank, Gerold Seidler, Maximilian Wimmer 'Temperature Models for Pricing
Weather Derivatives' SSRN 10/08
Schotman Peter, Rolf Tschernig, Jan Budek 'Long Memory and the Term Structure of
Risk' Journal of Financial Econometrics, V.6, #4, 2008
Schoutens Wim 'Stochastic Processes and Orthogonal Polynomials' Lect. Notes in
Stats. 146 Springer 2000
Schulmerich Marcus 'Real Options Valuations: the Importance of Interest Rate
Management in Theory and Practice' Springer 2005 Lecture Notes #559
Schwarcz Steven 'Understanding the 'Subprime' Financial Crisis' Duke Public Law &
Legal Theory Paper Series #222 SSRN 10/08
Schweizer Martin, Johannes Wissel 'Arbitrage-free Market Models for Option Prices:
The Multi-Strike Case' Finance and Stochastics V.12,#4 Oct. 2008 <Market
model, Local Implied volatility, Static and Dynamic arbitrage, Drift
restrictions, Existence result>
Seifried Frank Thomas 'Optimal Investment with Deferred Capital Gains Taxes' SSRN
12/08
Sekine Jun 'A Note on the Risk-Premium Process in an Equilibrium' IJT&AF  Nov. 2008
V.11,#7
Sepp Artur 'Dynamically Correlated Credits' 2007 (Merrill Lynch research paper)
Sepp Artur 'Extended CreditGrades Model with Stochastic Volatility and Jumps'
Wilmott Mag. 2006
Serban Mihaela, John Lehoczky, Duane Seppi 'Cross-Sectional Stock Option Pricing and
Factor Models of Returns' SSRN 12/08
Sergienko Alexander 'Quantum Communications and Cryptography' 2006 CRC Press
Sharma Vivek, Jungshik Hur, Hei Wai Lee 'Glamour versus Value: Trading Behavior of
Institutions and Individual Investors' SSRN 11/08
Shefrin Hersh 'Risk and Return in Behavioral SDF-Based Asset Pricing Models' J.
Investment Management 4Q 2008
Shiryaev Albert, Zuoquan Xu, Xun Yu Zhou 'Response to Comment on 'Thou Shalt Buy and
Hold' ' QF V.8,#8 2008
Shiryaev Albert, Zuoquan Xu, Xun Yu Zhou 'Thou Shalt Buy and Hold' QF V.8,#8 2008
Siegel Laurence 'Alternatives and Liquidity: Will Spending and Capital Calls Eat
Your "Modern" Portfolio?' J. Portfolio Management Fall 2008
Sipics Michelle 'Digging Out Worthwhile Content on the Web' SIAM News Oct. 08
Siriopoulos Costas, Athanasios Fassas 'An Investor Sentiment Barometer - Greek
Implied Volatility Index' SSRN 11/08
Siriopoulos Costas, Athanasios Fassas 'The Information Content of VFTSE' SSRN 11/08
Soe Aye 'S&P 500 Dividend Aristocrats' SSRN Jan. 09
Song Qingyi (Freda) 'Financial Distress, the Idiosyncratic Volatility Puzzle and
Expected Returns' SSRN 11/08
Souza Leonardo Rocha 'Why Aggregate Long Memory Time Series?' Econometric Reviews,
V.27 #1-3 Jan.-June 2008
Spalt Oliver 'Probability Weighting and Employee Stock Options' AFA Meeting 2009
Spargoli Fabrizio, Paolo Zagaglia 'The Co-Movements Along the Forward Curve of
Natural Gas Futures: A Structural View' SSRN 11/08
Stamicar Robert, Christopher Finger 'Incorporating Equity Derivatives Into The
Creditgrades Model' 2005 RiskMetrics Group
Standard & Poors 'Inflation and Industry Returns - A Global Perspective' SSRN 12/08
Stanton Richard, Nancy Wallace, Jennifer Carpenter 'Optimal Exercise of Executive
Stock Options and Implications for Firm Cost' SSRN 11/08
Steinbacher Matjaz 'Acceptable Risk in a Portfolio Analysis' SSRN 12/08
Stentoft Lars 'American Option Pricing Using GARCH Models and the Normal Inverse
Gaussian Distribution' Journal of Financial Econometrics, V.6, #4, 2008
Stoll Hans 'Future of Securities Markets: Competition or Consolidation?' FAJ Nov/Dec
2008 V.64,#6
Stoughton Neal, Youchang Wu, Josef Zechner 'Intermediated Investment Management' AFA
Meeting 2009
Strang Gilbert 'Computational Science and Engineering' Wellesley-Cambridge
Press 2008
Stulz René 'Risk Management Failures: What are they and When Do They Happen?' SSRN
10/08
Su Liangjun, Zhijie Xiao 'Testing Structural Change in Time-Series Nonparametric
Regression Models' Statistics and Its Interface V.1,#2 2008
Svenstrup Mikkel, Søren Willemann 'Reforming Housing Finance: Perspectives from
Denmark' JRER V.28,#2 2006
Swinkels Laurens, Liam Tjong-A-Tjoe 'Can Mutual Funds Time Investment Styles?'
Journal of Asset Management, V.8, #2
Swishchuk Anatoliy 'Multi-Factor Lévy Models: Change of Time and Pricing of
Financial and Energy Derivatives' SSRN Jan. 09
Szyszka Adam 'Generalized Behavioral Asset Pricing Model' SSRN 11/08
Takahashi Akihiko, Akira Yamazaki 'Efficient Static Replication of European Options
under Exponential Lévy models' J. Futures Markets V.29, #1 Jan.2009
Takamizawa Hideyuki, Isao Shoji 'Modeling the Term Structure of Interest Rates with
General Diffusion Processes:  a Moment Approximation Approach' JED&C 1/09
V.33,#1
Tan Sinan 'The Role of Options in Long Horizon Portfolio Choice' AFA Meeting 2009
Taylor J.C. 'An Introduction to Measure and Probability' Springer 1998
Teague Vanessa 'Problems With Coordination in Two-Player Games: Comment on
"Computational Complexity and Communication"' Econometrica V.76,#6 Nov. 2008
Thorburn Karin 'Takeovers and Equity Offerings' AFA Meeting 2009
Thornton Daniel 'The Fed, Liquidity, and Credit Allocation' Review St. Louis Fed V.
91, # 1
Tille Cedric, Eric van Wincoop 'International Capital Flows under Dispersed
Information: Theory and Evidence' NBER Working Paper #W14390 SSRN 10/08
Timmer Jens, Andreas Weigend 'Modeling Volatility Using State Space Models' SSRN
10/08
Titman Sheridan, Cristian Ioan Tiu 'Do the Best Hedge Funds Hedge?' AFA Meeting 2009
Turc Julien, David Benhamou, Benjamin Herzog 'Pricing Bespoke CDOs - The Latest
Developments' Societe Generale research paper 2006
Tutsch Sina 'Update Rules for Convex Risk Measures' QF V.8,#8 2008
Ulrich Maxim ' Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S.
Government Bonds' SSRN 11/08
van Binsbergen Jules 'Deep Habits and the Cross Section of Expected Returns' AFA
Meeting 2009
Van Nieuwerburgh Stijn, Laura Veldkamp 'Information Immobility and the Home Bias
Puzzle' SSRN 11/08
Vanberg Christoph 'Why Do People Keep Their Promises? An Experimental Test of Two
Explanations' Econometrica V.76,#6 Nov. 2008
Vasicek Oldrich 'Probability of Loss on Loan Portfolio' KMV 1987
Velez-Pareja Ignacio 'Return to Basics: Are You Properly Calculating Tax Shields?'
SSRN 11/08
Wachter Jessica 'Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock
Market Volatility?' SSRN 10/08
Wagner Wolf 'The Inefficiency of Diversification in Economies with Endogenous
Liquidation Costs' SSRN 12/08
Wang Kevin 'Reversal Fear and Momentum' AFA Meeting 2009
Wang Z., G.J. Klir 'Generalized Measure Theory' Springer 2008
Wang Zhi Jay, Vikram Nanda 'Why Do Aggressive Payout Policies Reduce Fund Discounts
- Is It Signaling, Agency Costs, or Dividend Preferences?' AFA Meeting 2009
Wei K.C. John, Feixue Xie 'Accruals, Capital Investments, and Stock Returns'
Financial Analysts Journal, September/October 2008, V.64, #5
Weill Pierre-Olivier 'Liquidity Premia in Dynamic Bargaining Markets' SSRN 11/08
Weinbaum David 'Investor Heterogeneity, Asset Pricing and Volatility Dynamics'
JED&C, Forthcoming SSRN 12/08
Weintraub Gabriel, C. Lanier Benkard, Benjamin Van Roy 'Markov Perfect Industry
Dynamics with Many Firms' Econometrica V.76,#6 Nov. 2008
Whalley A. Elizabeth 'Optimal Partial Hedging of Options with Small Transaction
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Wheelock David 'Changing the Rules: State Mortgage Foreclosure Moratoria During the
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White Richard, Riccardo Rebonato 'A Swaption Volatility Model using Markov Regime
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Wilcox Diane, Tim Gebbie 'Serial Correlation, Periodicity and Scaling of Eigenmodes
in an Emerging Market' IJT&AF  Nov. 2008 V.11,#7
Witzany Jiri 'Construction of Equivalent Martingale Measures with Infinitesimals'
SSRN 9/08
Wong Hoi Ying, Chun Man Chan 'Turbo Warrants under Stochastic Volatility' QF V.8,#7
2008
Wright Jonathan, Hao Zhou 'Bond Risk Premia and Realized Jump Risk' AFA Meeting 2009
Wright Jonathan, Hao Zhou 'Bond Risk Premia and Realized Jump Volatility' FEDS
Working Paper #2007-22 SSRN 10/08
Wu Guojun, Zhijie Xiao 'Are There Speculative Bubbles in Stock Markets? Evidence
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Xu Xiaoqing Eleanor, Anthony Loviscek 'The Performances of MBS Hedge Funds and
Mutual Funds: A Puzzle' J. Investment Management 4Q 2008
Yan Hongjun 'Is Noise Trading Cancelled Out by Aggregation?' AFA Meeting 2009
Yan Xuemin (Sterling) 'Liquidity, Investment Style, and the Relation between Fund
Size and Fund Performance' JF&QA V.43, #3, September 2008
Yang Liu 'The Real Determinants of Asset Sales' JofF V.63,#5 Oct. 2008
Yi Bingsheng, Mohamed El-Badawi, Barry Lin 'Pre-Issue Investor Optimism and Post-
Issue Underperformance' Financial Analysts Journal, September/October 2008,
V.64, #5
Yogo Motohiro 'Portfolio Choice in Retirement: Health Risk and the Demand for
Annuities, Housing, and Risky Assets' AFA Meeting 2009
Yu Minjie, Qiang Zhang, Dennis Yang 'Bankruptcy in Long-Term Investments' QF V.8,#8
2008
Yu Susana 'Reinganum's Trading Strategies Revisited: Structuring Profitable
Strategies Based on Updated Filters' Managerial Finance, Forthcoming SSRN
12/08
Yu Susana, Dean Leistikow 'Which Explains an Equity Indexes' Return Better, the
Change in its Own Implied Volatility or that for a Broader Index?' Journal of
Investment Management, Forthcoming SSRN 12/08
Yuan Jianhua, Robert Savickas 'To Intercept or Not to Intercept, That Is the
Question in Asset-Pricing Tests' SSRN 12/08
Zhang Xiaoyan, Rui Zhao, Yuhang Xing 'What Does Individual Option Volatility Smirk
Tell Us About Future Equity Returns?' AFA Meeting 2009
Zhou Guofu 'On the Fundamental Law of Active Portfolio Management: How to Make
Conditional Investments Unconditionally Optimal' J. Portfolio Management Fall
2008
Zhou Hao 'Stochastic Economic Uncertainty and Monetary Policy Target' SSRN 11/08
Zhu Jinxia, Hailiang Yang 'Estimates for the Absolute Ruin Probability in the
Compound Poisson Risk Model with Credit and Debit Interest' J. Applied
Probability V.45,#3 9/08
Zilca Shlomo 'The Variance Ratio and Trend Stationary Model as Extensions of a
Constrained Autoregressive Model' SSRN 10/08
Zumbach Gilles 'Volatility Forecasts and the At-the-Money Implied Volatility: A
Multi-Components ARCH Approach and its Relation with Market Models' SSRN 12/08