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(editor) 'Birth of the AAA Derivatives Subsidiary' J.

of Derivatives Summer 94
(editor) 'Financial Derivatives:Actions Needed to Protect the Financial System' J. of
Derivatives Fall 94
(editor) www.mathfinance.de 'Baskets' <option-basket>
(editor) www.mathfinance.de 'Cholesky Decomposition' <volatility>
(editor) www.mathfinance.de 'Option on the Minimum/Maximum' <option-rainbow>
(No Name) 'Caps? Collars? Swap? Swaption'<caps>
(No Name) 'Collaring an Option with a Cap that Fits' RISK 12/87 <caps>
(No Name) 'Elliptic Curves & Elliptic Functions'<number theory>
(No Name) 'Gab of the Gift' <ARCH> RISK 10/93
(No Name) 'Glossary of Terms for Fermats Last Theorem' <number theory>
(No Name) 'Glossary' RISK Special 11/95 <Repo>
(No Name) 'How Repos Work'RISK Special 11/95 <Repo>
(No Name) 'Hull-White's Magnum Opus <mention Mid-Atlantic & Bermudan Options>' RISK
2/92
(No Name) 'Innovation is the Key' RISK Special 11/95 <Repo>
(No Name) 'Merrill Analyst' 'Beyond Black-Scholes Non-Linear Optimization in Asset
Pricing'<options-general>
(No Name) 'Orange Blues' RISK Special 11/95 <Repo>
(No Name) 'Repo Market:Overview' RISK Special 11/95 <Repo>
(No Name) 'Riskmetric-Technical Document' 4th ed 96 <risk> J.P. Morgan
(No Name) 'Robert Merton , Investment Banking' SIAM News 9/98
(No Name) 'Strings, Turbulence & Interest Rates' 4/98 Numerix <interest rates>
(various) 'Credit Derivatives RISK supp 11/98 <LongTerm Capital>
(various) 'Studies on Equity Markets' FRB NY 88 <margin requirements>
(various) 'Weather Risk' RISK supp 10/98
(various> 'Weather Risk' RISK publication 8/99 <electric,power,energy>
Aamperi D. 'Implied Trees in Incomplete Markets' <options-numeric><linear
program.,volaility,martingale,principal components> 5/96
Aase Knut 'A Model for Loss of Profits Insurance' Progress in Probability<insurance>
(Stoch. analysis & Related Topic 5th workshop Silivri 94> 96
Aase Knut 'American Derivatives-a Review' 12/97 <options-American>
Aase Knut 'An Equilibrium Model of Catastrophe Insurance Futures Contracts'<insurance>
Research Symposium Proceedings9/95
Aase Knut 'Area Yield Futures & Options' 3/99 <hedge> Norw. Business School
Aase Knut 'Contingent Claims Valuation When the Security Price is a Combination of an
Ito Process & a Random Point Process' <stochastics> Mathematics of Operation
Research 28:1988
Aase Knut 'Jump/Diffusion Consumption-based CAPM & Equity Premium Puzzle' MF
4/93<diffusion>
Aase Knut 'Optimal Portfolio Diversification in a General Continuous-Time Model'
<portfolio> (84) SP&A
Aase Knut 'Ruin Problems & Myopic Portfolio Optimization' <portfolio> (86) SP&A
Aase Knut, Bernt Oksendal 'Admissible Investment Strategies in Continuous Trading'
<continuous time> SP&A 30:291 1988
Aase Knut, Bernt Oksendal, Nicolas Privault, J. Uboe 'White Noise Generalizations of
the Clark-Haussmann-Ocone Theorem with Application to Mathematical Finance'
Finance & Stochastics V4 #4 2000 <stochastic><Malliavin>
Aasness J., E. Biorn,T. Skjerpen 'Engle Functions,Panel Data & Latent Variables'
Econometrica 11/93
Abadir K., K. Hadri, E. Tzavalis 'Influence of VAR Dimension on Estimator Biases'
Econometrica 1/99
Abadir K., M. Rockinger 'The Devils Horns Problem of Inverting Confluent
Characteristic Functions' Econometrica 9/97
Abadir K., R. Paruolo 'Two Mixed Normal Densities from Cointegration Analysis'
Econometrica 5/97
Abarbanell J., V. Bernard 'Tests of Analysts Over/Underreaction to Earnings
Information as Explanation for Anomalous Stock Price Behavior' JofF 7/92
Abate Joseph, Ward Whitt 'Laplace Transforms of Probability Density Functions with
Series Representations' 4/98 <numeric> <Laguerre,long-tail,Erlang, Bell numbers>
Abate Joseph, Ward Whitt 'Numerical Inversion of Laplace Transforms of Probability
Distributions' J. Computing 95 , 1993 <distributions>
Abate Joseph, Ward Whitt 'The Fourier-Series Method for Inverting Transforms of
Probability Distributions' Queueing Systems 92 v.10 5-88 , 91 <numeric>
Abbeu D., Ariel Rubinstein 'Structure of Nash Equilibrium in Repeated Games with
Finite Automata' Econometrica 11/88
Abbott L. 'Mystery of the Cosmological Constant' SA 5/88
Abdulkadiroglu A., T. Sonmez 'Random Serial Dictatorship & the Core from Random
Endowments in House Allocations Problems' Econometrica 3/98
Abhyankar Abhay 'Return & Volatility Dynamics in the FT-SE 100 Stock Index & Stock
Index Futures Markets ' J.Fut.Mark 6/95
Abiola I. 'Modeling Credit Risk Spread iwth Interest Rate Volatility in the Eurodollar
Market' 98 Simon Fraser PhD
Abken Peter 'An Empirical Evaluation of Value at Risk by Scenario Simulation' J.
Deriv. Summer 2000
Abken Peter 'Generalized Method of Moments Tests of Forward Rate Processes' FRB
Atlanta w.p. 6/93 <term structure> <tests of Heath,Jarrow,Morton 92>
Abken Peter 'Globalization of Stock,Futures,& Options Markets' FRB Atlanta Economic
Review 7/91
Abken Peter 'Inflation & the Yield Curve' <term structure> Economic Review FRB
Atlanta 5/93
Abken Peter 'Inflation Uncertainty & the Nominal Term Structure:A Survey' <CIR
models/testing> <term structure> <Heath Jarrow Morton> FRB Atlanta w.p. 8/94
Abken Peter 'Interest Rate Caps,Collars & Floors'<caps> FRB Atlanta
Abken Peter 'Over the Counter Financial Derivatives:Risky Business?' FRB Atlanta
3&4/94
Abken Peter 'Using Eurodollar Futures Options:Gauging the Markets View of Interest
Rate Movements' FRB Atlanta 3/95
Abken Peter 'Valuation of Default-Risky Interest Rate Swaps'<swaps> AF&OR6
Abken Peter, Dilip Madan, S. Ramamurtie 'Estimation of Risk-Neutral & Statistical
Densities by Hermite Polynomial Approximations:with an Application to Eurodollar
Futures Options'<contingent claims> 6/96 FRB Atlanta wp
Abken Peter, Dilip Madan, S. Ramamurtie 'Pricing S&P Index Options using a Hilbert
Space Basis' FRB Atlanta 12/96 <options-index>
Abken Peter, H. Cohen 'Generalized Method of Moments Estimation of Heath-Jarrow-Morton
Models of Interest Rate Contingent Claims'<term structure> FRB Atlanta 8/94
Abken Peter, M. Shrikhande 'Role of Currency Derivatives in Internationally
Diversified Portfolios' Econ Review FRB Atlanta 3Q97
Abken Peter, Saikat Nandi 'Options & Volatility' FRB Atlanta 12/96<volatility>
Aboud J., F. Kramarz,D. Margolis 'High Wages Workers & High Wage Firms' Econometrica
3/99
Aboudi R., D. Thon 'Efficient Algoritms for Stochastic Dominance Tests Based On
Financial Market Data' <complete markets> MS 4/94
Abraham A., D. Ikenberry 'The Individual Investor & the Weekend Effect' JF&QA 6/94
Abraham B., George Box 'Deterministic & Forecasting Adaptive Time Dependent Models'
Appl. Statistics 1978 <regression>
Abraham K., J. Greenlees, B. Mooulton 'Working to Improve the Consumer Price Index'
J. Econ. Persp. W 98
Abraham K., J. Haltiwonger 'Real Wages & the Business Cycle' <business cycle> JEL 9/95
Abraham-Frois G., E. Berrebi 'Le Probleme de la Transformation:Solution(s)'
Econometrica 9/84
Abrahams S. 'A Review of Extension Risk in Thirty-Year GNMA Mortgages' J.Fixed Income
12/94
Abrahams S. 'New View in Mortgage Prepayments:Insight from Analysis at the Loan-by-
Loan Level' J. Fixed Income 6/97
Abramov A., D. Brown 'Returns on Russian Treasury Securities 1994-96:Violation of
Interest Rate Parity ?' J. Fixed Income 6/97
Abramovich F., T. Sapatinas, B. Silverman 'Stochastic Expansions in an Overcomplete
Wavelet Dictionary' <wavelet> Prob. Theory Relt. Fields 2000
Abramowicz M. 'Black Holes & Centrifical Force Paradox' Scientific American 3-93
Abrams R., R. Froyen, R. Waud 'State of the Federal Budget & State of the Economy'
Economy Inquiry 10/87 <budget>
Abreu Dilip 'On the Theory of Infinitely Repeated Games with Discounting'
Econometrica 3/88
Abreu Dilip, A. Sen 'Virtual Implementation in Nash Equilibrium' Econometrica 7/91
Abreu Dilip, D. Pearce, E. Stacchette 'Towards a Theory of Discounted Repeated Games
with Imperfect Monitoring' Econometrica 9/90
Abreu Dilip, F. Gul 'Bargaining & Reputation' Econometrica 1/2000
Abreu Dilip, H. Matsushima 'A Response to Glazer & Rosenthal' Econometrica 11/92
Abreu Dilip, P. Dutta, L. Smith 'The Folk Theorem for Repeated Games:A NEU Condition'
Econometrica 7/94
Abreu Dilip, P. Migrom, D. Pearce ' Information & Timing in Repeated Partnerships'
Econometrica 11/91
Abrew Dilip, H. Matsushima 'Virtual Implementation in Interactively Undominated
Strategies:Complete Information' Econometrica 9/92
Abril J. 'Approximate Densities of Some Quadratic Forms of Stanionary Random
Variables' J. Time Series Analysis (87) #3
Abuaf N., Philippe Jorion 'Purchasing Power Parity in the Long Run' JofF 3/90
Abu-Mostafa Y.,D. Psaltis 'Optical Neural Computers' Amer Scien 3/87 <math>
Abu-Saris R., F. Hanson 'Computational Suboptimal Filter for a Class of Wiener-Poisson
Driven Stochastic Processes' Dynamics & Control 97 <stochastics>
Acar Emmanuel, D. Prieul 'Expected Maximum Loss of Financial Returns' <risk>
NetExposure 11/97
Acar Emmanuel, S. Stachell 'A Theoretical Analysis of Trading Rules:an Application to
the Moving Average Case with Markovian Returns' App. Math. Finance 9/97
<trading>
Acharya S. 'Generalized Econometric Model & Tests of Signaling Hypothesis with Two
Discrete Signals' JofF 6/88
Acharya S. 'Value of Latent Information:Alternative Event Study Methods' JofF 3/93
Acharya S., Dilip Madan 'Can a Riskless Asset be Pesumed to Exist? A Latent Interest
Rate Theory & Evidence' 3/97 <asset pricing>
Acharya S., J. Dreyfus 'Optimal Bank Reorganization Policies & the Pricing of Federal
Deposit Insurance' JofF 12/89
Ackermann C., R. McEnally, D. Ravenscraft 'The Perfromance of Hedge Funds:Risk, Return
& Incentivies' JofF 6/99
Ackert L., B. Smith 'Stochastic Price Volatility,Ordinary Divdends & Other Cash Flows
to Shareholders' JofF 9/93
Ackert L., V. Tian 'Introduction of Toronto Index Participation Units & Arbitrage
Opportunities in the Toronto 35 Index Option Market' J. Deriv. Summer 98
Ackert L., W. Hunter 'A Sequential Test Methodology for Detecting Futures Market
Disruptions with Applications to Futures Margin Management' R. Futures Markets
v9 #2 90
Ackert L., W. Hunter 'Rational Expectations & Dynamic Adjustment of Security Analysts
Forecasts to New Information' w.p. FRB Atlanta 8-93<security>
Ackert L., W. Hunter 'Rational Expectations & Security Analysts Earnings
Forecasts'<alphabetic> FRB Atlanta 8/92
Acworth Paul, Mark Broadie, Paul Glasserman 'A Comparison of Some Monte Carlo & Quasi
Monte Carlo Techniques for Option Pricing' 97 <monte carlo>
Adair R. 'Flaw in the Universal Mirror' 2/88 SA <astrophysics>
Adam B., P. Garcia,R. Hauser 'Robust Live Hog Pricing Strategies under Uncertain
Prices & Risk Preferences' JFM 12/93
Adamchuk Alexander, S. Adamchuck, Sergei Esipov 'Arbitrage Relaxation of Instruments
with Temporal Constraints' 6/98 <arbitrage>
Adamchuk Alexander, Sergei Esipov 'Collectively Fluctuating Assets in the Presence of
Arbitrage Opportunities, and Option Pricing' Physics-Uspekhi 97 <arbitrage>
Adams K., D. van Deventer 'Fitting Yield Curves & Forward Rate Curves with Maximum
Smoothness' <term structure> <num J.Fixed Income 6/94
Adan I., M. van Eenige, J. Resing 'Fitting Discrete Distributions on the First Two
Moments' <distributions> Prob in Engin & Info. Science (95)
Adcock C. 'Factor Friction'<multi-factor><factor models> RISK 12/91
Aderhold R., C. Cumming, A. Harwood 'International Linkages among Equity Markets and
Oct. 87 Market Break' FRB NY Quart. Review Summer 88
Adleman L. 'Factoring Numbers Using Singular Integers' <number field sieve>
<cryptography> Proc. ACM 91 Theory of Computing
Adler B., D. Gale 'Arbitrage & Growth Rate for Riskless Investments in a Stationary
Economy' MF 1/97 <arbitrage>
Adler M. 'Cost of Capital & Valuation of a Two-Country Firm' JofF 3/74
Adler M. 'Investor Recognition of Corporation International
Diversification:Comment'<reply Agmon T.,D. Lessard> JofF 3/81
Adler M., B. Dumas 'Internation Portfolio Choice & Corporation Finance:Synthesis'
JofF 6/83
Adler M., B. Prasad 'On Universal Currency Hedge'<foreign exchange> JF&QA 3/92
Adler M., G. Stevens 'Trade Effects of Direct Investment' JofF 5/74
Adler M., Jerome Detemple 'Hedging with Futures in an Intertemportal Portfolio
Context' <hedging> JFM Jun 88
Adler M., Jerome Detemple 'Optiomal Hedge of a Nontraded Cash Position' JofF 3/88
Adler M., Philippe Jorion 'Universal Currency Hedges for Global Portfolios'
J.Portfolio Mangagement Summer 92
Adler M., R. Horesh 'Relationship Among Equity Markets:Comment' Econometrica 9/74
Adler R., M. Lewin 'Local Time & Tanaka Formulae for Super Brownian & Super Stable
Processes'<Brownian motion> SP&A 5/92
Admati A. 'A Noisy Rational Expectations Equilibrium for Multi-Asset Security Markets'
Econometrica 5/85
Admati A., P. Pfleiderer 'Direct & Indicrect Sale of Information' Econometrica 7/90
Admati A., P. Pfleiderer 'Robust Financial Contracting & the Role of Venture
Capitalists' JofF 6/94
Admati A., S. Bhattacharya,P. Pfleiderer,S. Ross 'On Timing & Selectivity' JofF 7/86
Afaf N. 'Going Global' RISK 11/97 <portfolio> <FX exposure>
Affleck-Graves John 'Exam Power of Univariate CAPM' J. ECON & BUSIN v45,#1 3-93
Affleck-Graves John, Bill McDonald 'Multivariate Tests of Asseet Pricing:Comparative
Power of Alternative Statistics' <asset pricing> JF&QA (90)
Affleck-Graves John, Bill McDonald 'Nonnormalities & Tests of Asset Pricing Theories'
JofF 9/89
Affleck-Graves John, S.Hedge, R. Miller 'Trading Mechanisms & Components of Bid-Ask
Spread' JofF 9/94
Aftergood S., et al 'Nuclear Power in Space' SA 6/91
Agca Senay, Donald Chance 'A Comparison of Alternative Bivariate Normal Probability
Estimation Procedures for Compound & Min-Max Options' 3/99 <options-compound>
Aggarwal Raj 'Distribution of Spot & Forward Exchange Rates:Empirical Evidence &
Investor Valuation of Shewness & Kurtosis' <distributions> Decision Science 1990
Aggarwal Raj 'Stabilization Activities by Underwriter after Initial Public Offernings'
JofF 6/00
Aggarwal Raj, A. Samwick 'Executive Compensation, Strategic Competition, and Relative
Performance Evaluation: Theory and Evidence' JofF 12/99
Aggarwal Raj, C. Inclan, R. Leal 'Volatility in Emergin Stock Markets' JF&QA 3/99
Aggarwal Raj, D. Schirm 'Global Portfolio Diversification' Academic Press
Aggarwal Raj, M. Moran, Peter Ritchken 'Valuation of Covert Greenmail
Payments:Application of Contingent Claims Analysis' J. Fin. Engin. 12/92
Aggarwal Raj, S. Mohanty, F. Song 'Are Survey Forecasts of Macroeconmic Variables
Rational?' JofBusiness 1/95
Aghion P., M. Dewatripont, P. Rey 'Renegotiation Design with Unverifiable Information'
Econometrica 3/94
Aghion P., P. Howitt 'Model of Growth through Creative Destruction' Econometrica 3/92
Agmon T., A. Ofer, A. Tamir 'Variable Rate Debt Instruments & Corporate Debt Policy'
JofF 3/81 or 12/80
Agrawai A., R. Walking 'Executive Careers & Compensation Surrounding Takeover Bids'
JofF 7/94
Agrawal A., C. Knoeber 'Firm Performance & Mechanisms to Control Agency Problems
between Managers & Shareholders' JF&QA
Agrawal A., G. Mandelker 'Managerial Incentives & Corporate Investment & Financing
Decisions' JofF 9/87
Agrawal A., Jeffrey Jaffe, G. Mandelher 'Post-Merger Performance of Acquiring
Firms:Re-Examination of an Abnormaly' JofF 9/92
Agrawal A., N. Nagarajan 'Coroporate Capital Structure, Agency Costs, & Ownership
Control:Case of All-Equity Firms' JofF 9/90
Aguirre J. 'Self-Similarity & the Singular Cauchy Problem for the Heat Equation with
Cubic Absorption' App. Math. Letter 1/2001 <PDE>
Aharony J., C. Jones, I. Swary 'An Analysis of Risk & Return Characteristics of
Corporate Bankruptcy Using Capital Market Data' JofF 9/80
Aharony J., I. Swary 'Effects of the 1970 Bank Holding Company Acts:Evidence from
Capital Markets' JofF 9/81
Aharony J., I. Swary 'Quarterly Dividend Announcement & Stockholders'Returns:Empirical
Study' JofF 3/80
Ahmadi H., P. Sharp, C. Walther 'Effectiveness of Futures & Options in Hedging
Currency Risk' <hedging> AFOR V1B 86
Ahmed H. 'Nonlinear Dynamics, Volatility Estimation & Management of Equity Risk' w.p.
1992 <volatility>
Ahn B., G. Johnson 'Path Integrals, Fourier Transforms & Feynman Operational Calculus'
Mar/April 98 Anna. App. Prob.
Ahn C. 'Effect of Temporal Risk Aversion on Optimal Consumption, the Equity Premium &
the Equilibrium Interest Rate' JofF 12/89
Ahn C. 'Option Pricing when Jump Risk is Systematic' <options-numeric> MF 10/92
Ahn C. 'Pricing of Foreign Currency Futures Options'<options-currency> J. Fina. Engin
9/96
Ahn C., H. Thompson 'Jump-Diffusion Processes & the Term Structure of Interest Rates'
JofF 3/88
Ahn D. 'Common Factores & Local Factors:Implications for Term Structures & Exchange
Rates' 1/97 <term structure>
Ahn D. 'Generalized Squared-Autoregressive Independent-Variable Nominal Term Structure
Model' 7/97 (term structure)
Ahn Dong-Hyun, Bin Gao 'Parametric Nonlinear Model of Term Structure Dynamics' RFS #4
99 ,3/98 <term structure>
Ahn Dong-Hyun, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw 'Optimal Risk
Management Using Options' JofF 2/99
Ahn Dong-Hyun, Steven Figlewski, Bin Gao 'Pricing Discrete Barrier Options with an
Adaptive Mesh Model' J. Derivatives Summer 99 <options-barrier>
Ahn Dong-Hyun, V. Khadem, Paul Wilmott 'Pricing of Risk Bonds:Current Models & Future
Directions' <credit>
Ahn Hyungsok 'Semimartingale Integral Representations' Annals of Prob. 4/97
<martingale>
Ahn Hyungsok, Adviti Muni, Glen Swindle 'Misspecifed Asset Price Models & Robust
Hedging Strategies' Appl. Math Finance 3/97 <hedging>
Ahn Hyungsok, Adviti Muni, Glen Swindle 'Optional Hedging Strategies for Miispecified
Asset Price Models' App.Math.Fin. 9/99 <hedging>
Ahn Hyungsok, Antony Penaud, Paul Wilmott 'Various Passport Options & Their Valuation'
Applied. Math. Fin. 12/99 <option-passport>
Ahn Hyungsok, J. Powell 'Nonparametric Two Stage Estimation of Conditional Choice
Probabilities in a Binary Choice Model Under Uncertainty'U of Wisc. Madison
April 90
Ahn Hyungsok, J. Powell 'Semiparametric Estimation of Censored Selection Models' U of
Wisc. Madison April 90
Ahn Hyungsok, M. Bouabci, Antony Penaud 'Tailormade for Tails' <distribution> <heavy
tails>
Ahn Hyungsok, M. Dayal, E. Grannan, Glen Swindle 'Option Replication with Transaction
Costs:General Diffusion Limits' <options-transaction> Annals of Applied Prob. V6
#5 98
Ahn Hyungsok, Paul Wilmott 'Exercise Class' <option-American>
Ahn Hyungsok, Paul Wilmott 'On Trading American Options' <options-American>
Ahonen E. 'Mechanics 2' Derive Newsletter 6/93
Ahtola J., George Tiao 'Distribution of Least Squares Estimators of Atuoregressive
Parameters for a Process with Complex Roots on the Unit Circle' J. Time Series
Analysis #1 (87)
Ahtola J., George Tiao 'Note on Asymptotic Inference in Autoregressive Models with
Roots on the Unit Circle' J. Time Series Analysis #1 (87)
Aigner D., C. Sprenkle 'On Optimal Financing of Cyclical Cash Needs' JofF 12/73
Aigner D., P. Balestra 'Optimal Experimental Design for Error Components Models'
Econometrica 7/88
Aina Victor 'Valuation of Default-Risky Securities under a Mixed Diffusion-Jump
Process' Simon Fraser U. PhD Diss. 99
Aingworth D., R. Motwani, J. Oldham 'Accurate Approximations for Asian Options'
<option-asian> 10/99
Ait Sahalia Farid 'Valuation & Exercise of American Barrier Options'
Ait Sahalia Farid, L. Imhof, Tze Lai 'Fast & Accurate Valuation of American Barrier
Options' <option-american> 10/2000
Ait Sahalia Farid, Peter Carr 'American Options: a Comparison of Numerical Methods'
in Num.Method in Finance (ed.Rogers,Talay)
Ait Sahalia Farid, T. Lai 'Valuation of Discrete Barrier & Hindsight Options' J.
Finan. Engin. 6/97 <options-barrier>
Ait Sahalia Farid, Tze Leung Lai 'A Canonical Optimal Stopping Problem for American
Options & its Numerical Solution' J. Comp. Finance Spring 2000 <option-American>
Ait Sahalia Farid, Tze Leung Lai 'Random Walk Duality & the Valuation of Discrete
Lookback Options' App.Math Finance 9&12/98 <option-lookback>
Aitken M., A. Frino, M. McCorry, P. Swan 'Short Sales are Almost Instantaneously Bad
News:Evvidence from the Australian Stock Exchange'JofF 12/98
Aitken M., G. Garvey, P. Swan 'How Brokers Facilitate Trade for Long-Term Clients in
Competitive Security Markets' JofBusiness 1/95
Ait-Sahalia Yacine 'Delta & Bootstrap Methods for Non-linear Functionals of
Nonparametric Kernel Estimators Base on Dependent Multivariate Data' 10-92
Ait-Sahalia Yacine 'Do Interest Rates Really Follow a Continuous-Time Markov
Diffusions? 10/97 <term structure>
Ait-Sahalia Yacine 'Dynamic Equilibrium & Volatility in Finanical Asset Markets' wp
<volatility>
Ait-Sahalia Yacine 'Nonparametric Pricing of Interest Rate Derivative Securities'
<diffusion,term structure,continuous time> Econometrica 5/96
Ait-Sahalia Yacine 'Testing Continuous-Time Models of the Spot Interest Rate' <term
structure> UofC w.p. 8/95,RFS Summer 96
Ait-Sahalia Yacine 'The Delta Method for Nonparametric Kernel Functionals' 8/94
<regression>
Ait-Sahalia Yacine 'Transition Densities for Interest Rate & other Nonlinear
Diffusions' JofF 8/99
Ait-Sahalia Yacine, Andrew Lo 'Nonparametric Estimation of State-Price Denisties
Implicit in Financial Asset Prices' JofF 4/98 <volatility smile>
Ait-Sahalia Yacine, Peter Bickel, Thomas Stoker 'Goodness-of-Fit Tests for Regression
Using Kernel Methods' Journal of Econometrics, 2001 , <regression> 3/96
Ait-Sahalia Yacine, Y. Wang, F. Yared 'Do Option Markets Correctly Price the
Probabilities of Movements of the Underlying Asset?' 10/97 <option-pricing>
Aivazian V., J. Callen 'Future Investment Opportunities & the Value of the Call
Provision on a Bond:Comment' JofF 9/80
Aivazian V., J. Callen 'Investment, Market Structure & Cost of Capital' JofF 3/79
Aivazian V., J. Callen 'Millers Irrelevance Mechanism' JofF 3/87
Aiyagan S. 'Economic Fluctuation without Shocks to Fundamentals; or Does the Stock
Market Dance to it Own Music? FRB Minn W88
Aiyagari S. Rao 'On the Contribution of Technology Shocks' Quarterly Review Summer 97
FRB Minn.
Aiyagari S. Rao 'Deficits, Interest Rates & Tax Distributions' FRB Minn Winter 85
Aiyagari S. Rao 'Deflating the Case for Zero Inflation' Quarterly Review Summer 97 FRB
Minn.
Aiyagari S. Rao 'Explaining Financial Market Facts:Importance of Incomplete Markets &
Transaction Costs' <complete markets> Quarterly Review FRB Minn Winter 93
Aiyagari S. Rao 'Intergenerational Linkages & Government Budget Policies' FRB Minn Sp
87 <budget>
Aiyagari S. Rao 'Macroeconomics with Frictions' Quart.Review FRB Minn. Summer 94
Aiyagari S. Rao 'On Contribution of Technology Shocks to Business Cycles' Quart.
Review FRB Minn. Winter 94
Aiyagari S. Rao, N. Wallace, R. Wright 'Coexistence of Money & Interest-Bearning
Securities' J. Monetary Economics 96
Aizenstros Elon 'Managing the Unmanageable ' <electric power energy,Burr XII
distribution> ASIA RISK 6/99
Ajinkya B., M. Gift 'Dispersion of Financial Analysts Earnings Forecasts & Option
Model Implied Standard Deviation of Stock Returns' JofF 12/85
Akahori J. 'Explosive Tests for Stochastic Integral Equations Related to Interest Rate
Models' J. Math. Sciences, U. Tokyo 98 <term structure>
Akahori J. 'Some Formulae for a New Type of Path-Dependent Option'<options-path>
Annals of App.Prob 95
Akamanam S., M. Rao, K. Subramanyam 'On the Ergodicity of Bilinear Time Series
Models' J. Time Series Analysis #3 (86)

Akasof S. 'Dynamic Aurora' SA 5/89


Akaujo A. 'Lack of Pareto Optimal Allocations in Economies with Infinitely Many
Commodities:Need for Impatience' Econometrica 3/85
Akerlof G. 'Social Distance & Social Decisions' Econometrica 9/97
Akesson Fredrik, John Lehoczky 'Discrete Eigenfunction Expansion of Multi-Dimensional
Brownian Motion & the Ornstein-Uhlenbeck Process' 11/98 <Brownian>
Akesson Fredrik, John Lehoczky 'Path Generation for Quasi-Monte Carlo Simulation of
Mortgage Backed Securities' 9/2000 <monte carlo>
Akgiray Vedat, Geoffrey Booth 'Compound Distribution Models of Stock Returns: An
Empirical Comparison' <distributions> JFR Fall 87
Akgiray Vedat, Geoffrey Booth 'Mixed Diffusion-Jump Process Model of Exchange Rate
Movement' R. Econ & Stats 11/88
Akhtar M., B. Putman 'Money Demand & Foreign Exchange Risk:German Case 1972-76' JofF
6/80
Akian M., J. Menaldi, A. Seilem 'Multi-Asset Portfolio Selection Problems with
Transaction Costs' <transition cost> Math & Computers in Simulation (95)
Akian M., J. Menaldi, X. Sulem 'On an Investment Consumption Model with Transaction
Costs' <transaction costs> SIAM J. Contro & Opti 1/96
Aksoy L. 'Nash Equilibrium Solution for Stock Market Crashes' 97 City U. NY PhD
Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'Jumping in Line' RISK 2/2001,
w.p. <option-pricing><variance gamma, method of lines,jump,Richardson
extrapolation> 9/2000
Albin P. 'Information Exchange in Security Markets & Assumption of Homogeneous
Beliefs' JofF 9-74
Albizzati M., J. Geman 'Interest Rate Risk Management of the Surrender Option in Life
Insurance Policies' <options-insurance> J. Risk & Insurance 94
Albrecht Peter 'A Stochastic Approach to Quantifing of Default Risk' U. Mannheim
Albrecht, Thomas 'Die Vereinbarkeit der Value-at-Risk Methode in Banken mit
Anteilseignerorientierter Unternehmensfuhrung' Zeitschrift-fur-
Betriebswirtschaft 3/98 <RAROC>
Alchian A., R. Kessel 'Redistribution of Wealth Through Inflation' in MDIM
Alderson M., K. Chen 'Excess Asset Reversions & Shareholder Wealth' JofF 3/86
Alesina A., H. Rosenthal 'Theory of Dividend Government' Econometrica 11/96
Alessandrini F. 'Credit Risk, Interest Rate Risk & the Business Cycle' J. Fixed Income
9/99
Alessandrini S. 'A Motiational Example for the Numerical Solution of Two-Point
Boundary Value Problems' SIAM Review 9/95
Alexander Carol 'History Debunked'<volatility><correlation,financial analysis> RISK
12/94
Alexander Carol 'Optimal Hedging Using Cointegration' Philos. Trans. Royal Society
8/99 <hedging>
Alexander Carol 'Primer on the Orthogonal GARCH Model' <ARCH>
Alexander Carol 'Principal Component Analysis of Implied Volatility Smiles & Skews
10/2000 <volatility>
Alexander Carol 'Principles of the Skew' <principal componetns, fixed strike>
<volatility> RISK 1/2001
Alexander Carol, A. Johnson 'Dynamic Links' <cointerg><correlation,equity,bond> RISK
2/94
Alexander Carol, C. Leigh 'On the Covariance Matrices Used in Value at Risk Models' J.
Derivatives Spring 97
Alexander Carol, I. Giblin 'Chaos in the System?'<chaos> <Financial Markets> RISK 6/94
Alexander Carol, N. Riyait 'World According to GARCH' <ARCH>wp & RISK 9/92
Alexander G. 'Short Selling & Efficient Sets' JofF 9/93
Alexander G., Br. Resnick 'More on Estimation Risk & Simple Rules for Optimal
Portfolio Selection' JofF 3/85
Alexander G., C. Eun, S. Janakiramanan 'Asset Pricing & Dual Listing on Foreign
Capital Markets' JofF 3/87
Alexander G., M. Stutzer 'A Graphical Note on European Put Thetas' J. Futures Markets
4/96
Alexander G., P. Benson, J. Kampmeyer 'Investigating the Valuation Effects of
Corporate Announcements of Voluentary Corporate Selloffs' JofF 6/84
Alexander G., R. Stover, D. Kuhnau 'Market Timing Stragegies in Convertible Debt
Financing' JofF 3/79
Alexander J., R. Marry 'Relative Significance of Journals,Authors,& Articles Cited in
Financial Research' JofF 6/94
Alexander S. 'Price Movements in Speculative Markets:Trends or Random Walks #2' <stock
price> in P. Cootner's 'Random Character of Stock Prices'
Alexandre H. 'La Quasi-marche Aleatoire'FINANCE v13,#2 12-92
Alfriend M. 'International Risk Based Capital Standard:History & Explanation' <alpha>
Algoet P., T. Cover 'Asymptotic Optimality & Asymptotic Equipartition of Log-Optimum
Invesment' Ann Probl 88
Al-Hussaini 'Unified Proof of Two Theorems in Statistics' SIAM Review 12/95
Ali M., R. Thalheimer 'Stationarity Tests in Time Series Model Building' <time series>
Alini E., P. Elmer, F. Raiter 'Principles of Fixed-Income Securities Auctions' J.Fixed
Income 6/95
Aliprantis C., D. Brown, O. Burkinshaw 'Edgeworth Equilibria' Econometrica 9/87
Alkan A., G. Demange, D. Gale 'Fair Allocation of Indivisible Goods & Criteria for
Justice' Econometrica 7/91
Alkire B. 'Parallel Computation of Hessian Matrices under Microsoft Windows NT' SIAM
News 12/98
Allanese C., L. Seco 'Harmonic Analysis in Value at Risk Calculations' 10/2000
Allburn E. 'Graph Decomposition' Dr. Dobbs J. 1/91<graph>
Allen B. 'Existence of Rational Expectations Equilibrium in a Large Economy with Noisy
Price Expectations' <rational expectations>
Allen B. 'Non-parametric Approach to Smoothing by Aggregation Over Preferences' w.p.
8/81
Allen D., L. Thomas, E., Harry Zhang 'Stripping Coupons with Linear
Programming'J.Fixed Income 2000 , <term structure>
Allen F. 'Prevention of Default' JofF 5/81
Allen F., A. Postelwaite 'Rational Expections & Measurement of a Stocks Elasticity of
Demand' JofF 9/84
Allen F., A. Santomero 'Theory of Financial Intermediation' Wharton 96-32
Allen F., D. Gale 'Arbitrage, Short Sales & Financial Innovation' Econometrica 7/91
Allen F., D. Gale 'Financial Markets, Intermediaries & Intertemporal Smoothing'
Wharton 96-33
Allen F., D. Gale 'Limited Market Participation & Volatility of Asset Prices' AER
9/94<volatility>
Allen F., D. Gale 'Optimal Financial Crises' JofF 8/98
Allen H., M. Taylor 'Chart Analysis & the Foreign Exchange Market' R. Futures Markets
V8 #2 89
Allen J., J. McConnell 'Equity Curve-Outs & Managerial Discretion' JofF 2/98
Allen J., S. Lummer, J. McConnell, D. Reed 'Can Takeover Losses Explain Spin-Off
Gains' JF&QA 12/95
Allen M. 'Building a Role Model' <credit risk><capital for market risk> RISK 9/94
Alles Lakshman 'Smiles, Skews, Implied Distributions & Market Expectations from Option
Prices:Case of American Equity Options'
Allingham M. 'Existence Theorems in the Capital Assets Pricing Model' Econometrica
7/91
Almgren Robert 'Solving the Black-Scholes Equation' 2/98 <option-pricing>
Almgren Robert 'Stabiltiy of Finite Difference Methods' 3/2/98 <numerics>
Almgren Robert, Neil Chriss 'Optimal Liquidation' 11/97 <markets>
Al-Najiar N. 'Decompostion & Characterization of Risk with a Continuum of Random
Variables' Econometrica 9/95
Al-Najjar N. 'Factor Structues & Arbitrage Pricing in Large Asset Markets' <CAPM<APT>
10/95
Al-Najjar N. 'Non-transitive Smooth Preferences'<Utility> w.p. U. Quebec Sept 90
Al-Najjar N. 'On the Robustness of Factor Structures to Asset Repacking' J. Math Econ.
4/99
Al-Osh M., A. Alzaid 'First-Order Integer-Valued Autoregressive (INAR(i) Processes' J.
Time Series Analysis (87) #3
Alpuim M. 'High Level Exceedances in Stationary Sequences with Extremal Index' SP&A
11/88
Alquachi L. 'Optimal Consumption & Portfolio Choice for Long-Horizon Investors'
Harvard 98 PhD
Altman E. 'Defaulted Bonds:Demand,Supply & Performance 1987-92' FAJ 5/93
Altman E. 'Further Empirical Investigation of the Bankruptcy Cost Question' JofF 9/84
Altman E. 'Mark-to-Market & Present Value Disclosure' FAJ 3/93
Altman E. 'Measuring Corporate Bond Mortality & Performance' JofF 9/89
Altman E., B. Jacquillat , M. Levasseur 'Comparative Analysis of Risk Measures:France
& the U.S.' JofF 12/74
Altman E., D. Kao 'Rating Drift of High-Yield Bonds' J. of Fixed Income 3/92
Altman E., J. Bencivenga 'A Yield Premium Model for the High-Yield Debt Market' FAJ
10/95
Altman E., V. Kishore 'Almost Everything You Wanted to Know About Recoveries on
Defaulted Bonds' 11/96 <credit derivatives> FAJ
Altug S., P. Labadie 'Dynamic Choice & Asset Markets' Academic 94
Altug S., R. Miller 'Household Choices in Equilibrium' Econometrica 5/90
Alvarez Luis 'A Singlular Stochastic Control Problem in an Unbounded Domain' U Paris-
Dauphine 94
Alvarez Luis 'Singular Stochastic Control in the Presence of a State-Dependent Yield
Structure' SP&A 2000 <term structure>
Alvarez Luis 'Zero Coupon Bonds and Affine Term Structures:Reconsidering the One-
Factor Model'<term structure><Riccati,diffusion> Insurance:Math. & Econ. 23
(1998)
Alziary B., J.P. Decamps,P. Koehl 'A PDE Approach to Asian Options:Analytical &
Numerical Evidence' 5/97 J. Banking & Fiannce <options-Asian>
Amaral L., S. Buldyrov, H.Leschhorn, P. Maass, M. Salinger, H. Stanley,M. Stanley
'Scaling Behavior in Economics I:Empiricial Results for Growth Companies' J. de
Physique I 4/97
Amaral L., V. Plerou, P. Gopikrishman, M. Meyer, H. Stanley 'Distribution of Returns
of Stock Prices' Inter. J. of Theor. & Applied Finance 7/2000
Ambarish R., K. John,J. Williams 'Efficient Signalling with Dividends & Investments'
JofF 6/87
Ambarish R., L. Seigel 'Time is the Essence' <portfolio><time frame portfolios
evaluated> RISK 8/96
Ambrose B., E. Ancel, M. Griffits 'Fractal Structure in Capital Markets
Revisited'<Chaos> FAJ 5/93
Ambrose B., W. Megginson 'Role of Asset Structure, Ownership Structure & Takeover
Defenses in Determining Acquistion Likelihood' JFQ&A 12/92
Amemiya T., Q. Vuong 'A Comparison of Two Consistent Estimators in the Choice-based
Sampling Qualitative Response Model' Econometrica 5/87
Amemiya T., T. MaCurdy 'Instrumental-Variable Estimation of an Error-Components Model'
Econometrica 7/86
Amendinger J., P. Imkeller, Martin Schweizer 'Additional Logarithmic Utility of an
Insider' SP&A 7/98 v75 #2 , <utility>
Amendinger Jurgen 'Martingale Representation Theorems for Initially Enlarged
Filtrations <martingale> SP&A 9/2000
Amershi A. 'Complete Analysis of Full Pareto Efficiency in Financial Markets for
Arbitrary Preferences' JofF 9/85
Amershi A., B. Ramamurtie 'Rational Expectations Equilibrium in an Economy with
Segmented Capital Asset Markets' wp FB Atlanta 11/95
Amiez G., P. Gremaud 'On a Numerical Approach to Stefan-like Problems'<boundary value>
Numerishche Matematik v59 1991
Amihud Yakov 'General Risk Aversion & an Attitude Towards Risk' JofF 6/80
Amihud Yakov, B. Lev, N. Travlos 'Corporate Control & the Choice of Investment
Financing:Case of Corporate Acquistions' JofF 6/90
Amihud Yakov, Haim Mendelson 'Asset Price Behavior in a Dealtership Market' FAJ 5/87
Amihud Yakov, Haim Mendelson 'Effects of Beta,Bid-Ask Spread, Residual Risk & Size on
Stock Returns' JofF 6/89
Amihud Yakov, Haim Mendelson 'Liquidity, Maturity, & Yields on US Treasury Securities'
JofF 9/91
Amihud Yakov, Haim Mendelson 'Trading Mechanisms & Stock Returns:Empirical
Investigation' JofF 7/87

Amihud Yakov, Haim Mendelson 'Volatility,Efficiency & Trading:Evidence from the


Japanese Stock Market' JofF 12/91
Amihud Yakov, Haim Mendelson, J. Uno 'Number of Shareholders & Stock Prices:Evidence
from Japan' JofF 6/99
Amihud Yakov, M. Murgia 'Dividends, Taxes, & Signaling:Evidence from Germany' JofF
3/97
Amin Kaushik 'Jump Diffusion Option Valuation in Discrete Time' JofF 12/93
Amin Kaushik 'On the Computation of Continuous Time Option Prices Using Discrete
Approximations' <options-numeric><american,time vary volatility,term
structure>JF&QA 12/91
Amin Kaushik 'Option Pricing Trees' J. Derivatives Summer 95<options-numeric>
Amin Kaushik, A. Khanna 'Convergence of American Option Values from Discrete to
Continuous-Time Financial Models'<options-american> MF 11/94
Amin Kaushik, Andrew Morton 'Implied Volatility Functions in Arbitrage Free Term
Structure Models' <term structure> JFE 4/94
Amin Kaushik, James Bodurtha 'Discrete-Time Valuation of American Options with
Stochastic Interest Rates' <term structure><HJM> RFS Spring 95
Amin Kaushik, Robert Jarrow 'Pricing Foreign Currency Options under Stochastic
Interest Rates' <term structure>,HJM> J. International Money and Finance (91)
Amin Kaushik, Robert Jarrow 'Pricing Options on Risky Assets in a Stochastic Interest
Rate Economy' <term structure> MF 10/92
Amin Kaushik, Victor Ng 'ARCH Processes & Option Valuation' U. Michigan 93
Amin Kaushik, Victor Ng 'Heath, Jarrow & Morton Implied Volatility Functions &
Conditional Heteroskedasticity Models:Information in Eurodollars Futures
Options' wp 4/95 <term structure>
Amin Kaushik, Victor Ng 'Inferring Future Volatility from the Information in Implied
Volatility in Eurodollar Options:New Approach' RFS Summer 97 <volatility>
Amin Kaushik, Victor Ng 'Option Valuation with Systematic Stochastic Volatility' JofF
7/93
Amitai D., A. Averbuch, M. Israeli,S. Itzikowitz 'Implicit-Explicit Parallet
Asynchronous Solver of Parabolic PDES' SIAM J. Sci. Compu 7/98
Amman H., K. Kendrick, H. Neudecker 'Numerical Steady State Solutions for Nonlinear
Dynamic Optimization Models' <numeric> <growth,macro,quadratic>9/95
Ammann M. 'Pricing Derivative Credit Risk' Springer 99
Ammer J., J. Mei 'Measuring International Economic Linkages with Stock Market Data'
JofF 12/96
Amoako-Adu B. 'Canadian Tax Reform & Its Effect on Stock Prices:Note' JofF 12/83
Anand S., M. Ravallion 'Human Development in Poor Countries' J.Economic Perspectives
Winter 93
Anant T., N. Kiefer 'Bayesian Analysis of the Specification of Simultaneous Equations
Models' w.p. Aug 85
Anathanarayanan A., E. Schwartz 'Retractable & Extendible Bonds:Canadian Experience'
JofF 3/80
Andel J., T. Barton 'Note on the Threshold AR(1) Model with Cauchy Innovations' J.
Time Series Analysis #1 (86)
Anderlini L., H. Sabourian 'Computation & Effective Computability' Econometrica 11/95
Andersen Erling 'Diagnostics in Categorical Data Analysis' J. Royal Statistical
Society 1992
Andersen Erling, Knud Andersen 'Exploiting Parallel Hardware in Solving Optimization
Problems' SIAM 5/99
Andersen Erling, Knud Andersen 'Presolving in Linear Programming' wp Odense Univ. 95
Andersen L., K. Carlson 'Monetarists Model for Economic Stabilization' FRB S.L. 10/86
<business cycle>
Andersen Leif 'A Simple Approach to the Pricing of Bermudan Swaptions in the
Multifactor LIBOR Market Model' J. Comp. Finance Spring 2000 <Term Structure>
Andersen Leif 'Efficient Techniques for Simulation of Interest Rate Models Involving
Non-Linear Stochastic Differential Equations' General Re 95 <interest
rates><monte carlo>
Andersen Leif 'Five Essays on the Pricing of Contingent Claims' PhD Aahus 96
Andersen Leif 'Monte Carlo Simulation of Lookback & Barrier Options' 1/97 <option-
lookback>
Andersen Leif 'Simulation of Non-Linear SDEs with an Emphasis on Interest Rate Models'
1/97 <monte carlo>
Andersen Leif, J. Jordan 'Monetary & Fiscal Actions:Test of their Relative Importance
in Economic Stabilization' FRB S.L. 10/86 <business cycle>
Andersen Leif, Jesoer Andreasen,D. Eliezer 'Static Replication of Barrier Options:Some
General Results' 2/2000 <option-barrier>
Andersen Leif, Jesper Andreasen 'Factor Dependence of Bermuda Swaption Prices:Fact or
Fiction?' JFE 2001 ,3/2000 <Swaps>
Andersen Leif, Jesper Andreasen 'Jump-Diffusion Processes: Volatility Smile Fitting &
Numerical Methods for Pricing' R. Deriv. Research 2000 <volatility>
Andersen Leif, Jesper Andreasen 'Jumping Smiles' RISK 11/99 <volatility>
Andersen Leif, Jesper Andreasen 'Static Barriers' RISK 9/2000 <option-barrier>
Andersen Leif, Jesper Andreasen 'Volatility Skews & Extensions of the Libor Market
Model' App.Math.Finance 3/2000 <term structure><CEV,cap,swaption,volatility>
Andersen Leif, Jesper Andreasen, Rupert Brotherton-Ratcliffe 'The Passport Option' J.
Computational Finance Spring 98 <option-passport>
Andersen Leif, Phelim Boyle 'Monte-Carlo Methods for the Valuation of Interest Rate
Securities' 'Advanced Fixed-Income Valuation Tools' ed. Jegadeesh,Tuckman,Wiley
2000 <term structure>
Andersen Leif, Rupert Brotherton-Ratcliffe 'Exact Exotics'<options-exotic><monte
carlo,barrier,lookback> RISK 10/96
Andersen Leif, Rupert Brotherton-Ratcliffe 'The Equity Option Volatility Smile:An
Implicit Finite-Difference Approach' J.Comp.Finance Winter 98 V.1#2 <volatility>
Andersen T. 'Trends in Profit Sensitivity' in MDIM
Andersen Torben 'Return Volatility & Trading Volume:An Information Flow Interpretation
of Stochastic Volatility' JofF 3/96
Andersen Torben 'Stochastic Autoregressive Volatility:Framework for Volatility
Modeling' <volatility>MF 4/94
Andersen Torben, B. Sorensen 'GMM Estimation of a Stochastic Volatility Model:Monte
Carlo Study'<volatility><GARCH,APT,Ornstein-Uhlenbeck,Generalized Method of
Moments> NU 3/94
Andersen Torben, J. Lund 'Estimating Continuous-Time Stochastic Volatility Models of
the Short-Term Interest Rate' J. Econometrics 97
Andersen Torben, J. Lund 'Stochastic Volatility & Mean Drift in the Short Term
Interest Rate Diffusion:Sources of Steepness, Level and Curvature in the Yield
Curve' <volatility> NU 2/96
Andersen Torben, J. Lund 'Stochastic Volatility in the Short Term Intrest Rate
Diffusion with Implications for the Yield Curve' NU 96
Andersen Torben, J. Lund 'The Short Rate Diffusion Revisited:Investigation Guided by
the Efficient Method of Moments' NU 96
Andersen Torben, Luca Benzoni, J. Lund 'Estimating Jump-Diffusions for Equity Returns'
5/2000 <volatility>
Andersen Torben, Tim Bollerslev 'Deutsche Mark-Dollar Volatility:Intraday Activity
Patterns, Macroeconomic Announcement & Longer Run Dependencies' JofF 2/98
Andersen Torben, Tim Bollerslev 'Hetergeneous Information Arrivals & Return Volatility
Dynamics:Uncovering the Long-Run in High Frequency Returns' JofF 7/97
Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys '(Understanding,
Optimizing, Using & Forecasting) Realized Volatility & Correlation' 10/99
<volatility>
Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys 'Exchange Rate Returns
Standardized by Realized Volatiltiy are (Nearly) Gaussian' 1/2000 <volatilty>
NBER
Anderson D. 'Optical Gyroscopes' SA <no date>
Anderson Evan, Lars Hansen 'Perurbation Methods for Risk-Sensitive Economies' 6/96

Anderson Evan, Lars Hansen, E. McGrattan,Thomas Sargent 'On the Mechanism of Forming &
Estimating Dynamic Linear Economies' wp FRB Minn. 95
Anderson G. 'Nonparametric Tests of Stochastic Dominance in Income Distributions'
Econometrica 9/96
Anderson J., J. Neary 'Trade Reform with Quotas,Partial Rent, Retention & Tarrifs'
1/92 Econometrica
Anderson N., F. Breedon 'Fifty Years of UK Asset Price Volatility' J. of Risk Spring
2000
Anderson R. 'Core Theory with Strongly Convex Preferences' Econometrica 11/81
Anderson R. 'Nonstandard Methods in Mathematical Economics' 6/90 U.of Cal. Berkeley
<math.econ>
Anderson R. 'Strong Core Theorems with Nonconvex Preferences ' Econometrica 11/85
Anderson R. 'The Second Welfare Theorem with Nonconvex Preferences' Econometrica 3/88
Anderson R., C. Tu 'Numerical Analysis of Strategic Contingent Claims Models' 1/97
<contingent claims>,Computational Economics 4/98
Anderson R., J-P. Danthine 'Cross Hedging' JPE 12-81 <hedging>
Anderson R., S. Sundaresan 'A Comparative Study of Structural Models of Corporate Bond
Yields:an Exploratory Investigation' J. Banking & Finance Jan 2000 <credit risk>
Anderson R., W. Trockel, L. Zhou 'Noncovergence of the Mas-Colell & Zhou Bargaining
Sets' Econometrica 9/97
Anderson R., William Zame 'Edgeworth's Conjecture with Infinitely Many Commodities L1'
Econometrica 3/97
Anderson T., A. Takemura 'Why do Noninvertible Estimated Moving Averages Occur' J.
Time Series Analysis 86 #4
Anderson, F. Breedon, M. Deacon, A. Derry, M. Murphy 'Estimating & Interpreting the
Yield Curve' Wiley 96
Andersson Jonas 'On the Normal Inverse Gaussian Stochastic Volatility' J. Bus & Econ
Stat. Jan 2001 <volatility><GARCH>
Andradottir S. 'A Method for Discrete Stochastic Optimization' <optimization>
Management Science 12/95
Andreasen Jesper 'Credit Explosives' <credit risk> 1/2001
Andreasen Jesper 'Essays on Contingent Claim Pricing' 3/97 PhD U. Aarhus
Andreasen Jesper 'Implied Modeling:Stable Implementation,Hedging & Duality' Aarhus U.
96 PhD chapter
Andreasen Jesper 'The Pricing of Discretely Sampled Asian and Lookback Options: A
Change of Numeraire Approach' J. Comp Finance Fall 98 <option-Asian>
Andreasen Jesper, B. Gruenwald 'American Option Pricing in Jump Diffusion Model'
Aarhus 96 PhD chapter
Andreasen Jesper, B. Jensen, R. Roulsen 'New Skin for the Old Ceremony:Eight Different
Derivations of the Black-Scholes Formula' 11/96 <options-euro>
Andreasen Jesper, Pierre Collin-Dufresne, Wei Shi 'Applying the HJM-Approach when
Volatility is Stochastic' <interest rates>
Andrew Abel 'Capital Accumlation & Uncertain Lifetimes with Adverse Selection'
Econometrica 9/86
Andrew Abel, B. Bernheim 'Fiscal Policy with Impure Intergenerational Alturism'
Econometrica 11/91
Andrew Abel, F. Mishkin 'On Econometric Testing of Rationality & Market Efficiency'
UofC June 79
Andrew Abel, J. Eberly 'A Unified Model of Investment Under Uncertainity' AER 12/94
<portfolio>
Andrew Abel, L. Blanchard 'Present Value of Profits & Cyclical Movements in
Investments' Econometrica 3/86
Andrews Donald 'A Stopping Rule for the Computation of Generalized Method of Moments'
Econometrica 7/97
Andrews Donald 'Admissibility of the Likelihood Ratio Test when the Parameter Space is
Restricted under the Alternative' Econometrica 5/96
Andrews Donald 'Asymptotic Normality of Series Estimatores for Nonparametric & Semi-
parametric Regression Models' Econometrica 3/91
Andrews Donald 'Asymptotics for Semiparametric Econometric Models via Stochastic
Equicontinity' Econometrica 1/94
Andrews Donald 'Chi-Square Diagnostic Tests for Econometric Models:Theory'
Econometrica 11/88
Andrews Donald 'Conditonal Kolmogorov Test' Econometrica 9/97
Andrews Donald 'Consistency in Nonlinear Econometric Models:Generic Uniforma Law of
Large Numbers' Econometrica 11/87
Andrews Donald 'Consistent Moment Selection Procedures for Generalized Method of
Moments Estimation' Econometrica 5/99
Andrews Donald 'Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit
Root Models' Econometrica 1-93
Andrews Donald 'Heteroskedasticity & Autocorrelation Consistent Covariance Matrix
Estimation' Econometrica 5/91
Andrews Donald 'Inconsistency of the Bootstrap when a Parameter is on the Boundary of
the Parameter Space' Econometrica 3/2000
Andrews Donald 'Inference in Semiparametric Models-Time Series & Cross Section' 8-88
Andrews Donald 'Large Sample Correspondence between Classical Hypothesis Tests &
Bayesian Posterior Odds Tests' Econometrica 9/94
Andrews Donald 'Power in Econometric Applications' Econometrica 9/89
Andrews Donald 'Stability Comparisons of Estimators' Econometrica 9/86
Andrews Donald 'Tests for Parameter Instability & Structural Change with Unknown
Change Points' Econometrica 7/93
Andrews Donald, J. Monahan 'Improved Hetroskedasticity & Autocorrelation Consistent
Covariance Matrix Estimator' Econometrica 7/92
Andrews Donald, M. Buchinsky 'A Three-Step Method for Choosing the Number of Bootstrap
Repititions' Econometrica 1/2000
Andrews Donald, W. Plaberger 'Optimal Tests for Regression with Restricted Parameter
Space'<regress> 2-93
Andrews Donald, W. Plaberger 'Optimal Tests of Parameter Constancy' 7-91
Andrews Donald, W. Plaberger 'Optimal Tests when a Nusiance Parameter is Present Only
Under the Alternative' Econometrica 11/94
Andrews Donald'Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood,
Robust, Adaptive & Spectral Estimators of the Linear Model' Econometrica 5/86
Andrews J.G. 'Stock Options with Absolute & Proportional Discrete Dividends:Technical
Review' BofA Quant. Finance 6/1/00 <option-pricing>
Ane Thierry 'Pricing & Hedging S&P Index Options with Hermite Polynomial
Approximation:Empirical Tests of Madan & Milnes Model' JFM 10/99 <option-index>
Ane Thierry, Helyette Geman 'Order Flow, Transaction Clock & Normality of Asset
Returns' JofF Oct 2000
Ane Thierry, Helyette Geman 'Stochastic Time Changes, Subordinated Processes & Asset
Price Dynamics' 95
Ane Thierry, Helyette Geman 'Stochastic Volatility & Transaction Time:an Activity-
Based Volatility Estimator' J. Risk v2 #1 1999 <volatility>
Aneja Y., R. Chandra, E. Gunay 'Portfolio Approach to Estimating the Average
Correlation Model' JofF 12/89
Ang Andrew 'Financial Applications of Regime-Switching Models' Stanford 99 PhD Diss.
Ang J. 'Two Faces of Bond Refunding:Reply' JofF 3/78
Ang J., D. Blackwell, W. Megginson 'Effect of Taxes on the Relative Valuation of
Dividends & Capital Gains:Evidence from Dual-Class British Investment Trusts'
JofF 3/91
Ang J., D. Peterson 'Returns,Risk & Yield:Evidence Ex Ante Data' JofF 6/85
Ang J., D. Peterson, P. Peterson 'Marginal Tax Rates:Non-taxable Corp. Bonds' JofF
3/85
Ang J., J. Chua, J. McConnell 'Administrative Costs of Corporate Bankruptcy:Note' JofF
3/82
Ang J., P. Peterson 'Leasing Puzzle ' JofF 9/84
Ang J., R. Coles, J. Lin 'Agency Costs & Ownership Structure'JofF 2/2000
Ang J., T. Schwarz 'Risk Aversion & Information Structure:Experiment Study of Price
Variability in Securities Markets' JofF 7/85
Ang Sharon, L. Alles, D. Allen 'Riding the Yield Curve:An Analysis of International
Evidence' J. Fixed Income 12/98
Angbazo L., J. McConnell, I. Megbolugbe, T. Yang 'Mortgage Prepayments Float:Pricing &
Risk Analysis' J. Fixed Income 3/98
Angel J. 'Tick Size, Share Prices & Stock Splits' JofF6/97
Angrist J. 'Estiamting the Labor Market Impact of Voluntary Militry Service Using
Social Security Data on Military Applicants'Econometrica 3/98
Angulo J., M. Ruiz-Medina 'Multi-Resolution Approximation to the Stochastic Inverse
Problem' Adv.App.Prob. v31 1999
Angus J. 'A Note on Pricing Asian Derivatives with Continuous Geometric Averaging' JFM
10/9 <option-Asian>
Angus J. 'Probability Integral Transform & Related Results' SIAM Review 12/94
Anh V., C. Nguyen 'Semimartingale Representation of Fractional Riesz-Bessel Motion'
Finance & Stochastics 1/2001 <Brownian>
Anh V., N. Leonenko 'Non-Gaussian Scenarios for the Heat Equation with Singular
Initial Conditions' <stochastics> <Chebysheve-Hermite, Lequerre> 99 SP&A
Ankrim E., C. Hensel 'Commodities in Asset Allocation:Real-Asset Alternatives to Real
Estate' FAJ 5/93
Ankrim E., C. Hensel 'Multicurrency Performance Attribution' FAJ 3/94
Annals of Math Stat 4/66,8/65,12/65,10/65,4/65,12/64,6/65,2/66
Ansel J. 'Remarques sur le Prix de Actifs Contingent' <contingent claim> Seminaire de
Probabilities v28 1991
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Avellaneda Marco 'Minimum-Relative-Entropy Calibration of Asset-Pricing Models'
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Avellaneda Marco 'The Minimum-Entropy Algorithm & Related Methods for Calibrating
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Avellaneda Marco, Antonio Paras 'Dynamic Hedging Portfolios for Derivative Securities
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Avellaneda Marco, Antonio Paras 'Managing the Volatility Risk of Portfolios of
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Avellaneda Marco, Arnon Levy, Antonio Paras 'Pricing & Hedging Derivative Securities
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Avellaneda Marco, Craig Friedman, Richard Holmes, Dominick Samperi 'Calibrating
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Avellaneda Marco, Joshua Newman 'Positive Interest Rates & Non-Linear Term-Structure
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Avellaneda Marco, Liuren Wu 'Pricing Parisian-Style Options with a Lattice Method'
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Avellaneda Marco, R. Gamba 'Conquering the Greeks in Monte Carlo:Efficient Calculation
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Avellaneda Marco, Robert Buff 'Combinatiorial Implications of Non-Linear Uncertain
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Avellaneda Marco, Robert Buff, Craig Friedman, Nicolas Grandechamp, L. Kruk, J. Newman
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Babbs Simon 'Interest Rate Models' PhD Imperial College 89
Babbs Simon 'Rational Bounds' 1st National Chicago 97
Babbs Simon, K. Nowman 'Econometric Analysis of a Continuous Time Multi-Factor
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Babbs Simon, K. Nowman 'Kalman Filtering of Generalized Vasicek Term Structure Models'
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Babbs Simon, M. Selby 'Pricing by Arbitrage under Arbitrary Information' MF 4/98
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Babra B. 'Probability Distributions of Future Asset Prices Implied by Option Prices'
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Babuska I., M. Suri 'The P & H-P Version of the Finite Element Method,Basic Priciples
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Bacinello A., F. Ortu 'Arbitrage Valuation & Bounds for Sinking Fund Bonds with
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Bacinello A., F. Ortu, P. Stucchi 'Valuation of Sinking-Fund bonds in the Vasicek &
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Backstrom G. 'Curve Fitting by Lagrange Interpolation'<least squares> Computers in
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Backus David, S. Zin 'Long-Memory Inflation Uncertainity:Evidence from the Term
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Backus David, S. Zin 'Reverse Engineering the Yield Curve'<term structure> 3/94
Backus David, Silverio Foresi, Chris Telmer 'Affine Models of Currency
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Backus David, Silverio Foresi, Chris Telmer 'Affine Models of Currency
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Backus David, Silverio Foresi, Chris Telmer 'Discrete-Time Models of Bond Pricing'
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Tuckman,Wiley 2000
Backus David, Silverio Foresi, K. Li, L. Wu ' Accounting for Biases in Black-Scholes'
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Backus David, Silverio Foresi, L. Wu 'Macroeconomic Foundations of Higher Moments in
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Bacry E., J. Delour, J. Muzy 'A Multifractal Random Walk' 5/2000 <diffusion>
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Baghestani H. 'On Formation of Expected Inflation under Various Conditions:Survey
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Bagley C., U. Yaari 'Financial Leverage Strategy with Transaction Costs' App. Math.
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Bagnara R. 'A Unified Proof for the Convergence of Jacobi & Gauss-Seidel Methods' SIAM
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Bai J. 'Testing for Parameter Constancy in Linear Regressions:An Empirical
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Bai J., P. Perron 'Estimating & Testing Linear Modes with Multiple Structured Changes'
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Bailey W., E. Ng 'Default Premiums in Commodity Markets: Theory & Evidence' JofF 7/91
Bailey W., K. Chan 'Macroeconomic Influence & Variablility of Commodity Futures Basis'
JofF 6/93
Bailey W., P. Chung, Jun-koo Kang 'Foreign Ownership Restrictions & Equity Price
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Bailey W., R. Stulz "Pricing of Stock Index Options in a General Equilibrium Model"
<options-index> JF&QA 3/88
Bailey W., Y. Chung 'Exchange Rate Fluctuations, Political Risk & Stock Returns:Some
Evidence from an Emerging Market' JF&QA 12/95
Baillie Richard 'Maximum Likelihood Estimation of Security Price Volatility:
Theory,Evidence & Application to Option Pricing' JB 57:1984
Baillie Richard, DeGennaro 'Stock Returns & Volatility' <volatility>JF&QA June 90
Baillie Richard, Tim Bollerslev 'Cointegration, Fractional Cointegration, & Exchange
Rate Dynamics' JofF 6/94
Baillie Richard, Tim Bollerslev 'Common Stochastic Trends in a System of Exchange
Rates' JofF 3/89
Baillie Richard, Tim Bollerslev 'Intra Day & Inter Market Volatility in Foreign
Exchange Rates' w.p. (CFSR) June 89
Baillie Richard, Tim Bollerslev 'Multivariate Generalized ARCH approach to Modeling
Risk Premia in Forward Exchange Rate Markets'<foreign exchange> J. Inter. Money
& Finance 1990
Baillie Richard, Tim Bollerslev 'The Message in Daily Exchange Rates:A Conditional
Variance Tale' J. Bus & Econ Stats 89
Bajaj M., A. Vijh 'Trading Behavior & Unbiasedness of the Market Reaction to Dividend
Announcements' JofF 3/95
Bajeux-Besnainou Isabelle, J. Rochet 'Dynamic Spanning:Are Options an Appropriate
Instrument?'<options-path> MF 1/96
Bajeux-Besnainou Isabelle, Roland Portait 'Pricing Stock & Bond Derivatives with a
Multi-Factor Gaussian Model' App.Math Finance 9&12/98 <term structure>
Bajeux-Besnainou Isabelle, Roland Portait 'The Numeraire Portfolio:A New Approach to
Continuous Time Finance' ESSEC 96, Euro. J. Finance 97
Bak P. 'Catastrophes & Self-Organized Criticality'<Chaos> CinP Jul 91
Bak P., K. Chen 'Self-Organizing Criticality' SA 1/91
Bakaev N. 'On the Galerkin Finite Element Approximations to Multi-Dimensional
Differential & Integro-Differential Parabolic Equations' BIT <aka Nordisk
tidskrift for informationsbehandling> 1997 v37,#2 <numeric>
Bakaev N. Yu, S. Larsson, V. Thomee 'Long Time Behavior of Backward Difference Type
Methods for Parabolic Equations with Memory in Banach Space' <PDE> 98
Bakaev N., S. Larsson, V. Thomee 'Backward Euler Type Methods for Parabolic Integro-
Differential Equations in Banach Space' <PDE> 98
Baker J. 'Policy Watch: Developments in Antitrust Economics' J. Econ. Perspectives
Winter 99
Baker L 'Digital Signal Processing :Tutorial "C" Users J. 5/91<fourier>
Baker M., D. Benjamin 'Role of the Family in Immigrants Labor-Market
Activity:Evaluation of Alternative Explanations' AER 9/97
Baker M., J. Wurgler 'Equity Share i New Issues & Aggregate Stock Returns' JofF Oct
2000
Bakshi Gurdip, C. Cao, Z. Chen 'Do Call Price & the Underlying Stock Always Move in
the Same Direction?' RFS Fall 2000
Bakshi Gurdip, C. Cao, Z. Chen 'Empirical Performance of Alternative Option Pricing
Models' JofF 12/97
Bakshi Gurdip, C. Cao, Z. Chen 'Pricing & Hedging Long-Term Options' <option-pricing>
<Leaps, stochastic Volt.> J. Econometrics 2000
Bakshi Gurdip, Dilip Madan 'A Simplified Approach to the Valuation of Options' 97
<probably dropped paper--no future reference>
Bakshi Gurdip, Dilip Madan 'A Unified Treatment of Average-Rate Contingent Claims
'3/99 <options-average>
Bakshi Gurdip, Dilip Madan 'Average-Rate Contingent Claims' 5/98 <options-average>
Bakshi Gurdip, Dilip Madan 'Spanning & Derivative Security Valuation'<contingent
claim> JFE 2000
Bakshi Gurdip, N. Kapadia, Dilip Madan 'Stock Return Characteristics, Skew Laws &
Differential Pricing of Individual Equity Options' 11/2000 <risk>
Bakshi Gurdip, Z. Chen 'An Alternative Valuation Equation for Contingent Claims' JFE
97 ,<contingent claims> <CIR,utility,stochastic> wp 9/95
Bakshi Gurdip, Z. Chen 'Equilibrium Valuation of Foreign Exchange Claims' JofF 6/97
Bakshi Gurdip, Z. Chen 'Inflation, Asset Prices & the Term Structure of Interest Rates
in Monetary Economies' RFS v9 #1 96
Bakshi Gurdip, Z. Chen 'Models of Currency Option Pricing' 'Advanced Fixed-Income
Valuation Tools' ed. Jegadeesh,Tuckman,Wiley 2000
Bala V., S. Goyal 'A Noncooperative Model of Network Formation' Econometrica 9/2000
Balakrishna B. 'Analytic Representations & Approximations to American Option Pricing'
<options-american> wp U.Colorado 2/96
Balasko Y., D. Cass 'Structure of Financial Equilibrium with Exogeneous Yields:Case of
Incomplete Markets' Econometrica 1-89
Baldauf B., G. Santoni 'Stock Price Volatility:Some Evidence from an ARCH
Model'<ARCH>JFM Vol 11,No 2, (1991)
Baldi Paolo, Lucia Carmamellino, Maria Gabriella Iovino 'Pricing General Barrier
Options:A Numerical Approach Using Sharp Large Deviations' MF 10/99 <option-
barrier>
Baldursson F., Ioannis Karatzas 'Irreversible Investment & Industry Equilibrium'
Finance & Stochastics 1/97
Balduzzi Pierluigi, Giuseppe Bertola, Silverio Foresi 'A Model of Target Changes & the
Term Structure of Interet Rates' J. Monetary Economics 96
Balduzzi Pierluigi, Giuseppe Bertola, Silverio Foresi 'Asset Price Dynamics &
Infrequent Feedback Trades' JofF 12/95
Balduzzi Pierluigi, Giusuppe Bertola, Silverio Foresi, L. Klapper 'Interest Rate
Targeting & the Dynamics of Short-Term Rates' <interest rates> 8/96
Balduzzi Pierluigi, Hedi Kallal 'Risk Premia & Variance Bounds' JofF 12/97
Balduzzi Pierluigi, Sanjiu Das, Silverio Foresi 'The Central Tendency:A Second Factor
in Bond Yields' R. Econ. & Stat 98 ,<term structure> 12/97
Balduzzi Pierluigi, Sanjiu Das, Silverio Foresi, Rangarajan Sundaram 'Simple Approach
to Three-Factor Affine Term Structure Models' J. Fixed Income 12/96 <term
structure>
Balduzzi Pierluigi, Sanjiu Das, Silverio Foresi, Rangarajan Sundaram 'Stochastic Mean
Models of the Term Structure of Interest Rates' <term structure> 12/96,in
Advanced Fixed-Income Valuation Tools ed Jegadeesh,Tuckman
Balduzzi Pierluigi, Silverio Foresi, D. Hait 'Price Barriers & the Dynamics of Asset
Prices in Equilibrium'JF&QA 6/97 <asset pricing>
Baldwin C. 'Optimal Sequential Investment When Capital is Not Readily Reversible' JofF
6/82
Baldwin C., R. Ruback 'Inflation,Uncertainty & Investment' JofF 7/86
Baldwin C., S. Mason 'Resolution of Claims in Financial Distress:Case of Massey
Ferguson' JofF 5/83
Bali T. 'Modelling the Conditional Mean & Variance of the Short Rate Using Diffusion,
GARCH and Moving Average Models' J. Futures Markets V 20 #8, 2000
<volatility><two factor>
Bali T. 'Testing the Empirical Performance of Stochastic Volatility Models of the
Short-Term Interest Rate' JF&QA 6/2000 <volatility>
Bali T., A. Karagozoglu 'Implementation of the BDT Model with Different Volatility
Estimators:Applications to Eurodollar Futures Options' J. Fixed Income 3/99
<term structure>
Balk B. 'On Calculating Cost of Living Index Numbers for Arbitrary Income Levels'
Econometrica 1-90
Balk B. 'Second Thoughts on Walds Cost-of-Living Index & Frischs Double Expenditure
Method' Econometrica 11/81
Ball Clifford 'Estimation Bias Induced by Discrete Security Prices' JofF 9/88
Ball Clifford 'Review of Stochastic Volatility Models with Applications to Option
Pricing' <volatility> Financial Markets,Insti.&Instru v2.#5 12/93
Ball Clifford, A. Roma 'Detecting Mean Reversion within Reflecting
Barriers:Application to the European Exchange Rate Mechanism' App. Math.Finance
3/98
Ball Clifford, A. Roma 'Stochastic Volatility Option Pricing' <volatility>JF&QA 12/94
Ball Clifford, Walter Torous 'Bond Price Dynamics & Options' <term structure> JFQA
Dec 83
Ball Clifford, Walter Torous 'Futures Options & Volatility of Futures Prices' JofF
9/86
Ball Clifford, Walter Torous 'Gold & the Weekend Effect' J. of Futures Markets 1982
p.175
Ball Clifford, Walter Torous 'Maximum Likelihood Estimation of Security Price
Volatility: Theory,Evidence & Application to Option Pricing'<volatility> JB 1984
v57 #1
Ball Clifford, Walter Torous 'On Jumps in Common Stock Prices & Impact on Call
Pricing' JofF 3/85
Ball Clifford, Walter Torous 'The Stochastic Volatility of Short-term Interest Rates:
Some International Evidence' JofF 12/99
Ball Clifford, Walter Torous 'Unit Roots & the Estimation of Interest Rate Dynamics'
J. Empir.Finance 96
Ball L. 'Credible Disinflation with Staggered Price-Setting' AER 3/94
Ball R. 'Anomalies in Relationships Between Securities Yields & Yield Surrogates'
<bonds> JFE 1978
Ball R., P. Brown 'Empirical Evaluation of Accounting Income Numbers' in MDIM
Ball R., R. Watts 'Some Additional Evidence on Surivival Biases' JofF 3/79
Ball S., C. Holt 'Classroom Games:Speculative & Bubbles in an Asset Market' J. Econ.
Persp. W 98
Ballard C., D. Fullerton 'Distortionary Taxes & Provision of Public Goods'
J.Econ.Persp. Summer 92
Bally Vlad 'Approximations Scheme for Solutions of BSDE' in El Karoui,Mazliak (ed)
'Backward Stochastic Differential Equations'
Bally Vlad, Denis Talay 'Euler Scheme for S.D.E.:Error Analysis with Malliavin
Calculus'<SDE> Math & Computers in Simulation (95)
Bally Vlad, M. Caballero, B. Fernanadez 'Reflected BSDEs, PDEs and Variational
Inequalities' <SDE> 5/02
Balsigner H., H. Fechtig, J. Geiss 'Close Look at Hally's Coment' SA 9/88
Balto D. 'Payment Systems & Antitrust:Can the Opportunities for Network Competition be
Recognized?' Review FRB St.Louis 11/95
Balton P., C. Harris 'Strategic Experimentation' Econometrica 3/99
Balvers R., T. Cosimano,B. McDonald 'Predicting Stock Returns in an Efficient Market'
JofF 9/90
Balvers R., Y. Wu, E. Gilliland 'Mean Reversion across National Stock Markets &
Parametric Contrarian Investment Strategies' JofF 4/2000
Balzhiser R., K. Yeager 'Coal Fired Power Plants' SA <no date>
Bamber L., O. Barron, T. Stober 'Differential Interpretations & Trading Volume' JF&QA
9/99
Bamon R., J. Fraysse 'Existence of Cournot Equilibrium in Large Markets' Econometrica
5/85
Bams Dennis, P. Schotman 'Direct Estimation of the Risk Neutral Factor Dynamics of
Affine Term Structure Models' <term structure> <factore, panel data> 9/98
Bange M. 'Do the Porfolios of Small Investors Reflect Positive Feeback Trading?' JF&QA
6/2000
Bangia A., Francis Diebold, T. Schuermann, J. Stroughair 'Liquidity on the Outside'
<liquidity risk> RISK 6/99
Bank Peter 'Pricing & Hedging of Forwards, Futures & Swaps by Change of Numeraire'
<swaps> <Jamshidian tech.> Humboldt 7/97
Banker R., J. Maindiratia 'Nonparametric Analysis of Technical & Allocative
Efficencies in Production' Econometrica 11/88
Banks J., J. Sobel 'Equilibrium Selection in Signaling Games' Econometrica 5/87
Banks J., R. Blundell, S. Tanner 'Is There a Retirement-Savings Puzzle?' AER 9/98
Banks J., Rangarajan Sundaram 'Denumerable Armed Bandits' Econometrica 9/92
Banks J., Rangarajan Sundaram 'Switching Costs & Gittins Index' Econometrica 5/94
Banks J., V. Dragan 'Smales Horseshoe Map via Ternary Numbers' SIAM NEWS 6/94
Banon G. 'Nonparametric Identification for Diffusion Processes'<diffusion> 5/78 SIAM
J.Control & Opt
Bansal R. 'An Exploration of the Forward Premium Puzzle in Currency Markets' RFS
Summer 97
Bansal R., David Hsieh, S. Viswanathan 'New Approach to International Arbitrage
Pricing' JofF 12/93
Bansal V., M. Ellis, J. Marshall 'Pricing of Short-Dated & Forward Interest Rate
Swaps' FAJ 3/93 <swap>
Bansal V., M. Ellis, J. Marshall 'Spot Swap Yield Curve:Derivation & Use' AF&OR6
Bansal W., J. Marshall, R. Yuyuenyongwantan 'Hedging Business Cycle Risk with
Macroeconomic Swaps' J.of Derivatives Spring94
Banz Rolf 'Relationship Between Returns & Market Value of Common Stock' 81 JFE <CAPM>
Banz Rolf, Merton Miller 'Pricies for State-Contingent Claims:Some Estimates &
Applications'JofB 78

Barakat R. 'Sum of Independent Lognormally Distributed Random Variables'


<distributions> J. Optical Society of America 3/76
Baras J., Alain Bensoussan, Robert Elliott 'Some Results on Risk Sensitive Control
with Partial Information' <SDE> IEEE Conf. Decision & Control #34 1995
Barber B., T. Odean 'Boys will be Boys:Gender, Overconfidence & Common Stock
Investment' 9/99
Barber B., T. Odean 'Trading is Hazardous to Your Wealth:The Common Stock Invetment
Performance of Individual Investors' JofF 4/2000
Barber J. 'A Note on Approximating Bond Price Sensitivity Using Duration & Convexity'
J.Fixed Income 3/95
Barber J. 'Bond Immunization for Affine Term Strutures' Fin. Rev 5/99
Barbera S., H. Sonnenschein, L. Zhou 'Voting by Committees' Econometrica 5/91
Barbera S., P. Pattanaik 'Falmagne & the Rationalizability of Stochastic Choices in
Terms of Random Offerings' Econometrica 5/86
Barberger A. 'A Vision of the Growth Process' AER 3/98
Barberis N. 'Investing for the Long Rune when Returns are Predictable' JofF 2/2000
Barchielli A., A. Paganori, F. Zucca 'On Stochastic Differential Equations &
Semigroups of Probability Operators in Quantum Probability' SP&A 1/98
Barclay G., D. Griffiths, Desmond Higham 'Theta Method Dynamics' <PDE> <non-linear>
3/99
Barclay M., C. Smith 'Maturity Structure of Corporate Debt' JofF 6/95
Barclay M., C. Smith 'Priority Structure of Corporate Liabilities' JofF 7/95
Barclay M., W. Christie, J. Harris, E. Kandel 'The Effects of Market Reform on the
Trading Costs & Depts of Nasdaq Stocks'JofF 2/99
Bardaro C., G. Vinti 'A General Approach to the Convergence Theorems of Generalized
Sampling Series' <Orlicz spaces,Jensen's inequality>
Bardhan Indrajit 'Synthetic Replication of American Contingent Claims When Portfolios
Are Constrained' <options-american>5-95 SP&A
Bardhan Indrajit, X. Chao 'Martingale Analysis for Assets with Discontinuous Returns'
<utility,jump diffusio><Martingale> Math. of Operations Research 2/95
Bardhan Indrajit, X. Chao 'On Martingale Measures when Asset Returns Have
Unpredictable Jumps' <martingale> SP&A 96
Bardhan Indrajit, X. Chao 'Pricing Options on Securities with Discontinuous Returns'
SP&A v48 1993 <options-distribution>
Bardina X., M. Jolis 'Weak Convergence to the Multiple Stratonovich Integral' SP&A
12/2000 <stochastic>
Barenblatt G. 'Similarity, Self-Similarity & Intermediate Asymptotics' Cambridge Press
96
Barenblatt G., A. Chorin 'New Perspectives in Turbulene, Scaling Laws, Asymptotics &
Intermettency'<similarity> SIAM Review 6/98
Bar-Ilan A., W. Strange 'Investment Lags' AER 6/96
Barkoulas J., C. Baum 'Testing for Fractal Structure in Stock Returns' <returns> wp
Boston C. 4/96
Barkoulas J., C. Baum, G. Oguz 'Fractional Cointegration Analysis of Long Term
International Interest Rates'<term structure> 4/96
Barle Stanko, Nusret Cakici 'Growing a Smiling Tree' <volatility smile,Derman,Kani>
RISK 10/95
Barle Stanko, Nusret Cakici 'How to Grow a Smiling Tree' J. Finan.Enginee. 6/98
<volatility>
Barles Guy 'Convergence of Numerical Schemes for Degenerate Parabolic Equations
Arising in Finance Theory' in Num.Method in Finance (ed.Rogers,Talay)<options-
numeric>
Barles Guy 'Critical Stock Price Near Expiration' <options-american> MF 4/95
Barles Guy, E. Lesigne 'SDE, BSDE & PDE' in El Karoui,Mazliak (ed) 'Backward
Stochastic Differential Equations'
Barles Guy, H. Mete Soner 'Option Pricing with Transaction Costs & a Nonlinear Black-
Scholes Equation' Finance & Stochastics 8/98 <option-pricing>
Barles Guy, Julien Burdeau, Marc Romano, Nicolas Samsoen 'Critical Stock Price Near
Expiration' MF 4/95
Barles Guy, Julien Burdeau, Marc Romano, Nicolas Samsoen 'Estimation de la frontiere
libre des options americaines au voisinage de l'echeance'<options-american>
C.R.Acad.Sci. Paris 1993
Barlow M., M. Emery, F. Knight, S. Song, Marc Yor 'Autor D'un Theoreme de Tsirelson
sur Des Filtrations Browniennes et non Browniennes' 79 <Brownian,
semimartingales>
Barnaud F., J. Dabouineau 'Past Correction' <Volatility> RISK 9/92
Barndorff-Nielsen Ole 'Normal Inverse Gaussian Distributions & Stochastic Volatility
Modeling' Scan. J. of Stats. 97 <volatility>
Barndorff-Nielsen Ole 'Probability Densities & the Levy Densities' 7/2000 <stochastic>
Barndorff-Nielsen Ole 'Processes of Normal Inverse Gaussian Type' Finance &
Stochastics 1/98 , 10/97 <distribution> <Ornstein, Levy>
Barndorff-Nielsen Ole, Karsten Prause 'Apparent Scaling' Finance & Stochastics 1/2001
<distributions>
Barndorff-Nielsen Ole, Neil Shephard 'Econometric Analysis of Realized Volatility &
its use in Estimating Levy-Based Non-Gaussian OU Type Stochastic Volatility
Models' <volatility> 11/2000
Barndorff-Nielsen Ole, Neil Shephard 'Incorporation of a Leverage Effect in a
Stochastic Volatility Model' 98 <volatility>
Barndorff-Nielsen Ole, Neil Shephard 'Modelling by Levy Proceses for Financial
Econometrics' 4/2000 <stochastics>
Barndorff-Nielsen Ole, Neil Shephard 'Non-Gaussian OU Based Models & Some of Their
Uses in Financial Economics' 5/99 <volatility> <Ornstein-Uhlenbeck, Levy,mean-
revert>
Barndorff-Nielsen Ole, Sergei Levendorskii 'Feller Processes of Normal Inverse
Gaussian Type' 12/2000 <stochastics>
Barndorff-Nielsen Ole, T. Mikosch, Sidney Resnick 'Levy Processes' Birkhauser 3/2001
Barndorff-Nielsen Ole, V. Perez-Abreu 'Stationary & Self-Similar Processes Driven by
Levy Processes' 99 SP&A <stochastics> <fractal spectral density, normal inverse
Gaussian>
Barnea A., D. Logue 'Effect of Risk on the Market Makers Spread' FAJ 11/75
Barnea A., R. Haugen, L. Senbert 'A Rational for Debt Maturity Structure & Call
Provisions in the Agency Theoretic Framework' JofF 12/80
Barnea A., R. Haugen, L. Senbert 'Equilibrium Analysis of Debt Financing under Costly
Tax Arbitrage & Agency Problems' JofF 6/81
Barnett R. 'Speculation, Incomplete Currency Market Participation & Nonfundamental
Movements in Nominal & Real Exchange Rates' SUNY/Buffalo Aug 90
Barnett W., A. Serletis 'Matingales, Nonlinearity, & Chaos' J. Econ. Dyn. & Control
2000 <martingales>
Barnett W., G. Zhou 'Financial Firms Production & Supply Side Monetary Aggregation
Under Dynamic Uncertainity'<comment W.Brainard,W. Barnett,G.Zhou> FRB Review
S.L. 3/94
Barnett W., M. Hinich 'Empirical Chaotic Dynamics in Economics' Wash. U. 1/91
Barnett W., M. Hinich 'Has Chaos Been Discovered with Economic Data'Wash. U. 3/91
Barnett W., Y. Lee 'Global Properties of the Minflex Laurent, Generalized Leontief U
Translog Flexible Function Forms' Econometrica 11/85
Barnhard S., K. Kahl, C. Barnhart 'Empirical Analysis of the Alleged Manipulation
Attempt & Forced Liquidation on the July 1989 Soybean Futures Contract' JFM
10/96
Barnhart S., A. Szakmary 'Testing the Unbiased Forward Rate Hypothesis:Evidence of
Unit Roots, Co-Integration & Stochastic Coefficients' JF&QA 6/91
Barnhart S., R. McNown, M. Wallace 'Non-Informative Tests of the Unbiased Forward
Exchange Rate' JF&QA 6/99
Baron D. 'Investment Policy,Optimality & Mean-Variance Model' JofF 3/79
Baron D. 'Model of the Demand for Investment Banking & Advising & Distribution
Services for New Issues' JofF 9/82
Barone E., D. Cuoco, E. Zautzik 'Term Structure Estimation using Cox,Ingersoll & Ross
Model:Italian Trasury Bonds'<term structure> J. Fixed Income 12/91
Barone F. 'Method for generating Independent Realizations of a Multivariate Normal
Stationary & Invertible ARMA(p,q) Process' J.Time Series Analysis #2 (87)
Barone-Adesi Giovanni 'Arbitrage Equilibrium with Skewed Asset Returns'<CAPM> JF&QA
V.20 N3 1985
Barone-Adesi Giovanni, D. Colwell 'Valuing & Hedging Risky Debt with Constant
Elasticity of Variance Effects' 1/99 <CEV>
Barone-Adesi Giovanni, E. Dinenis, G. Sorwar 'Note on the Convergence of Binomial
Approximations for Interest Rate Models' J. Fin.Engin 3/97 <options-numeric>
Barone-Adesi Giovanni, F. Bourgoin, K. Giannopoulos 'Don't Look Back' <GARCH,
simulation> <risk> RISK 8/98
Barone-Adesi Giovanni, K. Brown, W. Harlow 'On the Use of Implied Volatilities in the
Prediction of Successful Corporate Takeovers' AFORv7(94)
Barone-Adesi Giovanni, K. Giannopoulos, L. Vosper 'VaR without Correlations for
Portfolios of Derivative Securites' J. Future Markets 8/99
Barone-Adesi Giovanni, Marc Chesney 'American Path-Dependent Options' Applied
Stochastic Models & Data Analysis v 1. 93<options-american><parabolic,free
boundary,contingent claims>
Barone-Adesi Giovanni, Robert Elliot 'Approximations for Value of American Options'
<options-american> Stochastic Analysis & Applications 9(2) 1991
Barone-Adesi Giovanni, Robert Elliot 'Pricing the Treasury Bond Futures Contract as
the Minimum Value of Deliverable Bond Prices'<term structure><options-American>
RFM V.8,#3 1989
Barone-Adesi Giovanni, Robert Whaley 'Efficient Analytic Approximation of American
Option Values' JofF 6/87, IAFO&FOM
Barone-Adesi Giovanni, Robert Whaley 'On the Valuation of American Put Options on
Dividend Paying Stocks' <options-american> AF&OR V. 3 1988 <options-american>

Barraquand Jerome 'Monte Carlo Integration, Quadratic Resampling & Asset Pricing'
<asset pricing> Math & Computers in Simulation (95)
Barraquand Jerome 'Numerical Valuation of High Dimensional Multivariate European
Securities' <options-european> Management Science 12/95
Barraquand Jerome, Didier Martineau 'Numerical Valuation of Higher Dimensional
Multivariate American Securities' 2/95 <same version as in JF&QA 9/95> <options-
American>
Barraquand Jerome, Thierry Pudet 'Pricing of American Path-Dependent Contingent
Claims'<options-american> MF 1/96
Barrett C., P. Pattanaik 'Aggregation of Probability Judgements' Econometrica 9/87
Barrett J., G. Moore, Paul Wilmott 'Inelegant Efficiency'<numeric> <options-numeric>
<numer. method multi-factor options> RISK 10/92
Barrett R., M. Berrry, T. Chan, J. Demmel, et al 'Templates for the Solution of Linear
Systems:Building Blocks for Iterative Methods' SIAM 94
Barrett W., R. Kolb 'Analysis of Spreads in Agricultural Futures' J.Fut.Markets 2/95
Barrett W., T. Gosnell ,A. Heuson 'Yield Curve Shifts & Selection of Immunization
Strategies' <Term Structure> J. Fixed Income 9/95
Barro R., S. Mankiw, X. Sala-I-Martin 'Capital Mobility in Neoclassical Models of
Growth' AER 3/95
Barrodale I., F. Roberts 'An Improved Algorithm for Discrete L1, Linear
Approximations'<linear program> <LAD> SIAM Numer. Anal. 10/73
Barron A. 'Strong Ergodic Theorem for Densities:Generalized Shannon-McMillan-Breiman
Theorem' Annals of Prob. 85
Barron D., B. Holmstrom 'Investment Banking Contract for new Issues Under Asymmetric
Information:Delegation & the Incentive Problem' JofF 12/80
Barron Emmanuel 'Bellman Equation for the Running Max of a Diffusion & Applications to
Look-Back Options' Applicable Analysis 1993 ;1996 wp <options-lookback>
Barron Emmanuel, R. Jensen 'Stochastic Control Approach to Pricing of Options'
<optimal control> Math. of O.R. v15,#1, 1990
Barron Emmanuel, R. Jensen 'Total Risk Aversion & Pricing of Options'<option-pricing>
1991 Applied Math.& Optim. (91)
Barron Emmanuel, R. Jensen 'Total Risk Aversion, Stochastic Optimal Control &
Differntial Games'<optimal control> 1989 Applied Math.& Optim.
Barry D. 'Portfolio Analysis Under Uncertain Means,Variances & Covariances' JofF 5/74
Barsky B. 'Rational Beta-splines for Representing Curves & Surfaces' Computer Graphics
& Applications 11/93<numeric analysis>
Barsky B., T. DeRose 'Geometric Continuity of Parametric Curves:Construction of
Geometrically Continuous Splines '<interpolation>Comp. Graph & App 1/90
Barsky B., T. DeRose 'Geometric Continuity of Parametric Curves:Three Equivalent
Characterizations '<interpolation>Comp. Graph & App 11/89
Barsky B., T. DeRose 'Parameteric Curves' part 1 & 2 Computer Graphics & Applications
Nov 89, Jan 90
Bart J. 'Nature of the Conflict Between Transactors Expectations of Capital Gain' JofF
9/78
Bartelsman E., R. Caballero, R. Lyons 'Customer & Supplier Driven Externalities' AER
9/94
Barth J., P. Barholomew, M. Bradley 'Determinants of Thrift Instituion Resolution
Costs' JofF 7/90
Barth J., P. Gotur, N. Manage, A. Yezer 'Effect of Government Regulation of Personal
Loan Markets:Tobit Estimation of Microeconomic Model' JofF 9/83
Barthold T. 'Issues in Design of Environmental Excise Taxes' J. Economic Perspectives
Winter 94
Bartlett R. 'Discovering Diversity in Introductory Economics' J.Econ.Perspec. Spring
96
Bratley Paul, Bennett Fox 'Algorithm 659 Implementing Sobol's Quasirandom Sequence
Generator' ACM Math. (88) <simulation>
Bartolini L., A. Drazen 'Capital-Account Liberalization as a Signal' AER 3/97
Bartolini L., A. Drazen 'When Liberal Policies Reflect External Shocks, What Do We
Learn? 12/96
Bartov E., G. Bodnar 'Firm Valuation,Earnings Expectations & Exchange Rate Exposure
Effect' JofF 12/94
Barucci Emilio, Maria Mancino 'Wiener Chaos & Hermite Polynomials Expansion for
Pricing & Hedging Contingent Claims' AFOR 99 ,<hedging>
Bar-Yosef S, O. Sarig 'Dividend Surprises Inferred from Option & Stock Prices' JofF
9/92
Bar-Yosef S., J. Callen, J. Livnat 'Autoregressive Modeling of Earnings-Investment
Causality' JofF 3/87
Barzanti L., C. Corradi 'A Note on Interest Rate Term Structure Estimation Using
Tension Splines'<term structure> Insurance:Math. & Econ. 22 (1998)
Basak S. 'A Genreal Equilibrium Model of Portfolio Insurance'RFS 95
Basak S. 'A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk' Wharton
96
Basak S. 'An Intertemporal Model of Internations Capital Market Segmentation' JF&QA
6/96
Basak S. 'Dynamic Consumption-Portflio Choice & Asset Prcing with Non-Price-Taking
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Basak S., D. Cuoco 'An Equilibrium Model with Restricted Stock Market Participation'
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Basak S., M. Gallmeyer 'Currency Prices, the Nominal Exchange Rate & Security Prices
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Bates P., Les Clewlow 'Testing for Overreaction in Short Sterling Options' (ed) S.
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Battigalli P., J. Watson 'On Reputation Refinements with Heterogenous Beliefs'
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Becker Gary, M. Growssman, K. Murphy 'Empricial Analysis of Cigarette Addiction' AER
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Bekaert Geert, Robert Hodrick 'Characterizing Predictable Components in Excess Returns
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Bekaert Geert, Robert Hodrick, D. Marshall 'Implications of First-Order Risk Aversion
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Bekdache B. 'Time Varying Behavior of Real Interest Rates:Re-Evaluation of the Recent
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Bekker P. 'Comment on Identification in the Linear Errors in Variables Model'
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Bekker P., A. Kapteyn,T. Wansbeek 'Consistent Sets of Estimates for Regressions with
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Belkin B., L. Forest, S. Aguais, S. Suchower 'Expect the Unexpected <credit
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Bell C. 'A Random Voting Graph Almost Surely has a Hamiltonian Cycle when the Number
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Bellalah M., Jean-Luc Prigent 'Note on the Valuation of an Exotic Timing Option' JFM
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Bellante D. 'Relative Importance of Monetary & Fiscal Variables in Determining Price
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Belongia M., C. Stone' Would Lower Federal Deficits Increase US FArm Imports'11/85 FRB
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Belongia M., T. Gregory 'Are Options on Treasury Bond Futures Prices Efficiently'
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Belsley D. 'Assessing the Presence of Harmful Collinearity & Other Forms of Weak Data
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Ben-Ameur Hatem, M. Breton, Pierre L'Ecuyer 'A Numerical Procedure for Pricing
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Ben-Ameur Hatem, Michele Breton, Pierre L'Ecuyer 'Partial Hedging for Options Based on
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Ben-Ameur Hatem, Pierre L'Ecuyer, Christiane Lemieux 'Variance Reduction of Monte
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Benartzi S., R. Michaely, R. Thaler 'Do Changes in Dividends Signal the Future or the
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Ben-Hamou Eric 'An Application of Malliavin Calculus to Continuous Time Asian Options
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Ben-Hamou Eric 'Application of Malliavin Calculus & Wiener Chaos to Option Pricing
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Benjamini B., R. Pemantle, Y. Peres 'Martingale Capacity for Markov Chains & Random
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Bennati E., M. Rosa-Clot, S. Taddei 'A Path Integral Approach to Derivative Security
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Bennett C. 'Demons, Engines & Second Law' <physics,entropy,Maxwell> SA 11/87
Bennett C., G. Brassard, A. Ekert 'Quantum Cryptography' SA Oct 92
Bennett P., J. Kelleher 'International Transmission of Stock Price:Disruption in Oct
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Bennett T., S. Esser, C. Roth 'Corporate Credit Risk & Reward' J.Port.Manag. Spring94
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Benninga Simon, Aris Protopapadakis 'Forward & Futures Prices with Markovian Interest
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Benninga Simon, Aris Protopapadakis 'General Equilibrium of Term Structure of Interest
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Benninga Simon, Aris Protopapadokis 'Real & Nominal Interest Rates Under
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Benninga Simon, M. Blume 'On Optimality of Portfolio Insurance' JofF 12/85
Benninga Simon, Zvi Wiener 'An Investigation of Cheapest-to-Deliver on Treasury Bond
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Benos A., Michel Crouhy 'Changes in the Structure & Dynamics of European Securities
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Bensaid B., Jean-Philippe Lesne, Henri Pages, Jose Scheinkman 'Derivative Asset
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Bensman M. 'Mining for Value in Options Pits'<volt. smiles> FUTURES 5/94
Bensman M. 'Tailor Your Trades with Exotics'<options-exotic> FUTURES 7/94
Benson R., N. Daniel 'Up, Over and Out' RISK June 91 <options-barrier><knock out>
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Bensoussan Alain, Michel Crouhy, Dan Galai 'Black-Scholes Approximation of Complex
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Bensoussan Alain, Michel Crouhy, Dan Galai 'Black-Scholes Approximation of Warrant
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Benth Fred 'An Addendum to "An Introduction to Malliavin Calculus with Applications to
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Benth Fred, Kenneth Karlsen, Kristin Reikvam 'On Portfolio Optimization & Consumption
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Benth Fred, Kenneth Karlsen, Kristin Reikvam 'Optimal Portfolio Management Rules in a
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Benton S. 'Holograms' SA 1/98
Benveniste L., W. Busaba 'Bookbuilding vs. Fixed Price:Analysis of Competing
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Berger P., Z. Bodie 'Portfolio Selection in a "Winner-Take-All" Environment' JofF
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Berglund T., R. Kabir 'What Explains the Difference Between the Futures Price & its
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Bergman Lawrence, Billie Spencer 'Numerical Solution of the Fokker-Plank Equation for
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Bergman Lawrence, Billie Spencer 'Numerical Solution of the Transient Fokker-Plank
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Bliss Robert, Ehud Ronn 'To Call or Not to Call? Optimal Call Policies for Callable
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Bliss Robert, N. Panigirtzoglou 'Testing the Stability of Implied Probability Density
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Bliss Robert, Peter Ritchken 'Empirical Test of Two State-Variable HJM Models' <term
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Blomeyer Edward 'Analytic Approximation for American Put Price for Options on Stocks
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Blonigen B., D. Figlio 'Voting for Protection: Does Direct Foreign Investment
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Bloomfield P. 'Least Absolute Deviations'
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Bloomfield R., M. O'Hara 'Market Transparency:Who Wins & Who Loses?' RFS Spring 99
Blows T., L. Perko 'Bifurcation of Limit Cycles from Centers & Separatrix Cycles of
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Bloxham J., D. Gibbons 'Evolution of the Earths Magnetic Field' SA 12/89
Blum J., J. Rosenblatt 'On Random Sampling from a Stochastic Process' 12-64 Annals of
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Bluman G., J. Cole 'Similarity Methods for Differential Equations' Springer 74
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Blume L, A. Brandenburger, E. Dekel 'Lexicographic Probabilities & Equilibrium
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Blume L., D. Easley, M. O'Hara 'Market Statistics & Technical Analysis:Role of
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Blume M. 'On the Assessment of Risk' in MDIM
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Blume M., Donald Keim, S. Patel 'Returns & Volatility of Low-Grade Bonds: 1977-
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Blume M., F. Husic 'Price, Beta & Exchange Listing' JofF 5/73
Blume M., F. Lim, A. MacKinlay 'Declining Credit Quality of U.S. Corporate Debt:Myth
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Blume M., I. Friend 'A New Look at the Captial Asset Pricing Model'<CAPM> JofF 3/73
Blume M., M. Goldstein 'Quotes, Order Flow & Price Discovery' JofF 3/97
Blundell R.,J-M. Robin 'Latent Separability:Grouping goods without Weak Separability'
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Blyth S. 'Out of Line'<volatility><correlation> RISK 10/96
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Board J., C. Sutcliffe 'Dual Listing of Stock Index Futures:Arbitrage, Spread
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Board J., C. Sutcliffe 'The Performance of Covered Calls and Protective Puts' wp
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Bochev P., M. Gunzburger 'Finite Element Methods of Least-Squares Type' SIAM Review
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Bochud Thierry 'Application of Malliavin Calculus to Improve Monte Carlo Valuation of
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Boczar G. 'Competition Between Banks & Finance Companies:Cross-Section Study of
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Bodurtha James 'A Linerarization-Based Solution to the Ill-Posed Local Volatility
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Bodurtha James, George Courtadon ' Tests of an American Option Pricing Model on
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Bodurtha James, George Courtadon 'Probabilities & Values of Early Exercise:Spot &
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Bollerslev Tim, R. Chou, K. Kroner 'ARCH Modeing in Finance:A Review of the Theory &
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Bomberger W., W. Frazer 'Interest Rates, Uncertainty & Livingston Data' JofF 6/81
Bonatti E. 'Rifting of Continents' SA 1/91 ?
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Bondarenko O. 'Recovering Risk Netural Densities:A New Nonparametric Approach' 4/2000
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Bookstaber Richard 'Beneath the Surface' RISK <Duration>
Bookstaber Richard 'Contract & Market Hedging:Comparison of Futures Contracts &
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Bookstaber Richard 'Option Portfolio Strategies:Measurement & Evaluation' <portfolio>
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Bookstaber Richard 'Portfolio Insurance Trading Rules' w.p. <portfolio> Jan 87
Bookstaber Richard, Clarke 'An Algorithm to Calculate the Return Distribution of
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Bookstaber Richard, Clarke 'Problems in Evaluating the Performance of Portfolios with
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Bookstaber Richard, D. Jacob, J. Langsam 'Arbitrage-Free Pricing of Options on
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Bookstaber Richard, J. Langsam 'Portfolio Insurance Trading Rules'<portfolio> J. of
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Bookstaber Richard, J. McDonald 'A General Distribution for Describing Security Price
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Boot A., Anjan Thakor 'Can Relationship Banking Survive Competition?' JofF 4/2000
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Booth L. 'Stochastic Demand, Output & the Cost of Capital:Clarification' JofF 6/80
Booth L., D. Johnston 'Ex-Dividend Day Behavior of Canadian Stock Prices, Tax Changes
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Borch K. 'Additive Insurance Premiums:Note' JofF 12/82
Bordo M., D. Wheelock 'Price Stability & Financial Stability:Historical Record' Review
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Borkovec M., Claudia Kluppelberg 'Extremal Behavior of Diffusion Models in Finance'
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Borodin A., P. Salminen 'Handbook of Brownian Motion:Facts & Formulae' Birkhauser 96
Borokhovich K., R. Bricker, B. Simkins 'An Analysis of Finance Journal Impact Factors'
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Borse J. 'Scenario-Based Portfolio Hedging & Replication via an Integrative Genetic
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Borwein J., P. Borwein 'Ramanujan & PI' SA 2/88 <number theory>
Boschen J., C. Otrok 'Long-Run Neutrality & Superneutrality in an ARIMA
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Boschen J., K. Smith 'You Can payMe Now & You Can Pay Me Later:Dynamic Response of
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Bose R., B. Manvel 'Intro.to Combination Theory' <pars> <combination theory>
Bosley D. 'A Technique for the Numerical Verification of Asymptotic Expansions' SIAM
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Boss A. 'Collapse & Formation of Stars ' SA 1/85 <astrophysics>
Bossaerts Peter 'Martingale Restrictions on Equilibrium Prices of Arrow-Debreu
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Bossaerts Peter 'Transaction Prices when Insiders Trade Portfolios' FINANCE 12/93
Bossaerts Peter, B. Wecker 'Martingale-Based Hedge Error Control' <hedging> 1/96
Bossaerts Peter, Christian Hafner, Wolfgang Hardle 'Foreign Exchange Rates Have
Surprising Volatility' <volatility 1/96
Bossaerts Peter, Eric Ghysels, Christian Gourieroux 'Arbitrage Based Option Pricing
When Volatility Is Stochastic' <volatility> 7/96
Bossaerts Peter, Pierre Hillion 'Local Parametric Analysis of Hedging in Discrete
Time' <hedging> 12/95
Bossaerts Peter, Pierre Hillion 'Test of General Equilibrium Stock Option Pricing
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Bossaerts Peter, R. Dammon 'Tax Induced Intertemporal Restrictions on Security
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Bossaerts Peter, Wolfgang Hardle, Christian Hafner 'A New Method for Volatility
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Bosshardt D. 'Model of Intertemporal Discount Rates in the Presence of Real &
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Bossy M., Denis Talay 'A Stochastic Particle Method for Some One-Dimensional Non-
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Bossy M., M. Picasso, Denis Talay 'Probabilitic Numerical Methods for Physical &
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Bostock P., P. Woolley, M. Duffy 'Duration Based Asset Allocation'<duration> 1/89
FAJ
Bottazzi J., T. Hens, A. Loffler 'Market Demand Functions in the CAPM' wp Bonn 468
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Bouaziz L., Eric Briys, Michel Crouhy 'Pricing of Forward-Starting Asian Options'
<options-average> J. Bank & Finance 94
Bouchaud Jean-Philippe 'Power-Laws in Economy & Finance:Some Ideas from Physics'
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Bouchaud Jean-Philippe 'Taming Large Events: Option Portfolio Theory for Strongly
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Bouchaud Jean-Philippe, Didier Sornette 'Option Pricing in the Presence of Extreme
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Bouchaud Jean-Philippe, Didier Sornette 'Rely to Mikheev's Comment on the Black
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Bouchaud Jean-Philippe, Didier Sornette 'The Black Scholes Option Pricing Problem in
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Bouchaud Jean-Philippe, Didier Sornette, C. Walter, J. Aguilar 'Taming Large
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App. Finance 98 <portfolio>
Bouchaud Jean-Philippe, G. Iori, Didier Sornette 'Real World Options'<option
pricing><hedge slippage> RISK 3/96
Bouchaud Jean-Philippe, G. Iori, Didier Sornette 'Real-World Options:Smile & Residual
Risk' <risk> <hedging>95
Bouchaud Jean-Philippe, Marc Potters 'Back to Basics:Historical Option Pricing
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98
Bouchaud Jean-Philippe, Marc Potters 'Theory of Financial Risk' <risk> 6/99
Bouchaud Jean-Philippe, Marc Potters, Didier Sornette 96 'Finance in a Risky World'
forthcoming
Bouchaud Jean-Philippe, N. Sagna, Rama Cont, Nicole. El-Karoui, Marc Potters 'Strings
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Bouchaud Jean-Philippe, Rama Cont, Nicole El-Karoui, Marc Potters, N. Sagna
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Boucher J. 'Misspecification Bias in Tests of Forward Exchange Rate Unbiasedness
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Boucher J. 'Stationary Representations, Cointegration, & Rational Expectations with an
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Bouchouev I. 'Derivatives Valuation for General Diffuion Processes' 8/98 <path


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Bouchouev I. 'From Conductivity to Volatility:Inverse Problems in Financial Markets'
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Bouchouev I., V. Isakov 'The Inverse Problem of Option Pricing' Inverse Problems 13
(97)<volatility>
Bouchouev I., V. Isakov 'Uniqueness, Stability & Numerical Methods for the Inverse
Problem that Arises in Finanical Markets' 11/98 <inverse> <volatility>
Boudjellaba H., J. Dufour, R. Roy 'Testing Causality Between Two Vectors in
Multivariate ARMA Models' May 91 U. Montreal
Boudoukh Jacob, Matthew Richardson 'Statistics of Long-Horizon Regressions Revisted'
<CAPM> MF 4/94
Boudoukh Jacob, Matthew Richardson, Richard Stanton, Robert Whitelaw 'A Multifactor,
Nonlinear, Continuous-Time Model of Interest Rate Volatility' <formerly
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Boudoukh Jacob, Matthew Richardson, Richard Stanton, Robert Whitelaw 'Pricing &
Hedging of Mortgage-Backed Securities:Multivariate Density Estimation Approach'
'Advanced Fixed-Income Valuation Tools' ed. Jegadeesh,Tuckman,Wiley 2000
Boudoukh Jacob, Matthew Richardson, Richard Stanton, Robert Whitelaw 'Pricing
Mortgage-Backed Securities in a Multifactor Interest Rate
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Boudoukh Jacob, Matthew Richardson, Richard. Stanton, Robert Whitelaw 'A New Strategy
for Dynamically Hedging Mortgage Backed Securities' J. Derivatives Summer 95
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'Best of Both Worlds' <value at
risk, exponential smoothing, historical simulation> RISK 5/98
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'Industry Returns & Fisher Effect'
JofF 12/94
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'Investigation of a Class of
Volatility Estimators' J. Derivatives Spring 97
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'Nonlinearities in the Relation
Between the Equity risk Premium & the Term Structure' MS 3/97 <risk>
Boudoukh Jacob, Matthew Richardson, Robert Whitelaw 'Tale of Three Schools:Re-
examinationof Lead-Lag Relation in Stock Returns'<efficient markets> w.p. 2/93
NU
Boudoukh Jacob, Matthew Richardson, T. Smith, Robert Whitelaw 'Ex Ante Bond Returns &
the Liquidity Preference Hypothesis' JofF 6/99
Boudoukh Jacob, Robert Whitelaw, Matthew Richardson, Richard Stanton 'Pricing
Mortgage-Backed Securities in a Multifactor Interest Rate
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Boudreaux K. 'Discounts & Premiums on Closed-End Mutual Funds:Study in Valuation' JofF
5/73
Boue M., P. Dupuis 'A Varational Representation for Certain Functionals of Brownian
Motion' 1/97 <Brownian>
Bouissou M., J. Laffont, Q. Vuong 'Tests of Noncausality under Markov Assumptions for
Qualitative Panel Data' Econometrica 3/86
Bouleau N., Damien Lamberton 'Residual Risks & Hedging Strategies in Markovian
Markets'<hedging> 1989 SP&A 33:131
Bourguignon F. 'Pareto Superiority of Unegalitarian Equilibria in Stigliz Model of
Wealth Distriubtion with Convex Saving Functions' Econometrica 11/81
Boutahar M. 'Distribution Asymptotique de l'Estimateur des Moindres Carres Cordes
Modeles APX(P,S) Instables' S&SR (91)
Bouthar M. 'Asymptotic Distributions of Least Squares Estimates in Unstable ARX(P,S)
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Bowden R. 'Forwards or Options? Nesting Procedures for "Fire & Forget" Commodity
Hedging' J.Futures Markets 12/94
Bowden R. 'Generalized Interest Rate Duration with Directional Derivatives:Direction X
& Applications' MA 5/97 <duration>
Bowden R. 'It Lives!'<term structure> <yield,swaps> RISK 8/93
Bower D., R. Bower, D. Logue 'Arbitrage Pricing Theory & Utility Stock Returns' JofF
'9/84
Bower N. 'Firm Value & the Choice of Offering Method in Initial Public Offerings'
JofF 7/89
Bower R., D. Lessard 'Operational Approach to Riks-Screening' JofF 5/73
Bowie J., Peter Carr 'Static Simplicity'RISK 8/94 <options-barrier>
<hedging,lookbacks>
Bowles S. 'Endogenous Preferences:Cultural Consequences of Markets & other Economic
Institutions' JEL 3/98
Bowles S., H. Gintis 'Revenge of Homo Economicus:Contested Exchange & Revival of
Political Economy' J.Economic Perspectives Winter 93
Bowman R. 'Theoretical Relationship Between Systematic Risk & Financial(Accounting)
Variables' JofF 6/81
Box George, D. Pierce, P. Newbold 'Estimating Trend & Growth Rates in Seasonal Time
Series ' JASA 87 <time series>
Box George, George Tiao 'Comparison of Forecast & Actuality' Applied. Stat. 1976
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Box George, S. Hillmer, George Tiao 'Analysis & Modeling of Seasonal Time Series'
<time series>
Boyarchenko Svetlana, Sergei Levendorskii 'Barrier Options & Touch-and-Out Options
under Regular Levy Processes of Exponential Type' Ann. App.Prob. 2002 <option-
barrier>
Boyarchenko Svetlana, Sergei Levendorskii 'Option Pricing for Truncated Levy
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Boyce W, A. Kalotay 'Tax Differentials & Callable Bonds' JofF 9/79
Boyd J., B. Smith 'How Good Are Standard Debt Contracts? Stochastic vrs. Non-stoch.
Monitoring in Costly State Verification Environment' J.of Business 10/94
Boyer Brian, M. Gibson, Mico Loretan 'Pitfalls in Tests for Changes in Correlations'
FRB Board 3/99 <risk>
Boykov Y. 'Inference Consistency in Case of Coutably Additive Measures ' PhD OR
Cornell 96
Boyle G. 'International Interest Rates, Exchange Rates, & the Stochastic Structure of
Supply' JofF 6/90
Boyle Phelim 'A Lattice Framework for Option Pricing with Two State Variables' JF&QA
Aug 88 <options-Min/Max>
Boyle Phelim 'Multi-Asset Path Dependent Options' <Options-Path> w.p. June 93
Boyle Phelim 'New Life Forms on the Option Landscape'<options-path> <Asians>
J.Financial Engineering 9/93
Boyle Phelim 'Option Valuation Using a Three Jump Process'<options-numeric><trinomial>
International Options Journal V.3,1986 <options-numeric>
Boyle Phelim 'Options:Monte Carlo Approach' <options-numeric>JFE 1977
Boyle Phelim 'Quality Option & Timing Option in Futures Contracts' JofF 3/89
Boyle Phelim 'Valuation of Exotic Options Using the Monte Carlo Method' <Sobol,Faure
sequence>in Handbook of Exotic Options
Boyle Phelim, D. Emanuel 'Discretely Adjusted Option Hedges'<hedging> JFE 8 (1980)
Boyle Phelim, I. Lee 'Deposit Insurance with Changing Volatilities:An Application of
Exotic Options' J. Fin.Engin Sept/Dec 94
Boyle Phelim, J. Evnine, S. Gibbs 'Numerical Evaluation of Multivariate Contingent
Claims' <options-numeric>RFS Vol 2 1989
Boyle Phelim, K. Tan 'Lure of the Linear' RISK 4/94 <options-numeric><linear
prog.,transaction costs>
Boyle Phelim, K. Tan 'Quasi-Monte Carlo Methods' U. Waterloo 97
Boyle Phelim, Mark Broadie, Paul Glasserman 'Monte Carlo Methods for Security Pricing'
<monte carlo> 12/95 JED&C 97
Boyle Phelim, S. Lau 'Bumping Up Against the Barrier with the Binomial Method' J.of
Derivatives Summer 94<option-barrier><capped,bermuda,vulnerable>
Boyle Phelim, Stuart Turnbull 'Pricing & Hedging Capped Options' <hedging> J. Futures
Markets 9:1989
Boyle Phelim, Ton Vorst 'Option Replication in Discrete Time with Transaction Costs'
JofF 3/92
Boyle Phelim, Weidong Tian 'Quadratic Interest Rate Models as Approximations to
Effective Rate Models' J. Fixed Income 12/99 <term structure>
Boyle Phelim, X. Lin 'Bounds on Contingent Claims Based on Several Assets' JFE 97
<contingent claim> <option,outperformance>
Boyle Phelim, X. Lin 'Valuation of Options on Several Risky Assets When There are
Transaction Costs' AFOR v.9 97 <options-transactions>
Boyle Phelim, Y. Tse 'Algorithm for Computing Values of Options on Maximum or Minimum
of Several Assets' <options-min/max>JF&QA June 90
Boyle Phelim, Yisong "Sam" Tian 'Pricing Lookback & Barrier Options under the CEV
Process' JF&QA 6/99 , 11/98 <options-lookback>
Boyle Phelim, Yisong Tian 'An Explicit Finite Difference Approach to Pricing of
Barrier Options' App. Math.Finance 3/98 <options-barrier>
Boyle Phelim, Yisong Tian, Junichi Imai 'Lookback Options under the CEV Process:A
Correction <to JF&QA 6/99>' 11/99 <option-lookback>
Brabston D., Herb Keller 'Numerical Methods for Singular Two Point Boundary Value
Problems' <in NM2PBVP>
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Brock W., P. de Lima 'Nonlinear Time Series, Complexity Theory and Finance' 9/95
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Brock W., W. Dechart, Jose Scheinkman 'Test for Independence Based on Correlation
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Brooks R., J. Corson, J. Wales 'Pricing of Index Options When the Underlying Assets
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Brown S., P. Laux, Barry Schachter 'On the Existence of an Optimal Tick Size' R.
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Brown S., William Goetzmann, A. Kumar 'Dow Theory:William Peter Hamiltons Track Record
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Brown S., William Goetzmann, Steven Ross 'Survival' <rate of return><security
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Brown W., R. Sauer 'Does the Basketball Market Believe in "Hot Hands":Comment' AER
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Browne M. 'Is a Math Proof a Proof if No One Can Check It?' NYT 12/20/88 <math>
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Browne S. 'Optimal Investment Policies for a Firm with Random Risk Process:Exponential
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Brown-Hruska S., G. Kuserk 'Volatility, Volume & Notion of Balance in the S&P 500 Cash
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Browning M., A. Deaton, M. Trish 'A Profitable Approach to Labor Supply & Commodity
Demands over the Life-Cycle' Econometrica 5/85
Browning M., A. Lusardi 'Household Saving:Micro Theories & Micro Facts' JEL 12/96
Browning M., C. Meghir 'Effects of Male & Female Labor Supply on Commodity Demands'
Econometrica 7/91
Browning M., P. Chiappori 'Efficient Intra-Household Allocations:Genreal
Characterization & Empirical Tests' Econometrica 9/98
Broze L., Olivier Scaillet, J. Zakoian 'Testing for Continuous Time Models of the
Short Term Interest Rate' J. Empirical Finance' 95
Bruand M. 'Pricing & Hedging Caps on the Swiss Index of Mortgage Rates' J. Fixed
Income 3/98
Bruand M., R. Gibson-Asner 'Effects of Newly Listed Derivatives in a Thin Stock
Market' Review of Deriv. Research V2 #1 98
Brueggeman W., R. Zerrst 'Discount Points & Housing Prices' JofF 9/79
Brummelhuis R., A. Cordoba, M. Quintanilla, L. Seco 'Principal Component Value at
Risk' Inter. J. of Theor. & Applied Finance 7/2000
Bruno M. 'Econometrics & the Design of Economic Reform' Econometrica 3/89
Bruno M., W. Easterly 'Inflation & Growth:In Search of a Stable Relationship' comment
J. Faust,K. West St. Louis Review 5/96
Brush S. 'How Cosmology Became a Science' Scientific American 8/92
Bruss F. 'Quick Solutions for General Best Choice Problems in Continuous Time'
Stochastic Models V14 #1,2 98
Bruton H. 'A Reconsideration of Import Substitution' JEL 6/98
Bryant J. 'Nontransferable Interest-Bearing National Debt' JofF 9/80
Bryant J. 'Paradox of Thirft, Liquidity Preference & Animal Spirits' Econometrica 9/87
Bryc W., A. Dembo 'Large Deviations for Quadratic Functionals of Gaussian Processes'
<Markov> preprint 92/93
Bryc W., A. Dembo 'On Large Deviations of Empirical Measures for Stationary Gaussian
Processes'<Markov> preprint 12/93
Brzezniak Z., Dariusz Gatarek 'Martingale Solutions & Invariant Measures for
Stochastic Evolution Equations in Banach Space' SP&A 99 <martingale>
Brzezniak Z., F. Flandoli 'Almost Sure Approximation of Wang-Zakai Type for Stochastic
Partial Differential Equations' <SDE> SP&A 2/95
Buchanan J., W. Stubblebine 'Externality'
Buchen Peter 'Generalized B-Trees for Arbitrary Ito Processes'
Buchen Peter 'Generalized Inverse Method for Asset Price Distributions'
Buchen Peter 'Pricing European Barrier Options' U. Sydney <option-barrier> 96
Buchen Peter, M. Kelly 'Asset Price Distributions Inferred from Linear Inverse Theory'
J. Comp. Finance Summer 2000 <asset pricing>
Buchen Peter, M. Kelly 'The Maximum Entropy Distribution of an Asset Inferred from
Option Prices' <options-distributions> <information,asset distrib.> JF&QA 3/96
Buchinsky M. 'Changes in U.S. Wage Structure 1963-87: Application of Quartile
Regressions' Econometrica 3/94
Buchinsky M., J. Hahn 'An Alternative Estimator for the Censored Quantile Regression
Model' Econometrica 3/98
Buckdahn Rainer Backward Stochastic Differential Equations:Option Hedging Under
Additional Cost'<SDE> Progress in Probability v36 95<Seminar on Stochastic
Analysis,Random Fields & Apps>
Buckdahn Rainer, Etienne Pardoux 'BSDEs with Jumps & Associated Integro-Partial
Differential Equations' 10/94 <SDE>
Buckdahn Rainer, Shige Peng 'Stationary Backward Stochastic Differential Equations &
Associated PDEs' <SDE> Prob. Theory & Related Fields 99
Buckdahn Rainer, Y. Hu 'Pricing of American Contingent Claims with Jump Stock Price &
Constrained Portfolios' Math OR 2/98 <option-American>
Buckley I., Ralf Korn 'Optimal Index Tracking under Transaction Costs & Impulse
Control' Int. J. Theor & App. Finance 98
Budd A., Robert Litzenberger 'Changes in the Supply of Money, Firms Market Value &
Cost of Capital' JofF 3/73
Buehler W., M. Uhrig, U. Walter, T. Weber 'An Empirical Comparison of Alternative
Models for Valuing Interest Rate Options' 95-11 <term structure>
Buell S. 'Accuracy of Initial Pricing of Junk Bonds' J. of Fixed Income 9/92
Buetow Gerald, James Sochacki 'A Finite Difference Approach to the Pricing of Options
Using Absorbing Boundaries' J.Finan.Engin. 9/95
Buff Robert 'Worst Case Scenarios for American Options' <option-American' Inter. J.
Theor. & Applied Finance
Buffet E. 'Defaultable Bonds as Asian Options' Inter. J. of Theor. & Applied Finance
7/2000
Buhler A., H. Zimmermann 'A Statistical Analysis of the Term Structure of Interest
Rates in Switzerland & Germany' J. Fixed Income 12/96
Buhler W. 'Rationale Bewertung von Optionsrechten auf Optionen auf Anleihen'
U.Dortmund wp <govern.bonds> 87
Buhler W. 'Valuation of Bond Options' Review Futures Markets v9 #3 90 <bonds>
Buhler W., A. Kempf 'DAX Index Futures: Mispricing & Arbitrage in German Markets' J.
Futures Markets 10/95
Buhler W., A. Kempf 'Optimale Arbitragestrategien in Terminmarkten' <futures market>
U. Mannheim
Buhler W., J. Kasler 'Konsistente Anleihenpreise und Optionum auf Anleinhen' U.
Dortmund wp <govern. bonds> 89
Buhler W., M. Schulze 'Uberprufung der Kundigungspolitik von Bund, Bahn und Post am
Deutschen Rentenmarkt' U. Mannheim
Buhler W., M. Uhrig-Homburg, U. Walter, T. Weber 'An Empirical Comparison of Forward
-Rate & Spot Rate Models for Valuing Interest Rate Options' JofF 2/99
Buhlmann Hans 'General Economic Premium Principles' ASTIN Bulletin 84
Buhlmann Hans, Freddy Delbaen, Paul Embrechts 'On Esscher Transforms in Discrete
Finance Models' 98 <finance>
Buhlmann Hans, Freddy Delbaen, Paul Embrechts, Albert Shiryaev 'No-Arbitrage, Change
of Measure & Conditional Esscher Transforms' 96 <arbitrage>
Buhmann M., C. Micchelli ,A. Ron 'Asymptotically Optimal Approximation & Numerical
Solutions of Differential Equations'10/96 <numeric>
Buiter W. 'Saddlepoint Problems in Continuous Time Rational Expectation
Models:Generalized Method & Some Macroeconomic Examples' Econometrica 5/84
Buldyrov S., L. Amaral, S. Havlin, H. Leschhorn, P. Maass, M. Salinger, H. Stanley, M.
Stanley 'Scaling Behavior in Economics II:Modeling of Company Growth'J. de
Physique I 4/97
Bulgakov V. 'On the Boundary-Reducing Approximate Technique for Solving Finite Element
Elliptic Problems' Comm. in Appl. Numer. Math 91
Bulkley G., I. Tonks 'Trading Rules & Excess Volatility' JFQ&A 9/92
Bunch D., H. Johnson 'Simple & Numerically Efficient Valuation Method for American
Puts Using Modified Geske-Johnson Approach' JofF 6/92
Bunch D., H. Johnson 'The American Put Option & its Critical Stock Price' JofF Oct
2000
Buono M.,R. Gregory-Allen,U. Yaari 'Efficiency of Term Structure Est. Tech.:Monte
Carlo' <term structure>J. of Fixed Income 3/92
Buraschi Andrea, B. Dumas 'The Forward Calculation of Compound Option Prices'
J.Derivatives Fall 01 <option-compound><American,implied volatility,real
options>
Buraschi Andrea, Jens Jackwerth 'Explaining Option Prices:Deterministic vs. Stochastic
Models' 6/98 <option-pricing>'
Burger J., C. Machbub 'Comparison of Numerical Solutions of a One Dimension Non-Linear
Heat Equation' Comm. in Appl. Numer. Math 91
Burghardt Galen, Bill Hoskins 'Convexity Bias in Eurodollar Futures'<eurodollars> Dean
Witter 9/94
Burghardt Galen, J. Hanweck 'Calendar-Adjusted Volatilities' J. Derivatives Winter 93
Burghardt Galen, S. Kirshner 'One Good Turn' <turn of the year borrowing> RISK 11/94
Burgisser P., A. Kurth, A. Wagner, M. Wolf 'Integrating Correlations' <credit risk>
RISK 7/99
Burkart M., D. Gromb, F. Panunzi 'Agency Conflicts in Public & Negotiated Transfers of
Corporate Control' JofF 4/2000
Burkholder D. 'Martingale Transforms' Ann Math Stat 37 1966
Burmeister E. 'Interest Rate Equalization Theorem' w.p. 8-76
Burmeister E., M. McElroy 'Joint Estimation of Factor Sensitivites & Risk Premium for
the Arbitrage Pricing Theory' JofF 7/88
Burnetas Apostolos, Peter Ritchken 'On Rational Jump-Diffusion Models:An Approach
Using Potentials' R. Deriv. Research V1 #4 2/98 <interest rate, HJM> <diffusion>
Burns J. 'Optimal Design & Control:An Interdisciplinary View' SIAM News 8/94
Burns J., N. Duric, et al 'Observatories on the Moon' SA 3/90
Burns Keith, Amie Wilkinson 'Stable Ergodicity of Skew Products' 2/99 <Lie group,
Anosov diffeomorphism>
Burns P., Robert Engle, J. Mezrich 'Correlations & Volatilities of Asynchronous Data'
J. Deriv. Summer 98
Burnside Alexander 'Solving, estimating and testing nonlinear asset pricing models : a
unified approach' NU diss 1991
Burnside 'Asymptotic Properties of Method of Moments Estimators Based on Numerical
Solutions to an Economic Model'<models> w.p. NU Sept 89
Burnside C., Martin Eichenbaum 'Factor-Hoarding & the Propagation of Business-Cycle
Shocks' AER 12/96
Burrage K. 'Parallel Methods for Systems of Oridinary Differential Equations' SIAM
News 8/93
Burrows P. 'Upward Sloping IS Curve & Control of Income & Balance of Payments' JofF
6/74
Burtless G. 'International Trade & Rise in Earnings Inequality'<alpha> JEL 6/95
Burtless G. 'The Case for Ranomized Field Trials in Economic & Policy Research' J.
Econ.Perspect. Spring 95
Burton R., W. Damon 'On the Existence of a Cost of Capital under Pure Capital
Rationing' Econometrica 9/74
Busch L., Q. Wen 'Perfect Equilibria in a Negotation Model' Econometrica 5/95
Buse A., 'Bias of Instrumentatl Variable Estimators' Econometrica Jan 92
Buser S. 'Laplace Transforms as present Values Rules' JofF 3/86
Buser S., A. Chen, E. Kane 'Federal Deposit Insurance,Regulatory Policy & Optimal Bank
Capital' JofF 3/81
Buser S., G. Katolyi, A. Sanders 'Adjusted Forward Rates as Predictors of Future Spot
Rates' J. Fixed Income 12/96
Bushnell P., A. Shepard, D. Topkis, R. Milgrom, J. Roberts 'Economics of Modern
Manufacturing' AER 9/95
Busse J. 'Volatility Timing in Mutual Funds:Evidence from Daily Returns' RFS Winter 99
Bussmann J. 'Die Bestimmung der Zinsstruktur am deutschen Kapitalmarkt' <interest
rates> Kredit und Kapital 1989
Butcher C. 'Runge-Kutta Methods in Modern Computations I' 7/94 ,'... II' 9/94
Computers in Physics 7/94<numeric>
Butler A. 'A Methodological Approach to Chaos: Are Economists Missing the Point'
<Chaos> Fed. St. Louis March 90
Butler A. 'Environmental Protections & Free Trade:Are They Mutually Exclusive' Review
FRB S. Louis 5/92
Butler A. 'Is the US Losing its Dominance in High-Technology Industries' Review FRB
St. Louis 11/92
Butler J. 'Statistical Properties of Parameters Inferred in B-S Formula' 9/24/91
Butler J., Barry Schachter 'Estimating Value at Risk with a Precision Measure by
Combining Kernel Estimation with Historical Simulation' R. Deriv. Research V1 #4
98
Butler J., Barry Schachter 'Unbiased Estimation of Option Prices:An Examination of the
Returns from Hedging Options Against Stocks' AFORv7(94)
Butler J., Schahter 'Biases Arising in the Inference of Parameters from the
Black/Scholes Formula'<options-euro> w.p. 1987
Butler J., Schahter 'Unbiased Estimation of the Black/Scholes Formula'<options-euro>
JFE 15:1986
Butler W., P. Pesenti 'Rational Speculative Bubbles in an Exchange Rate Target Zone'
<foreign exchange> w.p. CEPR Nov 90
Butov A. 'Martingale Methods for Random Wallks in a One-Dimensional Ranom Environment'
<martingale> SIAM Theeory Prob. & App. v39 #4
Buttimer Richard, Walter Muller, Robert Reeves 'An Alternative Trinomial Formulation
for One-Factor Term Structure Models' J. Financial Engin. 3/95
Buttler H-J. 'Evaluation of Callable Bonds:Finite Difference Methods, Stability &
Accuracy' Econ. J. 95 <bonds>
Buttler J., J. Waldvogel 'Pricing Callable Bonds by Means of Greens Funcitons' <IR
products> MF 1/96
Byatt-Smith J. 'Borel Transform & its use in Summation of Asymoptotic Expansions'
Studies in App. Math. v103 11/99
Byers R., N. Nichols 'On the Stability Radius of Generalized State-Space Systems'
<optimal control> preprint 12/93
Bykhovsky M., L. Hayre 'Fact & Fantasy About Collateral Speeds' J.Portfolio
Mangagement Summer 92
Byrd A., W. Moore 'On the Information Content of Calls of Convertible Securities' J.of
Business 1/96
Byron R. 'Testing Structural Specification Using the Unrestricted Reduced
Form'<models> Econometrica Sept 74
Caballe J., M. Krishman 'Imperfect Competition in Multi-Security Market with Risk
Neutrality' Econometrica 5/94
Caballero R., E. Engel 'Dynamic (S,s) Economies' Econometrica 11/91
Caballero R., M. Hammour 'Cleasing Effect of Recessions' AER 12/94
Cabral J., R. Guimaraes 'Are Commodity Futures Markets Really Efficient? Purchasing-
Oriented Study of Chicago Corn Futures Market' R. Futures Markets V7 Supp. 88
Cabral L., M. Riordan 'Leaning Curve, Market Dominance & Predatory Pricing'
Econometrica 9/94
Caccese M. 'Insider Trading Laws & the Role of Security Analysts' FAJ 3/97
Cadenillas A. 'Contributions to Stochastic Version of Pontryagins Maximum principle'
PhD stats Columbia 92
Cadenillas A., F. Zapatero 'Classical & Impulse Stochastic Control of the Exchange
Rate Using Interest Rates & Reserves' MF 4/2000 <foreign exchange>
Cadenillas A., Ioannis Karatzas 'The Stochastic Maximum Principle for Linear, Convex
Optimal Control with Random Coefficients' SIAMS J. Control & Opt 95
Cadenillas A., Stanley Pliska 'Optimal Trading of a Security When There are Taxes &
Transaction Costs' Finance & Stochastics 2/99 ,<trans. cost> wp 5/27/96
Cadsby C. 'CAPM & Calendar:Empirical Anomalies & Risk Return Relationship' Man. Sci.
11/92
Cadsby C., M. Frank, V. Maksimovic 'Equilibrium Dominance in Experimental Financial
Markets' RFS Spring 98
Caflisch Russel, B. Moskowitz 'Modified Monte Carlo Methods Using Quasi-Random
Sequences' <monte carlo> 12/94
Caflisch Russel, William Morokoff 'Quasi-Monte Carlo Computation of a Finance Problem'
UCLA 96-16 p. 15-30
Caflisch Russel, William Morokoff 'Valuation of Mortgage Backed Securities Using the
Quasi-Monte Carlo Method' <monte carlo><Brownian Bridge> 8/96
Caflisch Russel, William Morokoff, A. Osher 'Valuation of Mortgage-Backed Securities
using Brownian Bridges to Effective Dimension' J.Computational Finance v.1,#1 97
Cagen L., N. Carriero, Stavros Zenios 'Computer Network Approach to Pricing Mortgage
Backed Securities' FAJ 3/93
Caginalp Gunduz, Donald Balenovich 'Asset Flow & Momentum:Deterministic & Stochastic
Equations' Philo. Trans.:Math,Phy.,Engin Aug 99 v357 #1758 <markets><liquidity>
Caginalp Gunduz, Donald Balenovich 'Market Oscillations Induced by the Competition
Between Value-Based and Trend-based Investment Strategies' Appl.Math.Finance
12/94
Caginalp Gunduz, G. Bard Ermentrout "A Kinetic Thermodynamics Approach to the
Psychology of Futures Markets" <chaos> Applied Math. Letters V.3,N.4 1991
Caginalp Gunduz, G. Bard Ermentrout "Numerical Studies of Differential Equations
Related to Theoretical Financial Markets"<chaos> Applied Math. Letters V.4,N.1
1991
Caginalp Gunduz, George Constantinides 'Statistical Inference & Modelling of Momentum
in Stock Prices' App.Math.Finance 12/95
Caginalp Gunduz, H. Laurent 'Predictive Power of Price Patterns' App.Math Finance
9&12/98
Cai J., C. Chan, T. Yamada 'Performance of Japanese Mutual Funds' RFS Summer 97
Cai J., J. Garrido 'A Unified Approach to the Study of Tail Probabilities of Compound
Distributions' J. Appl. Prob. v 36 1999
Caillaud B., B. Jullien, P. Picard 'Competing Vertical Structures:Precommitment &
Renegotation' Econometrica 5/95
Cakici N., K. Topyan 'The GARCH Option Pricing Model:A Lattice Approach' J. Comp.
Finance Summer 2000 <option-numeric>
Cakici N., S. Chatterjee 'Prcing Stock Index Ftures with Stochastic Interest Rates' J.
Fut Market 91
Cakici N., S. Chatterjee,A. Wolf 'Empirical Tests of Valuation Models for Options on
T-Note & T-Bond Futures' <term structure> JFM 2/93
Caks J. 'Corporate Debt Decisions:New Analytical Framework' JofF 12/78
Caldarelli G., M. Marsli, Y-C Zhang 'A Prototype Model of Stock Exchanges' <markets>
11/97 Europhysics Letters
Calderini P., V. Finkelstein,B. Gelfand 'Pricing Derivatives on Risky Bonds as Applied
to Emerging Markets' in Nelken I. (ed) 'Option Embedded Bonds'
Caldwell B. 'Hyaek & Socialism' JEL 12/97 <alpha>
Calem P., L. Mester 'Consumer Behavior & Stickiness of Credit Card Interest Rates' AER
12/95
Callier P. 'One Way Arbitrage, Foreign Exchange & Securities Markets:Note' JofF 12/81
Callier P. 'Speculation & Forward Foreign Exchange' JofF 3/80
Calomiris C. 'Financial Factors in Great Depression' J. Economic Perspectives Spring
93
Calomiris C. 'Is the Discount Window Necessry? A Penn Central Perspective' FRB S.L.
5/94
Calomiris C., J. Mason 'Contagion & Bank Failures During the Great Depression:Jun3
1932 Chicago Banking Panic' AER 12/97
Calomiris C., R. Hubbard 'Internal Finance & Investment:Evidence from the
Undistributed Profits Tax of 1936-37' JofB 10/95
Calsamiglia X., A. Kirman 'Unique Informationally Efficient & Decentralized with Fair
Outcomes' Econometrica 9/93
Calvet L., A. Fisher 'Large Deviations & the Distribution of Price Changes' 9/97
<asset pricing>
Calvin J., D. Rich 'Derivatives & Partnership Exchange Funds: Bedfellows to
Diversification & Tax Postponement' J. Deriv. Winter 95
Calvo G., L. Leiderman,C. Reinhart 'Inflows of Capital to Developing Countries in
1990s' J.Econ.Perspec. Spring 96
Calvo G., M. Obstfeld 'Optimal Time-Consistent Fiscal Policy with Finite Lifetimes'
Econometrica 3/88
Calvo G., M. Obstfeld 'Time Consistency of Fiscal & Monetary Policy:A Comment'
Econometrica 9/90
Calzolari G. 'A Note on the Variance of Ex-Post Forecasts in Econometric Models'
Econometrica 11/81
Calzolari G. 'Forecast Variance in Dynamic Simulation of Simultaneous Equation Models'
Econometrica 11/87
Calzolari G., L. Panattoni 'Alternative Estimators of FIML Covariance Matrix:Monte
Carlo Study' Econometrica 5/88
Calzolari G.,F. Sterbenz 'Control Variates to Estimate Reduced Form Variances in
Econometric Models' Econometrica 11/86
Camara A. 'An Extended Set of Risk Neutral Valuation Relationship for the Pricing of
Contingent Claims' R. Deriv. Research V3, #1 99 <option-pricing>
Cambell T., W. Kracaw 'Comment on Bank Funding Risks, Risk Aversion & the Choice of
Futures Hedging Instruments' JofF 12/90
Camerer C., K. Weigelt 'Experimental Tests of a Sequential Equilbrium Reputation
Model' Econometrica 1/88
Camerer C., K. Weigelt 'Information mirages in Experimental Asset Markets' JB Oct 91
Campa J., K. Chang 'Testing Expectations Hypothesis of Term Structure of Volatilities
in Foreign Exchange Options' JofF 6/95
Campa J., K. Chang, R. Reider 'Implied Exchange Rate Distributions:Evidence from OTC
Option Markets' NBER 97 <foreign exchange><pdf estimation>
Campa J., P. Change 'Arbitrage-Based Tests of Target-Zone Credibility:Evidence from
ERM Cross-Rate Options' AER 9/96
Campbell B., J. Dufour 'Over-rejection in Rational Expectation Modes:Non-parametric
Approach to Mankiw-Shapiro Problem' May 91 U. Montreal < >
Campbell C., H. Kazemi, P. Nanisetty 'Time-varying Risk and Return in the Bond Market:
a Test of a New Equilibrium Pricing Model' RFS Summer 99
Campbell C., L. Ederington, P. Vankudre 'Tax Shield, Sample Selection Bias, &
Information Content of Conversion-Forcing Bond Calls' JofF 9/91
Campbell D., J. Kelly 't or 1-t: That is the Trade-off' Econometrica 11/93
Campbell D., J. Kelly 'Trade-off Theory' AER 5/94
Campbell John ' Defense of the Traditional Hypothesis about Term Structure of Interest
Rates' JofF 3/86
Campbell John 'Does Savings Anticipate Declining Labor Income? Alternative Test of
Permanent Income Hypothesis' Econometrica 11/87
Campbell John 'Intertemporal Asset Pricing without Consumption Data' AER 6/93
Campbell John 'Some Lessons from the Yield Curve' J. Econ. Perspect. Summer 95
Campbell John 'Understanding Risk & Return' 2/93 <risk>
Campbell John 'Variance Decompositon of Stock Returns' March 91 <stock return>
Campbell John, J. Ammer 'What Moves the Stock & Bond Markets? Variance Decomposition
for Long-Term Asset Returns' JofF 3/93
Campbell John, J. Mei 'Where Do Betas Come From? Asset Price Dynamics & the Sources of
Systematic Risk' 2/92 <CAPM>
Campbell John, John Cochrane 'Explaining the Poor Performance of Consumption-based
Asset Pricing Models' JofF 12/2000
Campbell John, L. Viceira 'Consumption & Portfolio Decisions When Expected Returns are
Time Varying' Q. J. Econ 5/99
Campbell John, Ludger Hentschel 'No News is Good News: An Asymmetric Model of Changing
Volatility in Stock Returns' <volatility> NBER 6/91
Campbell John, Robert Schiller 'Yield Spreads & Interest Rate Movements:Birds Eye View
RFS 91
Campbell John, Robert Shiller 'Stock Prices, Earnings, & Expected Dividends' JofF 7/88
Campbell John, S. LaMaster, V. Smith, M. Boening 'Off Floor Trading, Disintegration
&Bid-Ask Spread in Expirment Markets' JB Oct 91
Campbell John, Y. Hamao 'Predictable Stock Returns in US and Japan' JofF 3/92
Campbell R. 'Demand for Life Insurance:An Application of the Economics of
Uncertainity' JofF 12/80
Campbell T. 'Model of the Market for Lines of Credit' JofF 3/78
Campbell T., D. Glenn 'Deposit Insurance in Deregulated Environment' JofF 7/84
Campbell T., J. Dietrich 'Determinants of Default on Insured Conventional Residential
Mortgage Loans' JofF 12/83
Campbell T., W. Kracaw 'Corporate Risk Management & the Incentive Effects of Debt'
JofF 12/90
Campbell T., W. Kracaw 'Information Production,Market Signalling & the Theory of
Financial Intermediation' JofF 9/80
Canabarro E. 'Comparing Dynamic Accuracy of Yield Curve Based Interest Rate Contingent
Claims Pricing Models' J.Fin.Eng 12/93
Canabarro E. 'Where Do One-Factor Interest Rate Models Fail?' <Term Structure> J.
Fixed Income 9/95
Canina L., R. Michaely, R. Thaler, K. Womack 'Cavent Compounder: Warning about Using
the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns' JofF
2/98
Canina L., Steven Figlewski 'Informational Content of Implied Probability'
<volatility> 4/91{also RFS 93}
Canner N., N. Mankiw, D. Weil 'An Asset Allocation Puzzle' AER 3/97
Cannerer C. 'Progress in Behavioral Game Theory' J.Econ. Persp. Fall 97
Canning D. 'Rationality, Computability & Nash Equilibrium' Econometrica 7/92
Cannizzo J., R. Kaitchuck 'Accretion Disks in Interacting Bindary Stars' SA 1/92
Cannon J. 'Initial Value Problem' in "One Dimensional Heat Equations" <Diff & Integral
Eq> 89
Canova F. 'Forecasting a Multitude of Time Series with Common Seasonal Patterns' 6/90
<seasonality>
Canova F., J. Marrinan 'Reconciling the Term Structure of Interest Rates with the
Consumption-Based ICAP Model' J.Econ.Dyn.Control 96
Cantaluppi L. 'Modeling Currency Hedges in Mean/Variance Framework'<hedging> FAJ 1/94
Canter M., J. Cole, R. Sandor 'Insurance Derivatives:A New Asset Class for the Capital
Markets & a New Hedging Tool for the Insurance Industry' J. Derivatives Winter
96
Canto R., F. Packer 'Determinants & Impact of Soverign Credit Ratings' J. Fixed Income
12/96
Cantor D., S. Lippman 'Optimal Invetment Selection with a Multitude of Projects'
Econometrica 9/95
Cantor R., F. Packer 'The Credit Rating Industry' J.Fixed Income 12/95
Cantor R., F. Packer, K. Cole 'Split Ratings & the Pricing of Credit Risk' J. Fixed
Income 12/97
Cao C. 'Nonlinear Time Series Models for the Volaility of Stock Returns ' <volatility
3/91
Cao C. 'Pricing Foreign Currency Options with Stochastic Volatility '<volatility>
11/92
Cao C. 'Pricing Options with Stochastic Volatility:General Equilibrium Approach
'<volatility> 10/92
Cao C., Eric Ghysels, F. Hatheway 'Price Discovery without Trading:Evidence from the
Nasdaq Pre-Opening' JofF 6/00
Cao C., H. Choe, F. Hatheway 'Does the Specialist Matter? Differential Execution Costs
& Intersecurity Subsidization on the New York Stock Exhchange' JofF 9/97
Cao C., R. Tsay 'Nonlinear Time Series Analysis of Stock Volatilities' <volatility>
3/91
Cao H. 'Effect of Derivative Assets on Information Acquisition & Price Behavior in a
Rational Expectations Equilibrium' RFS Spring 99
Cao Melanie, Jason Wei 'Pricing the Weather' RISK 5/2000
Cao Melanie, Jason Wei 'Vulnerable Options, Risky Corporate Bond and Credit Spread
1/99 <credit risk>
Caperaa P., J. Lefoll 'Aversion pour le Risque Croissante Avec une Richeese Initiale
Aleatoire' Econometrica 3/85
Caplin A., B. Nalebuff 'Aggregation & Imperfect Competition:On Existence of
Equilibrium' Econometrica 1/91
Caplin A., J. Leahy 'Aggreation & Optimization with State-Dependent
Pricing'Econometrica 5/97
Capobainco E. 'Multi-Resolution Properties of Semi-Parameteric Volatility Models'
Cappetta J. 'Swaptions' Intermarket <swaps>
Caprini I., M. Neubert 'Borel Summation & Momentum-Plane Analyticity in Perterbative
QCD' 2/99 <Borel transform,Mellin,Green function><distriubtion>
Carassus L., Elyes Jouini 'Investment & Arbitrage Opportunities with Short Sale
Constraints' MF 7/98
Carayannopoulos P. 'A Seasoning Process in the U.S. Treasury Bond Market:the Curious
Case of Newly Issued Ten-Year Notes' FAJ 2/96
Carayannopoulos P. 'The Mispricing of U.S. Treasury Callable Bonds' J. Futures
Markets 12/95
Cardenas J., E. Fruchard, E. Koehler, C. Michel, I. Thomazeau 'VAR:One Step Beyond'
<risk> RISK Oct. 97
Cardenas J., E. Fruchard, J. Picron, C. Reyes, K. Walters, W. Yang 'Monte Carlo within
a Day' RISK 2/99 <monte carlo>
Carey J. 'Wavelets are Causing Ripples Everywhere' Bus Week 2/92 <fourier>
Carey M. 'Credit Risk in Private Debt Portfolios' JofF 8/98
Carey M., M. Post, S. Sharpe 'Does Corporate Lending in Banks & Finance Companies
Differ? Evidence on Specialization in Private Debt Contracting' JofF 6/98
Cargill T., R. Meyer 'Term Structure of Inflationary Expectations & Market Efficiency'
JofF 3/80
Carhart Mark 'On Persistence in Mutual Fund Performance' JofF 3/97
Carleton W., G. Kendall, S. Tandon 'Application of the Decompostion Principle to the
Capital Problem in a Decentralized Firm' JofF 6/74
Carleton W., I. Cooper 'Estimation & Uses of the Term Structure of Interest Rates'
JofF 76
Carleton W., J. Nelson, M. Weisbach 'Influence of Institutions on Corporate Governance
through Private Negotiations:Evidence from TIAA-CREF' JofF 8/98
Carleton, Cooper 'New Approach to Estimation of Term Structure of Interest Rates'JF&QA
(84)
Carmona Philippe, Frederique Petit, Marc Yor 'An Idenity in Law Involving Reflecting
Brownian Motion from Generalized Arc-Sine Laws for Perturbed Brownian Motion'
SP&A 79 <Brownian>(99)
Carmona Rene 'Particle Methods in Filtering & Applications in Finance' 1/2001 <option-
pricing>
Carpenter J. 'Does Option Compensation Increase Managerial Risk Appetite?' JofF Oct
2000
Carr J. 'Single Valued Duration Measure' JofF 9/78
Carr J., P. Helpern, J. McCallum 'Correcting the Yield Curuve:Re-interpreation of
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Carr Peter 'Bibiliography on Convertibles' <convertible bonds> 1/31/2001
Carr Peter 'Deriving Derivatives of Derivative Securities' <options-pricing> J. Comp.
Finance Winter 2000/2001
Carr Peter 'European Option Valuation When Carrying Costs are Unknown'<options-euro>
w.p. Cornell Dec 90
Carr Peter 'European Put Call Symmetry' wp Cornell 94
Carr Peter 'FAQs in Option Pricing Theory' 3/29/99 <option-pricing>
Carr Peter 'Note on Pricing of Commodity-Linked Bonds' JofF 9/87
Carr Peter 'Put Call Parity for American Options & Different Strikes' wp
10/93<options-american>
Carr Peter 'Randomization & the American Put' <options-American> wp 10/96,FRS Fall 98
Carr Peter 'Two Extensions to Barrier Option Valuation' Applied Math.Finance
9/95<options-barrier>
Carr Peter 'Valuation of Sequential Exchange Opportunities' JofF 12/88
Carr Peter 'Vertical Static Hedging of Down-and-In Claims' <hedging> 10/11/00
Carr Peter, A. Chou 'Breaking Barriers' RISK 9/97 <options-barrier>
Carr Peter, A. Chou 'Breaking Barriers:Static Hedging of Barrier Securities' <options-
barrier> 11/96
Carr Peter, A. Chou 'Hedging Complex Barrier Options' 4/1/97 <options-barrier>
Carr Peter, Alexander Lipton, Dilip Madan 'An Alternative Approach for Valuing
Continuous Cash Flows' <hedging> 6/26/2000
Carr Peter, Alexander Lipton, Dilip Madan 'Going with the Flow' <hedging> <cash flow>
RISK 8/2000
Carr Peter, Alexander Lipton, Dilip Madan 'The Reduction Method for Valuing Derivative
Securities' 4/27/00 <option-numeric> formerly 'Option Pricing & Heat Transfer'
Carr Peter, Dilip Madan 'Determining Volatility Surfaces & Option Values From an
Implied Volatility Smile' 10/98 <volatility>
Carr Peter, Dilip Madan 'Introducing the Covariance Swap' RISK 2/99 <swap> <Volatility
Swap, Variance>
Carr Peter, Dilip Madan 'Optimal Consumption & Derivative Investment Rules in
Continuous Time' 2/98 <derivatives>,<portfolio>
Carr Peter, Dilip Madan 'Optimal Positioning in Derivative Securities' 1/98
<portfolio>
Carr Peter, Dilip Madan 'Option Valuation Using the Fast Fourier Transform' J.
Comp.Finance Summer 99 ,12/98 <option-pricing>
Carr Peter, Dilip Madan 'Towards a Theory of Volatility Trading' 12/97 <volatility>
Carr Peter, Dmitri Faguet 'Fast Accurate Valuation of American Options'superceeded
w.p. 6/29/94
Carr Peter, Dmitri Faguet 'Valuing Finite-Lived Options as Perpetual' <options-
american> 6/96
Carr Peter, G. Yang 'Simulating American Bond Options in an HJM Framework'12/96 <term
structure>
Carr Peter, G. Yang 'Simulating Bermuda Interest Rate Derivatives' 12/97 <term
structure>
Carr Peter, Helyette Geman, Dilip Madan 'Pricing & Hedging in Incomplete Markets' &
oversheads JFE 2001 12/02 <complete markets>
Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'The Fine Structure of Asset
Returns:An Empirical Investigation' J. Business 4/02 <asset pricing><variance-
gamma,jump,CGMMY>
Carr Peter, J-F Picron 'Static Hedging of Timing Risk' J. Deriv.Spring 99 <risk>
<first passage,barriers>
Carr Peter, K. Ellis, V. Gupta 'Static Hedging of Exotic Options' JofF 6/98
Carr Peter, M. Tari, Thaleia Zariphopoulou 'Closed Form Option Valuation with Smiles'
8/99 <volatility>
Carr Peter, Marc Chesney 'American Put Call Symmetry' <options-American> 11/96
Carr Peter, R. Chen 'Valuing Bond Futures & the Quality Option' <term structure>
<CIR> w.p. 6/94
Carr Peter, Robert Jarrow 'Stop-Loss Start-Gain Paradox & Option Valuation: A New
Decomposition into Intrinsic & Time Value'<optimal stopping> RFS V.3 #3 1990
Carr Peter, Robert Jarrow, R. Myneni 'Alternative Characterizations of American Put
Options'MF 4/92 <options-american>
Carr Peter, X. Jin, Dilip Madan 'Optimal Investment in Derivatives Securities' Finance
& Stochastics 1/2001 <asset pricing><Levy,completeness,variance gaama>
Carriere Jacques 'A Gaussian Process of Yield Rates Calibrated with Strips' <interest
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Carriere Jacques 'A Generalized Ornstein-Uhlenbeck Process of Yield Rates Calibrated
with Strips' 99<term structure> <Green,numeraire>
Carriere Jacques 'Greens Function in a Multi-Factor Model for Interest Rate
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Carrigan R., W. Trower 'Superheavy Magnetic Monopoles' PPC
Carroll C., M. Kimball 'On Concavity of Consumption Functions' Econometrica 7/96
Carroll C., P. Thistle, K. Wei 'Robustness of Risk-Return Nonlinearities to Normality
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Carron A. 'Understanding CMOs, REMICs & Other Mortgage Derivatives' J. of Fixed
Income 6/92 <mortgage> <prepayment>
Carson R. 'Tobit Model with a Non-Zero Censoring Threshold' 89
Cartan E. 'Les Systemes Differentiels Exterieurs et leurs Applications Geometriques'
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Carter C., G. Eagleson 'Comparison of Variance Estimators in Nonparametric Regression'
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Carter C., R. Kohn 'Markov Chain Monte Carlo in Conditionally Gaussian State Space
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Carter E. 'Simultaneous Equation Approach to Financial Planning:Comment' JofF 9/73
Carter R., F. Dark, A. Singh 'Underwriter Reputation, Inital Returns & Long-Run
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Carter R., S. Manaster 'Initial Public Offerings & Underwriter Reputation' JofF 9/90
Cartier P., C. DeWitt-Morette 'Functional Integration' J. Math. Physics 6/2000
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Cartwright P. 'Forecasting Time Series :Comparative Analysis of Alternative Classes of
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Carty L., J. Fons 'Measuring Changes in Corporated Credit Quality' J.Fixed Income
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Carverhill Andrew 'A Note on the Models of Hull & White for Pricing Options on the
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Carverhill Andrew 'A Simplified Exposition of the Heath,Jarrow & Morton Model'S&SR 95
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Carverhill Andrew 'Interest Rate Derivatives:Evolutionary Valuation & Hedging'<term
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Carverhill Andrew 'When is the Short Rate Markovian' <Term Structure> MF 11/94
Carverhill Andrew, Chris Strickland (91) 'Money Market Term Structure Dynamics & Volt
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Carverhill Andrew, Kin Pang 'Efficient & Flexible Bond Option Valuation in the
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Carverhill Andrew, Les Clewlow 'Flexible Convolution' RISK 4/90 <options-average>
Carverhill Andrew, Nick Webber 'American Options:Theory & Numerical Analsysis' in
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Casas E., L. Fernandez,J. Yong 'Optimal Control of Quasilinear Parabolic Equations'
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Case A. 'Consumption Smoothing in Developing Countries' J. Econ. Perspect. Summer 95
Case A. 'On the Use of Spatial Autogression Models in Demand Analysis'87
Case A. 'Spatial Patterns in Household Demand' Econometrica 7/91
Case J. (reviewer) 'An Unexpected Union-Physics & Fisher Informtion' SIAM News
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Case J. <review> 'Computer Chess Moves to the Grandmaster Level' SIAM News 6/97
Case J. 'Fermats Last Theorem:Still Awaiting a First-Rate Exposition' <review of
books> SIAM News 4/98
Case J. 'IMA & SIAM Highlight the Mathematics of Finance' SIAM NEWS Oct93
Case J. 'Is the Bell Curve Statistically Sound?' <book reivew of Hernstein & Murray>
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Case J. 'The Mathematization of Finance:Part 1'SIAM News 7/94 ,'..Part II'8/94
Case J. 'Three Game Theorists Share Nobel Prize in Economics' SIAM News 12/94
Case K., Robert Shiller, A. Weiss 'Index-Based Futures & Options Markets in Real
Estate' J. Portfolio Management Winter 92
Casey S. 'Formulating Fractals' Comp. Lang. 4/81 <fractals>
Casey S., D. Walnut 'Systems of Convolution Equations,Deconvolution,Shannon Sampling &
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Cason T. 'The Opportunity for Conspiracy in Asset Markets Organized with Dealer
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Cason T., D. Friedman 'Price Formation in a Single Call Markets' Econometrica 3/97
Cass D. 'Incomplete Financial Markets & Indeterminacy of Competitive Equilibrium' in
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Cass D., G. Chichilnisky, H. Wu 'Individual Risk & Mutual Insurance' Econometrica
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Cass D., Joseph Stiglitz 'Structure of Investor Preferences & Asset Returns &
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Cassidy D. 'Heisenberg, Uncertainty & Quantum Revolution' SA 5/92
Castanias R. 'Bankruptcy Risk & Optimal Capital Structure' JofF 12/83
Castelino M. 'Hedge Effectiveness:Basis Risk & Minimum Variance Hedging' JFM 4/92
Castell, J. Gaines 'The Ordinary Differential Equation Approach to Asymptotically
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Castellani G. 'Mathematical Model on Selection of Investments in Conditions of Risk'
MMinIV
Castellino O. 'On Correlation Between Yields & Coupon Rates of Randomly Redeemable
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Castillo-Ramirez A. 'An Application of Natural Resource Evaluation using a Simulation-
Dynamic Programming Approach' J. Comp. Finance Spring 2000
Cathcart Lara 'The Pricing of Floating Rate Instruments'J. Comp. Finance Summer 98
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Cathcart Lara, Lina El-Jabel 'Valuation of Defaultable Bonds' J. Fixed Income 6/98
Cattiaus P. 'Time Reveral of Diffusion Processes With a Boundary Condition'
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Cavaglia S., W. Verschoor, C. Wolff 'On the Biasness of Forward Foreign Exchange
Rates:Irrationality or Risk Premia?'J.Business 7/94
Cave J., S. Salant 'Cartel Quotas Under Majority Rule'AER 3/95
Cavers R. 'Industrial Organization & New Findings on the Turnover & Mobility of Firms'
JEL 12/98
Cebeci T., Herb Keller 'Shooting & Parallel Shooting Methods for Solving Folkner-Skav
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Cecchetti S. 'Distinguishing Theories of the Monetary Transition Mechanism' Review FRB
S.L. May/June 95
Cecchetti S., P. Lam, N. Mark 'Testing Volatility Restrictions on Intertemporal
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Cekanavicius V. 'On Compound Poisson Approximations under Moment Restrictions' Theory
Prob. Appl v44 #1 2000 <distribution>
Celec S., R. Pettway 'Some Observations on Risk-Adjusted Discount Rates' <reply W.
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Celentani M., D. Fundenberg, G. Levine, W. Pesendorfer 'Maintaining a Reputation
against a Long-Lived Opponent' Econometrica 5/96
Celia M., G. Pinder 'Generalized A.D. Colloc....'3 papers NUMERICAL METHODS FOR
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Cerf V. 'Networks' SA 9/91
Certicom 'Current Public-Key Crpytographic Systems' 97<cryptography>
Certicom 'Remarks on the Security of the Elliptic Curve Cryptosystem' 97
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CerticomCorp 'Concepts in Information Security' <cryptography>
CerticomCorp 'Elliptic Curve Groups' <cryptography>
Cesari R. 'On Estimation of Stochastic Differential Equations: the Continuous-time
Maximum-likelihood Approach' <SDE>w.p. Sept 89
CFA Institute 'Practitioners Guide to Factor Models' <notes & appendix> <factor
models> 94
Chacko G. 'Continuous-Time Estimation of Affine Term Structure Models:General
Approach' 3/98 <term structure>
Chacko G. 'Continuous-Time Estimation of Exponential Separable Term Structure Models:A
General Approach' 8/99 <term structure>
Chacko G., S. Das 'Average Interest' 97 <options-average>
Chahal M., M. Rebello, S. Smith 'Emerging Debt & Equity Markets:Exploratory
Investigation of Integration Using Daily Data' FRB Atlanta 7/96
Chaing R., P. Venkatesh 'Insider Holdings & Perceptions of Information Asymmetry'
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Chaisson E. 'Early Results from the Hubble Space Telescop' SA 6/92
Chaitin G. 'Randomness inArtithmetic'<Hilbert, Godel> SA 7/88
Chakhravorly U., D. Krulce 'Heterogeneous Demand & Order of Resource Extraction'
Econometrica 11/94
Chakravarti P., M. Barrientes 'On a Fast & Accurate Method for Computing Fourier
Transforms' BIT 94<fourier>
Chakravarty S. 'On Shorrocks Reinvestigation of the Sen Poverty Index' Econometrica
9/97
Chakravarty S. 'Should Actively Traded Futures Contracts Come under the Dual-Trading
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Chakravarty S., J. McConnell 'Does Insider Trading Really Move Stock Prices?' JF&QA
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Chal Y-J. 'Weak Convergence of a Sequence of Semimartingales to a Process of Diffusion
Type with Discontinuous Coefficients' IMA 99 <martingales>
Chalasani P., S. Jha 'Approximate Option Pricing' 4/97 <option-pricing>
Chalasani P., S. Jha 'Martingales & Fuzzy Stopping Times in the Pricing of American
Options with Transaction Costs' 1/99 <option-American>
Chalasani P., S. Jha 'Randomized Stopping Times & American Option Pricing with
Transaction Costs' MF 1/2001 ,12/2000 <options-American>
Chalasani P., S. Jha, A. Varikooty 'Accurate Approximation for European Asian
Options'J. Comp. Finance Summer 98 , <option-Asian> 1/98
Chalasani P., S. Jha, F. Egriboyun, A. Varikooty 'A Refined Binomial Lattice for
Pricing American Asian Options' R. Deriv. Research V3, #1 99 ,4/98? <option-
Asian>
Chaleyat-Maurel M., Nicole El Karoui, B. Marchal 'Reflexion Discontinue et Systemes
Stochastiques' Ann. Probl 80
Chalmers J. 'Default Risk Cannot Explain the Muni Puzzle:Evidence from Municipal Bonds
that are Secured by U.S. Treasury Obligations' RFS Summer 98
Chalmers J. 'Muni Puzzle:Explanations & Implications for Investors' 'Advanced Fixed-
Income Valuation Tools' ed. Jegadeesh,Tuckman,Wiley 2000
Chalupa J. 'Discount Bond Derivatives on a Recombining Binomial Tree' <term
structure>,option-bonds> 6/97 <Buhler-Kasler, hopping probab., Vasicek>
Chalupa J. 'Multifactor Generalization of "Discount Bond Derivatives on a Recombining
Binomial Tree" ' 6/97 <options-bonds> <Buhler-Kasler>
Chalupa J. 'Option Valuation & the Price of Risk' 96? <risk>
Chalupa J. 'Options on a Stock with Market-Dependent Volatility' 10/97 <volatility>
Chamberlain Gary 'A Characterization of the Distributions That Imply Mean-Variance
Utility Functions'<CAPM> JET 29:185-201 (1983)
Chamberlain Gary 'Efficiency Bounds for Semiparametric Regression ' Econometrica 5/92
Chamberlain Gary, M. Rothschild 'Arbitrage Factor Structure & Mean-Variance Analysis
of Large Asset Markets' Econometrica 9/83 <arbitrage>
Chamberlain Gary. 'Asset Pricing in Multiperiod Security Markets' Econometrica 11/88
Chambers D. 'Necessary & Sufficient Condtions for a Second-order Wiener-Ito Integral
Process to be Mixing' SP&A 4-93 <Diffusion>
Chambers D., W. Carelton 'Generalized Approach to Duration' <duration> Research in
Finance 88
Chambers D., W. Carleton, D. Waldman 'A New Approach to Estimation of the Term
Structure of Interest Rates' JFE 84
Chamley C. 'Optimal Taxation of Capital Income in General Equilibrium with Infinite
Lives' Econometrica 5/86
Chamley C., D. Gale 'Information Revelation & Strategic Delay in a Model of
Investment' Econometrica 9/94
Champsaur P., J. Rochet 'Multiproduct Duopolists' Econometrica 5/89
Chan G., A. Wood 'Simulation of Multifractional Brownian Motion' 3/98 UNSW <Brownian>
Chan H. 'Poisson Formula Revisted' SIAM Review 6/98
Chan K. 'Imperfect Information & Cross-Autocorrelations among Stock Returns' JofF 9/93
Chan K., A. Hameed, W. Tong 'Profitability of Momentum Strategies in the International
Equity Markets' JF&QA 6/2000
Chan K., A. Karolyi, Francis Longstaff, A. Sanders 'Empirical Comparison of
Alternative Models of Short-term Interest Rates' JofF 7/92 <CEV, 3/2 expon.>
Chan K., H. Tong 'Note on Embeddding a Discrete Parameter ARMA Model in a Continous
Parameter ARMA Model' J. Time Series Analysis (87) #3
Chan K., H. Tong 'On Estimating Tresholds in Autoregressive Models' J. Time Series
Analysis #3 (86)
Chan K., N. Chen 'An Unconditional Asset-Pricing Test & the Role of Firm Size as an
Instrumental Variable for Risk' JofF 6/88
Chan K., N. Chen 'Structural & Return Characteristics of Small & Large Firms' JofF
9/91
Chan K., S. Forest, L. Lang 'Does Money Expalin Asset Returns? Theory & Empirical
Analysis' JofF 3/96
Chan K., W. Christie, P. Schultz 'Market Struture & the Intraday Pattern of Bid-Ask
Spreads for NASDAQ Securities' JofBusiness 1/95
Chan K., Y. Chung, H. Johnson 'Intraday Behavior of Bid-Ask Spreads for NYSE Stocks &
CBOE Options' JF&QA 9/95
Chan K., Y. Chung, H. Johnson 'Why Option Prices Lag Stock Prices:Trading based
Explanation' JofF 12/93
Chan L. 'Consumption,Inflation Risk & Real Interest Rates:Empirical Analysis' JofB
1/94
Chan L., J. Karcaski, Josef Lakonishok 'Risk & Return from Factors' JF&QA 6/98
Chan L., J. Karceski, Josef Lakomishok 'On Portfolio Optimization:Forecasting
Covariances & Choosing the Risk Model' RFS Winter 99 <portfolio>
Chan L., Josef Lakonishok 'Are Reports of Betas Death Premature' J.Port.Manag. Summer
93
Chan L., Josef Lakonishok 'Behavior of Stock Prices around Institutional Trades' JofF
9/95
Chan L., Josef Lakonishok 'Institutional Equity Trading Costs:NYSE Versus Nasdaq'
JofF6/97
Chan L., Josef Lakonishok 'Robust Measurement of Beta Risk' JF&QA 6/92
Chan L., Narasimham Jegadeesh, Josef Lakonishok 'Momentum Strategies' JofF 12/96
Chan L., Y. Hamao, Josef Lakonishok 'Fundamentals & Stock Returns in Japan' JofF 12/91
Chan N., C. Wei 'Limiting Distributions of Least Squares Estimates of Unstable
Autoregressive Processes' Annals of Stats. 88
Chan N., W. Palma 'State Space Modeling of Long-Memory Processes' <Kalman, ARMA> 2/98
Chan S., G. Gau, K. Wang 'Stock Market Reaction to Capital Investment
Decisions:Evidence from Business Relocations' JF&QA 3/95
Chan Terrence 'Pricing Contingent Claims on Stocks Driven by a Levy Process' Annal.
Applied Prob. 5/99 <contingent claims>
Chan U., K. Mak 'Depositors Welfare, Deposit Insurance & Deregulation' JofF 7/85
Chan V. 'Banking without Deposit Insurance or Bank Panics:Lessons from a Model of US
National Banking System' FRB Minn Summer 89 <banking>
Chan Y. 'Information Production, Market Signalling & the Theory of Finanical
Intermediation:Comment' JofF 9/82
Chan Y. 'On the Positive Role of Financial Intermediation in Allocation of Venture
Capital in a Market with Imperfect Information' JofF 12/83
Chan Y. 'Term Structure as a Second-Order Dynamical System & pricing of Derivative
Securities' Bear Stearns 92
Chan Y., Anjan Thakor 'Collateral & Competitive Equilibria with Moral Hazard & Private
Information' JofF 6/87
Chan Y., Stewart Greenbaum, Anjan Thakor 'Is Fairly Priced Deposit Insurance
Possible?' JofF 3/92
Chan Y-K 'Term Structure as a Second Order Dynamical System & pricing of Derivative
Securities' Bear Stearns 1992
Chance Donald 'A Derivatives Alternative as Executive Compensation' FAJ 3/97
Chance Donald 'An Immunized-Hedge Procedure for Bond Futures' J.Fut. Market 82 <bond>
Chance Donald 'Default Risk & the Duration of Zero Coupon Bonds' JofF 3/90
Chance Donald 'Futures Contracts & Immunization' R. Futures Markets v5,#2 86
Chance Donald 'Futures Pricing & Cost of Carry under Price Limits' J.Fut. Mark. 10/94
Chance Donald 'Leap into the Unknown'<volatility-implied> RISK 5/93
Chance Donald 'Parity Tests of Index Options'<stock price> AFOR V.2
Chance Donald 'Pricing & Hedging of Limited Exercise Caps & Spreads' JFR Winter 94
<caps>
Chance Donald 'Translating the Greek:The Real Meaning of Call Option Derivatives' FAJ
7/94<option-pricing>
Chance Donald, D. Rich 'Asset Swaps with Asian-Style Payoffs' J.of Derivatives Summer
96
Chance Donald, D. Rich 'Pricing of Equity Swaps & Swaptions' J. Deriv. Summer 98
<swaps>
Chance Donald, J. Jordan 'Duration,Convexity & Time as Components of Bond
Returns'<term structure> J. Fixed-Income 9/96
Chance Donald, M. Hemler 'Impact of Delivery Options on Futures Prices:Survey' J. Fut.
Market 4-93
Chanda K.'Asymptotic Expansions for the Distribution of Serial Correlations' J. Time
Series Analysis (87) #3
Chander R. 'Dynamic Procedures & Incentives in Public Good Economies' Econometrica
11/93
Chandler A. 'Organization Capabilities & Economic History of Industrial Enterprise'
J.Econ.Persp. Summer 92
Chandra R., B. Balachandran 'More Powerful Portfolio Approaches to Regressing Abnormal
Returns on Firm Specific Variables for Cross Sectional Studies' JofF 12/92
Chandrakantha M., J. Mehta, P.Swamy 'On the Use of Ratios in the Analysis of Non-
stationary Time Series' FRB Washington Nov 89
Chandrasekhar S. 'Stochastic Problems in Physics & Astron.' SPinN&SP
Chaney P., T. Devinney,R. Winer 'Impact of New Product Intro. on Market Value of
Firms' JB Oct 91
Chang C. 'A No-Arbitrage Martingale Analysis for Jump-Diffusion Valuation' JFR Fall 95
<options-distribution><american>
Chang C. 'Captial Structure as an Optimal Contract Between Employees & Investors'
JofF 7/92
Chang C., J. Chang 'Forward & Futures Prices:Evidence from the Foreign Exchange
Markets' JofF 9/90
Chang C., J. Chang 'Option Pricing with Stochastic Volatility:Information-time in
Calendar-Time' <volatility> <stochastic clock> MS 7/96
Chang C., J. Chang, H. Fang 'Optimum Futures Hedges with Jump Risk & Stochastic
Basis'<hedging> J.Futures Markets 6/96
Chang E. 'Returns to Speculators & Theory of Normal Backwardation' JofF 3/85
Chang E., J. Pinegar 'Fundamental Study of the Seasonal Risk-Return Relationship' JofF
9/88
Chang E., J. Pinegar 'Stock Market Seasonals & Prespecified Multifactor Pricing
Relations' JF&QA Dec 90 <stock price>
Chang E., J. Pinegar,R. Ravichandran 'International Evidence on Robustness of Day-of-
Week Effect' JF&QA 12/93
Chang E., P. Jain, P. Locke 'Standards & Poors 500 Index Futures Changes around the
New York Stock Exchange Close' JofBusiness 1/95
Chang E., P. Locke, S. Mann 'Effect of CME Rule 552 on Dual Traders' J. Fut. Mark.
6/94
Chang F. 'Inverse Optimal Problem: Dynamic Programming Approach' Econometrica 1/88
Chang Issac, Andreas Weigend 'Nonlinear Prediction of Conditional Percentiles for
Value-at-Risk' 3/99 <risk>
Chang J., H. Fang 'Intertemporal Measure of Hedging Effectivenss' JFM 90 <hedging>
Chang J., L. Shanker 'Hedging Effectiveness of Currency Options & Currency Futures'
JFM v6 #2 <foreign exchange>
Chang J., Shanker 'Option Pricing & the Arbitrage Pricing Theory' <CAPM> J. of
Financial Research Spring 87
Chang R. 'Credible Monetary Policy with Long-Lived Agents:Recursive Approaches'
<alpha> 11/96 FRB Atlanta wp
Chang R. 'Financial Integration with & without International Policy Coordination' FRB
Atlanta 10/93 w.p.
Chang R. 'Income Inequality & Economic Growth:Evidence & Recent Theories' FRB Atlanta
94 Review FRB Atlanta 7/94
Chang R. 'Is a Weak Dollar Inflationary?' Economic Review FRB Atlanta 9/95
Chang R. 'Is Low Unemployment Inflationary? Econ. Review FRB Atlanta
Chang R. 'Policy Credibitlity & Design of Central Banks' FRB Atlanta Econ.Review 1Q 98
Chang R. 'Political Party Negotations, Income Distribution & Endogenous Growth' FRB
Atlanta wp 6/95<alphabetic>
Chang R., A. Velasco 'Financial Fragility & the Exchange Rate Regime' FRB Atlanta wp
11/97
Chang Roberto 'Private Investment & Sovereign Debt Negotiations' FRB Atlanta w.p.
6/93
Chang S. 'Takeovers of Privately Held Targets, Methods of Payment & Bidder Returns'
JofF 4/98
Chang,I., C. Hallahan, P. Swamy 'Efficient Computation of Stochastic Coefficients
Models' <stochastics> FRB Washington Aug 90
Chanian L., A. Stockman 'Short Run Effects of Money When Some Prices are Sticky' Econ.
Quarterly FRB Richmond Summer 94

Chanrong A. 'A Semiparametric Maximum Likelihood Estimator' Econometrica 7/97


Chant P. 'On Predictability of Corporate Earnings per Share Behavior' JofF 3/80
Chapko R., R. Kress, J-R Yoon 'On the Numerical Solution of an Inverse Boundary Value
Problem for the Heat Equation' Inverse Problems 8/98 <numeric>
Chaplin G., S. Saoullis 'Carrying on as Normal' <option-bonds> <GARCH,one
factor,government bond> RISK 6/97
Chaplinsky S., G. Niehaus 'Role of ESOPs in Takerover Contests' JofF 9/94
Chapman D. 'Approximating the Asset Pricing Kernel' JofF 9/97
Chapman D. 'The Cyclical Behavior of the Real Term Structure & Consumption Growth'
10/95
Chapman D., J. Long, Neil Pearson 'Using Proxies for the Short Rate: When are Three
Months Like an Instant?' RFS Fall 99
Chapman D., Neil Pearson 'Is the Short Rate Drift Actually Nonlinear?' JofF 2/2000
Chapman S., Sam Howison, John Ockendon 'Macroscopic Models for Superconductivity'
SIAM Review 12/92
Chappell D., K.Dury 'On Optimal Depletion of Nonrenewable Natural Resources Under
Conditions of Increasing Marginal Extraction Costs' SIAM Review 3/94
Chappell H., D. Cheng 'Expectations, Tobins q & Investment:Note' JofF 3/82
Charalambous C., Robert Elliott, V. Krishnamurthy 'Conditional Moment Generating
Functions for Integrals & Stochastic Integrals' <SDE> Proc. 36 Conf. Decision &
Control 97
Charest G. 'Dividend Information, Stock Returns & Market Efficiency' 78 JFE
Chari V. 'Nobel Laureate Robert Lucas:Architect of Modern Macroeconomics' J. Econ.
Persp. W 98
Chari V. 'Time Consistency & Optional Policy Design' FRB Minn Fall 88 <budget>
Chari V., L. Jones, R. Manwelli 'Growth Effects of Monetary Policy' Quarterly Review
FRB Minn. Fall 95
Chari V., P. Kehoe, E. McGrattan 'Sticky Price Models of the Business Cycle: Can the
Contract Multiplier Solve the Persistence Problem?' Econometrica 9/2000
Chari V., R. Weber 'How the US Treasury Should Auction its Debt' Quarterly Review FRB
Minneapolis Fall 92
Chari V., Ravi Jagannathan 'Banking Panics, Information & Rational Expectations
Equilibrium' JofF 7/88
Charrier P., G. Troianello 'On Strong Solutions of Parabolic Unilateral Problems with
Obstacle Dependent Time' J. Math. Anal. App 78
Chassing P. 'Slow Diffusion for a Brownian Motion with Random Reflecting Barriers'
<<Brownian motion> SP&A 1/96
Chateau O. 'Quelques remarques sure les processus a accroissements independants
stationnaries et la subordination au sens de Bochner' these de l'Universite
Paris VI 90
Chatelain M., Christope Stricker ' A Characterization of Complete Security Markets on
a Brownian Filtration' 92
Chatelain M., Christope Stricker 'Componentwise & Vector Stochastic Integration with
Respect to Certain Multi-Dimensional Continuous Local Martingales' <martingales>
Progress in Probability v36 95<Seminar on Stochastic Analysis,Random Fields &
Apps>
Chatelain M., Christope Stricker 'On Componentwise & Vector Stochastic Integration'
<martingale> MF 1/94
Chateuneuf A., R. Kast, A. Lapied 'Choquet Pricing for Financial Markets with
Frictions'<arbitrage> MF 7/96
Chatrath A., S. Ramchander, F. Song 'Does Option Trading Lead to Greater Cash Market
Volatility?' J. Futures Markets 10/95
Chatrath A., S. Ramchander, F. Song 'Note on Modified Lattice Approaches to Option
Pricing' J.Futures Markets 8/96
Chatrath Arjun,M. Chaudhry, R. Christie-David 'Price Discovery in Strategically Linked
Markets:TED Spread & its Constituents' J. Derivatives Summer 99
Chatterjea A., Robert Jarrow 'Market Manipulaiton, Price Bubbles & a Model of the U.S.
Treasury Securities Auction Market' JF&QA 6/98
Chatterjee K., Hamid Sabourian 'Multiperson Bargaining and Strategic Complexity'
Econometrica 11/2000
Chatterjee S., W. Jacques 'An Outlier-Resistant Approach to Risk Estimation' FAJ 9/94
Chaudhari P. 'Electronic & Magnetic Materials' SA <unlabeled>
Chaudhry M., R. Christie-David 'Long-Tem Structural Price Relationships in Futures
Markets' J. of Derivatives Spring 98
Chaudhury M. 'Some Easy-to-Implement Methods of Calculating American Futures Option
Prices'<options-American> JFM 5/95
Chaudhury M., J. Wei 'Upper Bounds for American Futures Options:A Note'<options-
American> JFM 2/94
Chaum D. 'Achieving Electronic Privacy <encryption>' Scientific American 8/92
Chaumeton L., G. Connor, R. Curds 'A Global Stock & Bond Model' FAJ 11/96
Chee K. 'Optimal Hedging with Financial Futures' <hedging>
Chem A., K. Chen 'An Anatomy of ELKS' <interest rate products> <equity linked> J.
Financial Engineering 12/95
Chemmanur T. 'Pricing of Initial Public Offers:Dynamic Model with Information
Production' JofF 3/93
Chemmanur T., P. Fulghieri 'Investment Bank Reputation,Information Production &
Financial Intermediation' JofF 3/94
Chemmanur T., P. Fulghieri 'Theory of the Going-Public Decision' RFS Summer 99
Chemmanur T., P. Fulghieri 'Why Include Warrants in New Equity Issues? Theory of Unit
IPOs' JF&QA 3/97
Chen A. 'Recent Developments in the Cost of Debt Capital' JofF 6/78
Chen A., F. Jen, S. Zionts 'Joint Determination of Portfolio & Transaction Demands for
Money' JofF 3/74
Chen A., H. Park, K. Wei 'Stochastic Duration & Dynamic Measure of Risk in Financial
Futures'<risk> AFOR V.1B
Chen A., M. Chaudhury 'Market Value & Dynamic Interest Rate Risk of Swaps' 96-44
<swaps>
Chen A., M. Cornett, P. Nabar 'Empirical Examination of Interest Rate Futures Prices'
JFM Oct.93
Chen A., S. Mazundar 'Loan Sales & Bank Liquidity Mangement' Inter. J. Theor.&Applied
Finance 4/99
Chen A., W. Reichenstein 'Taxes & Pension Fund Asset Allocation' J.Portfolio
Mangagement Summer 92
Chen Andrew, John Kensinger, Hangsong Pu 'An Analysis of PERCS<Preferred Equity
Redemption Cumulative Stocks>' J. Fin. Engin. 6/94
Chen Andrew, K. Chen, Barry Laiss 'Pricing Contingent Value Rights:Theory & Practice'
J.FinEng V2,#2 93
Chen C., A. Chan, N. Mohan 'Asset Allocation Managers Investment Performance' J. Fixed
Income 12/93
Chen C., J. Williams 'Triple-Witching Hour,Change in Expiration Timing & Stock Market
Reaction' J.Futures Markets 5/94
Chen C., R. McCullich, R. Tsay 'A Unified Approach to Estimating & Modeling Linear &
Nonlinear Time Series'<regression> UofChicago 1/96
Chen David, Robert Welch 'Relative Mispricing of American Calls Under Alternative
Dividend Models' AF&OR6
Chen H-C., J. Ritter 'The Seven Percent Solution' JofF 6/00
Chen J. 'When the Bubble is Going to Burst...' Inter. J. Theor. & Applied Finance
7/99
Chen L. 'A Bond Pricing Formula under a Non-trival, Three Factor Model of Interest
Rates' <term structure> Exonomic Letters 96
Chen L. 'A Three-Factor Model of the Term Structure of Interest Rates' FRB Board 95
Chen L. 'Interest Rate Dynamics, Derivatives Pricing & Risk Management' v435 Lecture
Notes Econ & Math Systems Springer 96
Chen L. 'Stochastic Mean & Stochastic Volatility:Three Factor Model of the Term
Structure of Interest Rates & Application to Pricing of Interest Rate
Derivatives Part I' <volatility>wp 9/94
Chen L. 'Stochastic Mean & Stochastic Volatility-Three Factor Model of Term Structure
of Interest Rates & its Application to Derivative Pricing & Risk Management' 96
<term structure>
Chen N. 'Empirical Test of Theory of Aribtrage Pricing' JofF 12/87
Chen N. 'Financial Investment Opportunities & the Macroeconomy' JofF 6/91
Chen N. 'Some Empirical Tests of Theory of Arbitrage Pricing' JofF 12-83
Chen N., C. Cuny,R. Haugen 'Stock Volatility & Levels of the Basis & Open Interest in
Futures Contracts' JofF 3/95
Chen N., Jonathan Ingersoll 'Exacting Pricing in Linear Factor Models with Finitely
Many Assets:Note' JofF 6/83
Chen N., R. Kan, Merton Miller 'Are the Discounts on Closed-End Funds a Sentiment
Index?'JofF 6/93
Chen N., Richard Roll, Steven Ross 'Economic Forces & the Stock Market ' JofB 86
<stock market>
Chen Nai-Fu 'Some Empirical Tests of the Theory of Arbitrage Pricing' w.p. UofC April
82
Chen 'New Look at Interest Rate Futures Contracts' JFM 10/92
Chen 'Nonlinear Adaptive ARX Model' 9/93 JASA v88 #421 3-93
Chen R. 'A Two-Factor, Preference-Free Model for Interest Rate Sensitive Claims'<term
structure> JFM 5/95
Chen R. 'Bounds for Treasury Bond Futures Prices & Embedded Delivery Options:Theory &
Empirical Analysis' <4/97 <options-bonds>

Chen R. 'Exact Solutions for Futures & European Futures Options on Pure Discount
Bonds'<Term Structure> JF&QA 3/92
Chen R. 'Pricing Bond Futures & Quality Option: Empiricial Study'<term structure>
<CIR> 9/92 w.p. CBT
Chen R. 'Pricing Interest Rate Futures Options with Futures-Style Margining' JFM 2/93
Chen R., L. Scott 'Interest Rate Options in Multi-Factor Cox-Ingersoll-Ross Models of
the Term Structure'<term structure> wp 5/95 {also J. Driv. Winter 95}
Chen R., L. Scott 'Maximum Likelihood Estimation for a Multi-Factor Equilibrium Model
of the Term Structure of Interest Rates'<Term Structure> <CIR> wp 5/92 &J.
Fixed Income 12/93
Chen R., L. Scott 'Multifactor CIR Model of Term Structure:Estimates & Tests from a
State Space Model Using Kalman Filter' Rutgers & U. Georgia 93
Chen R., L. Scott 'Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross
Model of Term Structure'<Term Structure> wp 7/91
Chen R-R., T. Yang 'An Integrated Model for the Term and Volatility Structures of
Interest Rates' <term structure> wp 3/96
Chen R-R., T. Yang 'Relevancy of Interest Rate Processes in Pricing Mortgage-Backed
Securities' J. Housing Research 95
Chen R-R., T. Yang 'Universal Lattices' R. Deriv. Research 99 . <options-numerical>
Chen S., A. Keown 'Pure Residual & Market Risk:Note' JofF 12/81
Chen S., A. Keown 'Risk Decomposition & Portfolio Diversification When Beta is
Nonstationary' JofF 9/81
Chen S., S. Brown 'Estimation Risk & Simple Rules for Optimal Portfolio Selection'
JofF 9/83
Chen Y. 'An Extension to the Implementability of Reduced form Auctions' Econometrica
9/86
Chen Y. 'Equilibrium Product Bundling' JofB 1/97
Chen Y., D. Jain 'Dynamic Monopoly Pricing under a Poisson Type Uncertain Demand''J.
of Business 10/92
Chen Z. 'A Property of Basward Stochastic Differential Equatons' Comptes Re. 2/98
Chen Z., A. Giovannini 'Estimating Expected Exchange Rates under Target Zone Regimes'
Int. J. Theo & Appl Finance 1/98
Chen Z., Larry Epstein 'Ambiguity, Risk, & Asset Returns in Continuous Time' 10/99
<<utility><Ellsberg Paradox>
Chen Z., Peter Knez 'A Pricing Operator-Based Testing Foundation for a Class of Factor
Pricing Models'<CAPM> MF 4/94
Chen Z., Peter Knez 'Portfolio Performance Measurement Theory & Applications' RFS
Summer 96
Chen Z., T. Shin, X. Yue 'Numerical Methods for Stefan Problems with Prescribed
Convection & Nonlinear Flux' <quadrature> IMA J. Num. Analysis (2000) 20
<numeric>
Chenal F., A. Millet 'Uniform Large Deviations to Parabolic SPDEs & Applications' SP&A
12/97
Cheng B., Svetlozar Rachev 'Mutivariate Stable Futures Prices' <stock returns> MF 4/95
Cheng H. 'Asset Market Equilibrium in Infinite Dimensional Complete Markets' <asset
pricing> J. Math. Econ 20 (1991)
Cheng R., B. Evans, T. Iles 'Embedded Models in Non-linear Regression' J. Royal
Statistical Society 1992
Cheng S. 'On Feasiblility of Arbitrage-Based Option Pricing When Stochastic Bond Price
Processes are Involved'<interest rates> JET 1991
Cheng S., L.de Haan 'Penultimate Approximation for Hill's Estimator 9/99
<distribution>
Cheng W.-Y., Shuguang Zhang 'Analytics of Reset Options' J. Derivatives V8 #1 Fall
2000 <option-reset>
Cherian J., Robert Jarrow 'Options Markets, Self-Fulfilling Prophecies & Implied
Volatilities' R. Deriv. Research 98 ,wp 10/94<volatility>
Cherian J., W. Weng 'An Empirical Analysis of Directional & Volatility Trading in
Options Markets' J. Derivatives Winter 99
Cherif A. 'Evaluation d'Options sur Product de Taux' 1991 wp Caisse Autonomme de
Fefinancement
Cherin A., R. Hanson 'Dividend Reinvestment Plans:Review of the Literature' Financial
Markets,Instiutions & Instruments v4,#5 (95)
Chernov Mikhail, A. Ronald Gallant, Eric Ghysels, George Tauchen 'A New Class of
Stochastic Volatility Models with Jumps:Theory & Estimation' 10/99 <volatility>
Cherny Alexander, Albert Shiryaev 'On Criteria for the Uniform Integrability of
Brownian Stochastic Exponentials' <stochastic> 9/2000
Cherubini U. 'Fuzzy Measures & Asset Prices:Accounting for Information Ambiguity' App.
Math. Finance 9/97
Cherubini U., M. Espositio 'Options in and on Interest Rate Futures Contracts:Results
from Martingale Pricing Theory' Appl.Math.Finance <option-bond>3/95
Chesher A. 'A Mirror Image Invariance for M-Estimators' Econometrica 1/95
Chesher A. 'Hajek Inequalities,Measures of Leverage & Size of Heteroskedasticity
Robust Wald Tests' Econometrica 7/89
Chesher A. 'Testing for Neglected Heterogeneity' Econometrica 7-84
Chesher A., I. Jewitt 'Bias of a Heteroskedasticity Consistent Covariance Matrix
Estimator' Econometrica 9/87
Chesher A., R. Smith 'Likelihood Ratio Specification Tests' Econometrica 5/97
Chesher A., R. Spady 'Asymptotic Expansions of the Information Matrix Test Statistics'
Econometrica 5/91
Chesney Marc, Helyette Geman, Monique Jeanblanc-Picque, Marc Yor 'Some Combinations of
Asian, Parisian & Barrier Options' 1/99 <option-Asian>
Chesney Marc, J. Cornwall, Monique Jeanblanc-Picque, G. Kentwell, Marc Yor 'Parisian
Pricing' <option=parisian><window> RISK 1/97
Chesney Marc, Monique Jeanblanc-Picque, Marc Yor 'Brownian Excursions & Parisian
Barrier Options' Adv. in App. Prob. 3/97 <option-parisian>
Chesney Marc, R. Gibson 'State Space Symmetry & Two Factor Option Pricing Models'
<option-pricing> AFROR v8 95;Applied Stochastic Models & Data Analysis v1.1993
Chesney Marc, Robert Elliot 'Estimating the Volatility of an Exchange Rate' Applied
Stochastic Models & Data Analysis v 1. 93<volatility>
Chesney Marc, Robert Elliott, Dilip Madan, H. Yang 'Diffusion Coefficient Estimation &
Asset Pricing when Risk Premia & Sensitivities Are Time Avarying'<Diffusion> MF
4/93
Chesney Marc, Robert Elliott, R. Gibson 'Analytical Solutions for Pricing of American
Bond & Yield Options' <options-bond> MF 7/93
Cheuk T. 'Exotic Options' <book or publication of Tinbergen Institute>
Cheuk T., Ton Vorst 'Average Interest Rate Caps' Comp. Econ 12/99 <option-average>
Cheuk T., Ton Vorst 'Breaking Down Barriers' <swaptions> RISK 4/96
Cheuk T., Ton Vorst 'Complex Barrier Options'<options-barrier> J. Derivatives Fall 96
Cheuk T., Ton Vorst 'Currency Lookback Options & Observation Frequency:Binomial
Approach ' J.Inter. Money & Finance v16 #2 97 <options-lookback>
Cheuk T., Ton Vorst 'Shout Floors' <options-lookback> 4/96
Cheung C., C. Kwan ,P. Yip 'Hedging Effectiveness of Options & Futures:Mea-Gini
Approach' JFM 90<hedging>
Cheung C., C. Kwan 'Note on Simple Criteria for Optimal Porfolio Selection' JofF 3/88
Cheung R., J. Bencivenga, Frank Fabozzi 'Original Issue High-Yield Bonds:Hist. Return
& Default 1977-89' J. of Fixed Income 9/92
Cheung W., I. Nelken 'Costing the Converts' <convertible bonds><quadro tree> RISK 7/94
Cheung W., W. Lam 'Thai'd and Tested' <options-basket> RISK 7/96
Cheung Y., L. Ng 'Dynamics of S&P 500 Index & S&P 500 Futures Intraday Price
Volatilities' R. Futures Markets v9 #2 90
Cheung Y., L. Ng 'Stock Price Dynamics & Firm Size:Empirical Investigation' JofF
12/92
Chevalier J. 'Do LBO Supermarkets Charge More? Empirical Analysis of Effect of LBOs on
Supermarket Pricing' JofF 9/95
Chevalier J., D. Scharfstein 'Capital Market Imperfections & Countercyclical
Markups:Theory & Evidence' AER 9/96
Chevance D. 'Discretization of Pardoux-Pengs Backward Stochastic Differential
Equations' <SDE> ZAMM 96 supp #3
Chevance D. 'Numerical Methods for Backward Stochastic Differential Equations' in
Num.Method in Finance (ed.Rogers,Talay) <SDE>
Chew H. 'Implicit-Weighted & Semi-Weighted Utility Theories, M-Estimators & Non-Demand
Revelation of Second-Price Auctions for an Uncertain Auctioned Object'<utility>
John Hopkins 6/85
Chew H., N. Nishimura 'Differentiability, Comparative Statistics & Non-Expected
Utility Preferences' <utility> Tulane 10/89
Chew L. 'Backing Down' <mortgage securities> RISK 1/94
Chew L. 'Grand Mets Costly Caps' RISK 11/88 <caps>
Chew L. 'Modeling the Institution'<Robert Merton,regulation> RISK 4/94
Chew L. 'Quanto Leap' RISK <options-product>
Chew S., Larry Epstein 'Recursive Utility under Uncertainity' in Equilibrium Theory in
Infintie-Dimensional Spaces Springer 91
Chew S., Larry Epstein, U. Segal 'Mixture Symmetry & Quadratic Utility' Econometrica
1/91
Cheyette Oren 'Implied Prepayments' wp 95, J. Portf. Mang. Fall 96<mortgage>
Cheyette Oren 'Markov Representation of the Heath-Jarrow-Morton Model'<term structure>
wp BARRA 8/96
Cheyette Oren 'OAS Analysis of CMOs' J. Port. Mang. Summer 94 <mortgage> <prepayment>
Cheyette Oren 'Pricing Options on Multiple Assets' <options-min/max>Advances in
Futures & Options Research V.4 1990
Cheyette Oren 'Term Structure Dynamics & Mortgage Valuation' <term structure> J. of
Fixed Income 3/92
Cheyette Oren, S. Choi, E. Blanter 'New BARRA Fixed Rate Prepayment Model' <mortgage>
Chiang R., G. Gay, R. Kolb 'Commodity Exchange Seat Prices' R. Futures Markets V6 #1
87
Chiang R., John Okunev 'Alternative Formulations on Pricing of Foreign Currency
Options'<foreign exchange> JFM 12/93
Chiao R., P. Kwait, A. Steinberg 'Faster Than Light?'<physics> SA 8/93
Chiappori P. 'Distribution of Inocme & the Law of Demand' Econometrica 1/85
Chiappori P. 'Rational Household Labor Supply' Econometrica 1/88
Chiappori P., J. Rochet 'Revealed Preferences & Differentiable Demand' Econometrica
5/87
Chiappori P., Pierre-Yves Geoffard, B. Gwesnerie 'Sunspost Fluctuation around a Steady
State Case of Multidimensional, On-Step Forward Looking Economic Models'
Econometrica 9/92
Chiarella Carl, Marc Craddock, Nadima El-Hassan 'The Calibration of Stock Option
Pricing Models Using Inverse Problem Methodology' 99<volatility>
Chiarella Carl, Nadima El-Hassan 'Evaluation of Derivative Security Prices in the
Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform
Techniques' J. Finan. Engin. 6/97 <term structure>
Chiarella Carl, Nadima El-Hassan, A. Kucera 'Evaluation of American Option Prices in a
Path Integral Framwork using Fourier-Hermite Series Expansions' <option-
American> J. Econ. Dyn. & Control 23 (1999)
Chiarella Carl, Oh Kang Kwon 'A Class of Heath-Jarrow-Morton Term Structure Models
with Stochastic Volatility' 11/99 <term structure>
Chib S., E. Greenberg 'Markov Chain Monte Carlo Simulation Methods in Econometrics'
<monte carlo>2/95
Chib Siddhartha, Federico Nardari, Neil Shephard 'Markov Chain Monte Carlo Methods for
Generalized Stochastic Volatility Models' 10/2000 <volatility>
Chichilnisky G. 'North-South Trade & Global Environment' AER 9/94
Chichilnisky G. 'Social Diversity,Arbitrage & Gains from Trade:Unified Perspective on
Resource Allocation' AER 5/94
Chichilnisky G., G. Heal 'Global Enivironment Risk' J.Econ.Persp. Fall 93
Chidambaran N., Steven Figlewski 'Streamlining Monte-Carlo Simulation with the Quasi-
Analytic Method:An Analysis of a Path-Dependent Option Strategy' wp 9/95
<options-numeric> {also J. Deriv. Winter 95}
Childs P., S. Ott, T. Riddough 'Pricing of Multiclass Commercial Mortgage-Backed
Securities' JF&QA 12/96
Chin D., P. Miller 'Fixed vs. Floating Exchange Rates:A Dynamic General Equilibrium
Analysis' <interest rates> wp 1947/95 FRB Minn. wp report 189
Chin R., T. Manteuffel,J. Pillis 'ADI as a Preconditioning for Solving Convection-
Diffusion Equations'6/84 SIAM Scientific & Stat. Comput.
Chin Y., A. Baddeley 'On Connected Component Markov Point Processes' Adv.App.Prob. v31
1999
Chirinka R. 'Business Fixed Investment Spending' JEL 12/93
Chirinko R. 'Econometric Models & Empirical Findings for Business Investment' in
Financial Inst.&Instr.v2#4
Chirinko R., H. Schaller 'Bubbles,Fundamentals & Investment A Multiple Equation
Testing Strategy' FRB Kansas 3-93
Cho D., C. Eun, L. Senbet 'International Arbitrage Pricing Theory:Empirical' JofF 6/86
Cho D., E. Frees 'Estimating the Volatility of Discrete Stock Prices' JofF 6/88
Cho D., W. Taylor 'Seasonal Stability of the Factor Structure of Stock Returns' JofF
12/87
Cho H., H. Lee 'Lattice Model for Pricing Geometric & Arithmetic Average Options' J.
Financ.Engineer. 9/97 <options-Average>
Cho H., K. Lee 'An Extension of the Three-Jump Process Model for Contingent Claim
Valuation' <trinomial,5 point,2 underlying> J. of Derivatives Fall 95
Cho I. 'Refinement of Sequential Equilibrium' Econometrica 11/87
Cho Jin-Wan, M. Krishnan 'Prices as Aggregators of Private Information:Evidence from
S&P 500 Futures Data' JF&QA 3/2000
Cho N. 'Weak Convergence of Stochastic Integrals Driven by martingale Measure'
<stochastics> SP&A 9/95
Choi C. 'Essays on the Effects of Speculation in a Futures Market upon Price
Stability' 98 Texas A&M PhD
Choi D., R. Strong 'Pricing of When-Issued Common Stock:Note' JofF 9/83
Choi H., Avanidhar Subrahmanyam 'Using Intraday Data to Test for Effects of Index
Futures on Underlying Stock Markets' J.Futures Markets 5/94
Choi J., T. Hiraki, N. Takezawa 'Is Foreign Exchange Risk Priced in the Japanese Stock
Market?' JF&QA 9/98
Choi S. 'Effective Durations for Mortgage-Backed Securities:Recipes for Improvement'
J.Fixed Income 3/96
Choi S. 'Improved Prepayment Modeling for OAS Analysis: Adding a Short-Term Component'
J.Fixed Income 12/94
Choi S., B. Smith, J. Boyd 'Inflation, Financial Markets & Capital Formation' comment
D. Labadie,S. Chatterjee St. Louis Review 5/96
Choi S., M. Schumacher 'GNMA II:30 Year Pass-Through MBS Prepayment Analysis' J. Fixed
Income 3/97
Choie K. 'Currency Exchange Rate Forecast & Interest Rate Differential'<foreign
exchange> J. Portfolio Management Winter 92
Choie K., S. Hwang 'Profitability of Short-Selling & Exploitabiltiy of Short
Information' J.Port.Manage. Winter 94
Chong K., N. Rice 'Equimeasurable Rearrangements of Functions' Queens U. 71
Choong L., G. McKenzie 'Pricing of Risky Coupon Bonds' Applied Math. Finance 12/99
<default,debt service>
Chopra N., C. Lee, Andrei Shleifer, R. Thaler 'Yes,Discounts on Closed-End Funds are a
Sentiment Index' JofF 6/93
Chopra V., W. Ziemba 'Effects of Errors in Means,Variances & Covariances on Optimal
Portfolio Choice'<portfolio> J. Portfolio Management Winter 92
Chordia T., Avanidhar Subrahmanyam 'Market Making,the Tick Size & Payment for Order
Flow:Theory & Evidence' JofB 10/95
Chori V., L. Jones, A. Manuelli 'Inflation, Growth & Financial Intermediation'Comment
G. Hansen,A. Stockman St. Louis Review 5/96
Chorida T., B. Swaminathan 'Trading Volume & Cross-Autocorrelations in Stock Returns'
JofF 4/2000
Chou A., G. Georgiev 'A Uniform Approach to Static Replication' J. of Risk Fall 98
<risk>
Chou C-S, Paul Meyer 'Sur la Representation des Martingles comme Integrales
Stochastiques dans les Processus Ponctuels ' in Lect Notes Math 465 Springer 75
Chou J., L. Piegl 'Data Reduction Using Cubic Rational B-splines' <numeric analysis>
Computer Graphics 5/92
Chou P. 'Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio'
<portfolio> 9/96
Chou T., R. McCullough, R. Piper 'Composites' SA <unlabeled>
Choudhury Gagan, D. Lucantoni 'Numerical Computation of the Moments of a Probability
Distribution from its Transform' <distributions> Operations Research M/A 96
Choulli T., L. Krawczyk, Christpe Stricker 'Epsilon-Martingales and their Application
in Mathematical Finance' Ann of Prob 4/98
Chourdakis K., E. Tzavalis 'Option Pricing under Discrete Shifts in Stock Returns'
11/2000 <option-pricing>
Chourdakis K., E. Tzavalis 'Option Pricing with a Dividend General Equilibrium Model'
10/2000 <option-pricing>
Chow E., W. Lee, M. Solt 'The Exchange Rate Risk Exposure of Asset Returns' JofB 1/97
Chow G. 'Dynamic Optimization without Dynamic Programming' ECONOMIC MODELING Jan 92
Chow G. 'Optimal Control Without Solving the Bellman Equation'<optimal Control> J.
Econ.Dynam. & Control 17 (1993)
Chow Y. 'On Moments of Some One-Sided Stoping Rules' 4-66 Annals of Math Stat
Chow Y. 'On the Moments of Some One-Sided Stopping Rules' Ann. Math Stat. <optimal
stopping>
Chow Y., H. Robbins 'Martingale System Theorem & Applications' <martingale>
Proceedings 4th Berkeley Symp. 1960
Chow Y., H. Robbins, H. Teicher 'Moments of Randomly Stopped Sums' 6-65 Annals of Math
Stat <random>
Chow Y., H. Teicher 'On Second Moments of Stopping Rules' Ann. Math Stat. <optimal
stopping>
Chow Y., H. Treicher 'On Second Moments of Stopping Rules' 4-66 Annals of Math Stat
Chow Y-F., M. Liu 'Long Swings With Memory and Stock Market Fluctuations' JF&QA 9/99
Chowder W., A. Hamed 'Cointegration Test for Oil Futures Market Efficiency' JFM 12/93
Chowdhry B., Narasimham Jegadeesh 'Pre-Tender Offer Share Acquistion Strategy in
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Chowdhry B., V. Nanda 'Stabilization, Syndication & Pricing of IPOs' JF&QA 3/96
Chowdhry B., V. Nanda 'Strategic Role of Debt in Takeover Contests' JofF 6/93
Chowdhury Mustafa, J. Howe, J. Lin 'Relation between Aggregate Insider Transactions &
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Chowdhury Mustafa, Kenneth Kroner, Jahangir Sultan 'Volatility Spillover from Interest
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Chriss Neil 'An Option Pricing Formula with Trading Volume as a Variable' Princeton
6/94<stock prices>
Chriss Neil 'Translating Trees' <volatility><implied,smiles,American> RISK 7/96
Chriss Neil, Michael Ong 'Digital Defused' <options-digital> RISK 12/95
Chriss Neil, William Morokoff 'Market Risk of Variance Swaps' RISK 10/99 <swaps>
Christ C. 'Assessing Applied Econometric Results<Monetary Policy>' <comm. D.Dickey,D.
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Christ C. 'Dynamic Macoreconomic Policy Effects of Income & Prices under the
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Christaino L., Martin Eichenbaum, D. Marshall 'Permanent Income Hypothiesis Revisted'
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Christensen B. 'Efficiency Gains in Beta-Pricing Models'<CAPM> MF 4/94
Christensen B. 'Estimation of Dynamic Programming Models'
Christensen P., B. Sorensen 'Duration, Convexity & Time Value' J.Port.Manage. Winter
94
Christensen P., David Lando, Kristian Miltersen 'State-Dependent Realignments in
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Christensen P., S. Graversen, Kristian Miltersen 'Dynamic Spanning in the Consumption
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Christiano L., R. Todd 'Time to Plan & Aggregate Fluctions' Quarterly Review Winter
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Christiansen C. 'Value-at-Risk using the Factor ARCH-Model' J. of Risk V1. #2 98
Christie A. 'The Stochastic Behavior of Common Stock Variance' JFE 82
Christie W. 'Are Dividend Omissions Truely the Cruelest Cut of All?' JF&QA 9/94
Christie W., J. Harris, P. Schultz 'Why Did NASDAQ Market Makers Avoid Odd-Eight
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Christie W., P. Schultz 'Why do NASDAQ Market Makers Avoid Odd-Eight Quotes?' JofF
12/94
Christie W., R. Huang 'Following the Pied Piper:Do Individual Returns Herd around the
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Christie W., V. Nanda 'Free Cash Flow,Shreholder Value & Undistributed Profits Tax of
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Christofi A., K. Conforti 'Modeling Default-Free Bond Yield Curves' <Term Structure>
J.Fixed Income 3-93
Christopeit Nobert 'A Stochastic Control Model with Chance Constraints'<optimal-
control> J. Control & Opt. 78
Christopeit Nobert 'On the Approximation of Random Variables by Stochastic Integrals
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Christopeit Nobert, Marek Musiela 'On the Existence and Characterization of Arbitrage-
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Christopherson J., Wayne Ferson, D. Glassman 'Conditioning Manager Alphas on Economic
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Chriswick C. 'Efficiency Wage Hypothesis : Apploying a General Model of Interaction
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Chriszt M. 'Are International Comparisons of Inflation & Employment Valid?' FRB
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Chrystal K., D. Thornton 'Macroeconomic Effects of Deficit Spending:Review' FRB SL
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Chrystal K., R. MacDonald 'Empirical Evidence on Recent Behavior & Usefulness of
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Chu C., M. Stinchcombe ,H. White 'Monitoring Structural Changes' Econometrica 9/96
Chu M. 'Inverse Eigenvalue Problems' SIAM Review 3/98
Chu M. 'Path-Dependent Multicurrecny Interest Rate Derivatives' 1/98 <term structure>
Chu M. 'The Random Yield Curve & Interest Rate Options' 11/96 <term structure>
Chu M., R. Fundertic, G. Golub 'A Rank-One Reducton Formula & its Applications to
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Chu S. 'Laser Trapping of Neutral Particles' SA Feb. 92
Chu S., S. Freund 'Volatility Estimation for Stock Index Options:GARCH Approach' Q.
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Chua J. 'A Closed form Formula for Calculating Bond Duration'<duration> FAJ May 84
Chua J., R. Woodward 'J.M.Keynes Investment Performance' JofF 3/83
Chun Y., W. Thomson 'Bargaining with Uncertain Disagreement Points' Econometrica 7/90
Chung C., Arthur Goldberger 'Proportional Projections in Limited Dependent Variable
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Chung K., H. Jo 'Impact of Security Analysts Monitoring & Marketing Functions on the
Market Value of Firms' JF&QA 12/96
Chung S-L. 'American Option Valuation under Stochastic Interest Rates' R. Deriv.
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Chung Y. 'Transaction Data Test of Stock Index Futures Market Efficiency & Index
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Chuprunov A. 'On Convergence in Law of Maxima of Independent Identically Distributed
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Churchill D., S. Lee 'Dispersion Measurement Within a Size-Weighted Composite' J.
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Churchland P., P. Churchland 'Could a Machine Think?' 1/90 SA
Ciccone A., K. Matsuyama 'Efficiency & Equilibrium with Dynamic Increasing Aggregate
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Ciccone A., R. Hall 'Productivity & the Density of Economic Activity' AER 3/96
Ciogli M., G. Rotundo, B. Tirozzi 'A Diffusion Approach to Economic Time Series'
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Cipra Barry 'A New Proof Makes Light Work of Partial Latin Squares' Science 7/94
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Cipra Barry 'AAAS "94":Random Numbers,Art and Math' SIAM News 8/94
Cipra Barry 'Advances in Map Coloring:Complexity & Simplicity' SIAM News 12/96
Cipra Barry 'Applications of Optimization:Best of All Possible Worlds...' SIAM News
3/97
Cipra Barry 'Are Eigenvalues Overvalued? SIAM News 1/95
Cipra Barry 'Best of the 20th Centur:Editors Name Top 10 Algorithms' SIAM News 5/2000
Cipra Barry 'Breaking of a Mathematical Curse' <complexity><Vozniakowski> Science 1/91
Cipra Barry 'Centenary for a Cybernaut' <Norbert Wiener> SIAM 2/95
Cipra Barry 'Chaotic Walk on Wall Street' SIAM News May 92
Cipra Barry 'Coding Theorists Wring Linearity out of Nonlinear Codes' SIAM News 2/94
Cipra Barry 'Engineers Look to Kalman Filters for Guidance' SIAM News 8/93
Cipra Barry 'Feeling Flat? Good?' <differential flatness,control theory> SIAM News
8/95
Cipra Barry 'Fermat Finis? Not Yet' SIAM News 3/94
Cipra Barry 'Fermat Prover Points to Next Challenges' Science 3/96
Cipra Barry 'Fermats Last Theorem Finally Yields' Science 7/93 <number theory>
Cipra Barry 'Fields Medalist Takes Applications to Heart' <Pierre-Louis Lions> SIAM
News 11/94
Cipra Barry 'Fractal Focus on the Mandelbrot Set' SIAM News 7/91 <fractals>
Cipra Barry 'From the Margin:Fermat Finis' SIAM News 10/93
Cipra Barry 'Further Fermat Ferment' SIAM News 12/94
Cipra Barry 'Getting Control Theory into the Design Loop' SIAM News 7/95
Cipra Barry 'Go with the Flow' <fiber processes> SIAM News 10/94
Cipra Barry 'If You are Stumpted,Try Something Harder' Science 3/5/93
<Compbinaotoria,{Graph>*
Cipra Barry 'Knotty Problems and Real World Solutions'<graph> Science Jan 24,92
Cipra Barry 'Math Attendees Find Theres Life After Fermats Proof' Science 3/94 <number
theory>
Cipra Barry 'Mathematical Modelers Look to an Uncertain Future' SIAM News 12/98
Cipra Barry 'Mathematicans Gather to Play the Number Games' Science 2/93 <math>
Cipra Barry 'Mathematicans get an Online Fingerprint File'Science
7/22/94<sequences><combinatorics>
Cipra Barry 'Multivariate Integration:It Ain't So Tough (on verage)' SIAM News 3/91
<numerical>
Cipra Barry 'Music of the Spheres' Science <bin packing>
Cipra Barry 'Mutant Math'<control theory,immune system> SIAM News 10/94
Cipra Barry 'New Methods Astir for Turbulent Diffusion' SIAM News 3/95
Cipra Barry 'New Movement Afoot in Control Theory' SIAM News 7/93
Cipra Barry 'New Proof Makes Light Work of Partial Latin Squares'<alpha> Science
7/1/94
Cipra Barry 'New Wave in Applied Math' <wavletes> Science 8/90
Cipra Barry 'Nonlinear Codes Straighted Up--and Get to Work' Science Nov 93 <alpha>
Cipra Barry 'Oh, What a Tangled Web We've Woven...' <internet> SIAM Review 3/2000
Cipra Barry 'On a Clear Day, You can Compute Forever...' <weather> SIAM News 11/94
Cipra Barry 'Pereolation Primer' SIAM News 7/96
Cipra Barry 'Quest for True Randomness Finally Appears Successful' NYT 4/88 <puzzles>
Cipra Barry 'Researchers Look to Statistics in Quest to Quantify Uncertainty' SIAM
News Jan/FEb 2000
Cipra Barry 'Rocking the Boat with a New Theory of Turbulence' SIAM News 9/96
Cipra Barry 'Shocking Images from RPI' <liptotripers> SIAM News 7/94
Cipra Barry 'SIAM Annual Meeting:Traveling Salesman,Solitons' SIAM News 10/93
Cipra Barry 'Speedier Way to Decompose Polygons' Science 7/91 <graph>
Cipra Barry 'Stamping Out Fraud on the Information Superhighway' {cryptograph} SIAM
News 10/95
Cipra Barry 'Superpiple:An Experimental Gauge for Computational Fluid Dynamics' SIAM
News 4/96
Cipra Barry 'The Ising Model is NP-Complete' SIAM News July/Aug 2000
Cipra Barry 'The Magic Words Are Squeamish Ossifrage'<RSA-129,Cryptrogr> SIAM News
7/94
Cipra Barry 'The Soul of Discretion' <cellular automata to solve PDEs> SIAM News
12/94
Cipra Barry 'Theoretical Computer Scientists Develop Transparent Proof Technique'
<math>
Cipra Barry 'Ubiquitous Reed-Solomon Codes' SIAM News 1/93
Cipra Barry 'Using Wavelets for a 3-D Geometric Squeeze' SIAM News 9/2000
Cipra Barry 'Wavelet Applications Come to the Fore' SIAM News 11/93
Cipra Barry 'Wavelet Theory Sets Out the Welcome Mat'<fourier> SIAM News Sept.90
Cipra Barry 'What Goes Around Comes Around' Science <topology>
Cipra T., P. Tlusty 'Estimation in Multiple Autoregressive Moving Average Models using
Periodicity' J. Time Series Analysis (87) #3
Cita J., D. Lien 'Constructing Accurate Cash Settlement Indices:Index Specification'
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Cita J., D. Lien 'Note on Constructing Spot Price Indices to Approximate Futures
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Cizeau Pierre, Marc Potters, Jean-Philippe Bouchaud 'Correlations of Extreme Stock
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Claassen R., L. Girifalco 'Materials for Energy Utilitization' SA <unlabeled>
Claessens S. 'Corporate Governance & Equity Prices:Evidence from the Czech & Slovak
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Claessens S., G. Pennacchi 'Estimating the Likelihood of Mexican Default from the
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Clapp J., J. Harding, M. LaCour-Little 'Expected Mobility:Part of the Prepayment
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Clare A., M. Ioannides, F. Skinner 'Hedging Corporate Bonds with Stock Index
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Clare A., M. Oozeer, R. Priestley, S. Thomas 'Modeling the Risk Premium on Eurodollar
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Clarida R. 'Cointegration,Aggregate Consumption & Demand for Imports:Structural
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Clarida R. 'Entry, Dumping & Shakeout' AER 3/93
Clarida R., B. Friedman 'Behavior of U.S. Short-Term Interest Rates Since October 79'
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Clark C. 'Greatest of a Finite Set of Random Variables' Operations Research 9
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Clark C., P. Foster, W. Ghani 'Differential Reaction to Bond Downgrades for Small vrs.
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Clark D., C. Riis 'Competition over More than One Prize' AER 3/98
Clark D., J. Thomas 'Probabilistic Voting, Campaign Contributions & Efficiency' AER
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Clark J. 'Representation of Functionals of Brownian Motion by Stochastic Integrals'
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Clark J., M. Fleming 'Advanced Materials & the Economy' SA <unlabeled>
Clark K., E. Ofek 'Mergers as a Means of Restructuring Distressed Firms:Empirical
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Clark M. 'Are Small Rural Banks Creit Constrained?' Review FRB S. Louis 5/92
Clark P. "Subordinated Stochastic Process Model with Finite Variance for Speculative
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Clark P. 'Capital Formation & the Recent Productivity Slowdown' JofF 6/78
Clark R., et al. 'Analysis of Lease-or-Buy Decision:Comment' JofF 9/73
Clark R., J. McConnell, M. Singh 'Seasonality in NYSE Bid-Ask Spreads & Stock Returns
in January' JofF 12/92
Clark S. 'Arbitrage Approximation Theory' J. Math. Fin 4/2000 <arbitrage>
Clark S. 'Complementary Approach to the Stong & Weak Axioms of Revealed Preferences'
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Clark S. 'Valuation Problem in Arbitrage Price Theory'<arbitrage> 1993 J. Math. Econ.
Clark T., M. Weinstein 'Behavior of the Common Stock of Bankrupt Firms' JofF 5/83
Clark W. 'Managing Planet Earth' SA 9/89
Clarke Nigel, Kevin Parrott 'Multigrid for American Option Pricing with Stochastic
Volatility' App. Math. Fin 5, 9/99 <option-numeric>
Clarke Nigel, Kevin Parrott 'The Multigrid Solution of Two-Factor American Put
Options' Oxford 96/16 <options-American>
Clarke Roger 'Stochastic Dominance Properties of Option Strategies' <distributions>
<portfolio> AF&OM 1987
Clarke Roger 'Stochastic-Dominance Tests of Portfolio Insurance Strategies'
<distributions> <portfolio> AF&OR v5 1991
Clarke Roger, S. Krase, M. Statman 'Tracking Errors, Regret & Tactical Asset
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Clarkson P., J. Guedes, Rex Thompson 'On the Diversification, Observability &
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Clarkson P., Rex Thompson 'Empirical Estimates of Beta When Investors Face Estimation
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Clauretie T. 'Interest Rates,Business Demand for Funds & Residential Mortgage
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Clayman M. 'Excellence Revisted' <companies investment record> FAJ 5/94
Clayman M. 'One-Time Charges: Never having to Say Your Sorry?' FAJ 10/95
Clayman M., R. Schwartz 'Falling in Love Again--Analysts' Estimates & Reality' FAJ
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Cleary S. 'The Relationship between Firm Investment & Financial Status' JofF 4/99
Clement E., Christian Gourieroux, Alain Monfort ' Prediction of Contingent Pricing
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Clements M., D. Hendry 'Forecasting Non-Stationary Economic Time Series' MIP Press 99
Cleveland William 'ATS Method... Non Gaussian Data' 9/93 JASA v88 #421 3-93
Cleveland William 'Robust Locally Weighted Regression & Smoothing Scatterplots'
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Cleveland William, George Tiao 'Decomposition of Seasonal Time Series' Census X-11
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Cleveland William, S. Devlin 'Locally Weighted Regression:An Approach to Regression
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Clewlow Les 'Finite Difference Techniques for One & Two Dimension Option Valuation
Problems' FORC U.Warwick 1990
Clewlow Les, Andrew Carverhill 'On the Simulation of Contingent Claims'<options-COD>
J.Derivatives Winter 94
Clewlow Les, Andrew Carverhill 'Quicker on the Curves' <Monte Carolo><computers> RISK
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Clewlow Les, Chris Strickland 'Monte Carlo Pricing of American Options in the Gaussian
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Clewlow Les, Chris Strickland 'Monte Carlo Valuation of Interest Rate Derivatives
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Clewlow Les, Chris Strickland 'Note on Parameter Estimation in Two Factor Longstaff &
Schwartz Interest Rate Model'<Term Structure> J. Fixed Income 3/94
Clewlow Les, Chris Strickland 'Pricing Interest Rate Exotics in Multi-Factor Gaussian
Interest Rate Models' 6/98 <interest rates>
Clewlow Les, Chris Strickland 'Valuing Energy Options in a One Factor Model Fitted to
Forward Prices' <options-energy> 3/99
Clewlow Les, K. Pang, Chris Strickland 'Efficient Pricing of Caps & Swaptions in a
Multi Factor Gaussian Interest Rate Model' 12/96 <caps>
Clewlow Les, K. Pang, Chris Strickland 'Numerical Procedures for Pricing Interest
Rates Exotics Using Markovian Models of the Short Rate' FORC 97
Clewlow Les, R. Grimwood 'A General Computational Structure for Contingent Claim
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Clewlow Les, Stewart Hodges, K. Pang, Chris Strickland 'Computational Aspects of Term
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Clewlow Les, Stewart Hodges, Nick Webber 'Two Factor Models in Option Pricing'<Term
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Cline D. 'Beyond Truth & Beauty:Fourth Family of Particles' SA 8/88
Cline W. 'Impact of Global Warming on Agriculture:Comment' R. Mendelsohn ,W. Nordhaus
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Clinebell J.,D. Kahl 'Time Series Estimation of the Bond Default Risk Premium' Q.
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Clinton K. 'Interest Rate Expectations & Demand for Money in Canada:Comment'<reply
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Clotfelder C., C. Lieberman 'On the Distributional Impact of Federal Interest Rate
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Clyde P., P. Schultz, M. Zaman 'Trading Costs & Exchange Delisting:Case of Firms that
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Coase R. 'Institutional Structure of Production' AER 9/92
Coase R. 'Problem of Social Costs' <alpha>
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Coate S. 'Altruism,Samaritan Dilemma & Government Transfer Policy' AER 3/95
Coate S., G.Loury 'Will Affirmative-Action Policies Eliminate Negative Stereotypes?'
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Coats W. 'Regulation D & Vault Cash Game' JofF 6/73
Coats W. 'Weekend Eurodollar Game' JofF 6/81
Cochrane John 'A Cross-Sectional Test of an Investment Based Asset Pricing Model'
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Cochrane John 'Critique of the Application of Unit Root Tests'<cointegration> (1991)
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Cochrane John 'Explaining the Variance of Price Dividend Rations' 89<stock price>
Cochrane John 'Portfolio Advice for a Multifactor World' <portfolio> 6/99
Cochrane John 'Production Based Asset Pricing & the Link Between Stock Returns &
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Cochrane John 'Volatiliity Tests & Efficient Market' J. Mont Econ 91 <volt>
Cochrane John, Jesus Saa-Requejo 'Beyond Arbitrage:"Good-Deal" Asset Price Bounds in
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Cochrane John, Lars Hansen 'Asset Pricing Lessons for Macroeconomics' 3/92
Cocozza-Thivent C., M. Roussignol 'Comparaison del Lois Stationnaire et Quasi-
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Cocozza-Thivent C., M. Roussignol 'Quasi-Stationary Probability for a r-Positve Semi-
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Cody M. 'A Wavelet Analyzer'<fourier> Dr. Dobbs 4/93
Cody M. 'Fast Wavelet Transform' <fourier> Dr. Dobbs Journal 4/92
Cody M. 'Wavelet Packet Transform' Dr.Dobbs<fourier> 4/94
Coggins T., F. Fabozzi, S. Rahman 'Investment Performance of U.S. Equity Pension Fund
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Cogley T. 'Adapting to Instability in Money Demand:Forecasting Money Growth with a
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Cogley T. 'Evaluating Non-Structural Measures of the Business Cycle' Econ. Review FRB
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Cogley T., J. Nason 'Output Dynamics in Real-Business Cycle Models' AER 6/95
Cohen A., R. Masson 'Wavelet Adaptive Method for Second Order Elliptic
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Cohen D. 'Low Investment & Large LDC Debt in 1980s' AER 6/93
Cohen G. 'Review of G. Yagos--Junk Bonds:How High Yield Securities Restructed America'
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Cohen H. 'Beyond Duration:Measuring Interest Rate Exposure' <duration> Economic
Review FRB Atlanta 3/93
Cohen H. 'Data Aggregation & the Problem of Measuring a Banks Interest Rate Exposure'
w.p. FRB Atlanta 8/94
Cohen H. 'Evaluating Embedded Options' FRB Atlanta 12/91 <option-pricing>
Cohen H. 'Isolating the Wild Card Option' MF 4/95
Cohen H. 'Wild Card Option in T-Bond Futures is Relatively Worthless' <bonds> FRB
Atlanta w.p. 11/91
Cohen H., D. McBeth 'The Effect of Tick Size on Treasury Auctions' w.p. FRB Atlan.
9/94<alphabetic>
Cohen H., David Heath 'New Method of Testing Pricing Models as Applied to Forward
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Cohen H., W. Roberds 'Towards the Systematic Meaurement of Systematic Risk'<risk> FRB
Atlanta wp 10/93
Cohen I. 'Newtons Discovery of Gravity' SA <physics>
Cohen K., F. Hammer 'Linear Programming Models for Dynamic Balance Sheet Management'
MMinIV
Cohen K., J. Pogue 'Empirical Evaluation of Alternative Portfolio-Selection Models'
in MDIM ,in RII
Cohen K., S. Maier, R. Schwart, D. Whitcomb 'Returns Generations Process, Returs
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Cohen P., R. Hersh 'Non-Cantorian Set Theory' <number theory> SA 11/67
Cohler G., M. Feldman, B. Lancaster 'Price of Risk Constant (PORC) Going Beyond OAS'
J. Fixed Income 3/97
Cohn R., D. Lessard 'Effect of Inflation on Stock Prices:International Evidence' JofF
5/81
Cohn R., J. Pringle 'Imperfections in International Financial Markets:Implications for
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Cohne K., S. Maier, R. Schwartz, D. Whitcomp 'Limit Order,Market Structure & Returns
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Colander D. 'Stories We Tell:Reconciliation of AS/AD Analysis' J. Econ. Perspect.
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Cole C., W. Reichenstein 'Forecasting Interest Rates with Eurodollar Futures Rates'
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Cole H. 'Macroeconomic Effects of World Trade in Financial Assets' Quarterly Review
FRB Minn. Summer 93
Cole H., G. Mailath,A. Postlewaite 'Incorporating Concern for Relative Wealth into
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Cole H., N. Kochertakota 'Zero Nominal Interest Rates:Why They're Good & How to Get
Them' Quart. R FRB Minn. Spring 98
Cole K., J. Helwege, D. Laster 'Stock market Valuation Indicators:Is this Time
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Coleman T., Andrew Fisher, R. Ibbotson 'Estimating Term Structure of Interest Rates
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Income 9/92
Coleman T., Andrew Fisher, R. Ibbotson 'Note on Interest Rate Volatility' J.Fixed
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Coleman T., Y. Kim, Y. Li, A. Verma 'Dynamic Hedging in a Volatile Market' 5/99
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Coleman T., Y. Li , A. Verma 'Reconstructing the Unknown Local Volatility Function' J.
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Coleman W. 'Equilbrium in a Production Economy with an Income Tax' Econometrica 7/91
Coleman W. 'Money & Output:A Test of Reverse Causation' AER 3/96
Coles J., J. Suay, D. Woodbury 'Fund Advisor Compensation in Closed-End Funds' JofF
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Coles J., U. Loewenstein, J. Suay 'On Equilibrium Pricing under Parameter
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Coller M., J. Higgs 'Firm Valuation & Accounting for Employee Stock Options' FAJ 1/97
Collier P. 'Speculation & the Forward Foreign Exchange Rate:Note' JofF 3/80
Collin-Dufresne Pierre, Bruno Solnik 'On the Term Structure of Default Premia in the
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Collin-Dufresne Pierre, W. Kierstad, M. Ross 'Pricing the Martingale Way' Berkeley 98
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Collins J., M. Fanciulli, et al 'Random Number Generator Based on Logit Transform of
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Collins S., P. Mack 'Optimal Amount of Assets under Management in the Mutual Fund
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Coltman J. 'Transformers' SA <science misc>
Colton D., J. Coyle, P. Monk 'Recent Developements in Inverse Acoustic Scattering
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Colwell D., Robert Elliott 'Discontinuous Asset Prices & Non-Attainable Contingent
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Colwell D., Robert Elliott, P. Ekkehard Kopp 'Martingale Representation and Hedging
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Comment R., G. Jarrell 'Relative Signalling Power of Dutch Auction & Fixed Price Self
Tender Offers & Open-Market Share Repurchases' JofF 9/91
Compte O. 'Communications in Repeated Games with Imperfect Private Monitoring'
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Compte R., R. Smith 'Changes in the Cost of Intermediation:Case of Savings & Loans'
JofF 9/90
Compton W., N. Gjostein 'Materials for Aerospace' SA <unlabeled>
Comte F., Eric Renault 'Long Memory in Continuous-Time Stochastic Volatility Models'
MF 10/98 <volatility><smile>
Conely T., Lars Harsen, Erzo Luttmer, Jose Sceinkman 'Short-Term Interest Rates as
Suboridinated Diffusions> RFS Fall 97 <term structure>
Conforti Michele, G. Cornuejols 'A Decomposition Theorem for Balanced
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Conine T. 'Corporate Debt & Corporate Taxes:An Extension' JofF 9/80
Conine T., M. Tamarkin 'On Diversification Given Asymmetry in Returns' JofF 12/81,
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Conkling J. 'Pyrotechnics' SA 7/90
Conley T., Lars Hansen, Erzo Luttmer, Jose Scheinkman 'Short-Term Interest Rates as
Subordinated Diffusions' <term structure> 5/97
Conlisk J. 'Why Bounded Rationality?' JEL 6/96
Conn R., V. Chayanov, N. Inoue, D. Sweetman 'International Theromnuclear Experminetal
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Connor G. 'Notes on the Arbitrage Pricing Theory' TVI
Connor G. 'Sensible Return Forecasting for Portfolio Management' FAJ 10/97
Connor G. 'Three Types of Factor Models:Comparison of Their Explanatory Power' FAJ
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Connor G., B. Dillon 'Organized Exchanges in Small Economies:Case of Irish Futures
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Connor G., H. Leland 'Cash Management for Index Tracking' FAJ 11/95
Connor G., Robert Korajczyk 'Intertemporal Equilibrium Beta Pricing Model' 89
Connor G., Robert Korajczyk 'Risk & Return in Equilibrium APT Theory & Tests' 85
Connor G., Robert Korajczyk 'Test for Number of Factors in in an Approximate Factor
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Conover J., D. Dubofsky 'Efficient Selection of Insured Currency Positions:Protective
Puts vs. Fiduciary Calls' JF&QA 6/95
Conrad J. 'Price Effect of Option Introduction' JofF 6/89
Conrad J., A.Hameed, C. Niden 'Volume & Autocovariance in Short-Horizon Individual
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Conrad J., G. Kaul 'An Anatomy of Trading Strategies' RFS Fall 98
Conrad J., G. Kaul 'Long-Term Market Overreaction or Biases in Computed Returns?'
JofF 3/93
Conrad J., R. Conroy 'Market Microstructure & Ex-Date Returns' JofF 9/94
Conroy R., K. Eades, R. Harris 'A Test of the Relative Pricing Effects of Dividends &
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Conroy R., R. Harris, B. Benet 'Effects of Stock Splits on Bid-Ask Spreads' JofF
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Conroy R., Y. Fukuda, R. Harris 'Securities Houses & Earnings Forecasts in Japan:What
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Consigli G., Michael Dempster 'Dynamic Stochastic Programming for Asset-Liability
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Consigli G., Michael Dempster 'Solving Dynamic Portfolio Problems using Stochastic
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Constantin P. 'Geometric Statistics in Turbulence' SIAM Review 3/94
Constantinides George 'A Theory of the Nominal Term Structure of Interest Rates' RFS
92 <SAINTS, Squared Autoregress. Independent Variable Nomial Term
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Constantinides George 'Capital Market Equilibrium with Transaction Costs' TVI
Constantinides George 'Habit Formation:Resolution of the Equity Premium Puzzle JPE 90
Constantinides George 'Intertemporal Asset Pricing with Heterogeneous Consumers With &
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Constantinides George 'Market Risk Adjusted in Project Valuation' JofF 5/78
Constantinides George 'Multiperiod Consumption & Investment Behavior with Convex
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Constantinides George 'Option Pricing Bounds with Transaction Costs'<transaction
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Constantinides George 'Theory of Valuation' TVI
Constantinides George 'Transaction Costs & the Volatility Implied by Option Prices'
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Constantinides George 'Transaction Costs and the Implied Volatility Smile'
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Constantinides George, Darrell Duffie 'Asset Pricing with Heterogeneous Consumers'
<asset pricing> JPE (96) v104 #2
Constantinides George, J. Donaldson, R. Mehra 'Junior Can't Borrow:A New Perspective
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Constantinides George, Jonathan Ingersoll 'Optimal Bond Trading with Personal Taxes'
TVI
Constantinides George, Thaleia Zariphopoulou 'Bounds on Derivative Prices in an
Intertemporal Setting with Proportional Transaction Costs & Multiple Securities'
MF 7/01 ,7/99 <term structure>
Constantinides George, Thaleia Zariphopoulou<-Souganidis> 'Bounds on Prices of
Contingent Claims in an Intertemporal Economy with Proportional Transaction
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costs>
Constantinides George, Thaleia Zariphopoulou<-Souganidis> 'Bounds on Prices of
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Cont Rama 'Beyond Implied Volatility'<volatility> 10/98
Cont Rama 'Extracting Information from Option Prices:Beyond Implied Volatility' 4/98
<volatility>
Cont Rama 'Modeling Term Structure Dynamics:an Infinite Dimensional Approach' 1/99
<term structure><stochastic PDE, cylindrical Brownian, random strings, parabolic
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Conze Antoine, M. Viswanathan 'European Path Dependent Options: Case of Geometric
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Conze Antoine, M. Viswanathan 'Path Dependent Options:Case of Looback Options' JofF
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Cook D., J. Easterwood 'Poison Put Bonds:An Analysis of Their Economic Role' JofF
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Cook D., L. Spellman 'Firm & Guarantor Risk,Risk Contagion & the Interfirm Spread
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Cook P., C. Clotfelter 'Peculiar Scale Economies of Lotto' AER 6/93
Cook T., P. Hendershott 'Impact of Taxes,Risk & Relative Security Supplies on Interest
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Cook T., S. Korn 'Reaction of Interest Rates to the Employment Report:Role of Policy
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Cook T., T. Hahn 'Interest Rate Expectations & Slope of Money Market Yield Curve' FRB
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Cooley T., Steven Leroy, W. Parke 'Pricing Interest-Sensitive Claims When Interest
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Cooley T., W. Rarke 'Asymptotic Likelihood-Based Prediction Functions' Econometrica
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Cooper I., J. Franks 'Interaction of Finanical & Investment Decisions when the Firm
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Cooper I., M. Martin 'Default Risk & Derivative Products' Applied Math.Finance 3/96
Cooper M. 'Filter Rules Based on Price and Volume in Individual Security Overreaction'
RFS Fall 99
Cooper R. 'Efficient Capital Markets & the Quantity Theory of Money' JofF 6/74
Cooper R. 'Risk Premia in Futures & Forward Markets'<futures> JFM 6/93
Cooper R., D. DeJong, R. Forsythe, T. Ross 'Forward Induction Battle of the Sexes
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Cooper R., J. Haltiwanger 'Aggregate Implications of Machine Replacement:Theory &
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Cooper R., J. Shulman 'Year-End Effect in Junk Bond Prices' FAJ 9/94
Cooper T. 'Signal Facilitation:Policy Reponse to Aysmmetric Information' JB 7/92
Cooperman E., W. Lee, G. Wolfe '1985 Ohio Thrift Crisis, the FSLICs Solvency & the
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Copeland Thomas 'Liquidity Changes Following Stock Splits' JofF 3/79
Copeland Thomas, D. Mayers 'Value Line Enigma :1965-78' JFE 82 <stock price>
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Corcoran E. '<Data> Storage Space' <Santa Fe Institue> SA Oct 92
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Corcoran E. 'Edge of Chaos' <Santa Fe Institue> SA Oct 92
Corcoran E. 'Kicking Chaos Out of Lasers' SA 11/92
Corcoran E. 'Ordering Chaos' SA 8/91
Corcoran E. 'Picture Perfect'<TV,video,HDTV> SA Feb. 92
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Corcoran E. 'Rethinking Research:A. Penzias' SA 12/91
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Corey J. 'Wavelets Are Causing Ripples Everywhere' Business Week 2/3/92
Corhay A., G. Hawawini, P. Michel 'Seasonality in the Risk-Return Relationship: Some
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Cornell Bradford 'Monetary Policy, Inflation Forecasting & the Term Structure of
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Cornell Bradford 'Weekly Pattern in Stock Returns:Cash Versus Futurs' JofF 6/85
Cornell Bradford, E. Sirri 'Reaction of Investors & Stock Prices to Insider Trading'
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Cornell Bradford, K. Green 'Investment Performance of Low Grade Bond Funds' JofF 3/91
Cornell Bradford, Kenneth French 'Pricing of Stock Index Futures'JFM 83 <futures>
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Cornett M., T. Schwrtz,A. Szakmary 'Seasonality & Intraday Return Patterns in the
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Corns A., A. Schotter 'Can Affirative Action Be Cost Effective? An Experimental
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Cornwall J., J. Price 'The Wise, for Cure, on Exercise Depend' RISK Oct 89 <options-
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Cornwell J., G. Kentwell 'Quasi-Analytic Approach to the Occupation Time Barrier'
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Corrado C., T. Miller 'Volatility Without Tears'<volality-implied> RISK 7/96
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Corsetti G., V. Grilli,N. Roubini 'Exchange Rate Volatility in Integrating Capital
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Cowan A., Nayar Singh "Stock Returns before & after Calls of Convertible Bonds" JF&QA
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Cowell F., M. Vicotria-Feser 'Robustness Properties of Inequality Measures'
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Cox D., D. Peterson 'Stock Returns following Large One-Day Declines:Evidence on Short-
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Cox John, C. Huang 'Continuous-time Portfolio Turnpike Theorem'<portfolio> J.
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Cox John, C. Huang 'Optimal Consumption & Portfolio Policies when Asset Prices Follow
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Cox John, C. Huang 'Option Pricing Theory & Its Applications' TVI
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Cox John, Jonathan Ingersoll, Steven Ross 'Duration & Measurement of Basis Risk'
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Cox John, Jonathan Ingersoll, Steven Ross 'Intertemporal General Equilibrium Model for
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Cox John, Jonathan Ingersoll, Steven Ross 'Reexamination of Traditional Hypothese
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Cox John, Jonathan Ingersoll, Steven Ross 'Relation Between Forward Prices & Futures
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Cox John, Jonathan Ingersoll, Steven Ross 'Theory of the Term Structure of Interest
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Cox John, Steven Ross 'Valuation of Options for Alternative Stochastic Processes'
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Cox John, V. Smith, J. Walker 'Theory & Behavior of Multiple Unit Discriminative
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Cox L., G. Griepentrog 'Mean Lower Partial Moment Asset Pricing & the Regulation of
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Crouhy Michel, Dan Galai, R. Mark "Comparative Analysis of Current Credit Risk Models'
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Daniel J. 'Congestion Pricing & Capacity of Large Hub Airports:Bottleneck Model with
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Das Sanjiv 'Structured Notes & Derivative Embedded Securities' 96 Euromoney Books
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Das Sanjiv, Rangarajan Sundaram 'Taming the Skew:Higher-Order Moments in Modeling
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De la Pena V. 'Decoupling Inequalities:Second Generation of Martingale Inequalities'
<martingale>
de Lima P. 'On the Robustness of Nonlinarity Tests to Moment Condition Failure'
<statistics>
de Munnik J. 'Construction of a Path-Independent Interest Rate Tree:Model of
Heath,Jarrow & Morton'<term structure> AFORv7(94)
de Munnik J. 'Note on the Interest Rate Contingent Claim Valuation & Use of Principal
Components' 3/93 <term structure> Review of Futures Markets v13 #2
de Munnik J. 'Valuation of Interest Rate Derivative Securities' <book>
de Roon F., C. Veld 'Put-Call Parities & the Value of Early Exericse for Put Options
on a Performance Index' J.of Futures Markets 2/95
de Roon F., T. Nijman, B. Werker 'Testing for Spanning with Futures Contracts &
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De Roon F., T. Nijman, C. Veld 'Hedging Pressure Effects in Futures Markets' JofF 6/00
de Roon F., T. Nijman,C. Veld 'Pricing Term Structure Risk in Futures Markets' JF&QA
3/98
De Santis G., B. Gerard 'International Asset Pricing & Portfolio Diversification with
Time Varying Risk' JofF 12/97
de Vassal V. 'Time & Seasonal Patterns in the Fixed-Income Markets' J. Fixed Income
3/98
DeAngelo H., L. DeAngelo,D. Skinner 'Dividends & Losses' JofF 12/92
Deaton A. 'Getting Prices Right:What Should be Done?' J. Econ. Persp. W 98
Deaton A. 'On the Behavior of Commodity Prices' Princeton June 90
Deaton A. 'Savings & Liquidity Constraints' Econometrica 9/91
Deaton A., G. Laroque 'On the Behavior of Commodity Prices'<asset pricing> w.p. Dec.
90
Deaton A., J. Muellbauer 'Functional Forms for Labor Supply & Commodity Demands with
and Without Quantity Restrictions' Econometrica 11/81
Deaves R., I. Krinsky 'Do Futures Prices for Commmodities Embody Risk Premiums'
J.Futures Markets 9/95
DeBondet W., M. Bange 'Inflation Forecast Errors & Time Variation in Term Premia'
JFQ&A 12/92
DeBondt W., R. Thaler 'Does the Stock Market Overreact?' JofF 7/85
DeBondt W., R. Thaler 'Further Evidence on Investor Overreaction & Stock Market
Seasonality' JofF 7/87
Debreu Gerard 'A Classical Tax-Subsidy Problem' in Mathematical Economics Cambridge
Press
Debreu Gerard 'Applications to the Economics of Differential Topology & Global
Analysis:Regular Differentiable Economies ' in Mathematical Economics Cambridge
Press
Debreu Gerard 'Coefficient of Resource Allocation' in Mathematical Economics Cambridge
Press
Debreu Gerard 'Continuity Properties of a Paretain Utility' in Mathematical Economics
Cambridge Press
Debreu Gerard 'Economics Under Uncertainity' in Mathematical Economics Cambridge Press
Debreu Gerard 'Economics with a Finite Set of Equilibria' in Mathematical Economics
Cambridge Press
Debreu Gerard 'Excess Demand Functions' in Mathematical Economics Cambridge Press
Debreu Gerard 'Existence of Competitive Equilibrium' Handbook of Math. Econ II 82
Debreu Gerard 'Four Aspects of the Mathematical Theory of Economic Equilibrium' in
Mathematical Economics Cambridge Press
Debreu Gerard 'Least Concave Utility Functions' in Mathematical Economics Cambridge
Press
Debreu Gerard 'Market Equilibrium' in Mathematical Economics Cambridge Press
Debreu Gerard 'New Concepts & Techniques for Equilibrium Analysis' in Mathematical
Economics Cambridge Press
Debreu Gerard 'Preference Functions on Measure Spaces of Economic Agents' 1-
67<Utility>
Debreu Gerard 'Rate of Convergence of the Core of an Economy' in Mathematical
Economics Cambridge Press
Debreu Gerard 'Representatiion of a Preference Ordering by a Numerical Function' in
Mathematical Economics Cambridge Press
Debreu Gerard 'Smooth Preferences' in Mathematical Economics Cambridge Press
Debreu Gerard 'Social Equilibrium Existence Theorem' in Mathematical Economics
Cambridge Press
Debreu Gerard 'Theoretic Models:Mathematical Form & Economic Content' Econometrica
11/86
Debreu Gerard 'Topological Methods in Cardinal Utility Theory' in Mathematical
Economics Cambridge Press
Debreu Gerard 'Valuation Equilibrium & Pareto Optimum' in Mathematical Economics
Cambridge Press
Debreu Gerard, H. Scarf 'A Limit Theorem on the Core of an Economy' in Mathematical
Economics Cambridge Press
Decamps J.-P, A. Lazrak 'A Martingale Characterization of Equilibrium Asset Price
Process' Economic Theory 2000 <asset pricing>
Decamps J.-P. 'Une formule variationnelle pour les obligations due secteur
prive'FINANCE (Paris) <term structure,Bond Pricing,Risk> v14 #2 12/93
Decamps J.-P., J.C. Rochet 'Variational Approach for Pricing Options & Corporate
Bonds' <option-bonds> <optimization> Economic Theory 97
D'Ecclesia R., Stavros Zenios 'Risk Factor Analysis & Portfolio Immunization in the
Italian Bond Market' J.Fixed Income 9/94
DeCoster G., W. Labys, D. Mitchell 'Evidence of Chaos in Commodity Futures Prices' JFM
6/92
Deelstra Griselda, Freddy Delbaen 'Convergence of Discretized Stochastic (Interest
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Deelstra Griselda, Freddy Delbaen 'Existence of Solutions of Stochastic Differential
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Deelstra Griselda, Freddy Delbaen 'Long-Term Returns in Stochastic Interest Rate
Models' Insurance:Math & Econ.
Deelstra Griselda, Freddy Delbaen 'Long-Term Returns in Stochastic Interest Rate
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Degerine S. 'Maximum Likelihood Estimation of Autocovarinace Matrices from Replicated
Short Time Series' J.Time Series Analysis #2 (87)
DeHaan L. 'Embedding a Stochastic Difference Equation into a Continuous Time Process'
<SDE>SP&A 32:1988
Deissenberg C. 'Limit Cycles in Local Preference Optimization' w.p. Centre de
Recherche sur les Politiques Economiques April 91
Deissenberg C. 'Robust Lyapunov Games:Continuous Case' 4/90 <games>
DeJong D. 'Co-Integration & Trend Stationarity in Macroeconimc Time Series:Evidence
from the Likelihood Function' U of Iowa w.p.
DeJong D., Ch. Whiteman 'More Unsettling Evidence on the Perfect Markets Hypothesis'
<efficient markets> Economic Review FRB Atlanta 11/92
DeJong D., Ch. Whiteman 'Temporal Stability of Dividend & Stock Prices:Evidence from
the Likelihood Function'<stock return> U. of Iowa April 88
DeJong D., J. Nankervis, N.Savin, C. Whiteman 'Integration vrs. Trend Stationarity in
Time Series' Econometrica 3/92
DeJong D., R. Forsythe, R. Lundholm 'Ripoffs, Lemons & Reputation Formation in Agency
Relationships:Laboratory Market Study' JofF 7/85
DeJong F., J. Driessen, Antoon Pelsser 'Libor & Swap Market Models for the Pricing of
Intrest Rate Derivatives:an Empirical Analysis' 9/99 <term structure>
<BGM,Jamshidian>
DeJong R., J. Davidson 'Consistency of Kernel Estimators of Heteroscedastic &
Autocorrelated Covariance Matrices' Econometrica 3/2000
Dekel E. 'Asset Demands without the Independence Axiom' Econometrica 1/89
Dekel E., Barton Lipman, A. Rustichini 'Standard State-Space Models Preclude
Unawareness' Econometrica 1/98
Dekker A., L. de Hann 'On the Estimation of the Extreme Value Index & Large Quantile
Estimation' Ann. Stats 89
Delbaen Freddy 'Applications to Mathematical Finance' <finance><Banach space>11/99
Delbaen Freddy 'Coherent Risk Measures on General Probability Spaces' 11/98 <risk>
Delbaen Freddy 'Consols in the CIR Model' <Term Structure> Mathematical Finance 4/93
Delbaen Freddy 'Existence of Absolute Local Martingale' Ann. Appl. Prob. 11/95
Delbaen Freddy 'Representing Characterizations of American Put Options'<martingale>
MF 4/92
Delbaen Freddy 'The Dalang-Morton-Willinger Theorem' 4/99 <stochastics>
Delbaen Freddy, J. Haezendonck 'A Martingale Approach to Premium Calculation
Pricinciples in an Arbitrage Free Market' Insurance:Math. & Economics
89<martingale>
Delbaen Freddy, P. Monat, Christope Stricker, Walter Schachermayer, Martin Schweizer
'Weighted Norm Inequalities & Hedging in Incomplete Markets' wp 97 <hedging>
{also Finance & Stochastics 97}
Delbaen Freddy, P. Monat, Walter Schachermayer, Martin Schweizer, Christope Stricker
'Inequalities de Normes Avec Poids et Germeture d'un Espace d'Integrals
Stochastiques' 94 <stochastics> C.R. Acad Sci. Ser #1
Delbaen Freddy, S. Lorimier 'Estimation of the Yield Curve & the Forward Rate Curve
Starting from a Finite Number of Observations' Insurance,Math.& Economics
92<term structure>
Delbaen Freddy, Thorsten Rheinlander, Martin Schweizer, Peter Grandits, Dominick
Samperi, Christope. Stricker 'Exponential Hedging & Entropic Penalties'MF 4/02
, wp 2/2000 <hedging>
Delbaen Freddy, Walter Schachermayer 'A General Version of the Fundamental Theorem of
Asset Pricing' Mathematische Annalen Bund 300 Heft 3 11/94<asset pricing>
Delbaen Freddy, Walter Schachermayer 'Arbitrage & Free Lunch with Bounded Risk for
Unbounded Continuous Processes' <arbitrage> MF 11/94
Delbaen Freddy, Walter Schachermayer 'Arbitrage Probabilities in Bessel Process &
Their Relation to Local Martingales' <arbitrage> Prob.Theory & Related Fields 95
Delbaen Freddy, Walter Schachermayer 'Attainable Claims with pth Moments' Ann Ins
Henri Poincare 96
Delbaen Freddy, Walter Schachermayer 'Branach Space of Workable Contingent Claims in
Arbitrage Theory' Annales IHP Stat 97 <arbitrage>
Delbaen Freddy, Walter Schachermayer 'Compactness Principle for Bounded Sequences of
Martingales with Applications' 96 <martingale>
Delbaen Freddy, Walter Schachermayer 'Existence of Absolutely Continuous Local
Martigale Measures' <martingale>
Delbaen Freddy, Walter Schachermayer 'Fundamental Theorem of Asset Pricing for
Unbounded Stochastic Processes' <asset pricing>
Delbaen Freddy, Walter Schachermayer 'No-Arbitrage Property under a Change of
Numeraire'S&SR v53 #3-4 1995 95 <arbitrage>
Delbaen Freddy, Walter Schachermayer 'Non-Arbitrage & the Fundamental Theorem of
Asset-Pricing:Summary of Main Results'97 Proc. Symp Appl Math <arbitrage>
Delbaen Freddy, Walter Schachermayer 'Simple Counter-Example to Several Problems in
the Theory of Asset Pricing,which Arise in Many Incomplete Markets' 96 <asset
pricing>
Delbaen Freddy, Walter Schachermayer 'Simple Counterexample to Several Problems in the
Theory of Asset Pricing' MF 1/98 <asset pricing>
Delbaen Freddy, Walter Schachermayer 'Variance-Optimal Martingale Measure for
Continuous Processes' <martingale> 96
Delbaen Freddy, 'When is the Kramkov Optional Decomposition Predictable'
Delgado M., J. Mara 'Nonparamteric & Semiparametric Estimation with Discrete
Regressors' Econometrica 11/95
Delgado R., Marta Sanz-Sole 'Green Formulas in Anticipating Stochastic
Calculus'<SDE><Skorohod, Stratonovich integral> 5-95 SP&A <stochasti pde>
Delicado P., J. Romo 'Random Coefficient Regressions:Parametric Goodness of Fit
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Delliacherie C. 'Integrales Stochastique par Rapport aux Processus de Wiener et de
Poisson' Seminarie de Prob VIII, IX Lecuture Note 381, 1975
Delliacherie C. 'Un Survol de la Theorie-de l'Integrale Stochastique'<SDE><martingale>
SP&A (1980)
Delliacherie C., Paul Meyer 'Probabilities & Potentials' A & B, North Holland 78/82
DeLong J., Andrei Shleifer, L. Summers, R. Waldmann 'Positive Feedback Investment
Strategies & Destabilizing Rational Speculation' JofF 6/90
DeLong J., Andrei Shleifer, L. Summers, R. Waldmann 'Size & Incidence of the Losses
from Noise Trading' JofF 7/89
DeLong J., R. Waldmann 'Interpreting Procyclical Productivity:Evidence from a Cross-
Nation Cross-Industry Panel' Econ. Review SF FRB 1997 #1
Demange G. 'Implementing Efficient Egalitarian Equivalent Allocations' Econometrica
9/84
Demange G. 'Nonmanipuable Cores' Econometrica 9/87
Demange G., G. Laroque 'Social Security & Demographic Shocks'Econometrica 5/99
DeMarzo Peter 'An Extension of the Modigliani-Miller Theorem to Stochastic Economies
with Incomplete Markets' w.p. Stanford Nov 86
DeMarzo Peter, Costis Skiadas 'Aggregation, Determinacy & Informational Efficiency for
a Class of Economics with Asymmetric Information' JET 96?
DeMarzo Peter, Costis Skiadas 'On the Uniqueness of Fully Informative Rational
Expectations Equilibria' Economic Theory to appear
DeMarzo Peter, Darrell Duffie 'A Liquidity-Based Model of Security Design'
Econometrica 1/99
Dembo R., I. Nelken 'Share the Load' <computer science><algorithms for finance> RISK
April 91
Demeterfi Kresimir, Emmanuel Derman, Michael Kamal, Joseph Zou 'Guide to Volatility &
Variance Swaps' J. Derivatives Summer 99 <swaps>
Demeterfi Kresimir, Emmanuel Derman, Michael Kamal, Joseph Zou 'More Than You Ever
Wanted to Know about Volatility Swaps' GS 3/99 <swaps><variance swap>
Demmel R. 'The Term Structure of Real Interest Rates & the Structural Impact of Fiscal
Policy' U. Saarland 98
Dempster Michael, A. Eswaran, D. Richards 'Wavelet based PDE Valuation of Derivatives'
<presentation 3/16/01> <option-numeric>
Dempster Michael, D. Richards 'Pricing American Options Fitting the Smile' MF 4/2000
<option-american>
Dempster Michael, D. Richards 'Pricing Exotic American Options Fitting the Volatility
Smile' 3/99 <option-American>
Dempster Michael, G. Gotsis 'On the Martingale Problem for Jumping Diffusions' 5/98
<martingale>
Dempster Michael, J.P. Hutton 'Fast Numerical Valuation of American, Exotic & Complex
Options' Appl. Math Finance 3/97 <options-American>
Dempster Michael, J.P. Hutton 'Numerical Valuation of Cross-Currency Swaps &
Swaptions' in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities'
<Vasicek,PDE>
Dempster Michael, J.P. Hutton 'Pricing American Stock Options by Linear Programming'
MF 7/99 <options-American>
Dempster Michael, J.P. Hutton, D.G Richards 'LP Valuation of Exotic Amercian Options
Exploiting Structure' J. Comp Finance Fall 98 <option-American>
Demsetz H. 'Financial Regulation & Competitiveness of Large U.S. Corporations'<comm.
C. Plosser> Review Fed S.L. 3/93
Deng Y. 'Mortgage Termination:An Empirical Hazard Model with Stochastic Term
Structure' <mortgage> wp 1/96
Deng Y. 'Mortgage Terminations:Empirical Hazard Model with a Stochastic Term
Structure' 5/97 J. Real Estate Finance & Economics
Deng Y., J. Quigley, R. Van Order 'Mortgage Terminations, Heterogeneity & the Exercise
of Mortgage Options' Econometrica 3/2000
Dengler H. 'Poisson Approximations to Continuous Security Market Models' PhD Math
Cornell 93
Dengler H., Robert Jarrow 'Option Pricing Using a Binomial Model with Random Time
Steps (A Formal Model of Gamma Hedging)' R. Derivatives Research V1 #2 <option-
pricing> 96
Denis D., D. Denis, A. Sarin 'Information Content of Dividend Changes:Cash Flow
Signaling,Overinvestment & Dividend Clienteles' JF&QA 12/94
Dennis P., Richard Rendleman 'An LP Approach to Synthetic Option Replication with
Transaction Costs & Multiple Security Selection' <options-
transaction><volatility> AFOR v8 95
Dennis P., S. Perfect, K. Snow, K. Wiles 'Effects of Rebalancing on Size & Book-to-
Market Ratio Portfolio Returns' FAJ May/June 95
Dennis S., D. Nandy, I. sharpe 'Determinants of Contract Terms in Bank Revolving
Credit Agreements' JF&QA 3/2000
Denny J., G.Suchanek 'On the Use of Semimartingales & Stochastic Integrals to Model
Continuous Trading'<SDE> J. of Mathematical Economics 15 (1986)
Derman Emmanuel 'Outperformance Options' in Handbook of Exotic Options
Derman Emmanuel 'Regimes of Volatility' RISK 4/99 ,Goldman Sachs 99 <volatility>
<smiles,sticky strike/delta>
Derman Emmanuel, Deniz Ergener, Iraj Kani 'Forever Hedged' <hedging> RISK 9/94
Derman Emmanuel, Deniz Ergener, Iraj Kani 'Static Options Replication'<hedging> wp
5/94 and overlays;J. Derivatives Summer 95
Derman Emmanuel, Iraj Kani 'Riding on a Smile'<volatility> RISK 2/94
Derman Emmanuel, Iraj Kani 'Stochastic Implied Trees:Arbitrage Pricing with Stochastic
Term and Strike Volatility' Int. J. Theor & App. Finance 98 <volatility>
Derman Emmanuel, Iraj Kani 'The Volatility Smile & Its Implied Tree'<volatility>
w.p.Jan94
Derman Emmanuel, Iraj Kani, Deniz Ergener, Indrajit Bardhan 'Enhanced Numerical
Methods for Options with Barriers' <options-numeric> wp 5/95;FAJ 11/95
Derman Emmanuel, Iraj Kani, Joseph Zou 'Local Volatility Surface:Unlocking the
Information in Index Option Prices'<volatility> FAJ 7/96
Derman Emmanuel, Iraj Kani, Michael Kamal 'Trading & Hedging Local Volatility' J.
Financ.Engineer. 9/97 <volatility>
Derman Emmanuel, Iraj Kani, Neil Chriss 'Implied Trinomial Trees of the Volaility
Smile' <volatility> J.of Derivatives Summer 96
Derman Emmanuel, Joseph Zou 'A Fair Value for the Skew' <volatility> RISK 1/2001
Dermine J. 'European Banking with a Single Currency' FMI&I v.5 #5 1997
Dermine J. 'Pitfalls in the Application of RAROC, With Reference to Loan Management'
Insead 3/95
Dermody J., E. Prisman 'No Arbitrage & Valuation in Markets with Realistic Transaction
Costs' JF&QA 3-93 <transaction costs>
Dermody J., E. Prisman 'Term Structure Multiplicty & Clientele in Markets with
Transactions Costs & Taxes' JofF 9/88
Dermody J., R. Rockerfellar 'Mathematics of Debt Instrument Taxation' Financial
Markets,Institutions & Instruments' V3#2 1994
Dermody J., R. Tyrrell Rockafellar 'Cash Stream Valuation in the Face of Transaction
Costs & Taxes' Mathematical Finance Jan 91
Dermody J., R. Tyrrell Rockafellar 'Tax Basis & Nonlinearity in Cash Stream Valuation'
Mathematical Finance 4/95
DeRosa P., L. Goodman,M. Zazzarino 'Duration Estimates in Mortgage Backed Securities'
J. Portfolio Management Winter 92 <mortgage>
DeRosa-Farag S., J. Blau,P. Matousek,I. Chandra 'Default Rates in the High-Yield
Market' J. Fixed Income 6/99
Dertouzos M. 'Communication Cmputers & Networks' SA 9/91
Desai H., P. Jain 'An Analysis of the Recommendations of the "Superstar" Money
Managers Barrons Annual Roundtable' JofF 9/95
Deschamps B., D. Mehta 'Predictive Ability & Descriptive Validity of Earnings
Forecasting Models' JofF 9/80
DeSchepper A., M. Goovaerts,F. Delbaen 'The Laplace Transform of Annuities Certain
with Random Interest <Rates>' Applied Stochastic Models & Data Analysis <term
structure> v 1. 93<
DeSchepper A., M. Teunen,M. Goovaerts 'An Analytic Inversion of a Laplace Transform
Related to Annuities Certain' Insur:Math & Econ 94
Desgagne B. 'First Order Approach to Multi-Signal Principal-Agent Problems'
Econometrica 3/94
Deshmukh S., S. Chikte 'Optimal Delays in Decision & Control' IEEE Trans on Automatic
Control 74 <optimal control>
Deshmukh S., Stewart Greenbaum, G. Kanatas 'Bank Forward Lending in Alternative
Funding Enviornments' JofF 9/82
Deshmukh S., Stewart Greenbaum, G. Kanatas 'Interest Rate Uncertainty & Financial
Intermediary Choice of Exposure' JofF 3/83
Deshmukh S., Stewart Greenbaum, G. Kanatas 'Lending Policies of Finanical
Intermediaries Facing Credit & Funding Risk' JofF 6/83
Desiraju R., M. Shrikhande 'Exchange Rate Pass-through & the Role of International
Distriubtion Channels' FRB Atlanta 12/96
DeStavola B. 'Sampling Designs for Short Panel Data' Econometrica 3/86
Desurvire E. 'Lightwave Communications: 5th Generation' SA 1/92
Detemple Jerome 'Asset Pricing in a Production Economy with Incomplete Information'
JofF 6/86
Detemple Jerome 'Further Results on Asset Pricing with Incomplete Information' <asset
pricing> J.Econ.Dyn.& Control
Detemple Jerome 'General Equil. Model of Asset Pricing with Hetro. Info.' 86
FINANCE
Detemple Jerome 'Intertemporal Asset Pricing with Incomplete Markets & Nontraded
Assets' AFA papers 7/97
Detemple Jerome, F. Zapatero 'Asset Prices in an Exchange Economy with Habit
Formation' Econometrica 11/91
Detemple Jerome, F. Zaptero 'Optimal Consumption-Portfolio Policies with Habit
Formation'<consumption> MF 10/92
Detemple Jerome, P. Gottardi 'Aggregation, Efficiency & Mutual Fund Separation in in
Complete Markets' 3/97 <complete markets>
Detemple Jerome, S. Murthy 'Equilibrium Asset Prices & No-Arbitrage with Portfolio
Constraints'RFS Winter 97 , <arbitrage> 3/97
Detemple Jerome, S. Murthy 'Intertemporal Asset Pricing with Heterogenous Beliefs' JET
94
Detemple Jerome, S. Sundaresan 'Nontraded Asset Valuation with Portfolio Constraints:
a Binomial Approach' RFS Fall 99
Detragiache E., P. Garella,L. Guiso 'Muliple versus Single Banking
Relationships:Theory & Evidence' JofF 6/00
Deutsch D. 'Paradoxes of Musical Pitch' Scientific American 8/92
Deutsch D., M. Lockwood 'Quantum Physics of Time Travel'<physics> SA 3/94
Deutsch S.'A Resonant Line Structure Consisting of Rational Right Triangles' SIAM
Review 3/95
DeVore R., B. Lucier 'Wavelets' Acta Numerica 510.05 A188 1992
Devroye Luc 'Algorithms for Generating Discrete Random Variables with a Given
Generating Fuction or a Given Moment Sequence' SIAM Scientific & Statistical
Computing Jan 91<distribution>
Devroye Luc 'Non-Uniform Random Voariate Generator' <distribution>
DeVylder F., M. Goovaerts, R. Kaas 'Stochastic Processes Defined from a Lagrangian'
4/92 Insurance:Mathematics & Economics
Dewald W. 'Historical U.S. Money Growth, Inflation & Inflation Credibility' FRB St.L.
11/98
Dewdney Alexander '2-D Truing Machine' SA 9/89
Dewdney Alexander 'After MAD:Computer Game of Nuclear Strategy Ends in Prisoners
Dilema' SA <no date>
Dewdney Alexander 'Algopuzzles:Trains of Thought Follows Algorithmic Tracks to
Solution' SA<puzzles>
Dewdney Alexander 'Ancient Rope & Pully Computer Unearthed in Apraplul' <April Fools>
SA 4/88
Dewdney Alexander 'Beauty & Produndity Mandelbrot...Julia' SA 11/87
Dewdney Alexander 'Biomophs on Trucket Tiles' SA 7/89
Dewdney Alexander 'Blind Watchmaker Surveys Long of Biomorphs. SA 2/88
Dewdney Alexander 'Braitenbery Memoirs:Vehicles for Probing Dark Plain of Lights' SA
<no date>
Dewdney Alexander 'Building Computers in One Dimensional Shreds of Light ...' Amer Sci
5/85 <computer science>
Dewdney Alexander 'Cellular Universe of Debris,Droplets, Defects & Demons' <Banach-
Taraksi> SA 8/89
Dewdney Alexander 'Compendium of Math Abuse' SA 11/90
Dewdney Alexander 'Computer Microscope Zooms in for Look at Most Complex Objects in
Mathematics' SA 8/85 <fractals>
Dewdney Alexander 'Digital Pretig:Art of Magic & Illusion by Computer' SA <no date>
Dewdney Alexander 'Diverse Personalities Search for Social Equilibrium' SA <no date>
Dewdney Alexander 'Game of Life' SA <no date>
Dewdney Alexander 'Games of Life Acquires Successors in 3-D' SA<puzzles>
Dewdney Alexander 'Hodgepodge Machines Makes Waves' SA 8/88
Dewdney Alexander 'Home Computer Laboratory in Which Balls Becom Gaes, Liquids &
Critical Mass' SA <partical physics>
Dewdney Alexander 'How a Pair of Dull Witted Programs...Geniuse or IQ Tests'
SA<puzzles>
Dewdney Alexander 'How to Pan for Primes in Numerical Gravel' SA 7/88
Dewdney Alexander 'How to Ressuret a Cat from it Grin' SA 9/90
Dewdney Alexander 'Imaginaiton Meets Geometry in Crystalline Realms of Latticeworks'
SA 6/88
Dewdney Alexander 'Insectoids Invade a Field of Robots' SA 7/91
Dewdney Alexander 'Invisible Professor Holds Chalk-talk on Display Monitor' SA 5/88
Dewdney Alexander 'Journey Along Golygon City' <graph> SA 7/90
Dewdney Alexander 'King (chess Program) is Dead, Long Live the King (Chess Machine)'
SA<puzzles>
Dewdney Alexander 'Leaping into Lyapunov Space' SA 9/91
Dewdney Alexander 'Leaping into Lyapunov Space'<chaos> SA 9/91
Dewdney Alexander 'Lunar Infants, Lotteries & Methories Expose Danger of Math Abuse'
SA 3/90
Dewdney Alexander 'Matter of Fabrication Provides Matter for Thought'<Banach=Tarski>
SA 4/89
Dewdney Alexander 'Menu of Mathematical Morsels, Topology and Puzzle' SA 3/91
Dewdney Alexander 'MICE Nibbles in Way to 1st Core War' SA <unlabeled>
Dewdney Alexander 'Microgolf Game...' SA 11/89
Dewdney Alexander 'Of Worms,Virsus & Core War' SA 5/89
Dewdney Alexander 'Of Fractal Mountains' SA <fractals>
Dewdney Alexander 'Old & New 3D Mazes' SA 9/88
Dewdney Alexander 'On Making & Breaking Codes II' <cryptography> SA 11/88
Dewdney Alexander 'Pandox Box of Mind, Machine, Metaphysics' SA 12/89
Dewdney Alexander 'People Puzzels' SA <no date>
Dewdney Alexander 'Program for Rotating Hypercubes Induces 4-D Dementia' SA <no date>
Dewdney Alexander 'Program Mice Nibbles Way to Core War Tournament' SA <puzzles>
Dewdney Alexander 'Random Walks Lead to Fractal Crowds' SA 12/88
Dewdney Alexander 'Simple Effects Illustrate Art of Converting Algorithms into
Programs' SA<computer science>
Dewdney Alexander 'Theory of Rigidity' SA 5/91
Dewdney Alexander 'Tinkertoy Computer Plays Tic-Tac-Toe' SA 10/89
Dewdney Alexander 'Tools for Computer Graphics' SA 1/91
Dewdney Alexander 'Tranfer Flight of Fancy into Fractal Flora or Fauna' SA 5/90
Dewdney Alexander 'Wallpaper for the Mind:...' SA 9/86 <fractals>
Dewdney Alexander 'Word Ladders & New Tower of Babel Lead to Computerland Heights
Defying Assult' SA <science misc>
Dewenter K. 'Do Exchange Rate Changes Drive Foreign Direct Investment?' JofB 7/95
Dewenter K., P. Malatesta 'Public Offerings of State-Owned & Privately Owned
Enterprises:An International Comparison' JofF 9/97
Dewenter K., V. Warther 'Dividends, Asymmetric Information & Agency Conflicts:Evidence
from a Comparison of the Dividend Policies of Japanesse & U.S. Firms' JofF 6/98
Dewynne Jeff 'Finite Differences & Finite Elements for Euro. & American Options' wp.
9/94<option-numeric>
Dewynne Jeff 'Modeling & Numerical Valuation of Lookback Options' wp 92
Dewynne Jeff 'Stefan...' J. AUST. MATH.SOCIETY 7/89
Dewynne Jeff 'Volatility, Implied Volatility & Volatility Surfaces'
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Duan Jin-Chuan, Jean-Guy Simonato 'Estimating & Testing Exponential-Affine Term
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Duanmu Zhenyu 'First Passage Time Density Approach to Pricing Barrier Options & Monte
Carlo Simulation of the HJM Interest Rate Model' Cornell 94 PhD thesis
Duarte Antonio 'Fast Computation of Efficient Portfolios' J.of Risk V.1 #4 99
Duarte Antonio, B. Mendes 'Robust Hedging Using Futures Contracts with an Application
to Emerging Markets' J.of Derivatives Fall 98
Dubey P., A. Neyman 'Payoffs in NonAtomic Economies:Axiomatic Approach' Econometrica
9/84
Dubins Lester, D. Freedman 'A Sharper Form of the Borel-Cantelli Lemma & the Strong
Law' Annals of Math Stat <stochastics>
Dubins Lester, Larry Shepp, Albert Shiryaev 'Optimal Stopping Rules & Maximal
Inequalities for Bessel Processes' Theory Prob & App. 93 <optimal stopping>
Dubofsky D. 'Options & Financial Futures:Valuation & Uses' McGraw-Hill 92
Dubofsky D. 'Volatility Increase Subsequent to NYSE & AMEX Stock Splits' JofF 3/91
Dubourg N., R. Douady 'Energy Minimization & Optimal Hedging of European Contingent
Claims under Proporational Transaction Costs' 5/95 <transaction cost>
Dubovy E. 'The Determinants of Interest Rates on High yield Bonds' 98 City U NY PhD
Ducker M. 'Strengthing the Core for the Yield Curve as a Predictor of U.S. Recessions'
Review FRB S. L. 97
Ducker M., A. Fischer'FOMC in 1996:Watchful Waiting' Review FRB S.L. 7/97
Ducker M., A. Serletis 'Sensitivity of Empirical Studies of Alternate Measures of the
Monetary Base & Reserves' St. Louis Review 11/96
Dudenhausen Antje, Erik Schlogl, L. Schlogl 'Robustness of Gaussian Hedges & the
Hedging of Fixed Income Derivatives' 4/99 U. Bonn & UNSW 4/99 <hedging>
Dudley R. 'Wiener Functionals as Ito Integrals' Ann Probl. 77
Dueker M. 'Can Nominal GDP Targeting Rules Stabilize the Economy?' FRB S.L. May/June
93
Dueker M. 'Hypothesis Testing with Near-Unit Roots:Case of Long-Run Purchasing Power
Parity' Fed St.Louis 7/94
Dueker M. 'Indicators of Monetary Policy:View from Implicit Feedback Rules' FRB
St.Louis 9/93
Dueker M. 'Narrow Vs. Broad Measures of Money as Intermediate Target' St.Louis Review
Jan/Feb 95
Dueker M. 'Response of Market Interest Rates to Discount Rate Changes' FRB St. Louis
7/92
Dueker M., A. Fischer 'Are Federal Funds Rate Changes Consistent with Price Stability?
Results from an Indicator Model' Review FRB St.Louis 1/96
Duff I. 'Survey of Sparce Matrix Research' Proc. IEEE 1977
Duff M.J. 'A Layman's Guide to M-Theory' Texas A&M 98 <physics><string theory>
Duffee Gregory 'Estimating the Price of Default Risk'RFS Spring 99 , FRB 7/96 <risk-
credit>
Duffee Gregory 'Idiosyncratic Variation of Treasury Bill Yields' JofF 6/96
Duffee Gregory 'Relation between Treasury Yields, and Corporate Bond Yield
Spreads'JofF 12/98
Duffie Darrell 'Credit Swap Valuation' <credit> 9/10/98
Duffie Darrell 'Defaultable Term Structure Models with Fractional Recovery of Par'
<affine,HJM> 8/98 <credit>
Duffie Darrell 'Extension of Black-Scholes Model of Security Valuation'<options-euro>
JET 46 (1988)
Duffie Darrell 'First-to-Default Valuation' 5/98 <credit>
Duffie Darrell 'Incomplete Security Markets with Infinitely Many States:An
Introduction' J. Math. Econ. (96)
Duffie Darrell 'Martingale, Arbitrage & Portfolio Choice' <arbitrage> 1st Euro.
Congress Math V.2 (92)
Duffie Darrell 'Predictable Representation of Martingale Spaces & Changes of
Probability Measure' <martingales> Seminaire de Probabilities #1123 v19 83/84
Duffie Darrell 'Price Operators:Extensions, Potentials, & the Markov Valuation of
Securities' <arbitrage> wp 813 4/96
Duffie Darrell 'Risk Neutral Value of the Early Arbitrage Option:Note' <option-
pricing> AD&OR v4.1990
Duffie Darrell 'Special Repo Rates' JofF 6/96
Duffie Darrell 'State-Space Models of the Term Structure of Interest Rates' Progress
in Probability<term structure> (Stoch. analysis & Related Topic 5th workshop
Silivri 94> 96
Duffie Darrell 'Stochastic Equilibria with Incomplete Financial Markets' <complete
Markets>JET 41 (1987)
Duffie Darrell 'Stochastic Equilibria:Existence,Spanning Number & the No Expected
Financial Gain from Trade" Hypothesis' Econometrica 9/86
Duffie Darrell 'The Nature of Incomplete Security Markets' in Advances in Econ.
Theory VI v.2
Duffie Darrell 'Theory of Value in Security Markets'<complete markets> w.p. Stanford
Jan 90
Duffie Darrell, Chi-Fu Huang 'Implementing Arrow-Debreu Equilibria by Continuous
Trading of a Few Long Lived Securities' Econometrica 11/85 & TVI
Duffie Darrell, Chi-Fu Huang 'Multiperiod Security Markets with Differential
Information' <martingale> JME 15 (1986)
Duffie Darrell, Chi-Fu Huang 'Stochastic Production-Exchange Equilibria' 87
Duffie Darrell, Costis Skiadas 'Continuous Time Security Pricing:A Utility Gradient
Approach'<asset pricing> wp 4/91 & J. Math Econ. 3/94<asset pricing>
Duffie Darrell, David Lando 'Term Structures of Credit Spreads with Incomplete
Accounting Information' Econometrica 5/2001
Duffie Darrell, Wendall Fleming, Thaleia Zariphopoulou 'Hedging in Incomplete Markets
with HARA Utility' <hedging> J. Eco.Dyam & Control 97
Duffie Darrell, H. Sonnenschein 'Arrow & General Equilibrium Theory'<equilibrium
pricing> JEL June 89
Duffie Darrell, J. Geanakoplos, Andreu Mas-Colell, A. McLennan 'Stationary Markov
Equilibria' Econometrica 7/94
Duffie Darrell, J. Liu 'Floating-Fixed Credit Spreads' 11/97 <credit>
Duffie Darrell, J. Michael Harrison 'Arbitrage Pricing of Russian Options & Perpetual
Lookback Options' Annals of Applied Prob.<options-Russian> 9/93
Duffie Darrell, Jin Ma, J. Yong 'Blacks Consol Rate Conjecture'<term structure>
<Brennan & Schwartz> IMA w.p. 7/93
Duffie Darrell, Jun Pan 'An Overview of Value at Risk' J. Derivatives Spring 97
Duffie Darrell, Jun Pan 'Analytical Value-At-Risk with Jump-Diffusions' 2/3/99
superceeded
Duffie Darrell, Jun Pan, Kenneth Singleton 'Transform Analysis and Asset Pricing for
Affine Jump-Diffusions' Econometrica 11/2000
Duffie Darrell, Kenneth Singleton 'An Econometric Model of the Term Structure of
Interest-Rate Swap Yields'JofF 9/97
Duffie Darrell, Kenneth Singleton 'Modeling Term Structures of Defaultable Bonds' RFS
#4,99 , <term structure> 6/96
Duffie Darrell, Kenneth Singleton 'Simulated Moments Estimation of Markov Models for
Asset Prices' Econometrica 7/93
Duffie Darrell, Kenneth Singleton 'Simulating Correlated Defaults' <credit> 9/98
Duffie Darrell, Larry Epstein 'Asset Pricing with Stochastic Differential Utility'
<asset pricing> RFS v.5,#3 1992
Duffie Darrell, Larry Epstein 'Stochastic Differential Utility & Asset Pricing'
superceeded <CIR,Term Struct.,factors> w.p. 8/90
Duffie Darrell, Larry Epstein, Costis Skiadas 'Infinite Horizon Stochastic
Differential Utility' <asset pricing> Stanford 7/90
Duffie Darrell, Larry Epstein, Costis Skiadas 'Stochastic Differential Utility' <asset
pricing> Econometrica 3/92
Duffie Darrell, M. Huang 'Swap Rates & Credit Quality' JofF 7/96
Duffie Darrell, Mark Garman 'Intertemporal Arbitrage & the Markov Valuation of
Securities' <arbitrage> <z-transform, semigroup,contingent claim>Cuadernos
Economicos de ICE 1991 , wp 975 (85)
Duffie Darrell, Mark Schroder, Costis Skiadas 'A Term Structure Model with Preferences
for the Timing of Resolution of Uncertainity'Economic Theory 1/97 <term
structure>
Duffie Darrell, Mark Schroder, Costis Skiadas 'Recursive Valuation of Defaultable
Securities & the Timing of Resoluation of Uncertainty' Annal App Prob 1996 V.6
#4 <asset pricing>
Duffie Darrell, Mark Schroder, Costis Skiadas 'Two Models of Price Dependence on the
Timing of Resolution of Uncertainty' 11/93 NU wp <contingent claims>
Duffie Darrell, Matt Jackson (90) 'Optimal Hedging & Equilibrium in a Dynamic Futures
Market' <hedging> J. Economic Dynamics & Control 14:21
Duffie Darrell, Matthew Richardson 'Mean-Variance Hedging in Continuous Time'
<hedging> Annals of Applied Probability 1991
Duffie Darrell, Peter Glynn 'Efficient Monte Carlo Simulation of Security Prices'
<monte carlo> Ann App. Prob 95
Duffie Darrell, Phillip Protter 'From Discrete to Continuous-Time Finance: Weak
Convergence of the Financial Gain Process' <continuous time> MF 1/92
Duffie Darrell, Pierre-Louis Lions 'PDE Solutions of Stochastic Differential Utility'
<SDE> <asset pricing>wp 7/90 & 1992 J. Math. Econ.
Duffie Darrell, Pierre-Yves Geoffard, Costis Skiadas 'Efficient & Equilibrium
Allocation with Stochastic Differential Utility' <SDE> J. Math Econ.
3/94<stochastic pde>
Duffie Darrell, Richard Stanton 'Pricing Continuously Resettled Contingent Claims' J.
Economic Dynamics & Control 1992<contingent claims>
Duffie Darrell, Rui Kan 'A Yield Factor Model of Interest Rates' <term structure> 8/95
also MF 10/96
Duffie Darrell, Rui Kan 'Multi-factor Term Structure Models' <term structure>
Phil.Trans.R.Soc.Lond. 6/94
Duffie Darrell, T. Sun 'Transaction Costs & Portfolio Choice in a Discrete-Continuous
Time Setting'<transaction> J.Econ.Dym & Control (90) <? JF&QA 6/86 ?>
Duffie Darrell, Thaleia Zariphopoulou 'Optimal Investment with Undiversifable Income
Risk' <consumption> MF 4/93
Duffie Darrell, W. Shafer 'Equilibrium in Incomplete Markets I:Basic Models of Generic
Existence' J. Math Econ 85 ,'...II:Generic Existence in Stochastic Economies'
J. Math Econ 86
Duffie Darrell, William Zame 'The Consumption-Based Capital Asset Pricing Model'
Econometrica 11/89
Dufour F., Robert Elliott,A. Tsoi 'Asymptotic Study of Estimation in Filtering for
Linear Systems with Jump Parameters' IEEE Conf. Decision & Control #34 1995
Dufour J. 'Nonlinear Hypothesis,Inequality Restrictions & Non-Nested Hypothesis:Exact
Simultaneous Tests in Linear Regression' 10/86 U. Montreal
Dufour J. 'Exact Tests & Confidence Sets in Linear Regression with Autocorrelated
Errors' Econometrica 3/90
Dufour J. 'Non-linear Hypotheses,Inequatlity Restrictions & Non-Nested
Hypotheses:Exact Simulations Tests in Linear Regressions' Econometrica 3/89
Dufour J. 'On Estimatiors of Disturbance Variance in Econometric
Models:...Bias...Moments' 11/85 U. Montreal
Dufour J. 'Unbiasedness of Predictions from Estimated AR when True Order is Unknown'
Econometrica 1-84
Dufour J., J. Kiviet 'Exact Inference Methods for First Order Autoregressive
Distributed Lag Models' Econometrica 1/98
Dufour J., M. Hallin 'Expoential Bound for Permutational Distribution of 1st Order
Autocorrelation Coefficient' May 91 U. Montreal
Dufour J., M. Hallin 'Tests non parametriques optimaux pour une autoregression d'ordre
un' 11/86 U. Montreal
Dufresne Daniel 'Algebraic Properties of Beta & Gamma Distributions & Application'
Adv. App. Math 4/98 <SDE,time series,error,Gaussian>
Dufresne Daniel 'Laguerre Series for Asian & Other Options' MF 10/2000 <option-Asian>
Dufresne Daniel 'The Distribution of a Perpetuity with Applications to Risk Theory &
Pension Funding' Scan. Act. Journal 90
Duggan J. 'Viritual Bayesian Implementaiton' Econometrica 9/97
Dukes W.,C. Frohlich,C. Ma 'Risk Arbitrage in Tender Offers' J.Portfolio Mangagement
Summer 92
Dumas B. 'Theory of the Trading Firm Revisited' JofF 6/78
Dumas B. 'Two Person Dynamic Equilibrium in the Capital Market' RFS 89
Dumas B., Bruno Solnik 'World price of Foreign Exchange Risk' JofF 6/95
Dumas B., E. Luciano 'An Exact Solution to a Dynamic Portolio Choice Problem Under
Transactions Costs' JofF 6/91
Dumas B., Jeff Fleming, Robert Whaley 'Implied Volatility Functions:Empirical
Tests'JofF 12/98
Dumas B., L. Jennergren, B. Naslund 'Siegels Paradox & Pricing of Currency
Options'<Poisson,jump><options-currency> J. Intern. Money & Finance (95)
Dumas B., Raman Uppal, T. Wang 'Efficient Intertemporal Allocation with Recursive
Utility' 97
Duncan T., B. Pasik-Duncan, Omar Zane 'Numerical Methods for a Stochastic Adaptive
Control of an Investment & Consumption Model with Transaction Fees'<SDE> IEEE
Conf. Decision & Control #34 1995
Duncan T., M. Duncan, Omar Zane 'Computational Methods for the Stochastic Adaptive
Control for an Investment Model with Transaction Fees'<transaction cost>
Confer.on Decision & Control (33rd) 1994
Dunetz M., J. Mahoney 'Using Duration & Convexity in the Analysis of Callable Bonds'
5/88 <duration> FAJ
Dunford N., J. Schwartz 'Nonlinera Operators Part I:General Theory' Wiley 5
Dunker K., B. Rabbat 'Why Americas Bridges are Crumbling' SA 3/93
Dunn K., C. Spatt 'Analysis of Mortgage Contracting Prepayment Penalties & Due on Sale
Clause' JofF 3/85
Dunn K., C. Spatt 'Call Options, Points and Dominance Restrictions on Debt Contracts'
JofF 12/99
Dunn K., J. McConnell 'Comparison of Alternatie Models for Pricing:GNMA Mortgage
Backed Securities' JofF 5/81
Dunn K., J. McConnell 'Valuation of GNMA Mortgage-Backed Securities' JofF 6/81
Dunn K., Kenneth Singleton 'Empirical Analysis of Pricing of Mortgage Backed
Securities' JofF 5/83
Dunn K., Kenneth Singleton 'Modeling the Term Structure of Interest Rates under
Nonseparable Utility & Durability of goods' JFE 86
Dupacova J. 'Portfolio Optimizaton via Stochastic Programming:Methods of Output
Analysis' Math. Method of OR V50 #2 99 <portfolio>
Dupire Bruno 'A Unified Theory of Volatility' (in Dempster M.,S. Pliska (ed) 'Math. of
Derivative Securities'
Dupire Bruno 'Model Art'<volatility-stochastic> <Black-Scholes,
Term.Struct.,preference free,exotic>RISK 9/93
Dupire Bruno 'Pricing & Hedging with Smiles'4/93 <volatility>
Dupire Bruno 'Pricing with a Smile' <Volatility> RISK 1/94
Dupire Bruno, A. Savine 'Dimension Reduction & other ways of Speeding Monte Carlo
Simulation' Risk Handbook 98
Dupuis P., J. Oliensis 'An Optimal Control Formulation & Related Numerical Methods for
a Problem in Shape Reconstruction ' Ann Appl Prob 94
Duque J., D. Paxson 'Implied Volatility & Dynamic Hedging 12/93 <volatility> <smiles>
Review of Futures Markets v13 #2
Durand D. 'Growth Stocks & the Petersburg Paradox' in MDIM
Durarte J. 'Non-Linear Term Structure Model' 11/97 <term structure>
Durbin J. 'First-Passage Density of a Continuous Gaussian Process to a General
Boundary' 85 J.App.Prob. <Brownian>
Durbin J. 'Testing for Serial Correlation in Least-Squares Regression When Some of the
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Durbin J., D. McFadden 'An Econometric Analysis of Residential Electric Appliance
Holdings & Consumption' Econometrica 3/84
Durfour J. 'Some Impossibility Theorems in Econometrics with Applications to
Structural & Dynamic Models' Econometrica 11/97
Duris C. 'Fundamental Approach for Forecasting Interest Rates with Application to
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Durlauf S. 'Spectral based testing of Martingale Hypothesis' <martingale> J.of
Econometrics 1991
Durlauf S., P. Phillips 'Trends vrs. Random Walks in Time Series Analysis'
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Dusak K. 'Futures Trading & Investor Returns:An Investigation of Commodity Market Risk
Premium' JFE 73 <Futures>
Dusansky R., C. Vernon 'Rankings of U.S. Economics Departments' J. Econ. Persp. W 98
Dusenberry J., B. Bosworth 'Flow of Funds & Interest Rates-I: U.S. Financial Models'
JofF 5/74
Dutkowsky D. 'Demand for Borrowed Reserves:Swithcing Regression Model' JofF 6/84
Dutta B. 'Effectivity Functions & Acceptable Game Forms' Econometrica 9/84
Dutta B., D.Ray 'A Concept of Egalitarianism uder Participation Constraints'
Econometrica 5/89
Dutta J., H. Leon 'Testing for Instrinsic Homogeneity'<heterosdacity> W.P. 1st Boston
July 85
Dutta P., A. Madhavan 'Competition & Collusion in Dealer Markets' JofF 3/97
Dutta P., A. Madhavan 'Price Continuity Rules & Insider Trading' JF&QA 6/95
Dwass M. 'Extremal Processes' Ann. Math Stat. <extreme value>
Dwyer G. 'Rules & Discretion in Monetary Policy' FRB S.L. May/June 93
Dwyer G. 'Wildcat Banking, Banking Panics & Free Banking in the United States' FRB
Atlanta 12/96 <alpha>
Dwyer G., I. Hasan 'Suspension of Payments,Bank Failures, and the Nonbank Publics
Losses <alphabetic> wp FRB Atlanta 5/96
Dwyer G., P. Locke, W. Yu 'Index Arbitrage & Nonlinear Dynamics Between the S&P 500
Futures & Cash' RFS v9 #1 (96) ,<arbitrage>
Dybivg Philip 'Occasional Ratcheting:Optimal Dynamic Consumption & Investment Given
Intolerance for any Decline in Standard of Living' 93
Dybvig Philip 'An Explicit Bound on Individual Asset Deviations from APT pricing in a
Finite Economy' <asset> JFE 83
Dybvig Philip 'Bond & Bond Option Pricing Based on the Current Term Structure'wp 3/96
<term structure>, (in Dempster M., S. Pliska (ed) 'Math. of Derivative
Securities'
Dybvig Philip 'Hedging Non-Traded Wealth:When is There Separation of Hedging &
Investment'<hedging> (ed) S.Hodges Options:Recent Advances V.2 1992
Dybvig Philip 'Kinks on Mean-Variance Frontier' JofF 3/85
Dybvig Philip 'Remarks on Banking & Deposit Insurance' Review FRB S.L. 1/93
Dybvig Philip 'Short Sales Restrictions & Kinks of Mean Variance Frontier' JofF 3/84
Dybvig Philip, C. Huang 'Nonnegative Wealth, Absence of Arbitrage & Feasible
Consumption Plans' FRS 88
Dybvig Philip, Jonathan Ingersoll 'Mean Variance Theory in Complete Markets' J.
Business 1982 <complete markets>
Dybvig Philip, Jonathan Ingersoll, Steven Ross 'Long Forward and Zero-Coupon Rates Can
Never Fall' <term strucutre> In J.of Business 1/96
Dybvig Philip, L.C.G. Rogers 'Recovery of Preferences from Observed Wealth in a Single
Realization' RFS Spring 97 , wp 12/95 <alphabetic>
Dybvig Philip, L.C.G. Rogers, Kerry Back 'Portfolio Turnpikes:Synthesis & Critique'RFS
Spring 99 , <portfolio> 4/95
Dybvig Philip, Steven Ross 'Analysis of Performance Measurement Using a Security
Market Line' JofF 6/85
Dybvig Philip, Steven Ross 'Arbitrage' in 'New Palgrave Finance' 1989<arbitrage>
Dybvig Philip, Steven Ross 'Performance Measurement Using Differential Information & a
Security Market Line' JofF 6/85
Dybvig Philip, Steven Ross 'Portfolio Efficient Sets' Econometrica 82
Dybvig Philip, Steven Ross 'Tax Clienteles & Asset Pricing' JofF 7/86
Dybvig Philip, Steven Ross 'Yes, the APT is Testable' JofF 9/85
Dybvig Philip, W. Marchall 'New Risk Management:Good,Bad & Ugly' Review FRB St. Louis
11/97
Dybvig Philip, W. Marshall 'Pricing Long Bonds: Pitfalls & Opportunities' <term
structure> FAJ 2/96
Dyck I. 'Privatization in Eastern Germany:Managemnt Selection & Economic Transition'
AER 9/97
Dye J. 'Eletroides' SA <no date>
Dyer A. 'Hypothesis Testing Proce. for Separate Families of Hypothesis'ASAJ 1974
Dyl E. 'Shorting Selling & Capital Gains Tax' 3/78 FAJ <accounting>
Dyl E., E. Maberly 'Odd-Lot Transactions around Turn of Year & January Effect' JFQ&A
12/92
Dyl E., E. Marerly 'Anomaly That Isn't There:Comment on Friday the Thirteenth' JofF
12/88
Dyl E., M. Joehnk 'Sinking Funds & Cost of Corporate Debt' JofF 9/79
Dyl E., S. Martin 'Weekend Effects on Stock Returns' JofF 3/85
Dym H. 'A Note on Limit Theorems for the Entropy of Markov Chains' Ann. Math Stat.
<markov>
Dym S. 'Identifying & Measuring Risk of Developing Country Bonds' J.Port.Manage.
Winter 94 Benabou R. 'Optimal Price Dynamics & Speculation with Storable Good'
Econometrica 1-89
Dynkin L., J. Hyman, V. Konstantinovsky, N. Roth 'MBS Index Returns:A Detailed Look'
J. Fixed Income 3/99
Dynkin L., J. Hyman, V. Konstantinovsky, R. Mattu 'Constant-Duration Mortgage Index'
J. Fixed Income 6/2000
Dzhaparidze K., P.Spreij 'On Correlation Calculus for Multivariate
Martingales'<martingale> SP&A(46) 1993
Eades K., P. Hess, E. Kim 'Time-Series Variation in Dividend Pricing' JofF 12/94
Eaker M. 'Numeraire Problem & Foreign Exchange Risk' JofF 5/81
Eaker M., D. Grant, N. Woodard 'Multinational Examination of International Equity &
Bond Investment with Currency Hedging' JFM 5/93 JFM 8/92
Eames K. 'Regression Lines' Derive Newsletter 6/93
Easley D., A. Rustichini 'Choice without Beliefs' Econometrica 9/99
Easley D., M. O'Hara 'Adverse Selection & Large Trade Valume:Implications for Market
Efficiency' JF&QA 6/92
Easley D., M. O'Hara 'Order Form & Informtion in Security Markets' JofF 7/91
Easley D., M. O'Hara 'Time & Process of Security Price Adjustment' JofF 6/92
Easley D., M. O'Hara, P. Srinvas 'Option Volume & Stock Prices:Evidence on Where
Informed Traders Trade' JofF 4/98
Easley D., N. Kiefer 'Controlling a Stochastic Process with Unknown Parameters'
Econometrica 9/88
Easley D., N. Kiefer, M. O'Hara 'Cream-Skimming or Profit Sharing? Curious Role of
Purchase Order Share' JofF 7/96
Easley D., N. Kiefer, M. O'Hara 'One Day in the Life of a Very Common Stock' RFS Fall
97
Easley D., N. Kiefer, M. O'Hara, J. Paperman 'Liquidity, Information & Infrequently
Traded Stocks' JofF 9/96
Easley D., Robert Jarrow 'Consensus Beliefs Equilibrium & Market Efficiency' JofF
6/83
Easterwood J., S. Nutt 'Ineffiency in Analysts Earning Forecasts:Systematic
Misreaction or Systematic Optimism?' JofF 10/99
Easton M. 'Binary Tree Interest Rate Models with Risk Premiums' J. Fixed Income 9/98
Eastwood B., A. Ronald Gallant 'Adaptive Trucncation Rules for Seminonparametric
Normality' 11-82
Eaton B., N. Schmitt 'Flexible Manufacturing & Market Structure' AER 9/94
Eaton J., H. Rosen 'Agency, Delayed Compensation, and the Structure of Executive
Remuneration' JofF 12/83
Eaton J., M. Engess 'Intertemporal Price Competition' Econometrica 5/90
Eberhart A., E. Altman, R. Aggarwal 'Equity Performance of Firms Emerging from
Bankruptcy' JofF 10/99
Eberhart A., R. Sweeney 'Does the Bond Market Prdict Bankruptcy Settlements?' JofF
7/92
Eberhart A., W. Moore, R. Roenfeldt 'Security Pricing & Deviations from the Absolute
Priority Rule in Bankruptcy Proceedings' JofF 12/90
Eberlein Ernst 'Application of Generalized Hyperbolic Levy Motion to Finance' 12/99
<option-pricing>
Eberlein Ernst 'Hyperbolic Model' 2/98 <option-pricing>
Eberlein Ernst 'Market & Credit Risk under Generalized Hyperbolic Model'
Eberlein Ernst 'On Modeling Questions in Security Valuation' <option-pricing> MF 1/92
Eberlein Ernst, Jean Jacod 'On the Range of Option Prices' Finance & Stochastics 97
<options-pricing>
Eberlein Ernst, Sebastian Raible 'Term Structure Models Driven by General Levy
Processes' MF 1/99 , 10/98 <term structure>
Eberlein Ernst, Ulrich Keller 'Hyperbolic Distributions in Finance' Bernolli 95 ,4/95
U. Freiburg <distributions>
Eberlein Ernst, Ulrich Keller, Karsten Prause 'New Insights into Smile, Mispricing &
Value at Risk:Hyperbolic Model> JofB 98 , 1/98 <option-pricing>
Ebrahimi N., M. Habibullah,E.Soofi 'Testing Exponentiality Based on Kullback-Leibler
Information' J. Royal Statistical Society 1992
Eckbo B. 'Mergers & the Value of Antitrust Deterrence' JofF 7/92
Eckbo B., D. Smith 'Conditional Performance of Insider Trades' JofF 4/98
Eckbo B., K. Thorburn 'Gains to Bidder Firms Revisited:Domestic & Foreign Acquistions
in Canada' JF&QA 3/2000
Eckbo E., J. Liu 'Temporary Components of Stock Prices:New Univariate Results' JF&QA
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Eckhaus W. 'Fundamental Concepts of Matching' SIAM Review 9/94
Eckstein J. 'Implementing & Running the Alternating Step Method on the Connection
Machine CM-2'<linear program> <ADI> w.p. Harvard Aug. 90
Eckstein J. 'Parallel Branch-and-Bound for Mixed Integer Programming' SIAM News 1/94
Eckstein J., Dmitri Bertsekas 'An Alternating Direction Method for Linear
Programming'<linear program> <ADI> w.p. Harvard Apr. 90
Eckstein Z., K. Wolpin 'Estimating a Market Equilbrium Search Model from Panel Data on
Individuals' Econometrica 7/90
Eckstein Z., T. Kollintzas 'An Exact Log-linear Endongenous Economic Growth Model'
w.p. U. Pittsburgh Dec. 88
Eckwert B. 'Optimality of Stationary Asset Equilibria under a Stochastic Inflation
Tax' MF 1/92
Econo. Econometrica
Economides N. 'Demand for Life Insurance: Application of the Economics of
Undertainty:Comment' JofF 12/82
Economides N., R. Schwartz 'Equity Trading Practices & Market Structure:Assessing
Asset Managers Demand for Immediacy' Stern Bus. School 1995
Eddy A. 'Interest Rate Risk & Systematic Risk:an Interpretation' JofF 5/78
Edelen D. 'Applied Exterior Calculus' Wiley 85
Edelman D., T. Gillespie 'Stochastically Subordinated Log Normal Process Applied to
Financial Time Series and Option Pricing' <distribution> <smile>
Edelstein R. 'Value of Information & Optimal Government Guarantee of its Agencies
Issues' JofF 5/74
Eden B., Zvi Griliches 'Productivity,Market Power & Capacity Utilitzation When Spot
Markets are Complete' AER May 93
Ederington L. 'Hedging Performance of New Futures Markets' JofF 3/79
Ederington L. 'Yield Spread on New Issues of Corporate Bonds' JofF 12/74
Ederington L., J. Goh 'Bond Rating Agencies & Stock Analysis:Who Knows What When?'
JF&QA 12/98
Ederington L., J. Lee 'Creation & Resolution of Market Uncertainity:Impact of
Information Releases on Implied Volatility' JF&QA 12/96
Ederington L., J. Lee 'How Markets Process Information:News Releases & Volatility'
JofF 9/93
Ederington L., J. Lee 'Short-Run Dynamics of the Price Adjustment to New Informtion'
JF&QA 3/95
Edirisinghe C., Vasant Naik, Raman Uppal 'Optimal Replication of Options with
Transaction Costs & Trading Restrictions' JF&QA 3/93 <options-transaction>
Edlefsen L. 'The Comparative Statics of Hedonic Price Functions & Other Nonlinear
Constraints' Econometrica 11/81
Edlin A. 'Is College Financial Aid Equitable & Efficient' J. Economic Perspectives
Spring 93
Edlin A., C. Shannon 'Strict Single Crossing & the Strick Spence-Mirrlees
Condition:Comment on Monotone Comparative Statics' Econometrica 9/98
Edlin A., Joseph Stiglitz 'Discouraging Rivals:Managerial Rent-Seeking & Economic
Inefficiencies' AER 12/95
Edlin A., M. Epelbaum,W. Heller 'Is Perfect Price Descrimination Really Efficient?
Welfare & Existence in General Equilibrium' Econometrica 7/98
Edlin A., S. Reichesstein 'Holdups,Standard Breach Remedies & Optimal Investment' AER
6/96
Edmister Robert 'Capped-Index Deposits' J. Financial Engin 6/92
Edmister Robert 'Commission Cost Structure:Shifts & Scale Economies' JofF 5/78
Edmister Robert, Dilip Madan 'Informational Content in Intrest Rate Term Structures'
R. Econ.& Stats 93
Edmister Robert, N. Subramanian 'Determinants of Brokerage Commission Rates for
Institutional Investors:Note' JofF 9/82
Edsparr P. 'Swedish Interest Rate Process--Estimation of the Cox, Ingersoll & Ross
Model' 92 Stockholm School of Economics
EdVaro J., J. Lacker 'Errors in Variables & Lending Discrimination' Economic
Quarterly FRB Richmond Summer 95
Edwards C., S. Stansell et al 'Inter-Temporal Approach to Optimization of Dividend
Policy with Predtermined Invesments' JofF 3/74
Edwards D. 'An Alternative Example of the Method of Multiple Scales' SIAM Review
6/2000
Edwards F. 'Hedge Funds & the Collapse of Long-Term Capital Management' J. Econ
Perspective Spring 99
Edwards F., C. Ma 'Futures & Options' 92 McGraw-Hill
Edwards F., J. Liew 'Hedge Funds versus Managed Futures as Asset Classes' J.
Derivatives Summer 99
Edwards F., J. Park 'Do Managed Futures Make Good Investments?' J.Futures Markets
8/96
Edwards F., M. Canter 'Collapse of Metallgesellschaft:Unhedgeable Risks,Poor Hedging
Strategy or Just Bad Luck?' JFM 5/95
Edwards F., Salih Neftci 'Extreme Price Movements & Margin Levels in Futures
Markets'<volatility> JFM v8#6
Edwards H. 'Fermats Last Theorem' SA<number theory>
Edwards S. 'Openness,Trade Liberalization & Growth in Developing Countries' JEL 9/93
Eeckhoudt L., C. Gollier 'Demand for Risky Assets & Stochastic Dominance: A
Note'<asset pricing> wp 8/94
Eeckhoudt L., C. Gollier 'Demand for Risky Assets & the Monotone Probability Ration
Order' <portfolio> J. Risk & Uncertainity 95
Eeckhoudt L., C. Gollier, H. Schlesinger 'Changes in Background Risk & Risk Taking
Behavior' Econometrica 5/96
Eeckhoudt L., C. Gollier,T. Schneider 'Risk Aversion, Prudence & Temperance:A Unified
Approach'<risk> wp 12/94
Efraty R. 'Index, Asset & Mortgage Swaps' in Nelken I. (ed) 'Option Embedded Bonds'
Efraty R. 'Index,Asset & Mortgage Swaps' in 'Option Embedded Bonds' ed I. Nelken
Efron B. 'Better Boostrap Confidence Intervals' JASA 81 <regression>
Efron B. 'Bootstrap Methods:Another Look at the Jackknife' Annals of Stat. 1/79
<regression>
Efron B.,R. Tibhirani 'Statistical Analysis in the Computer Age'<statistics> Science
Vol 253 7/26/91
Ehrhardt M. 'Mean-Variance ,Derivatives of a Multi-Factor Equilibrium Model' JF&QA
6/87
Ehrlich I. 'Crime, Punishment & Market for Offenses' J.Econ. Perspect. Winter 96
Eichberger J. 'A Note on Bankruptcy Rules & Credit Constraints in Temporary
Equilibrium' Econometrica 5/89
Eichenbaum Martin, Lars Hansen 'Estimating Models with IntertemporalSubstituion Using
Aggregate Time Series Data' wp
Eichenbaum Martin, Lars Hansen, Kenneth Singleton 'Time Series Analysis of
Representative Agent Models of Consumption & Leisure Choice under Uncetainity'
Q.J. Econ 88
Eichengreen B. 'European Monetary Unification' JEL 9/93
Eichholtz P. 'Does International Divesification Work Better for Real Estate than for
Stocks & Bonds?' FAJ 2/96
Eichholtz P., P. Naber, V. Petri 'Index Linked Bonds in Liability Framework' J. Fixed
Income 12/93
Einhorn S. 'Using the Dividend Discount Model for Asset Allocation' <asset pricing>
FAJ (84)
Eisenbeis R. 'Bank Deposits & Credit as Sources of Systematic Risk' Econ Review FRB
Atlanta 3Q97
Eisenbeis R. 'Comment on "Multivariate Analysis of Industrial Bond Ratings & Role of
Subordination"' JofF 3/78
Eisenbeis R. 'International Settlements:A New Source of Systematic Risk?' Econ.
Review FRB Atlanta 2Q 97
Eisenbeis R., R. Harris, Josef Lakonishok 'Benefits of Bank Diversification: Evidence
from Shareholder Returns' JofF 7/84
Eisenberg Laurence 'One Step Beyond' <hedging><foreign exchange> RISK 11/93
Eisenberg Laurence, Robert Jarrow 'Option Pricing with Random Volatilities in Complete
Markets'FRB Atlanta 11/91 , RQF&A (44) <volatility>
Eizenstat S. 'Economists & White House Decisions' J.Econ.Persp. Summer 92
Ekblom H. 'Lp Methods for Robust Regression'<linear program> <LAD> Bit 1973
Ekern S. 'Time Dominance Efficiency Analysis' JofF 12/81
Ekman P. 'Intraday Patterns in the S&P 500 Index Futures Market'
Ekolin G. 'Finite Difference Methods for a Nonlocal Boundary Value Problem for the
Heat Equation' BIT 31<finite Diff.> (1991)<options-numeric>
Ekvall N. 'Experiences in the Pricing of Trivariate Contingent Claims with Finite
Difference Methods on a Massively Parallel Computer' <options-numeric>
Computational Economics 94
Ekvall N., L. Jennergren,B. Naslund 'Currency Option Pricing in a Family of Exchange
Rate Regimes'<options-foreign exchange> AFOR v8 95
El Babsiri M., G. Noel 'Simulating Path-Dependent Options:A New Approach' <option-
path> J. Deriv Winter 98
El Karoui Nicole 'A Propos de la Formule d'Azema-Yor' Semin. de Prob. 13 Lecture 721
Springer 79
El Karoui Nicole 'Backward Stochastic Differential Equations:General Introduction' in
El Karoui,Mazliak (ed) 'Backward Stochastic Differential Equations'
El Karoui Nicole 'Existence of an Optimal Markovian Filter for the Control Under
Partial Observations' J.Control & Opt (88)
El Karoui Nicole 'Les Aspect Prob....' Lecture Notes in Math 876 p.72-238 Springer 81
El Karoui Nicole 'Les Aspects Probailistes du Controle Stochastique' Lecture Notes in
Math 79
El Karoui Nicole 'Nonlinear Evolution Equations & Functionals of Measure-Valued
Branching Processes' Stoch. Diff.Systems Lecture 69 Springer 85
El Karoui Nicole 'Theorie du Potentiel et Controle Stochastique' Lecture Note 1096
Springer 84
El Karoui Nicole 'Une Propriete de Domination de l'Enveloppe de Snell des
Semimartingales Fortes' Seminar on Prob. 16, Lecutre 920 Springer 82
El Karoui Nicole, Antoine Frachot, Helyette Geman 'On the Behavior of Long Zero Coupon
Rates in a No Arbitrage Framework' R. Deriv. Research V.1 #4 2/98 <factor> <term
structure>
El Karoui Nicole, C. Kapoudjian, Etienne Pardoux, S. Peng, Maire-Claire Quenez
'Reflected Solutions of Backward SDEs & Related Obstacle Problems for PDEs' Ann.
Prob. 25 (97) <SDE>
El Karoui Nicole, C. Lepage, R. Myneni, N. Roseau, R. Viswanathan 'Arbitrage Pricing &
Hedging of Interest Rate Claims with State Variables: 1 Theory' w.p. U. Paris
12/93 <term structure>
El Karoui Nicole, C. Lepage, R. Myneni, N. Roseau, R. Viswanathan 'Arbitrage Pricing &
Hedging of Interest Rate Claims with State Variables: 2 Applications' w.p. U.
Paris 3/92 <term structure>
El Karoui Nicole, C. Lepage, R. Myneni, N. Roseau, R. Viswanathan 'Valuation & Hedging
of Contingent Claims with Markovian Interes Rates' w.p. U. Paris 3/91 <term
structure>
El Karoui Nicole, Etienne Pardoux, Maire-Claire Quenez 'Reflected Backward SDEs &
American Options' in Num.Method in Finance (ed.Rogers,Talay) <SDE>
El Karoui Nicole, Helyette Geman 'A Probabilistic Approach to the Valuation of General
Floating Rate Notes with an Application to Interest Rate Swaps' AFORv7(94)<term
structure>
El Karoui Nicole, Helyette Geman 'Note Worthy' RISK (?Mar) 91 floaters <term
structure>
El Karoui Nicole, Helyette Geman, Vincent Lacoste 'On the Role of State Variables in
Interest Rate Models' 5/95 <term structure>
El Karoui Nicole, Ioanis Karatzas 'Dynamic Allocation Problems in Continuous Time'
Annals of Applied Probability 94<optimal control>
El Karoui Nicole, Ioanis Karatzas 'General Gittins Index Process in Discrete
Time'<optimal stopping> Proc. Nation Acad. Science 3/93
El Karoui Nicole, Ioanis Karatzas 'Integration of Optimal Risk in a Stopping Problem
with Absorbtion' Semi. de Prob. 23, Lect 1372 89
El Karoui Nicole, Ioanis Karatzas 'New Approach to the Skorohod Problem and Its
Applications'<SDE> S&SR 1991
El Karoui Nicole, Ioanis Karatzas 'The Optimal Stopping Problem for a General American
Put-Option' <Options-American> Mathematical Finance (ed) Davis Springer
<options-american> 95
El Karoui Nicole, J.C. Rochet 'A Pricing Formula for Options on Coupon Bonds'<option-
bond> 1989
El Karoui Nicole, J-P. Lepeltier, B. Marchal 'Optimal Stopping of Controlled Markov
Processes'<optimal stopping> Advances in Filtering & Optimal Stochastic Control
Springer 1982
El Karoui Nicole, J-P. Lepeltier, B. Nisio 'Semigroup Associated to the Control Markov
Processes' Stochastic Differential Systems/ 82 Lecutre in Control & Opt. 43
Springer 82
El Karoui Nicole, Maire-Claire Quenez 'Dynamic Programming & Pricing of Contingent
Claims in an Incomplete Market' <complete markets> SIAM J. Control & Optim. 1995
El Karoui Nicole, Maire-Claire Quenez 'Imperfect Markets and Backward Stochastic
Differential Equations' in Num.Method in Finance (ed.Rogers,Talay)<SDE>
El Karoui Nicole, Maire-Claire Quenez 'Nonlinear Pricing Theory & Backward Stochastic
Differential Equations' in 'Financial Mathematics:Bressanone 96' Springer-Verlag
<SDE>
El Karoui Nicole, Monique Jeanblanc 'Options Exotiques' <option-exotic> 4/19/00
El Karoui Nicole, Monique Jeanblanc-Picque 'Martingale Measures and Partially
Observable Diffusions' <martingale> Stochastic Analysis and Applications 91
El Karoui Nicole, Monique Jeanblanc-Picque 'Optimization of Consumption with Labor
Income' Finance & Stochastics 8/98
El Karoui Nicole, Monique Jeanblanc-Picque, Steven Shreve 'Robustness of the Black &
Scholes Formula' MF 4/98 <option-pricing>
El Karoui Nicole, R. Myneni, R. Viswanathan 'Arbitrage Pricing & Hedging of Interest
Rate Claims with State Variables' w.p. U. Paris 12/93 <term structure>
El Karoui Nicole, S. Melerard 'Martingale Measures & Stochastic Calculus' <SDE> Prob.
Theory & Related Fields 1990
El Karoui Nicole, S. Peng, Maire-Claire Quenez 'Backward Stochastic Differential
Equations in Finance' MF 1/97 <options-numeric>
El Karoui Nicole, S. Roelly 'Proprietes de Martingales, Explosion et Representation de
Levy-Khintchine d'une Classe de Processus de Branchement a Valeurs Mesure'
<SDPE> SP&A 1991
El Karoui Nicole, S-J Huang 'General Result of Existence & Uniquness of Backward
Stochastic Differential Equations' in El Karoui,Mazliak (ed) 'Backward
Stochastic Differential Equations'
El Karoui Nicole, T. Cherif (92) 'Pricing d'Options de Taux Applications aux Options
sur la Contrat Notionnel ' wp Caisse Autonome de Refinancement
El Karoui Nicole, Vincent Lacoste 'Multifactor Models of the Term Structure of
Interest Rates' w.p. U. Paris 4/95<term structure>
Elandt R. 'Folded Normal Distribution:Two Methods of Estimating Parameters from
Moments'<distributions> Technometics 11-61
El-Bakry A., R. Tapia,Y. Zhang 'Study of Indicators for Identifying Zero Variables in
Interior Point Methods' SIAM Review 3/94
Elden L., F. Bernstsson, T. Reginska 'Wavelet & Fourier Methods for Solving the
Sideways Heat Equation' SIMA J. Sci. Comp 2000 <wavelet><inverse>
Elder J., M. Finn 'Creating Optimally Complex Models for Forecasting' FAJ Jan91
<models>
Eldridge R., C. Bernhardt, I. Mulvey 'Evidence of Chaos in S&P 500 Cash Index' AF&OR6
Eleswarapu V. 'Cost of Transacting & Expected Returns in the Nasdaq Market' JofF 12/97
Elgers P., J. Hltiner, W. Hawthorne 'Beta Regression Tendencies:Statistical & Real
Causes' JofF 3/79
Eliakim K., E. Prisman 'Arbitrage,Clientele Effects & Term Structure of Interest
Rates' JF&QA 12/91
El-Jabel Lina, Lindberg H., M. Orszag & W. Perraudin 'Yield Curves with Jumps in Short
Rates' (in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities'
El-Jabel Lina, W. Perraudin,P. Sellin 'Value at Risk for Derivatives' J. of
Derivatives Spring 99 <VAR><Heston, Stochastic Volatility, characteristic
function>
Ellickson B., B. Grodal , S. Schotchmer, William Zame 'Clubs & the Market'
Econometrica 9/99
Elliot G., T. Rothenberg, J. Stock 'Efficient Tests for Autoregressive Unit Root'
Econometrica 7/96
Elliott G. 'On the Robustness of Cointegration Methods when Regressors Almost Have
Unit Roots' Econometrica 1/98
Elliott J. 'The Cost of Capital & US Capital Investment:A Test of Alternative
Concepts' JofF 9/80
Elliott J., J. Baier 'Econometric Models & Current Interest Rates:...Predict Future'
JofF 9/79
Elliott J., J. Baier 'Econometric Models & Current Interest Rates:How Well Do They
Predict Future Rates-A Reply' JofF 9/80
Elliott Robert 'A Discrete Time Equivalent Martingale Measure' <martingale>
Elliott Robert 'Stochastic Calculus and Applications' Applications in Math #18
Springer NY 1982
Elliott Robert, A. Al-Hussaini 'Two Parameter Filtering Equations for Jump Process
Semimartingales'<martingale> Advances in Filtering & Optimal Stochastic Control
Springer 1982
Elliott Robert, A. Cadenillas 'Pricing Swing Options'
Elliott Robert, A. Tsoi 'Martingale Representation in Continuous Trading' Confer.on
Decision & Control (33rd) 1994<martingale>
Elliott Robert, A. Tsoi, S. Lui 'Short Rate Analysis & Marked Point Processes'
<interest rates> Math. Methods of O.R. 99
Elliott Robert, C. Lahaie , Dilip Madan 'Filtering Derivative Security Valuations from
Market Prices'<martingale>
Elliott Robert, C.H. Lahaie , Dilip Madan 'Filtering Derivative Security Valuations
from Market Prices' (in Dempster M.,S. Pliska (ed) 'Math. of Derivative
Securities'
Elliott Robert, Dilip Madan 'A Discrete Time Equivalent Martingale Measure'MF 4/98 ,
<martingale>
Elliott Robert, Helyette Geman,B. Kobkie 'Portfolio Optimization & Contingent Claim
Pricing iwth Differential Information' Stochastics 97
Elliott Robert, J. van der Hoek 'An Application of Hidden Markov Models to Asset
Allocation Problems' Finance & Stochastics 97 <asset pricing>
Elliott Robert, J. van der Hoek 'Stochastic Flows and Forward Measure' Finance &
Stochastics 10/01 <term structure><Gaussian, affine>
Elliott Robert, Michael Kohlmann 'Short Proof of a Martingale Representation
Result'<martingale> Statistics & Probability Letters 6(1988)
Elliott Robert, Michael Kohlmann 'Integration by Parts, Homogeneous Chaos Expansions &
Smooth Densities' Annals of Probability 1989 <finite Diff.>
Elliott Robert, Monique Jeanblac 'Incomplete Markets with Jumps & Informed Agents'
<Complete Markets> Math. Metho. OR 99
Elliott Robert, Monique Jeanblanc-Picque, Marc Yor 'On Models of Default Risk' MF
4/2000 , 5/99 <credit risk>
Elliott Robert, P. Ekkehard Kopp 'Direct Solution of Kolmogorov's Equations by
Stochastic Flows' J. of Mathematical Analysis & Applications 142
(1989)<SDE><Backward/Forward>
Elliott Robert, P. Fischer, Eckhard Platen 'Filtering & Parameter Estimation for a
Mean Reverting Interest Rate Model' 98 <term structure>
Elliott Robert, P. Myneni, R. Viswanathan 'Theorem of El Karoui & Karatzas Applied to
American Options' U. Alberta 90
Elliott Robert, R. Rishel 'Estimating the Implicit Interest Rate of a Risky
Asset'<term structure> SP&A 1994
Elliott Robert, William Hunter, P. Ekkehard Kopp, Dilip Madan 'Pricing via
Multiplicative Price Decomposition' J. Finan.Engin. 9/95
Ellis D. 'Different Sides of the Same Story:Investors & Issuers Views of Rating
Agencies' J. Fixed Income 3/98
Ellis K., R. Michaely, M. O'Hara 'Accuracy of Trade Classification Rules:Evidence from
Nasdaq' JFA&QA 12/2000
Ellis K., R. Michaely, M. O'Hara 'When the Underwriter is the Market Maker:An
Examination of Trading in the IPO Aftermarket' JofF 6/00
Ellis R., T. McGuire 'Supply-Side & Demand Side Cost Sharing in Health Care'
J.Econ.Persp. Fall 93
Ellison G. 'Learning,Local Integration & Coordination' Econometrica 9/93
Elmer P., A. Haidorfer 'Preypayments of Mutifamiliy Mortgage-Backed Securities' J.
Fixed Income 3/97
Elms D. 'Rationale of Rations' <Options-Exotic-Share Ratios> RISK 8/95
Elster J. 'Emotions & Economic Theory' JEL 3/98
Elton Edwin 'Expected Return, Realized Return, Asset Pricing Tests' JofF 8/99
Elton Edwin, Martin Gruber 'Estimation of Dependent Structure of Share Prices' JofF
12/73
Elton Edwin, Martin Gruber 'Non-Standard CAPMs & the Market Portfolio' JofF 7/84
Elton Edwin, Martin Gruber 'Portfolio Theory when Investment Relatives are Lognormally
Distributed' JofF 9-74
Elton Edwin, Martin Gruber 'Rationality of Asset Allocation Recommendations' JF&QA
3/2000
Elton Edwin, Martin Gruber, C. Blake 'Fundamental Economic Variables,Expected Returns
& Bond Fund Performance' JofF 9/95
Elton Edwin, Martin Gruber, C. Blake 'Peristence of Risk-Adjusted Mutual Fund
Performance' JofBusiness 4/96
Elton Edwin, Martin Gruber, C. Blake 'Survivorship Bias & Mutual Fund Performance' RFS
Winter 96
Elton Edwin, Martin Gruber, J. Mei 'Cost of Capital Using Arbitrage Pricing
Theory:Case Study of Nine N.Y. Utilities' Financial Markets,Insti.& Instrum.
V3#3#94
Elton Edwin, Martin Gruber, J. Rentzler 'Arbitrage Pricing Model & Returns on Assets
Under Uncertain Inflation' JofF 5/83
Elton Edwin, Martin Gruber, J. Rentzler 'Ex-Dividend Day Behavior of Stock Prices:Re-
exam. of Clientele Effect:Comment' JofF 6/84
Elton Edwin, Martin Gruber, M. Padberg 'Simple Criteria for Optimal Portfolio
Selection:Tracing out the Efficient Frountier' JofF 3/78
Elton Edwin, Martin Gruber, R. Michaely 'Structure of Spot Rates & Immunization' JofF
6/90
Elton Edwin, Martin Gruber, Sanford Grossman 'Discrete Expectational Data & Portfolio
Performance' JofF 7/86
Elton Edwin, Martin Gruber, T. Urich 'Are Betas Best?' JofF 12/78
Elworthy K., X-M. Li, Marc Yor 'Importance of Strictly Local Martingale:Applications
of Radial Ornstein-Uhlembeck Processes' Prob. Theory Related Field 99 <SDE>
Elworthy K., X-M. Li, Marc Yor 'The Importance of Strickly Local
Martingales:Applicaitons to Radial Ornstein-Uhlenbeck Processes' <martingales>
Prob. Theory & Related Fields 99
Emanuel D. 'Theoretical Model for Valuing Preferred Stock' JofF 9/83
Emanuelli J., R. Pearson 'Using Earnings Estimates for Global Asset Allocation' FAJ
3/94
Embrechts Paul 'Survival Kit on Quantile Estimation' 97 <risk>
Embrechts Paul 'The End of the Curve' Insurance RISK 7/99 <risk> <extreme value>
Embrechts Paul, A. McNeil, Daniel Straumann 'Correlation & Dependency in Risk
Management:Properties & Pitfalls' 11/98 <risk> <copula,VaR,insurance>
Embrechts Paul, A. McNeil, Daniel Straumann 'Correlation:Pitfalls & Alternatives' RISK
5/99 , 3/99 <risk> <copula,VaR,insurance>
Embrechts Paul, Claudia Kluppelberg, P. Mikosch 'Modeling Extemal Events' Springer 97
Embrechts Paul, L.C.G. Rogers, Marc Yor 'A Proof of Dassios Representation of the
Alpha-Quantile of Brownian Motion with Drift' Ann Applied Prob 95 <brownian>
Embrechts Paul, Makoto Maejima 'An Introduction to the Theory of Selfsimilar
Stochastic Processes' 2000 <stochastic>
Embrechts Paul, Michel Dacorogna, G. Samorodnitsky, Ulrich Muller 'How Heavy are the
Tails of a Stationary HARCH(k) Process?:Study of the Moments'9/96 <returns>
Embrechts Paul, Sideny Resnick, G. Samorodnitsky 'Living on the Edge' RISK 1/98
,<capital adequacy> 97 <risk>
Embrechts Paul, Sidney Resnick, G. Samorodnitsky 'Extreme Value Theory as a Risk
Mangement Tool' 98 <risk>
Emery M. 'Une Topolgie sur l'Espace des Semimartingales' Seminaire de Prob. XIII
Lecture Notes 721 79
Emmanuel D., J. MacBeth 'Further Results on the Constant Elasticity of Variance Call
Option Pricing Model' JF&QA 82 <CEV>
Emmons W. 'Price Stability & the Efficiency of the Retail Payments System' Review S.L.
FRB v 78 #5
Emmons W. 'Recent Developments in Wholesale Payment Systems' Review FRB St. Louis
11/97
Enchev O., J. Stoyanov 'Stochastic Integrals for Gaussian Random Functions'
<stochastics> Stochastics v3. 1980
Enders W. 'Applied Econometric Time Series' Wiley 95
Engel J.,M. Gizycki 'Conservatism, Accuracy & Efficiency:Comparing Value-At-Risk
Models' 2/99 <risk>

Engelmann B., P. Schwendner 'The Pricing of Multi-Asset Options Using a Fourier Grid
Method' J. Comp. Finance Summer 98 <options-rainbow>
Engen E., W. Gales,J. Scholz 'Illusory Effects of Saving Incentives on Savings' J.
Econ. Per. Fall 96
Engers M. 'Signalling with Many Signals' Econometrica 5/87
Engers M., L. Fernandez 'Market Equilibrium with Hidden Knowledge & Self-Selection'
Econometrica 3/87
Engle C., J. Rogers 'How Wide is the Border?' AER 12/96
Engle Robert 'Autoregressive Conditional Heteroscedasticity with Estimates of the
Variance of U.K. Inflation'<econometrics> Econ July 82
Engle Robert 'Econometrics of Ultra-High Frequency Data' Econometrica 1/2000
Engle Robert 'Statistical Models for Financial Volatility' FAJ 1/93
Engle Robert 'Testing the Super Exogeneity & Invariance in Regression
Models'<regression>w.p. June 90
Engle Robert, A. Kane, J. Noh 'Index-Option Pricing with Stochastic Volatility & the
Value of Accurate Variance Forecasts' R. Derivatives Research V1 #2 96 , 10/93
<volatility>
Engle Robert, B. Yoo 'Forecasting & Testing in Co-integrated systems' 4-86 U. Cal. San
Diego
Engle Robert, C. Hong, A. Kane, J. Noh 'Arbitrage Valuation of Variance Forecasts with
Simulated Options' AF&OR6
Engle Robert, C. Mustafa 'Implied ARCH Models from Option Prices' J. Econometrics 92
<ARCH>
Engle Robert, Clive Granger 'Co-integration & Error Correction:Representation,
Estimation & Testing' Econometrica 3/87
Engle Robert, D. Hendry, D. Trumble 'Small Sample Properties of ARCH Estimators &
Tests' 85-6 <ARCH> U Cal. San Diego
Engle Robert, D. Hendry, J. Richard 'Exogeneity' Econometrica 3/83
Engle Robert, D. Lilien, R. Robins 'Estimating Time Varying Risk Premia in the Term
Structure:The Arch-M Model' Econometrica 3/87
Engle Robert, G. Gonzalez-Rivera 'Semiparametric ARCH Models'<ARCH> w.p. U Cal. San
Diego April 89
Engle Robert, G. Lee 'Estimating Diffusion Models of Stochastic Volatility' from
"Modelling Stock Market Volatility" 96 <volatility>
Engle Robert, J. Mezrich 'GARCH for Groups'<ARCH> RISK 8/96
Engle Robert, J. Mezrich 'Grappling with GARCH'<volatiltiy> RISK 9/95
Engle Robert, Joshua Rosenberg 'GARCH Gamma' J. Derivatives Summer 95
Engle Robert, Joshua Rosenberg 'Testing the Volatility Term Structure using Option
Hedging Criteria' J. Deriv. Fall 2000 ,12/97 <volatility>
Engle Robert, T. Ito, W. Lin 'Metero Showers or Heat Waves? Heteroskedacity of Intra-
Daily Volatility in the Foreign Exchange Market' Econometrica 5/90
Engle Robert, V. Ng 'Measuring & Testing Impact of News on Volatility' JofF 12/93
Engle Robert, V. Ng 'Time-Varying Volatility & Dynamic Behavior of Term Structure'
<term structure> NBER 4/91
Engle Robert, V. Ng, M. Rothschild 'Asset Pricing with a Factor ARCH Covariance
Structure:Empirical Esitmates for Treasury Bills' <effective markets' wp 7/87
Engle Robert, V. Ng, Michael Rothschild 'Asset Pricing with a FACTOR-ARCH Covariance
Structure:Empirical Estimates for Treasury Bills' J.Econometrics (90)
Englisch H. 'Arbitrage und die Dominanzrelation bei Anleihen' <Borrowing> U. Leipzing
94
English W. 'Understanding the Costs of Soverign Default:American State Debts in the
1840s' AER 3/96
Engsted T. 'Cointegration & Cagan's Model of Hyperinflation under Rations
Expectations' J. Money,Credit & Banking 93
Engsted T. 'Does the Long Term Interest Rate Predict Future Inflation?' Aarhus 93
Ennis R. 'Structure of the Investment Management Industry:Revisting the New Paradigm'
FAJ 7/97
Enos M. 'On Dynamics & Control of Cats,Satellites & Gymnasts II' SIAM 11/92
Epple D., R. Romano 'Competition Between Private & Public Schools, Vouchers & Peer-
Group Effects' AER 3/98
Epps T. 'Finanical Risk & St. Petersburg Paradox:Comment' JofF 12/78
Epps T., M. Epps 'Stochastic Dependence of Security Price Changes & Transaction
Volumes:Mixed Distributions' <distributions> Econometrica 1976
Epps W. 'Pricing Derivative Securities' World Scientific 6/2000
Epstein D., Paul Wilmott 'A New Model for Interest Rates' Int. J. Theory & App.
Finance 98 <interest rates>
Epstein D., Paul Wilmott 'A Nonlinear Non-Probabilistic Spot Interest Rate
Model'Philo. Trans.:Math,Phy.,Engin Aug 99 v357 #1758 ,<interest rates>
Epstein D., Paul Wilmott 'Yield Envelope:Price Ranges for Fixed Income Products'
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Fama Eugene 'Information in the Term Structure' 6/84
Fama Eugene 'Interest Rates & Inflation:Message in the Entrails ' AER 6/77 <interest
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Fama Eugene, A. Farber 'Money, Bonds ,Foreign Exchange AER 79 <foreign exchange>
Fama Eugene, James MacBeth 'Long-term Growth in a Short-Term Market' JofF 6/74
Fama Eugene, James MacBeth 'Risk, Return & Equilibrium Empirical Tests' JPE 73 <risk>
Fama Eugene, Kenneth French 'Business Conditions & Expected Returns of Stocks & Bonds'
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Fama Eugene, Kenneth French 'Business Cycles & the Behavior of Metals Prices' JofF
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Fama Eugene, Kenneth French 'Commodity Futures Prices:Some Evidence on Forecast Power,
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Fama Eugene, Kenneth French 'Common Risk Factors in the Returns on Bonds & Stocks' 92
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Fama Eugene, Kenneth French 'Cross Section of Expected Stock Returns' JofF 6/92
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Fama Eugene, Kenneth French 'Multifactor Explanations of Asset Pricing Anomalies' JofF
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Fama Eugene, Kenneth French 'Size & Book-to-Market Factors in Earnings & Returns' JofF
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Fama Eugene, Kenneth French 'Taxes, Financing Decisions & Firm Value' JofF 6/98
Fama Eugene, Kenneth French 'The CAPM is Wanted:Dead or Alive' JofF 12/96
Fama Eugene, Kenneth French 'The Corporate Cost of Capital and the Return on Corporate
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Fama Eugene, Kenneth French 'Value versus Growth:Intenational Evidence'JofF 12/98
Fama Eugene, Kenneth French, D. Booth, R. Sinquefield 'Differences in Risks & Returns
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Fama Eugene, L. Fisher, M. Jensen, Richard Roll 'Adjustment of Stock Prices to New
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Fama Eugene, Michael Gibbons 'Comparison of Inflation Forecasts' JME 84 <inflation>
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Fedenia M., T. Grammatikos 'Options Trading & Bid-Ask Spread of Underlying Stocks' JB
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Feder G., K. Ross 'Risk Assessment & Risk Premiums in the Eurodollar Market' JofF 6/82
Fedorova A., M. Zeitlin 'Wavelets in Optimization & Approximation' 6/98 <Wavelet> Math
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Fernandes A. 'Elliptic-Curve Crypthograpy' Dr. Dobbs 12/99 <cryptography>
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Fernandex-Cara E. 'On the Approximation & Null Controlability of the Navier-Stokes
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Ferone V., R. Volpicelli 'Comparison Results for Solutions of Parabolic Equations'
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Ferrante M., Arturo Kohatsu-Higa, Marta Sanz-Sole 'Strong Approximation for Stochastic
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Ferris M., J. Pang 'Engineering & Economic Applications of Complementary Problems'
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Ferson Wayne 'Theory & Empirical Test of Asset Pricing Models' 92 <asset>
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Ferson Wayne, Campbell Harvey 'Conditional Variables & the Cross Section of Stock
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Ferson Wayne, Campbell Harvey 'Seasonality & Consumption Based Asset Pricing' JofF
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Ferson Wayne, Campbell Harvey 'Total Risk & Predictiability of International Equity
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Ferson Wayne, Robert Korajczyk 'Do Arbitrage Pricing Models Explain the Predictability
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Figlewski Stephen, G. Webb 'Options,Short Sales & Market Completeness' <options-
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Figlewski Stephen, S. Kon 'Portfolio Management with Stock Index Futures' FAJ 82
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Filipovic Damir 'A General Characterization of Affine Term Structure Models' tobe
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Filipovic Damir 'A Note on the Nelson-Siegel Family' MF 10/99 <term structure><inverse
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Filipovic Damir 'Exponential-Polynomial Families & the Term Structure of Interest
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Finkelshtain I., O. Kella, M. Scarsini 'On Risk Aversion with Two Risks' Finance &
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Finkelstein V. 'What to do with Risky Bonds' RISK Latin special report 11/99
Finnerty John 'Adjusting the Binomial Model for Default Risk' J. Port. Man. Winter 99
Finnerty John 'Advance Refunding of Nonredeemable High-Coupon Corportate Debt Through
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Finschi L. 'Quasi-Monte Carlo:An Empirical Study on Low-Discrepancy Sequences' 96
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Ghysels Eric 'On the Economics & Econometrics of Seasonality' 90 <regression>
Ghysels Eric, A. Hall 'An Extension of Quadrature-based Methods for Solving Euler
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Ghysels Eric, A. Hall 'Are Consumption Based Intertemporal Capital Asset Pricing
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Ghysels Eric, L. Khalaf,C . Vodounou 'Simulation Based Inference in Moving Average
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Giles D., V. Srivastava 'Exact Distribution of a Least Squares Regression Coefficient
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Giles J., D. Giles 'Preliminary test Estimation of the Regression Scale Parameter When
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Giliberto S. 'Measuring Real Estate Returns:Hedged REIT Index' J. Portfolio
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Giliberto S., N. Varaiya 'Winners Curse & Bidder Competition in Acquistions:Evidence
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Gordon D., E. Leeper 'Dynamic Impacts of Monetary Policy:Exercise in Tentative
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Gordon M. 'General Solution to the Buy or Lease Decision:Pedagogical Note' JofF 3/74
Gordon M. 'Impact of Real Factors & Inflation on Performance of US Stock Market 1960-
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Gordon R. 'The Time-Varying NAIRU & its Implications for Economic Policy' <natural
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Gordon R. 'What is New Keynesian Economics' 9/90 <macroeconomics> JEL
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Goto F. 'Achieving Semiparametric Efficiency Bounds in Self-Censored Duration Models'
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Gourieraux Christian, Alain Monfort, Eric Renault 'Test for Common Roots' Econometrica
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Gourieroux Christian 'ARCH Models & Financial Applications' Springer 97
Gourieroux Christian, Alain Monfort 'Simulation-Based Econometric Methods' Oxford
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Gourieroux Christian, Alain Monfort, A. Trognon 'Pseudo Maximum Likelihood
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Graddy D., R. Kyle 'Simultaneity of Bank Decision-Making,Market Structure & Bank
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Gradel T., P. Crutzen 'Changing Atmosphere' SA 9/89
Graham F., F. Aschauer 'Fiscal Policy & Aggregate Demand'<Comment & Reply> AER 6/93
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Gubel E., D. Pyle 'Bank Income Taxes & Interest Rate Risk Management:Note' JofF 9/84
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Guo D. 'Predictive Power of Implied Stochastic Variance from Currency Options' JFM
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Guo D., Sergei Esipov 'Portfolio-Based Risk Pricing:Pricing Long-Term Put Options with
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Guo Dajiang 'Test of Efficiency for the Currency Option Market Using Stochastic
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Gupta A. 'On Neutral Ground' RISK 7/97 <hedging> <risk-neutral>
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Hadi A., R. Ling 'More Evidence on the Money-Output Relationship' Economic Inquiry 97
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Hagan Patrick, D. Woodward 'Equilvalent Black Volatilities' App.Math.Fin 9/99 ,1/99
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Hagan Patrick, D. Woodward 'Markov Interest Rate Models' Applied Math. Finance 12/99,
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Hagan Patrick, D. Woodward, Russel Caflisch, Joseph Keller 'Optimal Pricing, Use &
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Hagerman R. 'More Evidence on the Distribution of Security Returns' JofF 9/78
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Hajivassilious Vassilis, D. McFadden, P. Ruud 'Simulation of Multivariate Normal
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Hajmirzaahmad, A. Krall 'Singular Second-Order Operators:Maximal & Minimal Operators &
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Hakansson Nils 'Changes in the Financial Market:Welfare & Price Effects & the Basic
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Hakansson Nils 'Convergence to Isoelastic Utility Policy in Multiperiod
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Hakansson Nils 'Optimimal Investment & Consumption Strategies uner Risk for a Class of
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Hakansson Nils 'Supershares' <options-exotic> w.p Berkeley 8/91
Hakansson Nils 'Welfare Aspects of Options & Supershares' JofF 78
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Hall J. 'Covariance Matrix Estimation and the Power of the Overidentifying
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Hall S. 'A Note on the Estimation of GARCH-M Models using the Kalman Filter' Bank of
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Hall S., M. Stephenson 'Algorithm for Solution of Stochastic Optimal Control Problems
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Hammermesh M. 'Group Theory & its Application to Physical Problems' Dover Pub.
Hammond P. 'Consistent Plans,Consequentialim, & Expected Utility' Econometrica 11/89
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Han H., Ehud Ronn 'Valuation of Options on Eurodollar Futures'<eurodollar> J. Fixed
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Hancock G., P. Weise 'Competing Derivative Equity Instruments:Empirical Evidence on
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Hancock M. 'Risk & Reward in CMOs:Interest Rate Volatility Approach' J. of Fixed
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Hand J., R. Holthausen, R. Leftwich 'Effect of Bond Rating Agency Announcements on
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Handa P., R. Schwartz 'Limit Order Trading' JofF 12/96
Handa P., S. Kothari, C.Wasley 'Sensitivity of Multivariate Test of CAPM of Return
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Handa P., S. Linn 'Arbitrage Pricing with Estimation Risk' JF&QA 3/93
Handi S. 'Treasury Auctions:What Do the Recent Models & Results Tell Us? Review FRB
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Handley J. 'The Valuation of Share Ratio Contracts' J. Finan Engin. 12/96
Hanemann W. 'Discrete/Continuous Models of Consumer Demand' Econometrica 5/84
Hanemann W. 'Valuing the Envirnoment through Contingent Valuation' J.Econ.Persp. Fall
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Hankansson N. 'Welfare Aspects of Options & Supershares' JofF 6/78
Hanna M. 'Testing an Aggressive Investment Strategy:Value Line Ranks' JofF 3/83
Hannan E. 'Identification & Parameterization of ARMAX & State Space Forms' <time
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Hannan E.,L. Kavalieris 'Regression, Autoregression Models' J. Time Series Analysis
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Hanock M. 'CMOs & Competing Securities:Graphical Framework for Relative Value
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Hansch O., Narayan Naik, S. Wiswanathan 'Preferencing, Internalization, Best Execution
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Hansen A. 'Complete Market Prices in Weiner-Filtration without Existence of a
Martingale Measure' Dept OR Inst Math U. Arhus 96
Hansen A. 'Martingale Methods in Contingent Claim Pricing & Asymmetric Financial
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Hansen A., P. Jorgensen 'Analytical Valuation of American-Style Asian Options' 11/97
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Hansen A., P. Jorgensen 'Fast & Accurate Analytical Approximation of Bond Prices when
Short Interest Rates are Lognormal' J. Comp. Finance Spring 2000 <interest rate>
Hansen Asbjorn, R. Poulsen 'A Simple Regime Switching Term Structure Model' <term
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Hansen B. 'Autoregressive Conditional Density Estimation' Intern. Econ. Reivew 94
Hansen B. 'Consistent Covariance Matrix Estimaton for Dependent Heterogeneous
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Hansen B. 'Inference when a Nusiance Parameter is not Identified under the Null
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Hansen B. 'Model of Heteroskedastic Cointegration' <regression> 11-88
Hansen B. 'Regression with Nonstationary Volatility' Econometrica 9/95
Hansen B. 'Sample Spltting & Threshold Estimation' Econometrica 5/2000
Hansen B. 'The Grid Bootstrap & the Autoregressive Model' R. Econ. & Stat V 81 #4
Hansen L., Kenneth Singleton 'Generalized Instrumental Variables Estimation of
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Hansen Lars 'Asymtotic Distribution of Least Squares Estimator with Endogeneous
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Hansen Lars 'Econometric Evaluation of Asset Pricing Models' 7/94 <asset pricing>
<volatility>
Hansen Lars 'Large Sample Properties of Generalized Method of Moments' Econ 7/92
<econometrics>
Hansen Lars, E. McGrattan, Thomas Sargent 'Mechanics of Forming & Estimating Dynamic
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Hansen Lars, J. Heckman 'Empirical Foundations of Calibration' J.Econ. Perspect.
Winter 96
Hansen Lars, J. Scheinkman 'Back to the Future:Generating Moment Implications for
Continuous Time Markov Processes' Econometrica 7/95
Hansen Lars, J. Scheinkman, Nizar Touzi 'Spectral Methods for Identifying Scalar
Diffusions' 8/96 <statistics>
Hansen Lars, John Heaton, Amir Yaron 'Finite Sample Properties of Some Alternative GMM
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Hansen Lars, Kenneth Singleton 'Generalized Instrumental Variables Estimation of Non-
linear Rational Expectation Models' Econ. 9/82 <Rational Expect.>
Hansen Lars, Kenneth Singleton 'Stochastic Consumption, Risk Aversion & the Temporal
Behavior of Stock Market Returns'<uncertainity> W.P. Carnegie-Mellon U. Feb 81
Hansen Lars, Ravi Jagannathan 'Assessing Specification Errors in Stochastic Discount
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Hansen Lars, Robert Hodrick 'Forward Exchange Rates as Optimal Predictors of Future
Spot Rates' w.p. 4-79
Hansen Lars, S. Richard 'Role of Conditioning Information in Deducing Testable
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Hansen Lars, Thomas Sargent 'Dimensionality of Aliasing Problem in Models with
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Hansen Lars, Thomas Sargent 'Formulating & Estimating Dynamic Linear Rational
Expections Models: I' 79
Hansen P. 'Analysis of Discrete Ill-Posed Problems by Means of the L-Curve' SIAM
Review 12/92
Hansen R., J. Lott 'Externatilities & Corporation Objectives in a World with
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Hansen R., J. Pinkerton 'Direct Equity Financing:Resolution of a Paradox' JofF 6/82
Hansen R., N. Khanna 'Why Negotation with Single Syndicate Maybe Preferred...'
J.Business 7/94
Hansen R., P. Torregrosa 'Underwriting Compensation &^ Corporate Monitoring' JofF 9/92
Hansmann M., K. Holschuh 'Der deutsche Rentenmarkt-Struktur, Emittenten, Instrumente
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Hanson Floyd, J. Westman 'Optimal Consumption & Portfolio Policies for Important Jump
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Hanson Floyd, J. Westman 'Optimal Policies & Consumption for Important Jump
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Hanson R. 'Correction to McKelvey & Page, "Public & Private Information:Experimental
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Hanweck J. 'Hedging Non-Parallel Shifts in the Yield Curve' 3/96 <term structure>
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Hardle Wolgang, Christian Hafner 'Discrete Time Option Pricing with Flexible
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Hardle Wolgang, P. Tuan 'Some Theory on M-Smoothing of Time Series' J. Time Series
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Hardle Wolgang, V. Spokoiny, G. Teyssiere 'Adaptive Estimation for a Time Inhomogenous
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Hardle Wolgang, W. Hildenbrand, M. Jerison 'Empirical Evidence on the Law of Demand'
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Hardouvelis G. 'Evidence on Stock Market Speculative Bubbles:Japan,U.S. & Great
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Hardouvelis G. 'Margin Requirements & Stock Market Volatility 'FRB NY Quart. Review
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Hardouvelis G. 'Predictive Power of the Term Structure during Recent Monetary Regimes'
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Hardouvelis G. 'Reserves Announcements & Interest Rates:Does Monetary Polity Matter?
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Hardouvelis G.,D. Kim 'Price Volatility & Futures Margins' J.of Futures Markets 2/95
Harford J. 'Corporate Cash Reserves and Acquisitions' JofF 12/99
Harless D., C. Camerer 'Predictive Utility of Genralized Expected Utility Theories'
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Harlow W. 'Asset Allocation in a Downside-Risk Framework' FAJ Sept/Oct 91
Harlow W., R. Rao 'Asset Pricing in a Generalized Mean Lower Partial Moment
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Haroche S., J. Raimond 'Cavity Quantum Electrodynamics' SA <unlabeled>
Harper C., C. Fry 'Consistent Empirical Results with Almon's Method:Implications for
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Harper J. 'Reducing Parabolic Partial Differential Equations to Canonical Form' <Diff
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Harrington J. 'Limit Pricing when the Potential Entrant is Uncertain of its Cost
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Harris C. 'Existence & Characterization of Perfect Equilibrium in Games of Perfect
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Harris C.,P.Reny,A. Robson 'Existence of Subgame-Perfect Equilibrium in Continuous
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Harris D. 'Some Evidence on Differential Lending Practices at Commercial Banks' JofF
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Harris E. 'Why One Firm Is the Target & the other the Bidder in Single Bidder
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Harris F.,T. McInish,G. Shoesmith,R. Wood 'Cointegration Error Correction & Price
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Harris J.,R. Roenfeldt,P. Cooley 'Evidence of Financial Leverage Clienteles' JofF 9/83
Harris L. "Estimation of Stock Price Variances & Serial Covariances from Discrete
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Harris L. 'Minimum Price Variations,Discrete Bid/Ask Spreads & Quotation Transparency'
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Harris L. 'October 1987 S&P 500 Stock-Futures Basis' JofF 3/89
Harris L. 'S&P 500 Cash Stock Price Volatilities' JofF 12/89
Harris L. 'Statistical Properties of the Roll Serial Covariance Bid/Ask Spread
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Harris L. 'Transactions Data Tests of the Mixture of Distributions Hypothesis' JF&QA
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Harris L., E. Gurel 'Price & Volume Effects Associated with Changes in the S&P 500:New
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Harris L., J. Hasbrouck 'Market vs. Limit Orders:SuperDOT Evidence on Order Submission
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Harris M., A. Raviv 'Allocation Mechanisms & the Design of Auctions' Econometrica
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Harris M., A. Raviv 'Capital Budgeting Process, Incentives & Information' JofF 9/96
Harris M., A. Raviv 'Capital Structure & the Information Role of Debt' JofF 6/90
Harris M., A. Raviv 'Differences of Opinion Make a Horse Race' RFS 93
Harris M., A. Raviv 'Finanical Contrating Theory' in Advances in Econ. Theory VI v.2
Harris M., A. Raviv 'Sequential Signaling Model of Convertible Debt Call Policy' JofF
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Harris M., A. Raviv 'Theory of Capital Structure' JofF 3/91
Harris R. 'General Equilibrium Analysis of Capital Assets Pricing Model' U. Queens
Harris R., C. Kraft 'Modeling Through:Regulating Local Telephone Competiion in the
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Harris R., D. Ravenscroft 'Role of Acquistions in Foreign Direct Investment: Evidence
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Harris R., F. Marston 'Value versus Growth Stocks:Book-to-Market, Growth & Beta' FAJ
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Harrison J. Michael, Donald Kreps 'Martingales & Arbitrage in Multiperiod Security
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Harrison J. Michael, Larry Shepp 'On Skew Brownian Motion '<Brownian motion> Annals
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Harrison J. Michael, M. Taksar 'Instanteous Control of Brownian Motion' Math OR 8/83
<Brownian>
Harrison J. Michael, R. Pitbladdo, Steven Schaefer 'Continuous Price Processes in
Frictionless Markets Have Infinite Variation' <distributions> JofB 1984
Harrison J. Michael, Stanley Pliska 'A Stochastic Calculus Model of Continuous
Trading:Complete Markets' 1983 SP&A <martingale>
Harrison J. Michael, Stanley Pliska 'Martingales & Stochastic Integrals in the Theory
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Harrison J. Michael, T. Sellke,A. Taylor 'Impulse Control of Brownian Motion' Math OR
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Harsanyi J. 'Games with Incomplete Information' AER 6/95 <game>
Hart I. 'Unifying Theory' <bonds> <fixed income, convexity> RISK 2/97
Hart I., M. Ross 'Striking Continuity'<options-barrier> <hedge,knock-in/out> RISK 6/94
Hart O. 'On the Optimality of Equilibrium when the Market Structure is Complete' JET
75
Hart O., J. Moore 'Incomplete Contracts & Renegotiation' Econometrica 7/88
Hart S. 'An Axiomatization of Harsanyis Nontransfereable Utility Solution'
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Hart S. 'Nontransferable Utility Games & Markets:Some Examples & the Harsanyi
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Hart S. 'On Number of Commodities Required to Represent a Market Game' w.p.
Hart S., Andreu Mas-Colell 'A Simple Adaptive Procedure Leading to Correlated
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Hart S., Andreu Mas-Colell 'Bargaining & Value' Econometrica 3/96
Hart S., Andreu Mas-Colell 'Potential,Value & Consistency' Econometrica 5/89
Harte J., A. Kinzig,J. Green 'Self-Similarity in the Distribution & Abundance of
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Hartl R., S. Sethi, R. Vickson 'Survey of the Maximum Priciples for Optimal Control
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Hartley P., J. Whitt 'Macroeconomic Fluctuations in Europe:Demand or Supply, Permanent
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Hartman R. 'Monetary Uncertainty & Investment in an Optimizing,Rational Expectations
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Hartvig N., J. Jensen 'A Class of Risk Neutral Densities with Heavy Tails' Finance &
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Hartvig N., J. Jensen, J. Pedersen 'Risk Neutral Desnities of the "Christmas Tree"
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Hartzmark M. 'Is Risk Aversion a Theoretical Diversion?' R. Futures Markets' V7 #1 88
Hartzmark M. 'Regulating Futures Margin Requirements' R. Research in Futures Markets'
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Harvey Andrew 'Advances in Econometrics ' 5th World <Kalman> <regression>
Harvey Andrew 'Finite Sample Predictors & Overdifferencing' J. Time Series Analysis #4
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Harvey Andrew, E. Ruiz, Neil Shephard 'Multivariate Stochastic Variance Models'<ARCH>
w.p. London School of Econ 1/91
Harvey Andrew, G. Phillips 'Testing for Serial Correlation in Simultaneous Equation
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Harvey Andrew, Neil Shephard 'Estimation of an Asymmetric Stochastic Volatility Model
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Harvey Campbell 'Specification of Conditional Expectations' 91 <asset pricing>
Harvey Campbell 'Term Structure Forecasts Economic Growth' FAJ 5/93
Harvey Campbell 'Time-Varying Conditional Covariance in Test of Asset Pricing Models '
JFE 89 <asset pricing>
Harvey Campbell 'World Price of Covariance Risk' JofF 3/91
Harvey Campbell, A. Siddique 'Autoregressive Conditional Skewness' JF&QA 12/99
Harvey Campbell, A.Siddique 'Conditional Skewness in Asset Pricing Tests' JofF 6/00
Harvey Campbell, Robert Whaley 'Dividends & S&P Index Option Valuation' JFM 4/92
Harvey Campbell, Robert Whaley 'S&P 100 Index Option Volatility' JofF 9/91
Hasan I.,S. Smith 'Note on Competition, Fixed Costs & Profitability of Depository
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Hasan I.,W. Hunter 'The Income Smoothing Hypothesis:An Analysis of the Thrift
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Hasan M.,R. Koenker 'Robust Rank Tests of the Univariate Root Hypothesis' Econometrica
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Hasbrouch J., T. Ho 'Order Arrival, Quote Behavior & Return Generating Process' JofF
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Hasbrouck J. 'Measuring the Information Content of Stock Trades' JofF 3/91


Hasbrouck J. 'One Security, Many Markets:Determining the Contributions to Price
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Hasbrouck J. 'The Dynamics of Discrete Bid and Ask Quotes' JofF 12/99

Haselgrove C. 'Method for Numerical Integration' Mathematical Computing 1961<numeric>


Haskins W. 'Views on Monetary Policy' <comm. G. Rich> Review Fed S.L. 3/93
Haslinger F. 'The Bermgman Kernel & a Generalized Fourier-Borel Transform'
Hassbrouck J., G. Sofianos 'Trades of Market Makers:Empirical Analysis of NYSE
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Hassin R. 'Consumer Information in Markets with Random Product Quality:Case of Queues
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Hassin R. 'On the Optimality of First Come Last Served Queues' Econometrica 1/85
Hatgioannides Y. 'Stochastic Calculus & its Applications in Continuous-Time Arbitrage-
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Hathaway N. 'Testing the Cox-Ingersoll-Ross Term Structure Model:Australian Evidence'
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Hatheway F. 'Time Series Model of Futures Time & Sales Data' Research Symp Proced. CBT
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Hau H. 'Competitive Entry & Endogenous Risk in the Foreign Exchange Market' RFS Winter
98
Haug A., R. Lucas 'Long-Run Neutratility & Superneutrality in an ARIMA Framework' AER
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Haug Espen 'Barrier Put-Call Transformations' 2/99 <options-barrier>
Haug Espen 'Closed Form Valuation of American Barrier Options'Intern.J. Theor&App.
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Haugen R., A. Stroyny, D. Wichern 'Rate Regulation, Capital Structure & the Sharing of
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Haugen R., D. Wichern 'Diametric Effects of the Capital Gains Tax on Stability' JofF
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Haugen R., D. Wichern 'Elasticity of Financial Assets'in RII & JofF 9-74
Haugen R., E. Talmor, Walter Torous 'Effect of Volatility Changes on the Level of
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Haugen R., L. Senbet 'Insignificance of Bankruptcy Costs to the Theory of Optimal
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Haugen R., L. Senbet 'On Resolution of Agency Problems by Complex Financial
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Haugen R., L. Senbet 'Resolving the Agency Problems of External Capital Through
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Haugen R., N. Baker 'Interpreting Evidence on Risk & Expected Return:Comment' J.
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Haugen R., Philippe Jorion 'The January Effect:Still There after All These Years' FAJ
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Hauser R., D. Neff 'Export/Import Risks at Alternative Stages of U.S. Grain Export
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Hauser S., A. Levy, L. Yaari 'Trading Frequency & Implied Transaction Costs of the
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Hauser S., B. Lauterbach 'Relative Performance of Five Alternative Warrant Pricing
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Hauser S., B. Lauterbach 'Tests of Warrant Pricing Models:Trading Profits' J.
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Hauser S., M. Marcus, U. Yaari 'Investing in Emerging Stock Markets:Is it Worthwhile
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Hauser,R., Eales "On Marketing Strategies with Options: A Technique to Measure Risk &
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Haushalter G. 'Financing Policy,Basis Risk & Corporate Hedging:Evidence from Oil & Gas
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Hausman Jerry 'An Instrumental Variable Approach to Full Information Estimators for
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Hausman Jerry 'Econometrics of Nonlinear Budget Sets' Econometrica 11/85
Hausman Jerry 'Effect of Time inEconomic Experiments' in Advances in Econometrics V.5
Hausman Jerry, B. Hall, Ziv Griliches 'Econometric Models for Count Data with
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Hausman Jerry, D. McFadden 'Specification Tests for Multinomial Logit Model'
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Hausman Jerry, W. Taylor 'Panel Data & Unobservable Individual Effects' Econometrica
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Hausman Jerry, Whitney Newey 'Nonparametric Estimation of Exact Consumer Surplus &
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Hausman Jerry, Whitney Newey, W. Taylor 'Efficient Estimation & Identification of
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Haussman D., M. McPherson 'Taking Ethics Seriously' JEL 6/93
Haussmann Ulrich 'Functionals of Ito Processes as Stochastic Integrals' <stochastics>
J. Control & Optimization March 78
Haussmann Ulrich 'On the Integral Representation of Functionals of Ito Processes'
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Haussmann Ulrich 'On the Stochastic Maximum Principle'<optimal control> J. Control &
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Haussmann Ulrich, W. Anderson, A. Boyararsky 'A New Stochastic Time Optimal Control
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Haussmann Ulrich, W. Suo 'Singular Optimal Stochastic Controls:Existence,Dynamic
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Haveman R. 'Should Generational Accounting Replace Public Budgets & Deficits' J.
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Haveman R., B. Wolfe 'Childrens Prospects & Childrens Policy' J.Econ.Persp. Fall 93
Haveman R., B. Wolfe 'Determinates of Childrens Attainments' <alpha> JEL 12/95
Hawawini G., A. Vora 'Yield Approximations:Historial Perspective' JofF 3/82
Hawawini, G. 'Why Beta Shifts as the Return Interval Changes' <portfolio> FAJ May 83
Hawkins Raymond 'Maximum Entopy & Derivative Securities ' Advanc. in Econometrics v.12
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Hayashi F. 'Tobins Marginal q & Average q:Neoclassical Interpretation' 81 <Capital
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Hayashi F.,J. Kotlikoff 'Risk Sharing Between & Within Families' Econometrica 3/96
Hayashi F.,T Inoue 'Relation Between Firm Growth & Q with Multiple Capital
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Haykov J. 'Better Control Variate for Pricing Standard Asian Options'<options-aveage>
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Hayre L. 'A Simple Statistical Framework for Modeling Burnout & Refinancing Behavior'
J.Fixed Income 12/94
Hayre L. 'Anatomy of PAC Bonds' J. of Fixed Income 6/92
Hayre L. 'Random Error in Prepayment Projections' J. Fixed Income 9/97
Hayre L., A. Rajan 'Anatomy of Prepayments:Salomon Brothers Prepayment Model'
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Hayre L., C. Huang, T. Zimmerman 'Analysis of Home-Equity Securities' J. Fixed Income
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Hayre L., C. Huang, V. Pica 'Stochastic Horizon Analysis' J. Fixed Income 6/93
Hayre L., H. Chang 'Effective & Empirical Durations of Mortgages' J. Fixed Income 3/97
Hayre L., J. Lauterbach 'Partial & Full Prepayments & Modeling of Mortgage Cash Flows'
J. Fixed Income 9/91
Hayre L., S. Chaudhary , R. Young 'Anatomy of Prepayments' J. Fixed Income 6/2000
Hayt G. 'How to Price Credit Risk' RISK 1/2000
Hazen R., L. Finger 'Crystals at High Pressure' SA 5/83 <topology>
Hazuka T. 'Consumption Betas & Backwardation in Commodity Markets' JofF 7/84
Hazuka T., L. Huberts 'Valuation Approach to Currency Hedging' FAJ 3/94
He H. 'Consumption and Portfolios' JET (94)
He H. 'Convergence from Discrete to Continuous-Time Contingent Claim Prices'<option-
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He H. 'Moment Approximation & Estimation of Diffusion Models of Asset
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He H. 'Optimal Consumption-Portfolio Policies:Convergence from Discrete to Continuous
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He H., H. Leland 'On Equilibrium Asset Price Processes' Review of Finan.Stud 93 <asset
price>
He H., Neil Pearson 'Consumption & Portfolio Policies with Incomplete Markets & Short-
Sale Constraints:the Finite Dimensional Case' <consumption> MF 7/91
He H., Neil Pearson 'Consumption & Portfolio Policies with Incomplete Markets & Short-
Sale Constraints:the Infinite Dimensional Case' <complete markets> JET 91
He H., W. Keirstead, J. Rebholz 'Double Lookbacks'<options-lookback> MF 7/98
He Hua 'Modeling Term Structures of Swap Spreads' <swaps> 5/2000
He Hua, Akoihiko Takahashi 'A Variable Reduction Technique for Pricing Average Rate
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He Hua, Chi-fu Huang 'Consumption-Portfolio Policies:An Inverse Optimal Problem' JET
94
He Hua, Chi-fu Huang 'Efficient Consumption-Portfolio Policies' Berkeley IBER
He Hua, D. Modest 'Market Frictions & Consumption-Based Asset Pricing' <asset
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He J., L. Ng 'Economic Forces, Fundamental Variables & Equity Returns' J.of Business
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He J., L. Ng 'Foreign Exchange Exposure of Japanese Multinational Corporations' JofF
4/98
He J., L. Ng, C. Zhang 'Tests of the Relationships Among Economic Forces, Fundamental
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He J., R. Kan, L. Ng, C. Zhang 'Tests of the Relations Among Marketwide Factors, Firm-
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JofF 12/96
He Janet 'Empirical Tests of the Capital Asset Pricing Model & the Predictability of
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He X., J. Jureckova, R. Koenker, S. Portnoy 'Tail Behavior of Regression Estimators &
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Head A., Sam Howison, John Ockendon, S. Tighe 'An Equilibrium Theory of Dislocation
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Healey T., D. Hardy 'Growh in Alternative Investments' FAJ 7/97
Healy C., E. Sgromo 'How to Beat S&P 500 Index Using Credit Analysis Alone' J.
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Healy L., E. Deprit 'Paint by Number:Uncovering Phase Flows of an Integrable Dynamical
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Heaney W., P. Cheng 'Continuous Maturity Diversification of Default-Free Bond
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Heaney J., G.Poitras 'Security Markets,Diffusion State Processes & Arbitrage-Free
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Heath David 'A Continuous-Time Version of Kulldorff's Result' 93
Heath David 'Risk Management with Coherent Measures of Risk' 1/2001
Heath David 'Some New Term Structure Models' 1/98
Heath David 'Term Structure Models based on Futures Prices' 7/98 <term structure>
Heath David, D. Jara 'Term Structure Models Based on Futures Prices' 11/98 CMU <term
structure>
Heath David, Eckhard Platen, Martin Schweizer 'Comparison of Some Key Approaches to
Hedging in Incomplete Markets' 12/99 <PDE, Simulation,Heston> <hedging>
Heath David, Eckhard Platen, Martin Schweizer 'Numerical Comparison of Local Risk-
Minimisation & Mean-Variance Hedging' 99 <hedging>
Heath David, Martin Schweizer 'Martingales versus PDEs in Finance:An Equivalence
Result with Examples' 9/99 <martingale><Feynman-Kac>
Heath David, Robert Jarrow 'Arbitrage, Continuous Trading & Margin Requirements' JofF
12/87
Heath David, Robert Jarrow, Andrew Morton 'Bond Pricing & the Term Structure of
Interest Rates' Econometrica Jan 92
Heath David, Robert Jarrow, Andrew Morton 'Bond Pricing & the Term Structure of
Interest Rates: A Discrete Time Approximation' <term structure> JF&QA Dec 90
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Heckman J., B. Honore 'The Empirical Content of the Roy Model' Econometrica 9/90
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Hegstrom R., D. Kondepudi 'Handedness of the Universe' 1/90 SA
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Heitmann F., S. Trautmann 'Gaussian Multi-factor Interest Rate Models:Theory,
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Heittich R., K. Kortanek 'Semi-Infinite Programming:Theory,Methods & Applications'
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Heller A. 'On the Stochastic Processes Derived from Markov Chains' 8-65 Annals of Math
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Hellwig M., W. Leininger, P. Reny, A. Robson 'Subgame Perfect Equilibrium in
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Helpman E. 'Trade Patterns under Uncertainity with Country Specific Shocks'
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Helwege J. 'How Long Do Junk Bonds Spend in Default?' JofF 2/99
Helwege J., C. Turner 'Slope of the Credit Yield Curve for Speculation-Grade
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Helwege J., P. Klieman 'Understanding Aggregate Default Rates of High-Yield Bonds' J.
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Hemler M. 'Quality Delivery Option in Treasury Bond Futures Contracts' U. of C.
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Hemler M., Francis Longstaff 'General Equilibrium Stock Index Futures Prices: Theory &
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Hemler M., T. Miller 'Box Spread Arbitrage Profits Following the 1987 Market
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Hemmings D. 'Leverage, Divided Policy & Cost of Capital:Comment' JofF 12/73
Hempel G. 'Evaluation of Municipal "Bankruptcy" Laws & Procedures' JofF 12/73
Hempel G. 'Quantitative Borrower Characteristics Associated with Defaults on Municipal
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Henaff P. 'Hedging Exotic Derivatives through Stochastic Optimization' <hedging> 6/96
Hendershoot P. 'Expections, Surprises & Treasury Bill Rates:1960-82' JofF 7/84
Hendershott P., J. Van Horne 'Expected Inflation Implied by Capital Market Rates' JofF
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Hendershott P., S. Hu 'Allocation of Capital Between Residential & Nonresidential
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Hendershott P., T. Koch 'The Demand for Tax-Exempt Securities by Financial
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Hendershott R. 'Which Takeover Targets Overinvest' JF&QA 12/96
Hendershott T., H. Mendelson 'Crossing Networks with Dealer Markets:Competition &
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Henderson Shane, Peter Glynn 'Derandomizing & Rerandomizing Variance Estimators'
<monte carlo> wp 2/96
Henderson Shane, Peter Glynn 'Derandomizing Variance Estimators' <monte carlo> wp
Henderson Vicky 'Price Comparison Results & Super-Replication:An Application to
Passport Options' U.Bath 5/99 <options-passport>
Henderson Vicky, David Hobson 'Local Time,Coupling & the Passport Option' 8/98 Finance
& Stochastic 2000 <option-passport> <lookback>
Henderson Vicky, David Hobson 'Passport Options with Stochastic Volatility' App.
Math.Finance 6/01 ,<option-passport> 3/2000
Hendricks D., J. Patel, R. Zeckhauser 'Hot Hands in Mutual Funds:Short Run Persistence
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Hendricks K., R. Porter, C. Wilson 'Auctions for Oil & Gas Lease with an Informed
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Hendry D., G. Mizon 'Evaluating Dynamic Econometric Models by Encompassing the VAR'
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Henin C., N. Pistre 'Stochastic Dominance Agruments & the Bounding of the Generalized
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Henin C., N. Pistre 'The Use of Second Order Stochastic Dominance to Bound European
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Henjes K. 'Pricing of an Index-Linked Swaption' Inter. J. of Theor. & Applied Finance
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Henker T., H. Kazemi 'The Impact of Deviations from Random Walk in Security Prices on
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Henkin G., V. Polterovich 'Schumpeterian Synamics As a Nonlinear Wave Theory' CEMI
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Henriksson R., Robert Merton 'On Market Timing & Investiment Performance II. Stat.
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Henrotte P. 'Transaction Costs & Duplication Strategies' wp Stanford 93
Henry P. 'Stock Market Liberalization, Economic Reform & Emerging Market Equity
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Hens T. 'Do Sunspots Matter when Market Equilibria are Unique?' Econometrica 3/2000
Hens T. 'On the Stability of Intertemporal Equilibria with Rational Expectations'
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Hentschel Ludger, Clifford Smith 'Control Risks in Derivatives Markets' J.Financial
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Herbst Anthony 'Factor Analysis Approach to Determining the Relative Endogenity of
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Herbst Anthony, D. Kare, John Marshall 'Time Varying,Convergence Adjusted,Minimum Risk
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Herbst Anthony, E. Maberly 'Alternative Methodology for Measuring Expiration Day Price
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Herbst Anthony, E. Maberly 'Informational Role of End-of-Day Returns in Stock Index
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Herbst Anthony, John Marshall 'Convergence-Adjusted Composite Hedging' J. Fin. Engin.
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Herbst Anthony, P. Swanson, S. Caples 'Redetermination of Hedging Strategies Using
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Herendi T., T.Siegl, R. Tichy 'Fast Gaussian Random Number Generator Using Linear
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Herings J., G. Laan, D. Talman 'Equilibrium Adjustment of Disequlibrium Prices'
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Herlihy M., N. Shavit 'Applications of Algebraic Topology to Concurrent Computation'
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Hermalin B. 'Toward an Economic Theory of Leadership: Leading by Example' AER 12/98
Hernandez A., M. Santos 'Incomplete Financial Markets in Infinite Horizon Economies'
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Hernandez-Hernandez D., S. Marcus 'Existence of Risk-Sensitive Optimal Stationary
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<risk><Isaacs equation>
Heron R., W. Lewellen 'An Empirical Analysis of the Reincorporation Decision' JF&QA
12/98
Herring R., P. Vankudre 'Growth Opportunities & Risk-Taking by Financial
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Herron M. 'Political Uncertainty & the Prices of Financial Assets' Stanford 98 PhD
Hersh Reuben, Richard Griego 'Brownian Motion & Potential' <Brownian motion> SA 3/69
Herstine M. 'Algorithms for High-Precision Finite Differences' Dr. Dobbs 5/98
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Hertzberg A., J. Hickie 'An Investigation of Andrews Plots to Show Time Variation of
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Herwartz H., T. Kleinow 'Modeling Default Probabilities'
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Inter. J. Theor.& Appl. Finance 10/98
Hess A., A. Kamara 'Why is the Mean Term Premium Zero When Measured Using Futures
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Hess A., P. Frost 'Tests for Price Effects of New Issues of Seasoned Securities' JofF
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Hess P., B-S Lee 'Stock Returns & Inflation with Supply & Demand Disturbances' RFS
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Hess S. Dieter 'Estimation of Discrete Time Multiple Factor Models of the Term
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Hesse C. 'Approximate Expected Hitting Times of Certain State Variables in Physics &
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Hessel C., L. Huffman 'Effect of Taxation on Immunization Rules & Duration Estimation'
JofF 12/81
Hessler J., D. Current, P. Ogren 'New Scheme for Calculating Weights & Describing
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3/96
Heston 'Arbitraging with Conversions, Time Boxes, Jelly Roll...' Futures Nov 86
<trading>
Heston Steven 'A Closed-Form Solution for Options with Stochastic Volatility, with
Applications to Bond & Currency Options' <volatility> <correlation,
characteristic function, skew, Fourier> RFS v.6 #2 93
Heston Steven 'A Model of Discontinuous Interest Rate Behavior, Yield Curves &
Volatility' <term structure> <gamma process> wp 1/95
Heston Steven 'A Simple New Formula for Options with Stochastic Volatility'
<volatility> 9/97
Heston Steven 'Discrete-Time Versions of Continuous-Time Interest Rate Models' <term
structure> J. Fixed Income 9/95
Heston Steven 'Invisible Parameters in Option Prices' JofF 7/93<log-gamma, double
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Heston Steven 'Option Pricing with Infinitely Divisble Distributions' 3/97 <option-
pricing>
Heston Steven 'Testing Continuous Time Models of the Term Structure of Interest
Rates'<term structure> wp 6/92, also PhD CMU 90
Heston Steven 'Yield Curves & Volatility' 93
Heston Steven, Guofu Zhou 'Exploring the Relation between Discrete-Time Jump Processes
& the Finite Differnce Method' 'Advanced Fixed-Income Valuation Tools' ed.
Jegadeesh,Tuckman,Wiley 2000
Heston Steven, Guofu Zhou 'On Rate of Convergence of Discrete-Time Contingent Claims'
8/97 <options-numeric>
Heston Steven, Guofu Zhou 'On the Rate of Convergence of Discrete-Time Contingent
Claims' MF 1/2000 <option-numeric>
Heston Steven, Saikat Nandi 'A Closed-Form GARCH Option Pricing Model' RFS 7/2000
<option-pricing>
Heston Steven, Saikat Nandi 'A Discrete-Time Two-Factor Model for Pricing Bonds &
Interest Rate Derivatives under Random Volatility' 12/99 FRB Atlanta <interest
rates>
Heston Steven, Saikat Nandi 'Preference-Free Option Pricing with Path-Dependent
Volatility:A Closed Form Approach' FRB Atlanta 12/98 <volatility> <GARCH>

Hetzel R. 'Arthur Burns & Inflation' Econ. Quart. Winter 98


Hetzel R. 'Case for a Monetary Rule in a Consitutinal Democracy' Econ. Quart. FRB
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Hetzel R. 'Free Trade Debate:Illusion of Security Versus Growth' Economic Quarterly
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Hetzel R. 'Indexed Bonds as Aid to Monetary Policy' FRB Richmond 1/92
Hetzel R. 'Japanese Monetary Policy:Quantity Theory Perspective' Economic Quarterly
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Hetzel R. 'Quanity Theory Framework for Monetary Policy' Economic Quarterly FRB
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Hetzel R. 'Sterilized Foreign Exchange Intervention :Fed Debate in 1960s' Economic
Quarterly FRB Richmond Spring 96
Heuson A. 'Market Maturation Effects in Options on Treasury Bond Futures' R. Research
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Hewitt Paul 'Wiles Proof of "Fermats Last Theorem"' 97 <number theory>
Hey J., C. Orme 'Investigating Generalizations of Expected Utility Theory Using
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Heyde Chris 'A Risky Asset Model with Strong Dependence Through Fractal Activity Time'
J. Appl. Prob. v 36 1999
Heyde Chris 'Minimal Description Risky Asset Modelling with Non-Semimartingale
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Heyde Chris 'Modelling & Inference for Risky Asset Time Series with Heavy Tails &
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Heynen Ron 'An Empirical Investigation of Observed Smile Patterns' <volatility> 2/94
Review of Futures Markets v13 #2
Heynen Ron, Angelien Kemna, Ton Vorst 'Analysis of Term Structure of Implied
Volatilities'<term structure> JF&QA 3/94
Heynen Ron, Harry Kat 'Brick by Brick' <option-pricing> <multifactor> RISK 6/96
Heynen Ron, Harry Kat 'Crossing Barriers' RISK 6/94<options-barriers><first passage>
Heynen Ron, Harry Kat 'Discrete Partial Barrier Options with a Moving
Barrier'<options-barrier> J. Fina. Engin 9/96
Heynen Ron, Harry Kat 'Lookback Options with Discrete & Partial Monitoring of the
Underlying Price' <options-lookback> <integration,distributions>
App.Math.Finance 12/95
Heynen Ron, Harry Kat 'Partial Barrier Options' <options-barriers> <time windows> J.
Fin.Engin Sept/Dec 94
Heynen Ron, Harry Kat 'Selective Memory' <options-lookback> RISK 11/94
Heynen Ron, Harry Kat 'Volatility Predicition:Comparison of the Stochastic
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Hickernell Fred 'Quadrature Error Bounds & Figures of Merit for Quasi-Random Points'
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Hickernell Fred, H. Hong, Pierre L'Ecuyer, Christiane Lemieux 'Extensible Lattice
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Hicks John 'Value & Capital' p. 171-181 in RII
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Hiemstra C., J. Jones 'Testing for Linear & Nonlinear Granger Causality in Stock Price
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Higgins R. 'Growth,Dividend Policy & Capital Costs in the Electic Utility Industry'
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Hill J., T. Schneeweis 'Effect of Three Mile Island on Electric Utility Stock
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Hill T. 'An Introduction to Statistical Thermodynamics' Dover Pub.
Hill T. 'Statistical Mechanics' Dover Pub.
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Hilliard Jimmy 'Finite Horizon Hedge Ratios for American Options:A Minimum Variance
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Hilliard Jimmy 'Relationship Between Equity Indicies on World Exchanges' JofF 3/79
Hilliard Jimmy, A. Schwartz 'Binomial Option Pricing under Stochastic Volatility &
Correlated State Variables' <volatility> J. Derivatives Fall 96
Hilliard Jimmy, A. Schwartz 'Pricing Options on Traded Assets under Stochastic
Interest Rates & Volatility:Binomial Approach' J. Fina. Engin 12/97 <option-
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Hilliard Jimmy, A. Schwartz, A. Tucker 'Bivariate Binomial Option Pricing with
Generalized Interest Rate Processes' 'A JFR Winter 95 <term structure>
Hilliard Jimmy, J. Kau, D. Keenan, Walter Muller 'Pricing a Class of American &
European Path Dependent Securities' <option-path> Management Science 12/95
Hilliard Jimmy, J. Madura, A. Tucker 'Currency Option Pricing with Stochastic Domestic
& Foreign Interest Rates' JF&QA 6/91 <options-currency><Vasicek>
Hilliard Jimmy, J. Reis 'A Jump Process in Commodity Futures Prices & Option Pricing'
Amer. J. Agr Econ 5/99
Hilliard Jimmy, J. Reis 'Valuation of Commodity Futures & Options under Stochastic
Convenience Yields, Interest Rates, & Jump Diffusions in the Spot' JF&QA 3/98
<commodity>
Hilliard Jimmy, S. Jordan 'Measuring Risk in Fixed Payment Securities: An Empirical
Test of the Structured Full Rank Covariance Matrix' JF&QA Sept 91 <risk>
Hillier B., J. Malcomson 'Dynamic Inconsistency, Rational Expectations & Optimal
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Hillier G. 'On the Normalization of Structural Equations:Properties of Direction
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Hillier G., T. Kinal, V. Srivastava 'On Moments of OLS & Instrum. Variables Estim. in
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Hillis W. 'Connection Machine' SATiC
Hillmann Theodore 'Besicovitch-Orlicz Spaces of Almost Periodic Functions' in M.M. Rao
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Hillmer S., George Tiao 'ARIMA Model Based Approach to Seasonal Adjustment'wp 1980
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Hilton P., J. Pedersen 'Catalan Numbers, Their Generalization, & Their Uses'
Mathematical Intelligencer V.13 N2 1991
Hinderliter R. 'Market Access, Uncertainity & Reserve-Position Adjustmnets ofLarge
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Hindy Ayman 'On Volatility of Prices in Arbitrage-free Markets' <volatility> Economic
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Hindy Ayman, C. Huang 'Intertemporal Preferences for Uncertain Consumption: Continuous
Time Approach' Econometrica 7/92
Hindy Ayman, C. Huang 'On Intertemporal Preferences with a Continuous Time Dimension
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Hindy Ayman, C. Huang 'Optimal Consumption & Portfolio Rules with Durability & Local
Substitution' <MIT 5/91 <consumption>, Econometrica 1-93
Hindy Ayman, C. Huang, Donald Kreps 'On Intertemportal Preferences in Continuous
Time:Case of Certainty' <consumption> w.p. MIT 3/91
Hindy Ayman, C. Huang, H. Zhu 'Numerical Analysis of a Free-Boundary Singular Control
Problem in Financial Economics' <consumption> <variational inequal.,viscosity
solution,markov chain> J.Econ.Dyamic& Control 97
Hines J. 'Three Sides of Harberger Traiangles' J. Econ Perspective Spring 99
Hinish 'Testing for Gauss 1982 #3 169-176 J. Time Series
Hiraki T., N. Shiraishi, N. Takezawa 'Cointegration, Common Factors, & the Term
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Nonlinearity V.1 #1 1988
Hirschey M., J. Zaima 'Insider Trading, Ownership Structure & the Market Assessment of
Corporate Sell-Offs' JofF 9/89
Hirshleifer A., Subrahmanyam, Sheridan Titman 'Security Analysis & Trading Patterns
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Hirshleifer David 'Hedging Pressure & Futures Price Movements in a General Equilibrium
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Hirshleifer David 'Season Pattern Future Hedge' JET April 91
Hiseh D., M. Miller 'Margin Regulation & Stock Market Volatility' JofF 3/90
Hlawaka E. 'Functionen von beschrankter Variation in der Theorie der
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Hlawaka E., F. Firneis, P. Zinterhof 'Zahlenstheoretische Methoden in Numerischen
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Hlawitschka W. 'Empricial Nature of Taylor-Series Approximation to Expected Utility'
AER 6/94
Ho A., M. Zaretsky 'Valuation of Sinking Fund Bonds ' J. Fixed Income 6/93
Ho Hwai-Chung, W. McCormick 'Asymptotic Distribution of Sum & Maximum for Gaussian
Processes' J. Appl. Prob. v 36 1999
Ho M., W. Perraudin, B. Sorensen 'A Continuous Time Arbitrage-Pricing Model with
Stochastic Volatility & Jumps' <arbitrage}<factor model,GMM,Martingale,stock
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Ho Thomas 'CMO Yield Attribution & Option Spread' J. Portfolio Management Spring 93
Ho Thomas 'Evolution of Interest Rate Models:A Comparison' J. Derivatives Summer 95
Ho Thomas 'Intertemporal Commodity Futures Hedging & Production Decision' JofF 6/84
Ho Thomas 'Key Rate Durations:Measures of Interest Rate Risks' <duration> J. of
Fixed Income 9/92
Ho Thomas 'Managing Illiquid Bonds & the Linear Path Space' J. of Fixed Income 6/92
Ho Thomas 'Pricing of the Call & Sinking Fund Provisions of Corporate Bonds' <bonds>
w.p. 1987
Ho Thomas 'Primitive Securities:Portfolio Building Blocks' J. Derivatives Winter 93
Ho Thomas 'Response:Note on Managing Illiquid Bonds & Linear Path Space' J. Fixed
Income 12/93
Ho Thomas 'Valuing Option Embedded Bonds Using Relative Pricing Models' w.p. 7/88
<bonds>
Ho Thomas, A. Saunders 'A Catastrophe Model of Bank Failure' JofF 12/80
Ho Thomas, A. Saunders 'Micro Model of Federal Funds Market' JofF 7/85
Ho Thomas, C. Camerer, K. Weigelt 'Interated Dominance & Interated Best Response in
Experimental "p-Beauty Contests"' AER 9/98
Ho Thomas, D. Pfeffer 'Convertible Bonds:Model, Value Attribution & Analytics' FAJ
9/96
Ho Thomas, Hans Stoll 'Dynamics of Dealer Markets Under Competiton' JofF 9/83
Ho Thomas, M. Abbott, A. Abruhanson 'Value at Risk of a Bank's Balance Sheet' Inter.
J. Theor.& Appl. Finance 1/99
Ho Thomas, R. Macris 'Dealer Bid-Ask Quotes & Transaction Prices:Empricial Study of
Some AMEX Options' JofF 3/84
Ho Thomas, R. Schwartz, D. Whitcomb 'Trading Decsison & Market Clearing under
Transaction Price Uncertainty' JofF 3/85
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'A Simple Technique for the Valuation
& Hedging of American Options'<options-american> J. of Derivatives Fall 94
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'Multivariate Binomial Approximation
for Asset Prices with Non-Stationary Variance & Covariance
Characteristics'<options-numeric> wp 1/93 & RFS Winter 95
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'Multivariate Binomial Approximation
for Variables with Arbitrary Variance & Covariance Characteristics'<options-
american> NYU 3/92
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'Multivariate Binomial Approximations
for Asset Prices with non-Stationary Variance & Covariance Characteristics'
<options-numerical><american> wp 94
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'Risk of a Currency
Swap:Multivariate-Binomial Methodology' 97/0002 <swap> <VAR>
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'Valuation of American Options in
Stochastic Interest Rate Economies'<options-american> NYU 8/91
Ho Thomas, Richard Stapleton, Marti Subrahmanyam 'Valuation of American Options with
Stochastic Interest Rates:Generalization of the Geske-Johnson Technique'
JofF6/97
Ho Thomas, S. Lee 'Term Structure Movements & Pricing Interest Rate Contingent
Claims'<term structure> JofF 12/86
Hoang P., J. Powell, J. Shi 'Endowment Warrant Valuation' J. Deriv. Fall 99<dividend
protected>
Hobson David 'Bounds on the Lookback' U. Bath 95
Hobson David 'Robust Hedging of the Lookback Option' Finance & Stochastics 8/98 ,
(97) <option-lookback>
Hobson David 'Robust Hedging via Coupling' 6/97 <hedging>
Hobson David 'Stochastic Volatility' U. Bath <volatility>
Hobson David 'The Maximum Maximum of a Martingale' 5/97 <martingale>
Hobson David 'Volatility Misspecification, Option Pricing & Superreplication via
Coupling ' Annal App Prob v8,#1 98 <volatility>
Hobson David, Jesper Lund Pedersen 'The Minimum Maximum of a Continuous Martingale
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Hodder James, Agnes Tourin, Thaleia Zariphopoulou 'Numerical Schemes for Variations
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Hodges C., W. Taylor, J. Yoder 'Stocks, Bonds & the Sharpe Ratio & Investment Horizon'
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Hodges H. 'Arbitrage Bounds on the Implied Volatility Strike & Term Structures os
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Hodges Stewart 'Characterisation of Economic Equilibria which Support Black-Scholes
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Hodges Stewart 'Dynamic Asset Allocation:Insights From Theory'<portfolio>
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Hodges Stewart, Andrew Carverhill 'Quasi Mean Reversion in an Efficient Stock
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Hodges Stewart, Anthony Neuberger 'Optimal Replication of Contingent Claims under
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Hodges Stewart, R. Brealey 'Empirical Analysis of Diagonal Model' MMinIV
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Hodgson G. 'Approach of Institutional Economics' JEL 3/98
Hodrick Robert, S. Srivastava 'The Covariations of Risk Premiums & Expected Premiums &
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Hoffman K. 'Ancient Magnetic Reversal Clue to Geodynamo' SA 5/88
Hoffmann Christian 'Valuation of American Options' <option-American> PhD Oxford 2000
Hofmann Norbert 'Stability of Weak Numerical Schemes for S.D.E.' <SDE> Math &
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Hofmann Norbert, Eckhard Platen 'Approximating Large Diversified Portfolios' MF 1/2000
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Hofmann Norbert, Eckhard Platen, Martin Schweizer 'Option Pricing Under Incompleteness
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Hogan M. 'Problems in Certain Two-Factor Term Structure Models'<term structure>
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Hogan M., K. Weintraub 'The Swap Yield Curve' <swaps>
Hoggard T., Elizabeth <A.E.> Whalley, Paul Wilmott 'Hedging Option Portfolios in the
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Holden C. 'Index Arbitrage as Cross-Sectional Market Making' J.Fut.Mark 6/95
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Holland J. 'Genetic Algorithms' Scientific American July 92
Hollifield B., Raman Uppal 'An Examination of Uncovered Interest Rate Parity in
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Hollister C., S. Nadis 'Burial of Radioactive Waste under the Seabed' SA 1/98
Holloway C. 'Mathematical Programming Approach to Indentification & Optimization of
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Holloway C. 'Testing an Aggressive Investment Strategy:Value Line Ranks' JofF 3/83
Holloway D. 'Note on Testing in Aggressive Investment Strategy Using Value Line Ranks'
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Holmes A.,P. Horvitz 'Mortgage Redling:Race,Risk & Demand' JofF 3/94
Holmstrom B., J. Roberts 'Boundaries of the Firm Revisted' J Econ Persp. Fall 98
Holmstrom B., P. Milgrom 'Aggregation & Linearity in the Provision of Intertemporal
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Holt C., R. Sherman 'Classroom Games:market for Lemons' J. Econ. Perspectives Winter
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Holt D. 'An Empirical Model of Stragegy Choices in Cooridination Games' 90 <games>
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Holton G. 'Time:Second Dimension of Risk' <volatility> FAJ 12/92
Holton G. 'Value at Risk' Academic Press
Holtz-Eakin D., W. Newy, H. Rosen 'Estimating Vector Autoregressions with Panel Data'
Econometrica 11/88
Hong C., E. Karni, Z. Safra 'Risk Aversion in the Theory of Expected Utility with Rank
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Hong C., M. Hui 'A Schur-Concave Characterization of Risk Aversion for Nonlinear,
Nonsmooth Continous Preferences' w.p. John Hopkins <Utility> Aug 85
Hong C., W. Walker 'Empirical Tests of Weighted Utility Theory' w.p. John Hopkins
<Utility> Sept. 85
Hong H. 'A Model of Returns & Trading in Futures Markets' JofF 4/2000
Hong H., J. Stein 'A Unified Theory of Underreaction, Momentum Trading and
Overreaction in Asset Markets' JofF 12/99
Hong H., J. Wang 'Trading & Returns under Periodic Market Closures' JofF 2/2000
Hong H., R. Liska, N. Robidoux, S. Steinberg 'Elimation of Variables in Parallel' SIAM
News 10/2000
Hong H., Stewart Greenbaum 'Valuation of Bank Loan Commitments' <options-general> w.p.
N.U. 1977
Hong H., T. Lim, J. Stein 'Bad News Travels Slowly:Size,Analyst Coverage &
Profitablity of Momentum Strategies' JofF 2/2000
Hong Y., Halbert White 'Consistent Specification Testing via Nonparametric Series
Regression' Econometrica 9/95
Honore B. 'Simple Estimation of a Duration Model with Unobserved Heterogeneity'
Econometrica 3/90
Honore B. 'Trimmed LAD & Least Square Estimation of Trucated & Censored Regression
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Honore P. 'Estimation of a Dynamic One Factor Continuous-time Term Structure Model'
<term structure> 5/96 Aarhus U. wp
Honore P. 'Five Essays on Financial Econometrics in Continuous-Time Models' PhD Aarhus
98
Honore P. 'Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure
Models' 4/97 <term structure>
Honore P. 'Modelling Interest Rate Dynamics in a Corridor with Jump Processes' 1/98
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Honore P. 'Pitfalls in Estimating Jump-Diffusion Models' 1/98 <option-pricing>
Hood L. 'Investment-Grade Private Placement Loan Spreads' J. Fixed Income 12/99
Hooft G. 'Gauge Theories of the Forces Between Elementary Particles' PPC
Hoogland Jiri, Dimitri <aka C.D.D.> Neumann 'Asian & Cash Dividends:Exploiting
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Hoogland Jiri, Dimitri Neumann 'Exploting Symmetries in Pricing Theory with
Applications to Asian & Cash Dividends'<option-asian> <Geman/Yor Laplace
transform>
Hoogland Jiri, Dimitri Neumann 'Local Scale Invariance & Contingent Claim Pricing'
<contingent claim> 2/2001 Intern.J.Theor&App. Fin.
Hoogland Jiri, Dimitri Neumann 'Local Scaling Invariance & Contingent Claim Pricing
II:Path-Dependent Contingent Claims. 2/2001 Intern.J.Theor&App. Fin. <contingent
claim><geo./arith. Asian,rebate/double/moving barrier,lookback>
Hoogland Jiri, Dimitri Neumann 'Scaling Invariance & Contingent Claim Pricing II:Path-
Dependent Contingent Claims. 7/99 <contingent claim><geo./arith.
Asian,rebate/double/moving barrier,lookback>
Hoogland Jiri, Dimitri Neumann 'Tradable Schemes' <option-numeric> <contingent,PDE>
Hoon H., E. Phelps 'Macroeconomic Shocks in Dynamized Model of Natural Rate of
Unemployment' AER 9/92
Hooper P. 'Iterative Weighted L.S. Estim. in Hetero. Linear Model'JASA v88 #421 3-93
Hopenhayn H. 'Entry,Exit & Firm Dynamics in Long Run Equilibrium' Econometrica 9/92
Hopenhayn H. 'On Stationary Distributions for Dynamic Economies' w.p. Feb.90
Hopenhayn H., Edward Prescott 'Stochastic Monotonicity & Stationary Distribution for
Dynamic Economies' Econometrica 11/92
Hopewell M., A. Schwartz 'Temporary Trading Suspensions in Individual NYSE Securities'
JofF 12/78
Hopewell M., G. Kaufman 'Bond Price Volatility & Term To Maturity' in RII
Hoppensteadt F. 'Signal Processing by Model Neural Networks' SIAM Review 9/92
Horbatsch M. 'Physics in the Classroom' Derive Newsletter 6/93
Horgan C. 'Anti-plane Shear Deformations in Linear & Nonlinear Solid Mechanisms' SIAM
Review 3/95
Horgan C. 'Korns Inequatilities & Their Applications in Continnuum Mechanics' SIAM
Review 12/95
Horgan J. 'Death of Proof' <Fermat><number theory> SA Oct 93
Horgan J. 'Quantum Philosophy' Scientific American July 92
Horgan J. 'Universal Truths' <cosmology> SA 10/90
Horgan J. 'Volcanic Disruption' SA 3/92
Horgn J. 'Pied Piper of Superstrings' <Ed Witten> SA 11/91
Hornstein A. 'Inventroy Investment & the Business Cycle' Econ Quarterly FRB Richmond
Spring 98
Horowitz Joel 'A Smoothed Maximum Score Estimator for the Binary Response Model'
Econometrica 5/92
Horowitz Joel 'Bootstrap Methods for Median Regressions Models' Econometrica 9/98
Horowitz Joel 'Semiparametric Estimation of a Proportional Hazard Model with
Unobserved Heterogencity' Econometrica 9/99
Horowitz Joel 'Semiparametric Estimation of a Regression Model with an Unknown
Transformation of the Dependent Variable' Econometrica 1/96
Horowitz Joel, C. Manski 'Identification & Robustness with Contaminated & Corrupted
Data' Econometrica 3/95
Horstmann I., C. LaCasse 'Secret Reserve Prices in a Bidding Model with a Resale
Option' AER 9/97
Horton G., S. Vandewalle, P. Worley 'An Algorithm with Polylog Paralell Complexity for
Solving Parabolic PDEs' SIAM J. Sci.Comp. <numerical> 5/95
Horvath L, D. Khoshnevisian 'Weight Functions & Pathwise Local Central Limit Theorems'
<martingale> SP&A 9/95
Hosking J. 'Some Theoretical Results Concerning L-Moments' 7/96 <distributions>
Hosking J., D. Wilson 'L-Moments' IBM 99 <distributions>
Hosking J., G. Bonti, D. Siegel 'Beyond the Lognormal' <VAR,L-Moment> RISK 5/2000
<distribution>
Hotz V., F. Kydland, G. Sedlacek 'Intertemporal Preferences & Labor Supply'
Econometrica 3/88
Houston J., S. Venkataraman 'Optimal Maturity Debt Claims' JF&QA 6/94
Houweling P., J. Hoek, F. Kleibergen 'The Joint Estimation of Term Structures & Credit
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Hovakimian A., E. Kane 'Effectiveness of Capital Regulation at U.S. Commerical Banks,
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Hovanov N., J. Kolari 'Estimating the Overall Financial Performance of Mexican Banks
using a New Method for Quantifing Subjective Information' J. Financial Engin.
3/98
Hovis R., H. Krooph <Kragh ?> 'P.A.M. Diraic & Beauty of Physics' SA 5/93
Hovland P. 'Automatics Differentiation Workshop Held in Santa Fe' SIAM News 5/96
Howard C., A. Kalotay 'Embedded Call Options & Refunding Efficiency'<options-general>
AFOR V3
Howard C., L. D'Antonio 'Cost Hedging & Optimal Hedge Ratio' JFM 4/94
Howard C., L. D'Antonio 'Multiperiod Hedging Using Futures:Risk Minimization Approach
in Presence of Autocorrelation' JFM 12/91
Howard K. 'Chooser Swaps'<options-chooser> Deriv. Week
Howe E. 'More Powerful Method for Triangularizing Input-Output Matrices' Econometrica
3/91
Howe J., J. Shilling Capital Structure Theory & REIT Security Offerings' JofF 9/88
Howe J., P. Wei 'Valuation Effects of Warrant Extensions' JofF 3/93
Howe K. 'Flotation Cost Allowances for Regulated Firm:Comment' JofF 3/84
Howe K., J. He, G. Kao 'One Time Cash Flow Announcements & Free Cash Flow Theory:Share
Repurchase & Special Dividends' JofF 12/92
Howe T., T. Makabe, T. Sudo 'Recent Evidence on Distribution Patterns in Chapter 11
Reorganization' J.Fixed Income 3/93
Howells M., H. Kitz, D.Sayre 'X-Ray Microsopes' SA 2/91
Howison Sam 'Applied Mathematics & Finance' <options-numerical>
Phil.Trans.R.Soc.Lond. 6/94
Howison Sam 'B-S Model for Finan. Deriv. Prod.'
Howison Sam, J. Morgan, John Ockendon 'A Class of Codimensioned Two Free Boundary
Problems' SIAM Review 6/97
Howitt P. 'Interest Rate & Nonconvergence to Rational Expectations' JPE 92
Howton S., S. Perfect 'Managerial Compensation & Firm Derivative Usage:An Empirical
Analysis' J. Deriv Winter 98
Hoyland J., S. Bulmer 'Repackage & Prosper' Asia RISK 4/99 <securitization,asset
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Hsaio F., J. Smith 'Analytical Approach to Sensitivity Analysis of the Internal Rate
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Hsiao C. 'Cointegration & Dynamic Simultaneous Equations Model' Econometrica 5/97
Hsieh David 'Chaos & Nonlinear Dynamics:Application to Financial Markets' JofF 12/91
Hsieh David 'Implications on Nonlinear Dynamics for Financial Risk Management'
<nonlinear> JF&QA 3-93
Hsieh David 'Modeling Heteroskedasticity in Daily Foreign Exchange Rates' J. Bus &
Econ stats 89
Hsieh David 'Nonlinear Dynamics in Financial Markets: Evidence & Implications' FAJ
7/95
Hsieh David 'Numerical Methods in Financial Computing' GSB UofC
Hsieh David 'Testing for Nonlinear Dependence in a Daily Foreign Exchange Rates' JofB
89 <foreign exchange>
Hsieh David, N. Kulatilaka 'Rational Expectations & Risk Premia in Forward
Markets:Primary Metals at the Lond Metals Exchange' JofF 12/82
Hsin C., J. Kuo, C. Lee 'A New Measure to Compare the Hedging Effectiveness of Foreign
Currency Futures versus Options' J.Fut.Markets 9/94
Hsu D., R. Miller, D. Wichern 'On the Stable-Paretian Behavior of Stock Market
Pricees' J. Amer Stat Asso 74
Hsueh L., P. Chandy 'An Examination of the Yield Spread Between Insured & Uninsured
Debt' J. Financial Research Fall 89
Hu B., H. Yin 'Semilinear Equations with Prescribed Energy'<Diff & Integ> preprint
12/93
Hu J. 'Excess Returns,Excess Volatility & Negative Autocorrelation Caused by
Uncertainty Aversion & Risk Aversion' <Risk> FRB Atlanta 12/93
Hu J. 'Finanical Market Breakdown Due to Strategy Constraints & Information Asymmetry'
<alphabetic> wp FRB Atlanta 12/95
Hu J. 'Information Ambiguity:Recognizing Its Role in Financial Markets' Review FRB
Atlanta 7/94
Hu J. 'Market Breakdown & Price Crashes Explained by Information Ambiguity' FRB 11/94
<alpha>
Hu J., T. Noe 'Insider Trading Debate' Review FRB Atlanta 4Q 97
Hu J., T. Noe 'Insider Trading, Costly Monitoring & Managerial Incentives' FRB Atlanta
5/97
Hu J., T. Pavlidis 'Function Plotting Using Conic Splines'<interpolation> Computer
Graphics Jan 91
Hu Y. 'Stability Theorems & Homogenization of Nonlinear PDEs with Periodic Structures'
in El Karoui,Mazliak (ed) 'Backward Stochastic Differential Equations'
Hu Y., David Nualart 'Continuity of Some Anticipating Integral Processes' Stats &
Prob. Letters 2/98
Hu Y., J. Yong 'Forward-Backward Stochastic Differential Equations with Nonsmooth
Coefficients' SP&A 87 2000 <SDE> <four step,Feynman-Kac,viscosity>
Hu Y., O. Oksendal 'Optimal Time to Invest when the Price Prcoesses are Geometric
Brownian Motions' Finance & Stochastics #3 98 <brownian>
Hu Y., Shige Peng 'Adapted Solut.Backward ..Stoch. Equation' STOCHAST.ANAL. APPL 91
Hu Y., Shige Peng 'Adapted Solution of a Backward Semilinear Stochastic Evolution
Equation' <SDE> SP&A 91
Hu Y., Shige Peng 'Solution of Forward-Backward Stochastic Differential Equations'
Prob.Teory & Related Fields 95
Hu Y., Shige Peng 'Stability Theorem of Backward Stochastic Differential Equations &
its Application' Comptes A. 5/97 <SDE>
Hu Y., Z. Shi 'Favoritie Sites of Transient Brownian Motion' SP&A 1/98
Hu Yaozhong 'Probability Structure Preserving & Absolute Continuity' U. Kansas 99
<brownian> <fractional,Girsanov>
Hua P., Paul Wilmott 'Crash Courses' <hedging> <market crash> RISK 6/97
Hua P., Paul Wilmott 'Modelling Market Crashes:Worst-Case Scenario'<risk>
Huag E. 'Opportunities & Perils of Using Option Sensitivities' J.Financial Engineering
9/93
Huang C. 'Intertemporal General Equilibrium Asset Pricing Model:Case of Diffusion of
Information' Econometrica 1/87
Huang C., Henri Pages 'Optimal Consumption & Portfolio Policies with an Infinite
Horizon:Existence & Convergence' <consumption> w.p. May 90
Huang C., Robert Litzenberger 'Foundations for Financial Economics' North Holland 88
Huang C., S. Wong, D. Tang 'Hong Kong Residential Mortgage Prepayment Analysis &
Modeling' J. Fixed Income 3/99
Huang C., Thaleia Zariphopoulou 'Turnpike Behavior of Long-Term Investments' Finance &
Stochastics 1/99 <portfolio> <control,viscosity>
Huang C., W. Xia 'Modeling ARM Prepayments' J.Fixed Income 3/96
Huang J., J-S. Pang 'A Mathematical Programming with Equilibrium Constraints Approach
to the Implied Volatility Surface of American Options' J. Computational Finance
Fall 2000 <option-American>
Huang J., J-S. Pang 'Option Pricing and Linear Complimentarity Approach' J. Comp
Finance Fall 98 <option pricing><upwinding>
Huang J., Marti Subrahmanyam, G. Yu 'Pricing & Hedging American Options:A Recursive
Integration Method'<options-American> RFS v9 #1 (96)
Huang K., J. Werner 'Asset Price Bubbles in Arrow-Debreu & Sequential Equilibrium'
Economic Theory 2000 <asset pricing>
Huang P., H. Wu 'Competitive Equilibrium of Incomplete Markets for Securities with
Smooth Payoffs' JME 1994 <complete markets>
Huang P., H. Wu 'Equilibrium of Incomplete European Option Markets' <option-pricing>
Tulane Jan 90
Huang R. 'Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts'
JofF 3/89
Huang R. 'Expectations of Exchange Rates & Differential Inflaction Rates: Further
Evidence on Purchasing Power Parity in Efficient Markets' JofF 3/87
Huang R. 'Monetary Approach to Exchange Rate in an Efficient Foreign Exchange
Market:Test Based on Volatility' JofF 3/81
Huang R., Hans Stoll 'Competitive Trading of NYSE Listed Stocks:Measurement &
Interpretation of Trading Costs' FMI&I v.5 #2 1997
Huang R., Hans Stoll 'Components of the Bid-Ask Spread:General Approach' RFS Winter 97
Huang R., J. Hoje 'Transformed Security & Alternative Factor Structure' JofF 3/92
Huang R., R. Masulis 'FX Spreads & Dealer Competition across the 24-Hour Trading Day'
RFS Spring 99
Huang R., R. Masulis, Hans Stoll 'Energy Shocks & Financial Markets' J.of Futures
Markets 2/95
Huang R., W. Kracaw 'Stock Market Returns & Real Activity:Note' JofF 3/84
Huang Z-F., S. Solomon 'Power, Levy, Exponential & Gaussian Regimes in Autocatalytic
Financial Systems' 8/2000 <distribution>
Hubalek F., Walter Schachermayer 'When Does Convergence of Asset Price Processes Imply
Convergence of Option Prices?' MF 10/98 98, <option-pricing>
Hubbard R., D. Palia 'Reexamination of the Conglomerate Merger Wave in the
1960s:Internal Capital Markets View' JofF 6/99
Huberman Gur 'A Simple Approach to Arbitrage Pricing Theory' TVI
Huberman Gur 'External Financing & Liquidity' JofF 7/84
Huberman Gur, S. Kandel 'Mean-Variance Spanning' JofF 9/87
Huberman Gur, S. Kandel, Robert Stambaugh 'Mimicking Portfolios & Exact Arbitrage
Pricing' JofF 3/87
Huberman Gur, Steven Ross 'Portfolio Turnpike Theorems, Risk Aversion & Regularity
Varying Utility Functions' Econ 9/83 <portfolio>
Hubert L., J. Meulman, W. Heiser 'Two Purposes for Matrix Factorization:Historical
Appraisal' SIAM Review 3/2000
Hubner Georges 'A Two-Factor Gaussian Model of Default Risk' 97 <swaps>
Hubner Georges 'The Pricing of Swaptions & Caps under the Gaussian Model of Interest
Rates'<interest rates> 97
Hudak G., L. Liu 'Transfer Function Modeling:Simplification & Application' <statistis>
Hudson J. 'Trends in Multi-Authored Papers in Economics' J. Econ. Persp. Summer 96
Hudson M. 'The Value in Going Out' Risk (Mar) 91 <options-barrier>
Huestis S. 'Interpolation Formulas for Oversampled Band-Limited Functions' SIAM Review
9/92
Huestis S. 'Smallest Nonnegative Solution to Linear Inverse Problems' SIAM Review
12/92
Huestis S. 'Use of Linear Programming in the Construction of Extremal Solutions to
Linear Inverse Problems' SIAM Review 9/96
Huffman G. 'Adjustment Costs & Capital Asset Pricing' JofF 7/85
Huffman G. 'Information, Asset Prices, & Volume of Trade' JofF 9/92
Huge B., David Lando 'Swap Pricing with Two-Sided Default Risk in a Rating-Based
Model' 8/98 <credit>
Huggins Douglas 'Estimation of a Diffusion Process for the US Short Interest Rate
Using a Semigroup Pseudo Likelihood' 8/97 <diffusion>
Hughston Lane 'Financial Geometry:A New Angle on Risk'<risk> IDR (95?)
Hughston Lane 'Financial Observables' <interest rates> <term structure,volatility>
International Derivatives Review 12/94
Hughston Lane 'Stochastic Differential Geometry, Financial Modeling and Arbitrage-Free
Pricing' wp 94 Merrill Lynch
Hughston Lane, Stuart Turnbull 'Credit Derivatives Made Simple' RISK 10/00 <credit
risk>
Hugonnier Julien 'The Feynman-Kac Formula & Pricing Occupation Time Derivatives'
Inter. J. Theore.& Applied Finance V2,#2 99 <SDE><path, Laplace>
Huh C. 'Forecasting Industrial Production Using Models with Business Cycle Asymmetry'
Econ. Review FRB SF 98 #1
Huh C., B. Treban 'Modeling the Time Series Behavior of the Aggregate Wage Rate'
Economic Review FRB S.F. 1995 #1
Huh C., K. Lansing 'Federal Reserve Credibility & Inflation Scares' Econ. Review FRB
SF 98 #2
Hui C. 'Modeling Forward Credit Risk-an Option Approach' J. Fixed Income 9/99
Hui C. 'One-Touch Double Barrier Binary Option Values' Applied Financial Economics
8/96 V.6 #4 <options-barrier>
Hui C. 'Time-Dependent Barrier Option Values' JFM 97 <option-barrier>
Hui C., C. Lo 'A Note on Risky Bond Valuation' Inter. J. of Theor. & Applied Finance
7/2000 ,7/2000 <bonds>
Hui C., C. Lo, P. Yuen 'Comment on Pricing Double Barrier Options using Laplace
Transforms' Finance & Stochastics (4)2000 <option-barrier>
Hui C., C. Lo, S. Tsang 'Pricing Corporate Bonds with Risk Adjustable Default Barrier'
<bond> 7/2000
Huisman R., K. Koedijk, C. Kool, F. Palm 'The Fat-Tailedness of FX Returns' wp Linburg
Inst. Maastricht U. 98
Huizinga J., F. Mishkin 'Inflation & Real Interest Rates on Assets with Different Risk
Characteristics' NBER 4-84,JofF 7/84
Hull John 'Interest Rate Volatility'<term structure> IIR Volt. Analysis Conference
Jan 92
Hull John, Alan White 'A Note on the Models of Hull & White for Pricing Options on the
Term Structure:Response' <Term Structure> J. Fixed Income 9/95
Hull John, Alan White 'An Analysis of the Bias in Option Pricing Caused by Stochastic
Volatility' <volatility> AF&OR Vol 3
Hull John, Alan White 'Bond Option Pricing Based on Model for Evolution of Bond
Prices'<bonds> AF&OR6
Hull John, Alan White 'Branching Out'<term structure> <numeric,trinomial lattice>
RISK 7/94
Hull John, Alan White 'Coming to Terms'<term structure> RISK 12/89 <interest rate
depend.,caps,floors,collars>
Hull John, Alan White 'Efficient Procedures for Valuing European & American Path-
Dependent Options'wp. 93; <options-numeric> J.Derivatives Fall 93
Hull John, Alan White 'Finding the Keys' < Swaps> <Index Amortizing rate swaps> RISK
9/93
Hull John, Alan White 'Forward Rate Volatilities, Swap Rate Volatilities, & the
Implementation of the Libor Market Model' J. Fixed Income 9/2000 ,8/99 <term
structure>
Hull John, Alan White 'Hedging Risks from Writing Foreign Currency Options'<foreign
exchange> J. Inter. Money & Finance 1987
Hull John, Alan White 'Impact of Default Risk on the Prices of Options & Other
Derivative Securities' J. Banking & Finance 95 <Credit Risk>
Hull John, Alan White 'In the Common Interest'<term structure> <interest rate
options> Risk 3/92
Hull John, Alan White 'Incorporating Volatility Up-Dating into the Historical
Simulation Method for VaR' J. of Risk Fall 98
Hull John, Alan White 'New Ways with the Yield Curve'<term structure> RISK 10/90
Hull John, Alan White 'Numerical Procedures for Implementing Term Structure Models
I:Single-Factor Models'<term structure> J. of Derivatives Fall 94
Hull John, Alan White 'Numerical Procedures for Implementing Term Structure Models
II:Two-Factor Models'<term structure> wp 9/94;J.Derivatives Winter 94
Hull John, Alan White 'One-Factor Interest Rate Models & Valuation of Interest Rate
Derivative Securities'<term structure> wp,91,JF&QA 6/93
Hull John, Alan White 'Price of Default' <credit risk> RISK 9/92 <credit risk>
Hull John, Alan White 'Pricing Interest Rate Derivative Securities' (ed) S.Hodges
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Hull John, Alan White 'Pricing of Options on Assets with Stochastic Volatilities'
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Hull John, Alan White 'Pricing of Options on Interest Rate Caps & Floors Using the
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Hull John, Alan White 'Root and Branch'<options-numeric><binomial,trinomial> RISK
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Hull John, Alan White 'Use of the Control Variate Technique in Option Pricing' JF&QA
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Hull John, Alan White 'Using Hull-White Interest Rate Trees' <term structure> J.of
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Hull John, Alan White 'Value at Risk When Daily Changes in Market Variables are Not
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Humphrey D. 'Economics of Electronic Benefit Transfer Payments' Economic Quarterly FRB
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Humphrey D. 'Why Do Estimates of Bank Scale Economies Differ' Economic Reivew FRB
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Humphrey T. 'Fisher & Wicksell on the Quanity Theory' Econ. Review FRB Richmond Fall
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Humphrey T. 'Marshallian Cross Diagrams & Uses before Alfred Marshall:Origins of
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Humphrey T. 'Origin of Volatility Functions' Economic Quarterly FRB Richmond Fall 93
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Humphrey T. 'When Geometry Emerged:Some Neglected Early Contributions to Offer-Curve
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Hunt Philip, Joanne Kennedy 'Dynamic Term Structure Models' 99
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Hunt Philip, Joanne Kennedy 'On Convexity Corrections' 3/98 <term structure>
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Hunt Philip, Joanne Kennedy, Antoon Pelsser 'Fit & Run' RISK 3/98 <Markov term
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Hunt Philip, Joanne Kennedy, Antoon Pelsser 'Markov-Functional Interest Rate Models'
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Hunter W. 'Optimal Venture Capital Solicitation Under a Horizon Constraint' FRB
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James C. 'Losses Realized in Bank Failure' JofF 9/91
James C. 'Relationship-Specific Assets & the Pricing of Underwriting Services' JofF
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James C., Robert Edmister 'Relation Between Common Stock Returns Trading Activity &
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James C., S. Koreisha, M. Parten 'VARMA Analysis of Causal Relations Amoung Stock
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James Christopher 'RAROC Based Capital Budgeting & Performance Evaluation:A Case Study
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James J. 'Total Return Swaps' 3/98 NetExposure <swaps>
James J., M. Thomas 'A Timely Exit' RISK 11/98 <trading><stop loss,trade exit>
James Jessica 'Risk Management Examples' UofC seminar 2/2000 <risk>
Jameson L. 'A Wavelet-Optimized Very High Order Adaptive Grid & Order Numerical Method
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Jameson L. 'On the Wavelet Optimized Finite Difference Method' <wavelet>
Jameson Leland 'A Wavelet-Optimized, Very High Order Adaptive Grid & Order Numerical
Method' SIAM J. Scie. Comp 98 <wavelet>
Jameson M., W. Wilhelm 'Market Making in Options Markets & Costs of Discrete Hedge
Rebalancing' JofF 6/92
Jamshidian Farshid 'A Simple Class of Square-Root Interest Rate Models'
Appl.Math.Finance 3/95<term structure>
Jamshidian Farshid 'An Analysis of American Options' w.p. Merrill Lynch 1/91 RFM 1992
<aka 'Free Boundary Formulas for American Options'><options-american>
Jamshidian Farshid 'An Exact Bond Option Formula' JofF 3/89
Jamshidian Farshid 'Asymptotically Optimal Portfolios' <portfolio> MF 4/92
Jamshidian Farshid 'Bond & Option Evaluation in the Gaussian Interest Rate
Model'<bonds> Research in Finance 1991
Jamshidian Farshid 'Bond,Futures & Option Evaluation in the Quadratic Interest Rate
Model' <term structure> Appl.Math.Finance 6/96
Jamshidian Farshid 'Closed Form Solu.Oil Future' 1990
Jamshidian Farshid 'Closed Form Solution for American Options on Coupon Bonds in the
General Gaussian Interest Rate Model'<term structure> 8/89
Jamshidian Farshid 'Commodity Option Evaluation in the Gaussian Futures Term Structure
Model' <term structure> R. Fut.Market 92
Jamshidian Farshid 'Corralling Quantos' <hedging> <options-product>RISK 3/94
Jamshidian Farshid 'Formulas for American Options' Merrill Lynch Capital Markets w.p.
1989
Jamshidian Farshid 'Forward Induction & Construction of Yield Curve Diffusion
Models'<term structure> J. of Fixed Income v.1,#1, 1991
Jamshidian Farshid 'Hedging Quantos, Differential Swaps and Ratios' <HJM,buckets>
App.Math.Finance V1,#1 9/94 <On Index>
Jamshidian Farshid 'LIBOR & Swap Market Models & Measures' 4/96,Finance & Stochastics
9/97 <swaps> <Bermuda Swaptions,swaps,path independent,path dependent>
Jamshidian Farshid 'LIBOR & Swap Market Models & Measures II' Sakura 96
Jamshidian Farshid 'LIBOR Market Model with Semimartingales' 99 <term structure>
Jamshidian Farshid 'Note on the Analytical Valuaiton of Double Barrier Options' Sakura
97
Jamshidian Farshid 'Option & Futures Evaluation with Deterministic
Volatilities'<volatility> MF 4/93
Jamshidian Farshid 'Preference-free Determination of Bond & Option Prices from the
Spot Interest Rate'<interest rates> AF&OR V.4 1990
Jamshidian Farshid 'Price Differentials' < Swaps> RISK 7/93{swaps}
Jamshidian Farshid 'Sorting Out Swaptions' <swaptions> RISK 3/96
Jamshidian Farshid 'The Multifactor Gaussian Interest Rate Model &
Implementation'<term structure> wp. 9/89
Jamshidian Farshid 'The Normal/Additive & Lognormal/Multiplicative Interest Rate
Model'<term structure> 4/90
Jamshidian Farshid, R. Russell 'Evaluation of Complex Sinking Fund Options by Backward
Induction Methods' AF&OR v4.1990 <option-numeric>
Jamshidian Farshid, Y. Zhu 'Analysis of Bonds with Imbedded Options'<bonds> AFOR V3
88
Jamshidian Farshid, Y. Zhu 'Replication of an Option on a Bond Portfolio' RFM V.9 N.1
1990 <bond>
Jamshidian Farshid, Y. Zhu 'Scenario Simulation:Theory & Methodology' Finance &
Stochastics 1/97 <VaR,Monte Carlo>
Jamshidian M. 'Conjugate Gradient Accelar. in EM Algoritm'JASA v88 #421 3-93
Jang H., J. Lee 'Window Dressing of Daily Closing Bid-Ask Spreads:Evidence from NYSE
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Jang H., P. Venkatesh 'Consistency Between Predicted & Actual Bid-Ask Quote Revisions'
JofF 3/91
Janicki A. 'Computer Simulation of Diffusions Driven by alpha-Stable Levy Motion'
<Diffusion> Math & Computers in Simulation (95)
Janicki A., Ivilina Popova, Peter Ritchken, W. Wayccynski 'Option Pricing Bounds in
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Janosi T., Robert Jarrow, F. Zullo 'An Empirical Analysis of the Jarrow-van Deventer
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Janzen T. 'Recovering Corrupted Waveforms'<fourier> C Users J. 6/93
Jara Diego 'An Extension of Levy's Theorem & Applications to Financial Models Based on
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Jarrow Robert 'A Comparison of the Cox,Ingersoll, Ros & Heat, Jarrow, Morton Models of
the Term Structure' Cornell 88
Jarrow Robert 'Beliefs & Arbitrage Pricing' <arbitrage> Economic Letters 87
Jarrow Robert 'Derivative Security Markets, Market Manipulation & Option Pricing
Theory' JF&QA 6/94<derivative>
Jarrow Robert 'Heterogeneous Expectations, Restrictions on Short Sales and Equilibrium
Asset Prices' JofF 12/80
Jarrow Robert 'Market Manipulation, Bubbles,Corners & Short Squeezes' JFQ&A 9/92
Jarrow Robert 'Preferences,Continuity & Arbitrage Pricing Theory' (88) #2 RFS
<arbitrage>
Jarrow Robert 'Pricing of Commodity Options with Stochastic Interest Rates'
<commodity> AFOR V. 3 1988
Jarrow Robert 'Relation between Yield,Risk,Return of Corporate Bonds' JofF 9/78
Jarrow Robert 'Relationship between Arbitrage & First Order Stochastic Dominance' JofF
9/86
Jarrow Robert 'The HJM Model:Its Past, Present & Future' J. Fina. Engin 12/97 , IAFE
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Jarrow Robert, Andrew Rudd "Approximate Option Valuation for Aribrary Stochastic
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Jarrow Robert, D. van Deventer 'Arbitrage Free Valuation & Hedging of Demand Deposits
& Credit Card Loans' J. Banking & Finance 3/98
Jarrow Robert, D. van Deventer 'Disease or Cure?' <swaps> <power swaps> RISK 2/96
Jarrow Robert, David Lando, Stuart Turnbull 'A Markov Model for the Term Stucture of
Credit Risk Spreads' <Risk-Credit> 8/95,RFS Summer 97
Jarrow Robert, Dilip Madan 'Characterization of Complete Security Markets on a
Brownian Filtration' <stochastics> MF July 91
Jarrow Robert, Dilip Madan 'Hedging Contingent Claims on Semimartingales' Finance &
Stochastics 1/99 <martingale>
Jarrow Robert, Dilip Madan 'Is Mean-Variance Analysis Vacuous or Was Beta Still
Born?'3/96 <CAPM> , Euro. Finance Review V1 #1 97
Jarrow Robert, Dilip Madan 'Option Pricing Using the Term Structure of Interest Rates
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Jarrow Robert, Dilip Madan 'Valuing and Hedging Contingent Claims on Semimartingales'
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Jarrow Robert, George Oldfield 'Forward Contracts & Futures Contracts' JFE 81
Jarrow Robert, George Oldfield 'Forward Options & Futures Options' AF&OR 88 <Futures>
Jarrow Robert, M. O'Hara 'Primes & Scores:An Essay on Market Imperfections' JofF
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Jarrow Robert, Stuart Turnbull 'An Integrated Approach to the Hedging & Pricing of
Eurodollar Derivatives' J. Risk & Insurance 7/97 , wp Wharton 96-25
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Jarrow Robert, Stuart Turnbull 'Delta,Gamma and Bucket Hedging of Interest Rate
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Jarrow Robert, Stuart Turnbull 'Drawing the Analogy'<interest rates> <Credit Risk on
Derivatives> RISK 10/92
Jarrow Robert, Stuart Turnbull 'Interest Rate Risk Management in the Presence of
Default Risk' <credit risk> w.p. 6/92
Jarrow Robert, Stuart Turnbull 'Pricing & Hedging of Options on Financial Securities
Subject to Credit Risk:Discrete Time Case' <credit risk> w.p. 6/92
Jarrow Robert, Stuart Turnbull 'Pricing Derivatives on Financial Securities Subject to
Credit Risk' JofF 3/95
Jarrow Robert, Stuart Turnbull 'Pricing Options on Financial Securities Subject to
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Jarrow Robert, Stuart Turnbull 'The Interesection of market & Credit Risk' J. Banking
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Jarrow Robert, Stuart Turnbull 'Unified Approach for Pricing Contingent Claims on
Multiple Term Structures' <term structure> w.p. 4/92
Jarrow Robert, Stuart Turnbull 'When Swaps are Dropped' RISK 5/97 <swaps> <default
risk, foreign currency>
Jarrow Robert, X. Jin, Dilip Madan 'The Second Fundamental Theorem of Asset Pricing'
MF 7/99 ,<asset pricing><complete market,Artzner, Heath> 9/98
Jarvis Dennis, Harold Kushner 'Codes for Optimal Stochastic Control:Documentation &
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Jaschke Stefan 'A Note on Present Value Principle in Markets with Transaction Costs'
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Jaschke Stefan 'A Note on Stochastic Volatility, GARCH Models & Hyperbolic
Distributions' 12/94 <volatility>
Jaschke Stefan 'Arbitrage Bounds for the Term Structure of Interest Rates' 6/95<term
structure>, Finance & Stochastics 1/98 <arbitrage>
Jaschke Stefan 'Discounting Stochastic Cash Flows & Modeling the Term Structure
Dynamics' 5/93 <term structure>
Jaschke Stefan 'Exploratory Data Analysis of Short-Term Interest Rates' <term
structure> wp 11/94
Jaschke Stefan 'Higher Order Forward Rate Agreements & the Smoothness of the Term
Structure' 7/98 <term structure>
Jaschke Stefan 'Super-Hedging & Arbitrage Pricing in Markets with Transaction Costs &
Trading Constraints' 12/96
Jaschke Stefan 'Zu Stochastischen Modellen in der Finanzmathematik' 6/92 <Duffie's
Security Markets> <finance>
Jaschke Stefan, U. Kuchler 'Coherent Risk Measures, Valuation Bounds & (mu,rho)-
Portfolio Optimization' 9/99 <superceeded>
Jaschke Stefan,R. Stehle,S. Wernicke 'Arbitrage am Deutschen Rentenmarkt und die
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Jawerth B.,W. Sweidens 'An Overview of Wavelet Based Multiresolution Analyses' SIAM
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Jean W. 'Geometric Mean & Stochastic Dominance' JofF 3/80
Jean W. 'Harmonic Mean & Other Necessary Conditions for Stochastic Dominance' JofF
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Jeanblanc Monique, Jim Pitman, Marc Yor 'Feynman-Kac Formula & Decomposition of
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Jeanblanc Monique, Marek Rutkowski 'Default Risk & Hazard Processes' 2000
Jeanblanc Monique, Marek Rutkowski 'Modelling of Default Risk:Mathematical Tools'
3/2000 <credit risk>
Jeanblanc Monique, Marek Rutkowski 'Modelling of Default Risk:Overview' 10/99 <credit
risk>
Jeanblanc-Picque Monique 'Impulse Control Method & Exchange Rate' MF 4/93<Diffusion>
Jeanblanc-Picque Monique, Monique Pontier 'Optimal Portfolio for a Small Investor in a
Market Model with Discontinuous Prices' <portfolio> App.Math & Optim. 1990
Jeanloz R., T. Lay 'Core-Mantle Boundary' SA 5/93
Jeantheau T. 'Strong Consistency of Estimators for Multivariate ARCH Models' <ARCH>
Jeffrey Andrew 'An Empirical Examination of a Path-Dependent Term Structure Model '
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Jeffrey Andrew 'Asymptotic Maturity Behavior of Single Factor Heath-Jarrow-Morton Term
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Jeffrey Andrew 'Construction of a Single Factor Heath-Jarrow-Morton Term Structure
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Jeffrey Andrew 'Single Factor Heath-Jarrow-Morton Term Structure Models Based on
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Jeffrey Andrew, Oliver Linton, T. Nguyen 'Nonparametric Estimation of Single Factor
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Jegadeesh Narasimham 'An Empirical Analysis of the Pricing of Interest Rate Caps'
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Jegadeesh Narasimham, G. Pennacchi 'Behavior of Interest Rates Implied by the Term
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Jensen Bjarke, Rolf Poulsen 'Transition Densities of Diffusion Processes:Review &
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Jensen J., J. Pedersen 'Ornstein-Uhlenbeck Type Processes with Non-Normal
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Jensen M. 'Captial Markets:Theory & Evidence' Bell J. 72
Jensen M. 'Wavelet Analysis of Fractionally Integrated Processes' 5/94 <fourier>
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Jewitt I. 'Justifying First-Order Approach to Principal Agent Problems' Econometrica
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JFR = Journal of Financial Research
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Jiang George 'Stochastic Volatitity & Jump-Diffusion---Implications on Option Pricing'
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Jiang George, John Knight 'Finite Sample Comparison of Alternative Estimators of Ito
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Jiang George, P. van der Sluis 'Pricing Stock Options under Stochastic Volatility &
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Jiang X-Q., G. Kitagawa 'A Time Varying Coefficient Vector AR Modeling of
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Jin Xing, F. Milne 'Existence of Equilbrium in a Financial Market with Transaction
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Jobson J. 'Multivariate Linear Regression Test for the Arbitrage Pricing Theory' JofF
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Jobson J., B. Korkie 'Performance Hypothesis Testing with Sharpe & Treynor Measures'
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Johannes Michael 'Jumps in Interest Rates:A Nonparametric Approach' U. Chicago 11/99
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Johansen A., Didier Sornette 'Critical Crashes' RISK <markets> 1/99
Johansen A., Didier Sornette, Olivier Ledoit 'Predicting Financial Crashes using
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Johnson H. 'Pricing of Complex Options' wp Louisian Stat U. (Aug ?81)
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Johnson H., Rene Stulz 'Pricing of Options with Default Risk' JofF 6/87
Johnson J., R. Pari, L. Rosenthal 'Impact of In-Substance Defeasance of Bondholder &
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Johnson L. 'Role of Convexity in Equity Pricing ' <duration> 9/92 FAJ
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Johnson N., P. Hui,T. Lo 'Self-Organized Segregation of Traders within a Market'
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Johnson R., J. Pawlukiewicz, J. Mehta 'Binomial Option Pricing with Skewed Asset
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Jones C., G. Kaul, M. Lipson 'Transactions, Volume & Volatility' RFS Winter 94
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Jones M., Steven Schaefer 'Non-Linear Value-at-Risk' 10/97 <risk> <VaR>
Jones P. 'On Removable Sets for Sobol Spaces in the Plane'
Jones S., W. Lee, R. Apenbrink 'New Evidence on the January Effect Before Personal
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Jorion Philippe 'In Defense of VAR' <hedging>
Jorion Philippe 'Lessons from the Orange County Bankruptcy' J. of Derivatives Summer
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Jorion Philippe 'Mean/Variance Analysis of Currency Overlays' FAJ 5/94<foreign
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Jorion Philippe 'Predicting Volatility in Foreign Exchange Markets' JofF 6/95
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Jouini Elyes 'Market Imperfections, Equilibrium & Arbitrage' Lecture Notes in Math.
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Jouini Elyes, Hedi Kallal 'Martingales & Arbitrage in Securities Markets with
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Jouini Elyes, Hedi Kallal 'Martingales, Arbitrage & Equilibrium in Security Markets
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Kadlec G., D. Patterson 'A Transactions Data Analysis of Nonsynchronous Trading' RFS
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Kadlec G., J. McConnell 'Effect of Market Segmentation & Illiquidity on Asset
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Kafka A. 'New Exchange Rate Regime & the Developing Countries' JofF 6/78
Kagel J., D. Levin 'Common Value Auctions with Insider Information' Econometrica 9/99
Kagel J., R. Harstad, D. Levin 'Information Impact & Allocation Rules in Auctions with
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Kahan M., B. Tuckman 'Don Bondholders Lose from Junk Bond Covenant Changes?' JofB
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Kahaner D., J. Waldvogle, L. Fullerton 'Addition of Points to Gauss-Laguerre Quadature
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Kahi A., S. Morris 'Robustness of Equilibria to Incomplete Information' Econometrica
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Kahl K., C. Curtis 'A Comparative Analysis on the Corn Basis in Feed Grain Deficit &
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Kahn C., G. Pennacchi, B. Sopranzetti 'Bank Deposit Rate Clustering: Theory and
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Kahn C., S. Krasa 'Non-existence & Inefficiency of Equilibria with American Options &
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Kahn C., W. Roberds 'Payment System Settlement & Bank Incentives' RFS Winter 98
Kahn R., Andrew Rudd 'Does Historical Performance Predict Futures Performance?' FAJ
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Kahn R., D. Gulrajani 'Risk & Return in the Canadian Bond Market' J. Portfolio
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Kairys J. 'Predicting Sign Changes in Equity Risk Premium Using Commerical Paper
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Kairys J., Valerio 'The Market for Equity Options in the 1870s' JofF 9/97
Kajii A. 'On the Role of Options in Sunspot Equilibrium' Econometrica 7/97
Kalaba R., L. Tesfatsion 'A Mulicriteria Approach to Model Specification & Estimation'
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Kalaba R., T. Langetieg, M. Weinstein, N. Zubi 'Implied Paraemter Estimation in
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Kalaba R., T. Langetieg, N. Rasakhoo, M. Weinstein 'Estimation of Implicit Bankruptcy
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Kalai E., D. Samet 'Monotonic Solutions to General Cooperative Games' Econometrica
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Kalai E., E. Lehrer 'Rational Learning Leads to Nash Equilibrium' Econometrica 9/93
Kalai E., E. Lehrer 'Subjective Equilibrium in Repeated Games' Econometrica 9/93
Kalai E., W. Stanford 'Finite Rationality & Interpersonal Complexity in Repeated
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Kalashnikov V., M. Roussignol 'Fiabilite d'un Systeme avec Maintenances a Intervalles
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Kalata G. 'New Tech. Stores Images More Efficient' NY Times 11/12/91 <wavelets>
Kalay Avner 'Ex-Dividend Day Behavior of Stock Prices:Re-examination of the Clientele
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Kalay Avner 'Ex-Dividend Day Behavior of Stock Prices:Re-examination of the Clientele
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Kalay Avner, R. Rabinovitch 'On Individual Loans Pricing Credit Rationing & Interest
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Kaldor N., J. Mirrleees 'New Model of Economic Growth' <growth>
Kale J., T. Noe 'Unconditional Takeover Offers:Experimental Evidence' RFS Fall 97
Kale J., T. Noe, G. Ramirez 'Effect of Business Risk on Corporate Capital
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Kaler J. 'Planetary Nebulae & the Death of Stars' Amer Sci 5/86 <astrophysics>
Kalish L., R. Gilbert 'Influence of Bank Regulation on the Operating Efficiency of
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Kallialpur G., R. Karandikar 'Introduction to Option Pricing Theory' <separation,
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Kallsen Jan 'Optimal Portfolios for Exponential Levy Processes' <portfolio> Math.
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Kallsen Jan 'Semimartingale Modelling in Finance' PhD 98 <martingales>
Kallsen Jan 'Utility-Based Derivative Pricing in Incomplete Markets' 12/2000 <option-
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Kallsen Jan, Albert Shiryaev 'Cumulant Process & Esscher's Change of Measure'FS 2002,
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Kallsen Jan, Murad Taqqu 'Option Pricing in ARCH-type Models:with Detailed Proofs'MF
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Kamal Michael, Emmanuel Derman 'Correcting Black-Scholes' RISK 1/99 <option-
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Kamara A. 'Liquidity, Taxes, & Shrot-Term Treasury Yields' JF&QA 9/94
Kamara A. 'New Evidence on the Monday Seasonal in Stock Returns' JofB 1/97
Kamara A., A. Wiegel 'Optimal Hedging in Futures Markets with Multiple Delivery
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Kamara A., T. Miller 'Daily & Intradaily Tests of European Put-Call Parity' JF&QA
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Kamara A., T. Miller, A. Siegel 'Effect of Futures Trading on Stability of S&P 500
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Kaminsky 'Efficiency in Commodity Futures' March 91
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Kamoike O. 'Portfolio Selection When Future Prices of Consumption Goods May
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Kamrad B., Peter Ritchken 'Multinomial Approximating Models for Options with k State
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Kan R. 'Structure of Pareto Optium when Agents have Stochastic Recursive Preferencs'
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Kan R., C. Zhag 'Two-Pass Tests of Asset Pricing Models with Useless Factors' JofF
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Kan Raymond, Guofu Zhou 'A Critique of the Stochastic Discount Factor Methodology'
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Kandel E., L. Marx 'Payments for Order Flow on Nasdaq' JofF 2/99
Kandel E., Neil Pearson 'Differential Interpretation of Public Signals & Trade in
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Kandel S. 'Exclusion of Assets from Test of Mean Variance Efficiency of Market
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Kandel S. 'Geometry of the Maximum Likelihood Estimator of the Zero-Beta Return' JofF
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Kandel S. 'On Exclusion of Assets from Tests of Mean-Variance Efficiency of the Market
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Kandel S., A. Offer, O. Sarig 'Real Interest Rates & Inflation:An Ex-Ante Empirical
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Kandel S., O. Sarig, A. Wohl 'Demand for Stocks:An Analysis of IPO Auctions' RFS
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Kandel S., Robert Stambaugh 'A Mean-Variance Framework for Tests of Asset pricing
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Kandel S., Robert Stambaugh 'On the Predictablity of Stock Returns:An Asset-Allocation
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Kandel S., Robert Stambaugh 'Portfolio Inefficiency & the Cross-section of Expected
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Kandori M., G. Mailath, R. Rob 'Learning, Mutation & Long-run Equilibrium in Games'
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Kane A., A. Marcus 'Valuation & Optimal Exercise of the Wild Card Option in Treasury
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Kane A., A. Marcus 'Valuation of Security Analysis' W.p. NBER June 86
Kane A., A. Marcus, J. Noh 'P/E Multiple & Market Volatility' FAJ 7/96
Kane A., A. Marcus, R. McDonald 'How Big is the Tax Advantage to Debt' JofF 7/84
Kane A., L. Rosenthal, G. Ljung 'Tests of Fisher Hypothesis with International
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Kane A., Y. Lee, A. Marcus 'Earnings & Dividend Announcemnts: Is There a Corroboration
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Kane E. 'Accelerating Inflation, Technological Innovation & the Decreasing
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Kane E. 'Getting Along without Regulaiton "Q":Testing the Standard View of Deposit
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Kane E. 'Principal-Agent Problems in S&L Salvage' JofF 7/90
Kane E. 'Technological & Regulatory Forces in the Developing Fusion of Financial-
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Kane E., H. Unal 'Modeling Structural & Temporal Variation in the Markets Valuation of
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Kane E., S. Buser 'Portfolio Diversification at Commerical Banks' JofF 3/79
Kaneko J. 'Numerical Approximation Method for Stochastic Differential Equations of Ito
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Kang J., Y. Kim, Rene Stulz 'The Underreaction Hypothesis and the New Issue Puzzle:
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Kang J-K., A. Shivdasani, T. Yamada 'Effect of Bank Relations on Investment
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Kang P., Stavros Zenios 'Complete Prepayment Models for Mortgage-Backed
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Kang T., B. Brorsen 'Conditional Heteroskedasticity,Asymmetry and Option Pricing' J.
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Kao G., C. Ma 'Memories, Heteroscedasticity, & Price Limit in Currency Futures
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Karagiannis E. 'Credit Spreads & Fair Value in the Corporate Market' FAJ 7/94
Karandikar R. 'On Pathwise Stochastic Integration' <optons-numeric><semi-martingales>
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Karatzas Ioannis 'Optimization Problems in the Theory of Continuous Trading'<option-
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Karatzas Ioannis, John Lehoczky, Steven Shreve 'Existence & Uniqueness of Mult-agent
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Karatzas Ioannis, John Lehoczky, Steven Shreve 'Optimal Portfolio & Consumption
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Karatzas Ioannis, John Lehoczky, Steven Shreve 'Explicit Solution of a General
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Karatzas Ioannis, John Lehoczky, Steven Shreve, G. Xu 'Martingale & Duality Methods
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Karatzas Ioannis, John Lehoczyk, Steven Shreve 'Equilibrium Models with Singular Asset
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Karatzas Ioannis, Martin Shubik, William Sudderth 'A Strategic Market Game with
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Karatzas Ioannis, Martin Shubik, William Sudderth 'Construction of Stationary Markov
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Karatzas Ioannis, Steven Kou ' On the Pricing of Contingent Claims under Constraints'
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Karatzas Ioannis, Steven Kou 'Hedging American Contingent Claims with Constrained
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Karatzas Ioannis, Steven Shreve 'Decomposition of Brownian Path'<Brownian motion>
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Karatzas Ioannis, Steven Shreve 'Trivariate Density of Brownian Motion,Its Local &
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Karatzas Ioannis, W. Sudderth 'Control & Stopping of a Diffusion Process on an
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Karatzas Ioannis, X. Xue 'A Note on Utility Maximization Under Partial Observations'
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Karatzas Ioannis, X. Zhao 'Bayesian Adaptive Portfolio Optimization' preprint 98
Kariya T., H. Tsuda 'New Bond Pricing Models with Applications to Japanese Data' 94
Kariya T., Y. Tsukuda, J. Maru, Y. Matsue, K. Omaki 'An Extensive Analysis on the
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Karki J., C. Reyes 'Model Relationship' <term structure,franc,$,DM> RISK 12/94
Karlen D. 'Using Probablities to Approximate Distributions'CinP 7/98 <probability>
Karni '...Utility Theory' JET 8/93
Karni E. 'Definition of Subjective Probabilities with State Dependent Preferences'
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Karni E., Z. Safra '"Preference Reversal" & the Observability of Prefences by
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Karolyi G. 'Stock Market Volatility around Expiration Days in Japan' J. Derivatives
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Karolyi G., Rene Stulz 'Why do markets Move Together? An Investigation of U.S.-Japan
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Karpoff J. 'Relation Between Price Changes & Trading Volume:Survey' JF&QA 87
Karsenty F., J. Sikorav 'Installment Plan' <option-chooser> RISK 11/93
Karuppaih J., Cornelius Los 'Multiresolution Wavelet Analysis of High Frequency Asian
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Kasahara Y., N. Kono, T. Ogawa 'On Tail Probabilities of Local Times of Gaussian
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Kastens T., T. Schroeder 'Trading Simulation Test for Weak-Form Efficiency in Live
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Kasting J., O. Toon. J. Pellack 'How Climate Evolved on Terrestical Planets' SA 2/88
Kat H. 'Contingent Premium Options' J.of Derivatives Summer 94 <options-american> &
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Kat H. 'Delta Hedging of S&P 500 Options:Cash versus Futures Market Execution'
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Kat H. 'Discrete Path-Depenent Options' Derivatives Week <options-path>
Kat H. 'Portfolio Insurance:Comparison of Alternative Strategies' J.Fin.Eng 12/93
Kat H. 'Pricing Lookback Options Using Binomial Trees:an Evaluation' <options-
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Kat H., H. Roozen 'Pricing & Hedging International Equity Derivatives' J.Derivatives
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Kat H., L. Verdonk 'Tree Surgery' <options-barrier><binomial> RISK 2-95
Kath B. 'Making Waves:Solitons & Their Optical Applications' SIAM News 3/98
Katsuda A., T. Sunada 'Dynamical L-Functions & Homology of Closed Orbits' Bulletin
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Katz M. 'Price Discrimination & Monopolistic Competition' Econometrica 11/84
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Kau J., D. Keenan, Walter Muller, J. Epperson 'Generalized Valuation Model for Fixed-
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Kau J., D. Keenan, Walter Muller, J. Epperson 'Valuation and Securitization of
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Kauffmann R. 'Implementing Uniform Trigonometric Spline Curves' Dr.Dobbs 5/97
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Kaufman George 'Some Shortcomings of Analyzing Deposit Insurance as a Put Option' J.
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Kaufman George, Larry Mote, Harvey Rosenblum 'Consequences of Deregulation for
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Kaufman H. 'Supervision of Financial Derivatives' J. of Derivatives Fall 94
Kaul A., V. Mehrotra, R. Morck 'Demand Curves for Stocks Do Slope Down:New Evidence
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Kaul G., H. Seyhun 'Relative Price Variability, Real Shocks & the Stock Market' JofF
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Kavussanos M., N. Nomikos 'Hedging in the Freight Futures Market' J. Derivatives V8 #1
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Kawaller Ira 'Arbitrage & Related Stratey Euro-Rate Diff ' 90
Kawaller Ira 'Choosing the Best Interest Rate Hedge Ratio' 9/92 <hedging> FAJ
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Kawaller Ira 'Eurodollar Bundles & Hedging Considerations' J. Financial Engin. 3/95
Kawaller Ira 'Foreign Exchange Hedge Management Tools' FAJ 9/93
Kawaller Ira 'Tailing Futures Hedge/Tailing Spreads' J.of Derivatives Winter 97
Kawaller Ira, J. Marshall 'Deriving Zero-Coupon Rates: Alternatives to Orthodoxy' FAJ
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Kawaller Ira, P. Koch 'Meeting the "Highly Effective Expectation" Criterion for Hedge
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Kawaller Ira, P. Koch, J. Peterson 'Assessing Intraday Relationship between Implied &
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Kazemi H. 'An Intertemproal Model of Asset Prices in a Markov Economy with Limiting
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Kazemi H. 'Multiperiod Asset Pricing Model with Unobservable Market Porfolio' JofF
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Kazemi H. 'The Multi-Period CAPM & the Valuation of Multi-Period Stochastic Cash
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Kazziha S., Riccardo Rebonato 'Unconditional Variance, Mean Reversion & Short Rate
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Keane M. 'A New Idea for Welfare Reform' Quarterly Review Minn Spring 95
Keane M. 'Computationally Practical Simulation Estimator for Panel Data' Econometrica
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Keane M., David Runkle 'Are Economic Foreccast Rationsl ? ' FRB Minn Spring 89
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Kear B. 'Advanced Metals ' <alpha>
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Kehoe P., T. Kehoe 'Capturing NAFTAs Impact With Applied General Equilibrium Models'
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Keller Herb 'Approximation Methods for Non-linear Problems with Applications of Two
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Keller Herb 'Newtons Method Under Mild Difference Condtions' <in NM2PBVP>
Keller Herb 'Numerical Solution of Bifurcation Value Problems' <in NM2PBVP>
Keller Herb 'Numerical Solution of Two Point Boundary Value Problems' <in book
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Keller Herb, A. White 'Difference Methods for Boundary Value Problems in Ordinary
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Keller Joseph 'How Many Shuffles to Mix a Deck?' SIAM Review 3/95
Keller Ulrich, A. Schlatter 'Telescopic Sums: A New Method for Performance Analysis of
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Kelley C. 'A Fast Multilevel Algoritm for Integral Equations' SIAM J. Num.Anal
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Kelley C., C. Miller, M. Tocci 'Termination of Newton/Chord Iternations & the Method
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Kemna Angelien 'Options in Real & Financial Markets'
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Kemna Angelien, Ton Vorst 'A Pricing Method for Options Based on Average Asset
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Kenen P. 'Balance of Payments & Policy Mix:Simulations Based on a U.S. Model' JofF
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Kennan J. 'An Econometric Analysis of Fluctualtions in Aggregate Labor Supply &
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Kennan J. 'Elusive Effects of Minimum Wage'<alpha> JEL 12/95
Kennan J., R. Wilson 'Bargaining with Private Information' JEL 3/93
Kennedy D. 'Characterizing & Filtering Gaussian Models of the Term Structure of
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Kennedy D. 'Exact Ruin Probabilities & Evaluation of Program Trading on Financial
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Kennedy D. 'The Term Structure of Interest Rates as a Gaussian Random Field'<term
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Kennedy Joanne 'The Effect of Bayesian Priors on the Moving Average Representation of
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Kepner J., S. Parker, V. Decyk 'Simulating Plasma Turbulence in Tokamaks' SIAM News
5/97
Keppo J., S. Peura 'Optimal Portfolio Hedging with Nonlinear Derivatives & Transaction
Costs' Comp. Econ 4/99
Kerkvliet J., M. Moffett 'Hedging of Uncertain Future Foreign Currency Cash Flow'
JF&QA 12/91
Kerr W., R. King 'Limits on Interest Rate Rules in the I.S. Model' Economic Quarterly
FRB Richmond Spring 96
Kesavan S. 'Comparison Results via Schwarz Symmetrization-a Survey ' Sympos Math
Cambridge Press 94
Kesten H., Brent Stigum 'Additional Limit Theorems for Indecomposible Multi-
Dimensional Galton-Watson Processes' Annal of Math. Stat 12/66
Keynes J. 'General Theory of Employment' Q.J. Econ 2/37 <employment>
Khandani B. 'Measuring Herstatt Risk in Forex Transactions' <settlement risk> 2000
<risk>
Khandekar 'Feynman Path Integrals' Physics Reprots v137 116-229
Khanna A., M. Kulldorff F. 'A Genalzation of the Mutual Fund Theorem' Finance &
Stochastics 2-99
Khanna N. 'Optimal Contracting with Moral Hazard & Cascading' RFS Fall 98
Khanna N., A. Poulsen 'Managers of Financially Distressed Firms:Villians or
Scapegoats' JofF 7/95
Khanna T., K. Palepu 'Is Group Affilation Profitable in Emerging Markets? An Analysis
of Diversified Indian Business Group' JofF 4/2000
Kholodngi V. 'Beliefs-Preferences Gauge Symmetry Group & Replication of Contingent
Claims in a General Market Enviornment' IES Press 98
Khorana A., H. Servaes 'Determinants of Mutual Funds Starts' RFS Winter 99
Khoung-Huu P. 'The Price of Credit' <credit risk> <credit term structure> RISK 12/99
Khoury N., P. Yourougou 'Determinates of Agri. Futures Price Volatilites:Winnipeg'
JFM 6/93
Khuong-Huu P. 'Swaption with a Smile' <volatility> RISK 8/99
Khushnevisan D. 'Deviation Inequalities for Continious Martingales' <martingale> SP&A
12/96
Kichenassamy S. 'The Blow-up Problem for Exponential Nonlinearities' IMA
Kichian M., R. Garcia, Eric Ghysels 'On the Dynamic Specification of International
Asset Pricing Models' <asset pricing> 9/95
Kidwell D., C. Trzcinka 'Municipal Bond Pricing & the New York City Fiscal Crisis'
JofF 12/82
Kidwell D., T. Koch 'Behavior of the Interest Rate Differential Between Tax-Exempt
Revenue & General Obligation Bonds:Test of Risk Preferences & Market
Segmentation'JofF 3/82
Kiefer N., G. Skoog 'Local Asymptotic Specification Error Analysis' Econometrica 7-84
Kiefer N., T. Vogelsang ,H. Bunzel 'Simple Robust Testing of Regression Hypothesis'
Econometrica 5/2000
Kiesel Rudiger, W. Perraadin, A. Taylor 'Credit & Interest Rate Risk' Birbeck 99
Kiesel Rudiger, W. Perraadin, A. Taylor 'The Structure of Credit Risk' Birbeck 99
Kieu K., M. Mora 'Estimating the Reduced Moments of a Random Measure' Adv.App.Prob.
v31 1999
Kifer Yuri 'Game Options' <option-game><optimal stopping,Israeli option> Finance &
Stochastics V4 #4 2000
Kihlstrom R. 'Term Premia in a Simple Structure Model' <term structure>J. Economic
Dynamics & Control 16 (92)
Kihn J. 'Effect of Embedded Options on the Financial Performance of Convertible Bond
Funds' FAJ 2/96
Kihn J. 'To Load or Not to Load? Study of the Marketing & Distribution Charges of
Mutual Funds' FAJ 5/96
Kihn J. 'Unravelling the Low-Grade Bond Risk/Reward Puzzle' FAJ 7/94
Kijima Masaaki 'Monotonicities in a Markov Chain Model for Valuing Corporate Bonds
Subject to Credit Risk' MF 7/98
Kijima Masaaki 'Numerical Calculation of Ruin Probabilities for Skip-Free Markov
Chains' SIAM Review 12/93
Kijima Masaaki, I. Nagayama 'A Numerical Procedure for the General One-Factor Interest
Rate Model' J. Finan Engin. 12/96 <term structure>
Kijima Masaaki, I. Nagayama 'Efficient Numerical Procedures for the Hull-White
Extended Vasicek Model'<term structure> J. Fin.Engin Sept/Dec 94
Kijima Masaaki, K. Komoribayashi 'A Markov Chain Model for Valuing Credit Risk
Derivatives' J.of Derivatives Fall 98 <credit risk>
Kijima Masaaki, M. Ohnishi M. 'Portfolio Selection Problems via the Bivariate
Characterization of Stochastic Dominance Relations' <portfolio> MF 7/96
Kijima Masaaki, M. Ohnishi 'Stochastic Orders & Their Application in Financial
Optimization' Math. Method of OR V50 #2 99 <portfolio>
Kijima Masaaki, Y. Muromachi 'Credit Events & the Valuation of Credit Derivatives of
Basket Type' R. Deriv Research v4 2000
Kijma Masaaki 'Valuation of a Credit Swap of the Basket Type' R. Deriv. Research v4 #
2000
Kikugawa T., Kenneth Singleton 'Modeling the Term Structure of Interest Rates in
Japan' J.Fixed Income 9/94
Kilcollin T. 'Difference Systems in Financial Futures Markets' JofF 12/82
Kim Byung Chun, Nam Sik Moon, Sang Bin Lee 'Fitting the Term Structure of Interest
Rates with a Modfied Cubic Smoothing Spline' J. Financical Engineer 6/96
Kim C. 'Stochastic Dominance,Pareto Optimality & Equilibrium Asset Pricing' wp 9/94
Kim C., D. Mauer, A. Sherman 'Determinants of Corporate Liquidity:Theory & Evidence'
JF&QA 9/98
Kim C., J. Park 'Holiday Effects & Stock Returns:Further Evidence' JF&QA 3/94
Kim D. 'Reexamination of Firm Size,Book-to-Market & Earnings Price in the Cross-
Section of Expected Stock Returns' JF&QA 12/97
Kim D. 'The Errors in Variables Problem in the Cross-Section of Expected Stock
Returns' JofF 12/95
Kim D., A. Santomero 'Risk in Banking & Capital Regulation' JofF 12/88
Kim D., S. Kon 'Alternative Models for Conditional Heteroscedasticity of Stock
Returns' J.of Business 10/94
Kim E. 'Mean-Variance Theory of Optimal Capital Structure & Corporate Debt Capacity'
JofF 3/78
Kim I. 'Alternative Approach to Dividend Adjustments in Option Pricing Models'
<options-pricing> J. Financial Engineering 12/95
Kim I. 'Analytic Approximation of Optimal Exercise Boundaries for American Futures
Options' J.Futures Markets<options-american> 2/94
Kim I. 'Analytic Valuation of American Options on Futures Contracts' <options-
american> RFS 90
Kim I. 'Analytic Valuation of American Puts' 3/89 <options-american> wp
Kim I., G. Yu 'An Alternative Approach to the Valuation of American Options &
Applications' R. Deriv. Research v1 #1 96<options-American>
Kim I., G. Yu 'Simplified Approach to Valuation of American Options & Its
Applications' <options-american><absol diffus.,aborb.,barrier> 4/93 w.p. NYU
Salomon Center
Kim I., Krishna Ramaswamy, Suresh Sundaresan 'The Valuation of Corporate Fixed Income
Securities' Finanical Management 93
Kim In Joon, Suk Joon Byun 'Optimal Exercise Boundary in a Binomial Option Pricing
Model' J. Fin. Engin. 6/94
Kim J. 'Large Sample Properties of Posterior Densities,Bayesian Information Criteria &
Likelihood Priniple in Nonstationary Time Series Models' Econometrica 3/98
Kim J., C. Finger 'A Stress Test to Incorporate Correlation Breakdowns' J. of Risk
Spring 2000
Kim Joan 'Analytic Valuation of American Options' <options-american>w.p. Solomon
Brothers May 1990(also in RFS 3 (1990))
Kim K. 'Theoretical Relationship Between Systematic Risk & Financial(Accounting)
Variables' JofF 6/81
Kim K., S. Rhee 'Price Limit Performance:Evidence from the Tokyo Stock Exchange'
JofF6/97
Kim M. 'Inflationary Effects in the Capital Investment Process:An Empirical
Examination' JofF 9/79
Kim M., V. Maksimovic 'Debt & Input Misallocation' JofF 7/90
Kim M., Y. Oh, R. Brooks 'Are Jumps in Stock Returns Diversifiable? Evidence &
Implications for Option Pricing' JF&QA 12/94
Kim O. 'Disagreements among Shareholders over Firms Disclosure Policy' JofF 6/93
Kim S. 'Do Capital Controls Affect the Response to Investment to Savings? Evidence
from Pacific Basin' Economic Review S.F. #1 1993
Kim S. 'Efficiency of an Information System in an Agency Model' Econometrica 1/95
Kim S., J. Lin, M. Slovin 'Market Structure, Informed Trading & Analysts
Recommendations' JF&QA 12/97
Kim S., Joseph Ogden 'Incorporating Price-Relevant Information Between Quotes &
Trades:New Measure of the Effective Bid-Ask Spread' Inter. J. Theor.&Applied
Finance 4/99
Kim S., Neil Shephard, S. Chib 'Stochastic Volatility:Likelihood Inference &
Comparison with ARCH Models' <volatility> wp 10/96
Kim S., R. Moreno 'Stock Prices & Bank Lending Behavior in Japan' Economic Review FRB
S.F. V.4,#1
Kim T. 'Intransitive Indifference & Revealed Preference' Econometrica 1/87
Kim T., Ed Omberg 'Dynamic Nonmyopic Portfolio Behavior'<portfolio> <HARA,utility> RFS
96 v9 #1 <On Index>
Kim Y. 'Are Prices Countercyclical? Evidence from East Asian Countries' Review S.L.
FRB v 78 #5
Kim Y., J. Atkins 'Evaluating Investments in Accounts Receivable:Maximizing Framework'
JofF 5/78
Kim Y., J. Sobel 'An Evolutionary Approach to Pre-Play Communications' Econometrica
9/95
Kimball M. 'Standard Risk Aversion' Econometrica 5/93
Kimbrough K. 'Commerical Policy & Aggregate Employment under Rational Expectations' 81
Kinateder K., P. McDonald 'Variational Principles for Average Exit Time Moments for
Diffuions in Euclidean Space' Proc. Amer. Math. Soc. 99
Kind P., R. Liptser, Wolfgang Runggaldier 'Diffusion Approximations in Past Dependent
Models & Applications to Option Pricing' <options-path> Annals of Applied Prob.
91 <American>
King M. 'The Durbin-Watson Test for Serial Correlation:Bounds for Regressions with
Trend and/or Seasonal Dummy Variables' Econometrica 11/81
King M., E. Sentana, S. Wadhwani 'Volatility & Links Between National Markets'
Econometrica 7/94
King M., P. Wu 'Locally Optimal One-Sided Tests for Multiparameter
Hypotheses'Econometirc Reviews 97
King R. 'Quantitative Theory & Econometircs' Economic Quarterly FRB Richmond Summer
95
King R. 'Will the New Keynesian Macoreconimcs Resurrect the IS-LM Model?' J.Economic
Perspectives Winter 93
King R., A. Wolfman 'Inflation Targeting in a St. Louis Model of the 21st
Centrury'commnet J. Rotemberg, Edward Prescott St. Louis Review 5/96
King R., M. Watson 'Testing Long-Run Neutrality' Econ. Quarterly FRB Richmond
King R., S. Rebelo 'Transitional Dynamics & Economic Growth in Neoclassical Model'
AER 9/93
King 'Stochastic Trends & Economic Fluctuations' <Business Cycle> w.p.
King T. 'Force-Based Simulations' Dr. Dobb 9/89> <planetary motions> <numeric>
Kingdon J., K. Feldman 'Genetic Algorithms & Applications to Finance' Appl. Math.
Finance 6/95
Kinger B. 'Numerical Integration of Singular Integrands using Low-Discrpany Sequences'
v59#3 Computing 97
Kingsman B. 'Relationship Between European & U.S. Prices for Soyabeans & Corn 1966-
68'R. Futures Markets V7 Supp. 88
Kirby C. 'Measuring the Predicatable Variation in Stock & Bond Returns' RFS Fall 97
Kirby C. 'Restrictions on Predictability Implied by Rational Asset Pricing Models' RFS
Summer 98
Kiriakopoulos K., Christofides, N. and Salkin, G. A tree-based algorithm for risk
management of interest rate derivatives portfolios Centre for Qualitative
Finance, Imperial Collete of Science, Technology and Medicine' <term structure>
11/95
Kirikos G., D. Novak 'Convexity Conundrums' <term structure> <eurodollar strips, Hull-
White> RISK 3/97
Kirkpatrick S., C. Gelatt, M. Vecchi 'Optimization by Simulated Annealing' Science 5-
83 <statistics>
Kirman A., C. Oddou,S. Weber 'Stochastic Communications & Coalition Formation'
Econometrica 1/86
Kirova M., R. Lipsey 'Measuring Real Investment:Trends in the United States &
International Comparison' FRB SL 1/98
Kirzner I. 'Entrepreneurial Discovery & the Competitive Market Process:An Austrian
Approach' JEL 3/97
Kishimoto N. 'Duration & Convexity of Coupon Bond Futures' J. Fixed Income 6/98
Kishimoto N. 'Pricing Contingent Claims under Interest Rate & Asset Price Risk' JofF
7/89
Kitagawa G. 'Non-Gaussian State-Space Modeling of Nonstationary Time Series' J. Amer.
Stat. Ass. 87
Kitamuro Y., M. Stutzer 'An Information Theoretic Alternative to Generalized Method of
Moments Estimation' Econometrica 7/97
Klaassen P. 'Discretized Reality & Spurious Profits in Stochastic Programming Models
for Asset/Liability Management' 7/96 <portfolio>
Klaassen P. 'Financial Asset-Pricing Theory & Stochastic Programming Models for
Asset/Liability Management:Synthesis' 4/96 <portfolio>
Klaassen P., E. van Leeuwen, B. Schreurs 'One-Factor Fallacies' RISK 12/98 <term
structure>
Klaffky T., Y. Ma, A. Nozari 'Managing Yield Curve Exposure:Introducing Reshaping
Durations'<term structure> J. Fixed Income 12/92
Klebanov L., Svetlozar Rachev, M. Safarian 'Local Prelimit Theorems' App. Math.
Letters 13 (2000) <random variables,Levy flight,stable laws> <option-
distribution>
Kleidon A. 'Arbitrage, Non-trading & Stale Prices:Oct 87' J. of Business 10/92
Kleidon A., Robert Whaley 'One Market? Stocks,Futures & Options During October 1987'
JofF 7/92
Klein A. 'Timing & Substance of Divestiture Announcements:Individual,Simultaneous &
Cumulative Effects' JofF 7/86
Klein I. 'A Fundamental Theorem of Asset Pricing for Large Financial Markets' MF
10/2000 <asset pricing>
Klein I., Walter Schachermayer 'A Quantitative & Dual Version of the Halmos-Savage
Theorem with Applications to Mathematical Finance' Annalws of Prob 96
Klein I., Walter Schachermayer 'Asympotic Arbitrage in Noncomplete Large Financial
Markets' <arbitrage> Theory Prob & App. V41 #4 96
Klein L. 'Irving Kravis:Memoir of a Distinguished Fellow' J. Economic Persp. Summer 93
Klein M. 'Economics of Security Divisibility & Financial Intermediation' JofF 9/73
Klein P., M. Inglis 'Valuation of European Options Subject to Financial Distress &
Interest Rate Risk' J. of Derivatives Spring 99
Klein R., R. Spady 'Efficient Semiparametric Estimator for Binary Response Models'
Econometrica 3/93
Klein R., Robert Eisner 'Econometric Studies of Investment' Colloquia JEL 3/74
Klein R., S. Brown 'Model Selection when There is "Minimal" Prior Information'
Econometrica 9/84
Kleinman N., J. Spall, D. Naiman 'Simulation-Based Optimization with Stochastic
Approximations Using Common Random Numbers' MS 11/99 <Monte Carlo>
Klemkosky R., B. Resnick 'Put Call Parity & Market Efficiency' JofF 12/79
Klemkosky R., T. Maness 'Predictability of Real Portfolio Risk Levels' JofF 5/78
Klemperer P., M. Meyer 'Supply Function Equilibria in Oligopoly under Uncertainity'
Econometrica 11/89
Klepper S., E. Leamer 'Consistent Sets of Estimates for Regressions with Errors in All
Variables' Econometrica 1/84
Kliesen K., J. Tatom 'Recent Credit Crunch:Neglected Dimensions' Review (FRB S.
Louis) 9/92
Kliger D., O. Sarig 'Information Value of Bond Ratings' JofF 12/2000
Klinkhammer G., R. Mavin, B. Ryan 'Calculating Average Life for Bonds with Embedded
Options' in Nelken I. (ed) 'Option Embedded Bonds'
Kloeden Peter 'Relations Between Multiple Ito and Stratonvich Integrals' <stochastics>
Stochastic Analysis and Applications 91
Kloeden Peter, Eckhard Platen 'Higher Order Implicit Stong Numerical Schemes for
Stochastic Differ. Equations' <SDE> J. Stat. Physics 92
Kloeden Peter, Eckhard Platen 'Numerical Solution of Stochastic Differential
Equations' Springer 95
Kloeden Peter, Eckhard Platen 'Stratonovich & Ito Stochastic Taylor Expansions' <SDE>
Mathematische Nachrichten 91
Kloeden Peter, Eckhard Platen, I. Wright 'The Approximation of Multiple Stochastic
Integrals' <stochastics> Stochastic Analysis and Applications 91
Klugman R., Paul Wilmott 'A Class of One-Factor Interest Rate Models'<term structure>
w.p. 7/93
Kluppelberg Claudia, T. Mikosch 'Large Deviations of Heavy-Tailed Random Sums with
Applications to Insurance & Finance' J. App. Prob 97 <random><poisson>
Knaster B., K. Kuratowski, S. Mazurkiewicz 'Ein Beweis des Fixpunktsatzes fur n-
Dimensionale Simplexe' Fundmenta Mathematica 29
Knauss K. 'Poor Mans Solution to Traveling Salesman Problem'<bin packing> C-Users J.
Aug89
Knaust Helmut 'Orlicz Sequence Spaces of Banach-Saks Type' <math>
Knessi C., C. Peters 'Exact & Asymptotic Solution for the Time Dependent Problem of
Collective Ruin I' SIAM App.Math 12-94
Knetter M. 'International Comparisons of Pricing-to-Market Behavior' AER 6/93
Knez Peter, Mark Ready 'Estimating the Profits from Trading Strategies' RFS Winter 96
Knez Peter, Mark Ready 'On the Robustness of Size & Book-to-Market in Cross-Sectional
Regressions' JofF 9/97
Knez Peter, Robert Litterman, Jose Scheinkman 'Explorations into Factors Explaining
Money Market Returns' JofF 12/94
Knight John 'Asymptotic Distribution of Dynamic Multiplier in Dynamic AR Models'
Econometrica 1-84
Knight John, Stephen Satchell 'Asymptotic Expansions for Random Walks with Normal
Errors' w.p. U. London 11/92<distributions>
Knight John, Stephen Satchell 'Exact Critical Regions & Confidence Intervals for ML
Estimators in Negative Exponential Regression Model'<maximum likelihood> w.p.
U. London 11/92<*MLE>
Knight John, Stephen Satchell 'Pricing Derivatives Written on Assets with Arbitrary
Skewness & Kurtosis' Trinity College Cambridge 11/97
Knight John, Stephen Satchell, K. Tran 'Statistical Modelling of Asymmetric Risk in
Asset Returns' Applied Math.Finance 9/95 <asset pricing><double sided gamma
distribution>
Knight K. 'Rate of Convergence of Centred Estimates of Autoregressive Parameters for
Infinite Variance Autoregressions' J. Time Series Analysis #1 (87)
Knoerr A. 'A Dynamical Proof of the Method of Lagrange' SIAM Review 12/98
Knoll A. 'End of Proterogic Econ' SA 10/91
Knoll M. 'Tax Induced Clientele for Index Linked Bonds:Comment' JofF 12/91
Knudsen T., B. Meister,M. Zervols 'Valuation of Investment in Real Assets with
Implications for the Stock Prices'SIAM J. Control & Opt. 11/98
Knupp P., S. Steinberg' 'Fundamentals of Grid Generation' CRC Press 93
Kobayashi M. 'Benchmarks for Image Marking' SIAM News 3/97
Kobayashi M. 'Testing for Autocorrelated Disturbances in Nonlinear Regression
Analysis' Econometrica 7/91
Kobayashi M. 'The "Ueburetto-Boom": Wavelets in Japan' SIAM NEWS 11/95
Kobayashi M., S. Misono, K. Iwana 'The Traveling Salesman Problem:PCBs,Punch
Presses...& Pachinko' SIAM News 12/94
Kobayashi M., S. Uno 'Hooked on Computer Graphics' SIAM News 10/94
Kobila T. 'A Class of Solvable Stochastic Investment Problems Involving Singular
Stochastic Contol' S&SR 93 v43 #1-2
Kochard Lawrence 'Option Pricing & Higher Order Moments of the Risk Neutral Denistiy
Function' 99 U. Virginia PhD Diss.
Kocherlakota Narayana 'Disentangling the Coefficient of Relative Risk Aversion from
the Elasticity of Intertemporal Substituion: An Irrelevance Result' JofF 3/90
Kocherlakota Narayana 'Equity Premium:Its Still a Puzzel' JEL 3/96
Kochin L., R. Parks 'Was the Tax-Exempt Bond Market Inefficient or Were Future
Expected Tax Rates Negative' JofF 9/88
Kocic A. 'Numeraire Invariance & Generalized Risk Neutral Valuation' AFOR v.9 97
<option-pricing>
Kocic A., C. Quintos, F. Yared 'Indentifying the Benchmark Security in a Multifactor
Spread Environment' 9/26 Lehman Brothers <term structure>
Koddo D., F. Palm 'Wald Criteria for Jointly Testing Equality & Inequality
Restrictions' Econometrica 9/86
Kodres L. 'Tests of Unbias. in Foreign Exchange Futures..Price Limits & Conditional
Heteroscedasticity' JofB 7/93
Kodres L. 'Tests of Unbiasedness in Foreign Exchange Futures Markets:Effects of Price
Limits' R. Futures Markets' V7 #1 88
Kodres L., D. O'Brien 'The Existence of Pareto-Superior Price Levels' AER 9/94
Koedijk D., R. Huisman, R. Pownall 'VAR-x:Fat Tails in Financial Risk Management' J.
of Risk Fall 98
Koedijk K., C. Kool 'Tail Estimates of East European Exchange Rates' J. Bus.& Econ.
Stats 92
Koedijk K., F. Nissen, P. Schotman, C. Wolff 'Dynamics of Short Term Interest Rate
Volatility Reconsidered' <volatility><GARCH> Limburg U. 94
Koedijk K., M. Schafgans, C. de Vries 'Tail Index of Exchange Rate Returns' J. Inter.
Economics 90
Koeduk K., F. Nissen, P. Schotman, C. Wolff 'Dynamics of Short-Term Interest Rate
Volatility Reconsidered' Euro. Finance Review V1 #1 97 <interest rate>
Koehl P-F., Huyen Pham, Nizar Touzi 'Hedging in Discrete-Time under Transaction Costs
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Koehl P-F., Huyen Pham, Nizar Touzi 'On Super-Replication in Discrete Time under
Transaction Costs' 2/98 <hedging>
Koehn M., A. Santomero 'Regulation of Bank Capital & Portfolio Risk' JofF 12/80
Koenig E. 'Capacity Utilization as a Real Time Predictor of Manufacturing Output'
Economic Review FRB Dallas 3Q/96
Koenigsberg Mark 'Delievery Option for Treasury Bond Futures' J. Fixed Income 91
Koenigsberg Mark, J. Showers, J. Streit 'Term Structure of Volatility & Bond Option
Valuation' J. Fixed Income Sept 91<term structure>
Koenigsberg Mark, Y. Bourtzos 'Basis & Choice Between Futures & Cash'<futures> J. of
Fixed Income 9/92
Kofman F., J. Lawarree 'Collusion in Hierarchical Agency' Econometrica 5/93
Kofman P. 'Optimizing Futures Margins with Distribution Tails' AF&OR6
Kofman P., C. de Vries 'Potato Futures Returns:A Tail Investigation' R. Futures
Markets V8 #2 89 <volatility>
Kogelman S., L. Bader 'Statistical Duration:Spread Model of Rate Sensitivity Across
Fixed-Income Sectors' J. Fixed Income 3/94
Koh I. 'Computation on European & American Options' <option-pricing>
Kohatsu-Higa Arturo 'Weak Approximations. A Malliavin Calculus Approach' 2/99
<stochastics>
Kohatsu-Higa Arturo, D. Marquez-Carreras, Marta Sanz-Sole 'Asymptotic Behavior of the
Density in a Parabolic SPDE' <SDE>
Kohatsu-Higa Arturo, Jorge Leon 'Anticipating Stochastic Differential Equations of
Stratonovich Type' <SDE>
Kohlberg E., J. Mertens 'On the Strategic Stability of Equilibria' Econometrica 9/86
Kohlmann Michael, Shan-Jian Tang 'Multi-Dimensional Backward Stochastic Riccati
Equations and Applications'<mean-variance hedging, variance-optimal martingale>
9/2000 <SDE>
Kohlmann Michael, X. Zhou 'Relationship Between Backward Stochastic Differential
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Kohn R. 'Consistent Estimation of Minimal Subset Dimension' Econometrica 3/83
Kohn R., C. Ansley 'On Equivalence Between Optimal Smoothing & Signal Extraction' 10-
86 U. New South Wales
Kohn R., C. Ansley, D. Tharm 'Accurate & Efficient Methods for Spline Smoothing Using
a State Space Approach' w.p. (?) U. New South Wales<numeric>
Kohn R., C. Ansley, D. Tharm 'Performance of Cross-Validation & Maximum Likelihood
Estimators of Spline Smoothing Parameters'<statistics> w.p. Feb. 90
Kolassa J. 'Series Approximation Methods in Statistics' Springer 94
Kolata G. 'New Short Cut Found for Long Math Proofs' NYT 4/92 <math>
Kolb Robert 'Is Normal Backwardation Normal?' JFM Feb 92
Kolb Robert 'Systematic Risk of Futures Contracts' J. Futures Markets 9/96
Kolb Robert, John Okunev 'Empirical Evaluation of Extended Mean-Gini Coefficient for
Futures Hedging' JFM 4/92
Kolb Robert, John Okunev 'Utility Maximizing Hedge Ratios in Extended Mean Gini
Framework'<hedging> J. Futures Markets 9/93
Kolb Robert, John Okunev, Ricardo Rodriquez 'Regression to the Mean & Mean Reversion
in Futures Markets' J. Fin. Engin. 6/94
Kolb Robert, R. Morin, G. Gay 'Regulation, Regulatory Lag & the Use of Futures' JofF
5/83
Kolb Robert, Ricardo Rodriguez 'Friday the Thirteenth: Part VII' JofF 12/87
Koleden Peter 'Numerical Evaluation of Path integrals 1967 MATH.COMPUT.
Kolkiewicz Adam 'Pricing American Style Options Using Quasi-Monte Carlo Methods' U.
Waterloo 2000 (conference)
Kollman K., J. Miller,S. Page 'Political Institutions & Sorting in a Tiebout Model'
AER 12/97
Kolm S. 'External Liquidity-study of Welfare Economics' MMinIV
Kolodner I. 'Free Boundary Problem for the Heat Equation with Applications to Problems
of Change of Phase' <integral & Diff,boundary> Commu. of Pure & Applied Math
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Kolodyn 'Refunding Decision in Near Perfect Markets' JofF 12/74
Kolodziej S. 'Regularity of Entire Solutions to the Complex Monge-Ampere Equation' 97
<diff. equ.>
Kolodziej S. 'Some Global Solutions to the Complex Monge-Ampere Equation' 97 <diff.
equ.>
Kolodziej S. 'The Complex Monge-Ampere Equation' 97 <diff. equ.>
Kom Y. 'An Efficient Generalized Method of Moments Estimation of Continuous-Time Asset
Dynamics:Implication for the Term Structure of Interest Rates' AFA papers 7/97
Kon S. 'Models of Stock Returns-Comparison' JofF 3/84
Kon S. 'Optimal Market Timeing & Security Selection Decisions with Index Futures
Contracts' <stock price> AFOR V1B 86
Kon S., C. Polek 'Time-Varying Empirical Duration & Slope Effects for Mortgage-Backed
Securities' J. Fixed Income 9/98
Kon S., F. Jen 'Estimation of Time-Varying Systematic Risk & Performance for Mutual
Fund Portfolios:Application of Switching Regression' JofF 5/78
Konno H., H. Shirakawa 'Existence of a Nonnegative Equilibrium Price Vector in the
Mean-Variance Capital Market' <CAPM> Mathematical Finance 7/95
Konno H., J. Li 'Internatioally Diversified Investment Using an Integrated Portfolio
Model' Int. J. Theo & Appl Finance 1/98
Koo H. 'Consumption & Portfolio Selection with Labor Income:Continuous Time Approach'
MF 1/98
Koo H. 'Consumption & Portfolio Selection with Labor Income:Discrete-Time Approach'
Math. Method of OR V50 #2 99
Kool C., J. Tatom 'The P-Start Model in Five Small Economies' FRB S.L. 5/94
Koop G., E. Ley, J. Osiewalski, M. Steel 'Bayesian Analysis of Long Memory &
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Koopman S., E. Uspensky 'The Stochastic Volatility Mean Model' Tinbergen 2000
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Koopmans L. 'Spectral Analysis of Time Series' Academic Press
Koot R. 'On Economies of Scale in Credit Unions' JofF 9/78
Kopecky K. 'NonMember Banks & Empirical Measures of the Variability of Reserves &
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Kopecky K. 'Nonmember Banks & Monetary Control:Reply' JofF 6/80
Kopp P. Ekkehard, Volker Wellmann 'Convergence in Incomplete Market Models' 2000
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Koppenbauer G. 'Bank Funding Rules, Risk Aversion & Choice of Futures Hedging
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Koppenhaver G. 'Regulating Financial Interediary Use of Futures & Options
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Kopprasch R. 'Option-Adjusted Spread Analysis:Going Down the Wrong Path?' FAJ
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Korajczky Robert 'Pricing of Forward Contracts for Forward Exchange' JPE 93 <foreign
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Korajczyk Robert, Deborah Lucas, Robert McDonald 'Equity Issues with Time-Varying
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Korendi R., L. LaHaye 'Cross-Regime Tests of the Permanent Income Hypothesis'
Korkie B. 'Corrections for Trading Fricitions in Multivariate Returns' JofF 12/89
Kormendi R. 'Government Debt, Government Spending & Private Sector Behavior' AER 12/83
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Korn Ralf 'Contingent Claim Valuation in a Market with Different Interest Rates' ZOR
95 <term structure>
Korn Ralf 'Optimal Portfolios' 97 World Scientific
Korn Ralf 'Portfolio Optimization with Strictly Positive Transaction Costs & Impulse
Control' Finance & Stochastics 3/98
Korn Ralf 'Some Applications of Impulse Control in Mathematical
Finance'<portfolio><exchange rate,viscosity> Math. Metho. OR 99
Korn Ralf 'Some Applications of L2-Hedging with a Non-Negative Wealth Process' Appl.
Math Finance 3/97 <hedging>
Korn Ralf 'Value Preserving Portfolio Strategies & the Minimal Martingale Measure' ZOR
98 <portfolio>
Korn Ralf 'Value Preserving Portfolio Strategies in Continous Time Models'ZOR
( Math.Method OR) 97 <portfolio>
Korn Ralf 'Value Preserving Strategies & a General Framework for Local Approaches to
Optimal Portfolios' MF 4/2000 <portfolio>
Korn Ralf, E. Korn 'Options Pricing & Portfolio Optimization:Modern Methods of
Financial Mathematics' AMS 2000
Korn Ralf, M. Dreer, M. Lenssen 'Pricing of European Options when the Underlysing
Stock Follows a Linear Birth-Death Process' Comm.Stat-Stochastic Models 98
<option-pricing>
Korn Ralf, Manfred Schal 'On Value Preserving & Growth Optimal Portfolios' Math.
Method of OR V50 #2 99 <portfolio>
Korn Ralf, Paul Wilmott 'A General Framework for Hedging & Speculating with Options'
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Korn Ralf, Siegfried Trautmann 'Continuous-Time Portfolio Optimization under Teminal
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Korn Ralf, Siegfried Trautmann 'Optimal Control of Option Portfolios &
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Korsch H., A. Wagner 'Fractal Mirror Images & Chaotic Scattering' <chaos> Computers
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Korshanov D. 'On the Distribution of the Maximum of a Random Walk' SP&A 12/97
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Kortanek K., V. Medvedev 'Models for Estimating the Structure of Interest Rates from
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Kortum S. 'Research, Patenting, & Tecnological Change' Econometrica 11/97
Koski J. 'Measurement Effects & the Variance of Returns After Stock Splits & Stock
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Koski J. 'Microstructure Analysis of Ex-Diividend Stock Price Behavior Before & After
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Koski J., J. Pontiff 'How are Derivatives Used? Evidence from the Mutual Fund
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Koski J., R. Michaely 'Prices, Liquidity, and the Information Content of Trades' RFS
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Kothari S., J. Shanken, R. Sloan 'Another Look at the Cross-Section of Expected Stock
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Kotlikoff L. 'Taxation & Savings:Neoclassical Perspecitve' JEL 12/84 <alphabetic>
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Kou Steven, Hui Wang 'Option Pricing under a Double Exponential Jump Diffusion Model'
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Koutmos Gregory 'The Volatility of Interest Rates Across Maturities & Frequencies' J.
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Koutmos Gregory, A. Pericli 'Hedging GNMA Mortgage-Backed Securities with T-Note
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Koutmos Gregory, K. Kroner, A. Pericli 'Dynamic Cross Hedging with Mortgage-Backed
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Koutmos Gregory, M. Tucker 'Temporal Relationships & Dynamic Interactions Between Spot
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Kovacic W., D. Smallwood 'Competition Policy Rivalries & Defense Industry
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Kovenock D., G. Phillips 'Capital Structure & Product Market Behavior:Examination of
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Koyluoglu H., A. Hickman 'Reconcilable Differences' RISK 10/98 <credit risk>
Kracaw W., M. Zenner 'Wealth Effects of Bank Financing Annoucements in Highly
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Kraft J. 'Non-Markovian HJM Valuation with Analytic Approximates & "Tricks"' 97 <term
structure>
Krakovsky A. 'Gap Risk in Credit Trading' RISK 3/99 <credit risk>
Krakovsky Andrey 'Pricing Liquidity into Derivatives' RISK 12/99
Kramer A., P. Mix 'Comments on Proposed & Temporary Treasury Regulations on Hedging
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Kramer C. 'Macroeconomic Seasonality & the January Effect' JofF 12/94
Kramer W., W. Ploberger, R. Alt 'Testing for Structural Changes in Dynamic Models'
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Kramkov Dmitri 'On Closure of a Family of Martingale Measures & an Optional
Decomposition of Supermartingales' <martingales> Theory Prob & App. V41 #4 96
Kramkov Dmitri 'Optional Decomposition of Supermartingales & Hedging Contingent Claims
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Kramkov Dmitri, A. Vishnyakov 'Closed Form Representation for the Minimal Hedging
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Kramkov Dmitri, Albert Shiryaev 'On the Rational Pricing of the "Russian Option" for
the Symmetrical Binomial Model of a (B,S)-Market' <binomial> <options-
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Kramkov Dmitri, Ernesto Mordecki 'Integral Options' <options-average><Kac
process,stopping> SIAM Theory of Prob. & Its Applic. 3/94
Kramkov Dmitri, Walter Schachermayer 'Asymptotic Elasticity of Utility Functions &
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Kramkov Dmitri, Walter Schachermayer 'The Asymptotic Elasticity of Utility Functions &
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Kranakis Evangelos 'Primality & Cryptography' Stuttgart Publ. 86
Kranich L. 'Equal Division,Efficiency & Soverign Supply of Labor' AER 3/94
Kranton R. 'Reciprocal Exchange:Self-Sustaning System'AER 9/96
Krasa S., A. Villamil 'Optimal Contracts when Enforcement is a Decision Variable'
Econometrica 1/2000
Krasa S., N. Yannelis 'The Value Allocation of an Economy with Differnetial
Information' Econometrica 7/94
Krasker W. 'Stock Price Movements in Response to Stock Issues Under Asymmetric
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Krasker W., J. Pratt 'Bounding the Effects of Proxy Variables on Regression
Coefficients' Econometrica 5/86
Krasker W., R. Welsch 'Resistant Estimation for Simultaneous-Equations Models using
Weighted Instrumental Variables' Econometrica 11/85
Kratka Milan 'No Mystery Behind the Smile' RISK 4/98 <risk>
Kraus Alan, M. Smith 'Heterogeneous Beliefs & the Effect of Replicatable Options on
Asset Prices' <asset pricing> RFS Fall 96
Kraus Alan, M. Smith 'Market Created Risk' JofF 7/89
Kraus Alan, M. Smith 'Simple Multifactor Term Structure Model'<term structure> J.Fixed
Income 6/93
Kraus Alan, Robert Litzenberger 'Distribution Condition for Consumption Oriented 3
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Kraus Alan, Robert Litzenberger 'Skewness Preference & Valuation of Risk Assets' in
RII & JofF 9/76
Kraus Alan, Robert Litzenberger 'State Preference Model of Optimal Financial Leverage'
JofF 9/73
Kraus Alan, Steven Ross 'Determination of Fair Profits for the Property-Liability
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Krautkraemer J. 'Nonrenewable Resource Scarcity' JEL 12/98
Krehbiel T., L. Adkins 'Cointegration Tests of Unbiased Expectations Hypothesis in
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Krehbiel T., L. Adkins 'Do Systematic Risk Premums Persist in Eurodollar Futures
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Krehbiel T., L. Adkins 'Interest Rate Futures:Evidence on Forecast Power,Expected
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Krehbiel T., R. Collier 'Normal Backwardation in Short-Term Interest Rate Futures
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Kremer J., R. Roenfeldt 'Warrant Pricing:Jump-Diffusion vs. Black-Scholes'<options-
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Kreps David 'Arbitrage & Equilibrium in Economies with Infinitely Many
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Kreps David 'Multiperiod Securities & Efficient Allocation of Risk:Comment on B-S'
<option-pricing> McCall J.(ed) Economics of Info. & Uncert.
Kreps David, E. Porteus 'Temporal Resolution of Uncertainty & Dynamic Echoic Theory'
Econometrica 78
Kreps David, G. Ramey 'Structural Consistency,Consistency & Sequential Rationality'
Econometrica 11/87
Krieger A., J. Gastwirth 'Interpolation from Grouped Data for Unimodal Densities'
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Krigman L., W. Shaw, K. Womack 'Persitence of IPO Mispricing & the Predictive Power of
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Krikelas A. 'Revisions to Payroll Emplyment Data:Are They Predictable?' Economic
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Krikelas A. 'Why Regions Grow:Review of Research on Economic Base Model' Economic
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Krinsky I., J. Lee 'Earnings Announcements & the Components of the Bid-Ask Spread'
JofF 9/96
Krisch A. 'Collision Between Spinning Protons' SA 8/87 <partical physics>
Krishna K. 'Auctions with Endogeneous Valuations:Persistence of Monopoly Revisted'
AER 3/93
Kritzman Mark 'About Commodity Futures Contracts' FAJ 3/93
Kritzman Mark 'About Duration & Convexity' <duration> FAJ 12/92
Kritzman Mark 'About Estimating Volatility II' FAJ 9/91 <ARCH>
Kritzman Mark 'About Factor Methods'<statistics> FAJ 1/93
Kritzman Mark 'About Future Value' FAJ 5/94
Kritzman Mark 'About Hedging'<hedging> FAJ 9/93
Kritzman Mark 'About Higher Moments' FAJ 9/94
Kritzman Mark 'About Hypothesis Testing' FAJ 7/94
Kritzman Mark 'About Optimization' 9/92 FAJ
Kritzman Mark 'About Option Replication'<options-lookback> FAJ 9/93
Kritzman Mark 'About Return & Risk' FAJ 5/93
Kritzman Mark 'About Serial Dependence' FAJ 3/94
Kritzman Mark 'About the Term Structure of Interest Rates' <term structure> FAJ 7/93
Kritzman Mark 'About Time Diversification' FAJ 1/94
Kritzman Mark 'Minimum-Risk Currency Hedge Ratio & Foreign Asset Exposure'<hedging>
FAJ 9/93
Kritzman Mark 'Optimal Currency Hedging Policy with Biased Forward Rates'
J.Port.Manag. Summer 93
Kritzman Mark 'What Practitioners Need to Know...About Estimating
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Kritzman Mark, D. Rich 'Risk Containment for Investors with Multivariate Utility
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Kroll Yoram 'Stochastic Choice in Insurance & Risk Sharing:Comment' JofF 6/83
Kroll Yoram, Haim Levy 'Parametric Approach to Stochastic Dominance:Lognormal Case'
Management Science 3/86 <Distributions>
Kroll Yoram, Haim Levy 'Stochastic Dominance' JofF 6/82
Kroll Yoram, Haim Levy, Harry Markowitz 'Mean-Variance Versus Direct Utility
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Kroner K., J. Sultan 'Time-Varying Distributions & Dynamic Hedging with Foreign
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Kroner K., V. Ng 'Modeling Asymmetric Comovements of Asset Returns' RFS Winter 98
Kroszner R., P. Strahan 'Regulatory Incentives & the Thrift Crisis:Dividends, Mutual-
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Kroszner R., R. Rajan 'Is the Glass-Stegall Act Justified? Study of U.S. Experience
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Kroszner R., T. Stratmann 'Interest Group Competition & the Organization of
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Krueger A. 'Trade Policy & Economic Development:How We Learn' AER 3/97
Krueger A. 'Whither the World Bank & the IMF?' JEL 12/98
Krueger A., Larry Summers 'Efficiency Wages and the Inter-Industry Wage Structure'
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Krueger J., K. Kuttner 'Fed Funds Futures Rate as a Predictor of Federal Reserve
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Krueger T., W. Kennedy 'Examination of the Super-Bowl Stock Market Predictor' JofF
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Kruger A. 'Block Truncation Compression'<fourier> Dr. Dobbs Journal 4/92
Krugman P. 'Complex Landscapes in Economic Georgraphy' AER 5/94
Krugman P. 'What Should Trade Negotiators Negotiate About?' JEL 3/97
Krull S., A. Rai 'Optimal Weights & Internation Portfolio Hedging with U.S. $ Index
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Krumer C., R. Smith 'Mexican Crisis & the Behavior of Country-Fund Discounts:Renewing
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Kruse J., S. Rassenti, S. Reynolds, V. Smith 'Betrand-Edgeworth Competition in
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Krusell P., L. Ohanian,J-V. Rio-Rull, G. Violante 'Capital-Skill Complementarity & its
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Kryder M. 'Data-Storage Technology for Advanced Computing' SA <no date>
Krylov N. 'An Analytic Approach to SPDEs' <SDE>
Krylov N. 'Mean Value Theorems for Stochastic Integrals' IMA 99 <SDE>
Krylov N. 'On Explicit Formulas for Solution of Evolutionary SPDEs' <SDE> in
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Krylov N. 'On the Rate of Convergence of Finite-Difference Approximations for
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Kryzanowski L. 'Efficacy of Trading Suspensions:Regulartory Action Designed to Prevent
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Kryzanowski L., H. Zhang 'Contrarian Investment Strategy Does Not Work in Canadian
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Kryzanowski L., S. Lalancette, M. To 'Performance Attribution using an APT with
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Kuan C., Halbert White 'Adaptive Learning with Nonlinear Dynamics Drivern by Dependent
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Kuan C., Halbert White 'Recursive M-Estimation, Nonlinear Regression & Neural Network
Learning with Dependent Observations'U. C. San Diego w.p. June 90
Kuan Grace, Nick Webber 'The Term Structure of Interest Rates & Economic
Fundamentals:Mexican Peso Crisis' Warwick 97
Kuan Grace, Nick Webber 'Valuing Interest Rate Derivatives Consistent with a
Volatility Smile' Warwick 98
Kuberek R. 'Predicting Interest Rate Volatility:Conditional Heteroskedastic Model of
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Kumar Praveen 'Futures Manipulation with Cash Settlement' W.P. Carnegie-Mellon
Sept 90
Kumar Praveen 'Information & Index Arbitration' March 91
Kumar Praveen 'Market Equilibrium & Corporate Finance:Some Issues' Econometrica 9/74
Kumar Praveen, D. Seppi 'Futures Manipulation with Cash Settlement' JofF 9/92
Kumar Praveen, D. Seppi 'Information & Index Arbitrage' J.of Business 10/94 , 2/90
<arbitrage>
Kumar Praveen, G. Philppathos,J. Ezzell 'Goal Programming & Selection of Portfolios by
Dual-Purpose Funds' JofF 3/78
Kumar R., A. Sarin, K. Shastri 'Behavior of Option Price Around Large Block
Transactions in the Underlying Stock' JofF 7/92
Kumar R., A. Sarin, K. Shastri 'Impact of Options Trading on the Market Quality of
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Kumar R., P. Sopariwala 'Effect of Adoption of Long-Term Performance Plans on Stock
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Kumar V. 'Real Effects of Exchange Risk on International Trade' FRB Atlanta w.p. 6/92
Kumar V., J. Whitt 'Exchange Rate Variablity & International Trade' Economic Review
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Kumar V., S. Smith 'Note on Forward Biases & Equilibrium Foreign Exchange Hedging In a
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Kummer D., J. Hoffmeister 'Valuation Consequences of Cash Tender Offers' JofF 5/78
Kunita H. 'On Backward Stochastic Differential Equations' Stochastics 82
Kunita H. 'Stochastic Partial Differential Equations connected with Non-linear
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Kunita H., S. Watanabe 'On Square Integrable Martingales' Niagoya Math J. 67
Kunitomo Naoto 'Improving the Parkinson Method of Estimating Security Price
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Kunitomo Naoto, Akoihiko Takahashi 'On Validity of the Asymptotic Expansion Approach
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Kunitomo Naoto, Akoihiko Takahashi 'The Asymptotic Expansion Approach to the Valuation
of Interest Rate Contingent Claims'MF 1/2001 <contingent claim> <Watanabe-
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Kunitomo Naoto, M. Ikeda 'Pricing Options with Curved Boundaries'<options-barrier>
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Kunkel J. 'Sufficient Conditions for Public Information to Have Social Value in a
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Kuo C., K. Chen 'A Risk-Return Measure of Hedging Effectiveness:A Simplification'
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Kuo H. 'Convolution & Fourier Transform of Hida Distributions' <SDE> in Rozovski(ed)
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Kuo Shyanjaw 'Contingent Claims Valuation of Bond-Warrant Packages' J.Fin.Eng 12/93
Kuo Shyanjaw, Peter Ritchken 'Warranty Valuation with Moral Hazard Conditons' J. Fin.
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Kupiec Paul 'Do Stock Prices Exhibit Excess Volatility:Frequently Deviate from Funda.
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Kupiec Paul 'Perormance of S&P 500 Futures Product Margins under the SPAN Margining
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Kupiec Paul 'Risk Capital & VaR' J. Derivatives Winter 99
Kupiec Paul 'Stress Testing in a Value at Risk Framework' J.of Derivatives Fall 98
Kupiec Paul 'Stress Tests & Risk Capital' J. of Risk Summer 2000
Kupiec Paul 'Techniques for Verifying the Accuracy of Risk Measurement Models' J.
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Kupiec Paul, A. Kah 'On the Origin & Interpretation of OAS' J. Fixed Income 12/99
Kupiec Paul, A. White 'Regulatory Competition & Efficiency of Alternative Derivative
Product Margining Systems' JFM 12/96
Kupiec Paul, J. O'Brien 'Approach Paths' RISK 1/98 <Capital Adequacny>
Kupiec Paul, S. Sharpe 'Animal Spirits,Margin Requirements & Stock Price Volatility'
JofF 6/91
Kupper K., J. Walter 'Note on Alternative Solution of Kamien-Schwartz Limit Pricing
Problem' <asset pricing>ZOR Math. Methods in Oper.Research 95
Kupreanov Anatoli, W. Lupoletti 'Economic Outlook for the 5th District States in 1984
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Kuprianov Anatoli 'Derivatives Debacles:Case Studies of Large Losses in the
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Kuprianov Anatoli 'Money Market Futures' Economic Review Richmond FRB 11/92
Kuprianov Anatoli 'Options on Short Term Interest Rate Futures' FRB Rich. 11/80
<bonds>
Kuprianov Anatoli 'Over the Counter Interest Rate Derivatives' Economic Quarterly FRB
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Kuprianov Anatoli 'Role of Interest Rate Swaps in Corporate Finance' Econ. Quarterly
FRB Richmond Summer 94
Kuprianov Anatoli 'Short Term Interest Rate Futures' Econ. Review 10/80
Kuprianov Anatoli 'Tax Disincentives to Commercial Bank Lending' Econ. Quart. FRB
Richmond Spring 97
Kuran T. 'Islamic Economics & Islamic Subeconomy' J. Econ. Persp. Fall 95
Kurbanmuradov O., K. Sabelfeld, John Schoenmakers 'Lognormal Random Field
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Kurpiel A. 'American Option Exercise Policy under Stochastic Volatility' <option-
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Kurpiel A., T. Roncalli 'Option Hedging with Stochastic Volatility' 12/98 <hedging>
Kurpiel Adam, Thierry Roncalli 'Hopscotch Methods for Two-State Financial Models' J.
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Kurtz T., Etienne Pardoux, Phillip Protter 'Stratonovich Stochastic Differential
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Kuserk G., P. Locke 'Market Making with Price Limits' J. Futures Markets 9/96
Kuserk G., P. Locke 'Scalper Behavior in Futures Markets' JFM 6/93
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Kushner Harold 'Numerical Methods for Stochastic Control Problems in Continuous Time'
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Kushner Harold 'Numerical Methods for Stochastic Control Problems in Finance' in
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Kuske R., Joseph Keller 'Large Deviation Theory for Stochastic Difference Equations'
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Kuske R., Joseph Keller 'Optimal Exercise Boundary for an American Put Option' Appl.
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Kuske R., Joseph Keller 'Rate of Convergence to a Stable Law' SIAM J. App. math. 2000
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Kusuaka Shigeo 'Remark on American Securities' in Itos Stochastic Calc & Prob.97
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Kusuoka Shigeo 'A Remark on Arbitrage & martingale Measures' Publ. RIMS Kyotoa 92
Kusuoka Shigeo 'A Remark on Default Risk Models' Adv. in Math Econ 99 <credit risk>
Kusuoka Shigeo 'Limit Theorem on Option Replication Costs with Transaction
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Kuttner R. 'Poverty of Economics' Atlanta Monthly 2/85 <rational expectations>
Kuwahara H., T. Marsh 'Pricing of Japanese Equity Warrents' Man. Sci. 11/92
Kuwana Y. 'Certainty Equivalence & Logarithmic Utilities in Consumption/Investment
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Kuwana Y. 'Optimal Consumption/Investment Decisions with Partial Observations' 93 PhD
Stats Stanford
Kvaalen E. 'Faster Broyden Method' <numeric analysis> BIT 1991
Kwack S. 'Note on the Balance of Payments Effects of U.S. Capital Controls
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Kwan C. 'A Note on Market-Neutral Porfolio Selection' J. Bank. Finance 5/99
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Le Breton M., A. Sen 'Separable Preferences, Strategy-Proofness, & Decomposability'
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LeBaron B. 'Some Relations between Volatility & Serial Correlations in Stock Market
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Leblanc B., Marc Yor 'Levy Processes in Finance:a Remedy to the Non-Stationarity of
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Leblanc B., Olivier Scaillet 'Path Dependent Options on Yields in the Affine Term
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Ledoit Olivier, Pedro Santa-Clara 'Relative Pricing of Options with Stochastic
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Ledyard J., T. Palfrey 'Characterization of Interim Efficiency with Public Goods'
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Lee B. 'Causal Relations Among Stock Returns,Interest Rates,Real Activity & Inflation'
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Lee B. 'Euro-Dollar Multiplier' JofF 9/73
Lee B. 'Heteroskedasticity Test Robust to Conditional Mean Misspecification'
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Lee B. 'Permanent, Temporary & Non-Fundamental Components of Stock Prices' JF&QA 3/98
Lee B. 'Response of Stock Prices to Permanent & Temporary Shocks to Dividends' JF&QA
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Lee B. 'Time-Series Implications of Aggregate Dividend Behavior' RFS Summer 96
Lee C. 'Errors in Variables Estimation Procedure with Application to CAPM' JofF 9-74
Lee C. 'Investment Horizon & Functional for of CAPM' in RII
Lee C. 'Linear Transformation of Assets:Returns & the APT' w.p.Aug 89 Tulane
Lee C. 'Market Integration & Price Execution for NYSE Listed Securities' JofF 7/93
Lee C. 'Pricing of Corporate Debt:Note' JofF 12/81
Lee C., Andrei Shleifer, R. Thaler 'Investor Sentiment & Closed-End Fund Puzzle' JofF
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Lee C., B. Swaminathan 'Price Momentum & Trading Volume' JofF Oct 2000
Lee C., E. Bubnys, Y. Lin 'Stock Index Futures Hedge Ratios'<hedging> AFOR V.2.
Lee C., H. Reisman, Y. Simaan 'A Note on the Generalized Multibeta CAPM' <CAPM> MF
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Lee C., J. Myers, B. Swaminathan 'What is the Intrinsic Value of the Dow?' JofF 10/99
Lee C., Mark Ready 'Inferring Trade Direction from Intraday Data' JofF 6/91
Lee C., Mark Ready, P. Seguin 'Volume, Volatility & NYSE Halts' JofF 3/94
Lee C., S. Lee, J. Oh, B. Koo 'Parallelzation of the Relaxaiton Method' SIAM News 3/98
Lee C., W. Lloyd 'Block Recursive Systems in Asset Pricing Models:Extension' JofF 5/78
Lee Cheng, Wu, Wei "Heterogeneous Investment Horizon & CAPM" <CAPM> JF&AQ Sept 90
Lee D. 'Management Buyout Proposals & Inside Information' JofF 7/92
Lee D., W. Mikkelson, M. Partch 'Mangers Trading Around Stock Repurchases' JofF
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Lee Daniel 'A Note on the Pricing Accuracy of the Whaley American Futures Options
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Lee G. 'Piecewise Linear Approx. of Multivariate Functions' Bell System Tech J. 9/92
Lee G. 'Un-Manaaged Economy' Forbes 12/84 <rational expectations>
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Lee J., Lee, Wei 'Binomial Option Pricing with Stochastic Parameters:Beta Distribution
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Lee J., M. King 'Locally Most Mean Powerful Based ARCH' J. BUSINESS & ECON STAT.
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Lee J., N. Nayar 'Transaction Data Analysis of Arbitrage between Index Options & Index
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Lee L. 'Generalized Econometeric Models with Selectivity' Econometrica 3/83
Lee L. 'Tests for Bivariate Normal Distribution in Econometric Models with
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Lee L., M. Pitt 'Microeconometric Demand Systems with Binding Nonnegativity
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Lee L., R. Porter 'Switching Regression Models with Imperfect Sample Separation
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Lee Lung-Fei 'On the Issues of Fixed Effects vs. Random Effects Econometric Models
with Panel Data' w.p. U. Minn. June 78
Lee M. 'Root-N Consistent Seimparametric Estimator Panel Data' Econometrica 3/99
Lee P., S. Taylor, T. Walter 'IPO Underpricing Explanations:Implications from Investor
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Lee R., J. Skinner 'Will Aging Baby boomers Bust the Federal Budget' J. Econ.
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Lee Roger 'Implied & Local Volatilities under Stochastic Volatility' Inter.J. Theor&
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Lee S., A. Lerro 'Optimizing the Portfolio Selection for Mutual Funds ' JofF 12/73
Lee S., H. Cho 'Rebalancing Discipline for an Immunization Strategy' J.Portfolio
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Lee S., K. Ohk 'Stock Index Futures Listing & Structural Change in Time-Varying
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Lee S., S. Oh 'Managing Non-Parallel Shift Risk of Yield Curve with Interest Rate
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Lee W., Anjan Thakor, G. Vora 'Screening, Market Signalling & Capital Structure
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Lee Y., J. Stowe 'Product Risk,Asymmetric Information & Trade Credit' JF&QA 6/93
Leeper E. 'Consumer Attitudes & Business Cycles' <Business Cycle>w.p. FRB Atlanta
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Leeper E. 'Consumer Attitudes:King for a Day' Economic Review Atlanta July/Aug 92
Leeper E. 'Facing Up to Our Ignorance about Measuring Monetary Policy Effects'
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Leeper E. 'Has the Romers Narrative Approach Indentified Monetary Policy Skock?' FRB
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Leeper E. 'Policy Tango:Towards a Holistic View of Monetary & Fiscal Effects' FRB
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Leeth J., J. Borg 'The Impact of Takeovers on Shareholder Wealth during th e1920s
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Lefebvre M. 'First-Passage Densities of a Two Dimensional Process' <stochastics> SIAM
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Levin A. 'Recovering Implied Volatility & Distribution from American Futures Option
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Levy A., R. Levin 'More on Wrong-Way Exposure' JP Morgan 8/99 <risk>
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Levy E. 'Asian Arithmetic' RISK 5/90 <options-average>
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Levy E., F. Mantion 'Approximate Valuation of Discrete Lookback & Barrier Options'
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Levy H., M. Levy, S. Solomon 'Micorscopic Simulation of Financial Markets' Academic
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Levy H., P. Samuleson 'CAPM with Diverse Holding Periods' Man. Sci. 11/92
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Li Anlong, V. Raghavan 'LIBOR-in-Arrears Swaps'<swaps> J.of Derivatives Spring 96
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Li H., S. Rosen 'Unraveling in Matching Markets' AER 6/98
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Li L., C. Huang Continuous time stopping games with monotone reward structure M.I.T.
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Liang W., W. Chen, S. Gao 'Applications of Lattice Theory to Graph Decomposition'
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Lien Donald 'Hedger Response to Multiple Grades of Deliver on Futures Markets' JFM
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Lien Donald 'Inventory Effect in Commodity Futures Markets:Empirical Study ' JFM 12/87
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Lien Donald 'Optimal Hedging & Spreading in Cointegrated Markets'<hedging> Economic
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Lien Donald, Q. Vuong 'Parmeterization & Two-Stage Conditional Maximum Likelihood
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Lien Donald, Xiangdong Luo 'Estiamting Multiperiod Hedge Ratios in Cointegrated
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Lien Donald, Xiangdong Luo 'Estimating Extended Mean-Gini Coefficient for Futures
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Lien Donald, Xiangdong Luo 'Multiperiod Hedging in the Presence of Conditional
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Lien Donald, Xiangdong Luo 'Theoretical Comparison of Composite Index Futres
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Lien Donald, Yiu Kuen Tse 'Fractional Cointegration & Futures Hedging' J. Futures
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Lien Donald, Yiu Kuen Tse 'Hedging Time-Varying Downside Risk' J. Futures Markets 9/98
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Lillestol Jostein 'Risk Analysis & the NIG Distribution' J. of Risk Summer 2000 <risk>
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Lin J. 'Pocket-Calculator Approximation to Normal Tail' Probability in Engin & Info 90
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Lin J., J. Howe 'Insider Trading in the OTC Market' JofF 9/90
Lin J., M. Rozeff 'Price Adjustment Delays & Arbitrage Costs:Evidence from Behavior of
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Lin W. 'Pricing Equity Swaps'<swaps> wp U. Boston 7/95
Lin Wen-Ling 'Alternative Estimators for Factor GARCH Models-A Monte Carlo
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Lin X. Sheldon 'Double Barrier Hitting Time Distribution with Applications to Exotic
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Lin Y., E. Sontag, Y. Wang 'Recent Results on Lypunov-theoretic Techniques for
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Lindahl M. 'Measuring Hedgin Effectiveness with R^2:Note' JFM 89 <hedging>
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Linetsky Vadim 'Path Integral Approach to Finanical Modeling & Options Pricing'
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Linetsky Vadim 'Step Options' <options-barrier> <path-depend,occupation time Feynman-
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Linetsky Vadim 'Step Options:Feynman-Kac Approach to Occupation Time Derivatives' IOE
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Lintner John 'Valuation of Risky Assets & the Selection of Risky Investment in Stock
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Lo Andrew 'Semi-parametric Upper Bounds for Option Prices & Expected Payoffs' JFE
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Lo Andrew 'Statistical Tests of Contingent Claims Asset Pricing Models' JFE 86
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Magee B. 'Pay Attention to Interest' <FX> <interest risk> RISK 10/99
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Pliska Stanley 'A Stochastic Calculus Model of Continuous Trading:Optimal Portfolios'
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Pliska Stanley 'Minimum Variance Market Basket' 1988 #5 UICC
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Poterba James 'A Skeptics View of Global Budget Caps' <Health Care>
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Poterba James 'Budget Institutions & Fiscal Policy in the U.S. States' 5/96 AER
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Poterba James 'In Honor of Lawrence Summers:Winner J.B. Clark Medal' J. Econ.Persp.
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Poterba James, Larry Summers 'Persistence of Volatility & Stock Market Fluctuations'
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Poterba James, Larry Summers 'Reporting Errors & Labor Market Dynamics' Econometrica
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Poterba James, S. Venti, D. Wise 'How Retirement Saving Programs Increase Saving' J.
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Powell C. 'Mirroring the Cosmos' SA 11/91
Powell C. 'Star Bursts' SA 12/91
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Prescott Edward 'Pre-Commitment Approach in a Model of Regulatory Banking Capital' FRB
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Press William, Saul Teukolsky 'Computing Accurate Integrals with the FFT' CinP Jan 89
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Press William, Saul Teukolsky 'Elliptic Integrals' CinP Jan 90 <numeric> (program)
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Press William, Saul Teukolsky 'Fitting Straight Line Data with Errors in Both
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Press William, Saul Teukolsky 'Fourier Transforms of Real Data in Two & Three
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Press William, Saul Teukolsky 'Fredholm & Volterra Integral Equations Of the Second
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Press William, Saul Teukolsky 'Hypergeometric Functions By Direct Path Integration'
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Press William, Saul Teukolsky 'Kolmogorov-Smirnov Test for Two Dimensional Data'
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Press William, Saul Teukolsky 'Multigrid Methods for Boundary Value Problems I' 9/91,
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Press William, Saul Teukolsky 'Numerical Calculation of Derivatives' CinP Jan 1991
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Press William, Saul Teukolsky 'Pade Approximations'' CinP Jan 92 <numeric> (program)
Press William, Saul Teukolsky 'Portable Random Number Generators' Computers in
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Press William, Saul Teukolsky 'Savitzky-Golay Smoothing Filters' CinP Nov 90
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Preston A. 'Why Have all the Women Gone? A Study of Exit of Women from the Sciences &
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Price David 'Stock Option Calculations' 1/15/98 <option-pricing>
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Protter Phillip 'A Partial Introduction to Finance' <stocks> 10/99
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Robinson B. 'Inefficiency Costs of Guaranteed Investment Products' J.of Derivatives
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Robinson F. 'Poynting's Vector:Comments on a Recent Paper by Clark Jeffries' SIAM
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Robinson G. 'More Haste, Less Percision' <credit derivatives> RISK 9/96
Robinson G., D. Perry, R. Peterson 'Optical Interfermotey of Surfaces' SA 7/91
Robinson P. 'Asymptotically Efficient Estimation in the Presence of Heteroskedasticity
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Robinson P. 'Automatic Frequency Domain Inference on Semi-parametrice & Non-Semi.
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Robinson P. 'Highly Insignificant F-Ratios' Econometrica 5/93
Robinson P. 'Nonliear Three-Stage Least Squares Estimation of Certain Econometric
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Robinson P. 'Root-N-Consistent Semiparametric Regression' Econometrica 7/88
Robinson P. 'Stochastic Differences between Econometric Statistics' Econometrica 5/88
Robinson P. 'The Normal Approximation for Semiparametric Average Derivatives'
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Robinson P. 'Time Series Residuals with Application to Probability Density Estimation'
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Robison L., P. Barry 'Risk Efficiency Using Stochastic Dominance & Expected Gain-
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Robson A. 'Status , the Distribution of Wealth,Private & Social Attituedes to Risk'
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Rochet J., P. Chone 'Ironing, Sweeping & Multidimensional Screening' Econometrica 7/98
Rockafellar R. 'Convex Analysis ' Princeton Press 70
Rockafellar R. 'Lagrange Multipliers & Optimality' SIAM Review 6/93
Rockafellar R. Tyrrell, Stanislav Uryasev 'Optimization of Conditional Value-at-Risk'
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Rockett A., J. Stevenson 'Karmarkars Algorithm' Byte 9/87 <linear program>
Rodrik, Obstfeld, Feenstra, Williamson (various articles) 'Globalization' J Econ
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Rodriquez R. 'Corporate Exchange Risk Management:Theme & Aberrations' JofF 5/81
Roehrig C. 'Condtions for Identification in Nonparametric and Parametric Models'
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Roemer J. 'Rationalizing Revolutionary Ideology' Econometrica 1/85
Roemer J. 'The Democratic Political Economy of Progressive Income Taxation'
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Rogers A. 'Evolution of Time Preference by Natural Selection' AER 6/94
Rogers C. 'The Relaxed Investor' RISK 1/99<portfolio><optimization>
Rogers L.C.G. 'Arbitrage with Fractional Brownian Motion' MF 1/97 ,<arbitrage>
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Rogers L.C.G. 'Evaluating First-Passage Probabilities for Spectrally One-Sided Levy
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Rogers L.C.G. 'Fast Accurate Binomial Pricing' Finance & Stochastics 1/98
Rogers L.C.G. 'Fastest Coupling of Random Walks' 4/97 <random>
Rogers L.C.G. 'Gaussian Errors' <term structure><models> RISK 1/96
Rogers L.C.G. 'Modelling Credit Risk' <credit risk> 6/99
Rogers L.C.G. 'One for All' <term structure> <term struct. more than one currency>
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Rogers L.C.G. 'The Joint Law of the Maximum & Terminal Value of a Martingale'
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Rogers L.C.G. 'The Potential Approach to the Term Structure of Interest Rates &
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Rogers L.C.G., D. Williams 'Diffusions, Markov Processes & Martingales' Wiley 87
Rogers L.C.G., E. Stapleton 'Fast Accurate Binomial Pricing' Finance and Stochastics
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Rogers L.C.G., F. Yousaf 'Markov Chains & the Potential Approach to Modelling Interest
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Rogers L.C.G., J. Walsh 'A(t,B) is not a Semimartingale'
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Rogers L.C.G., Omar Zane 'Fitting Potential Models to Interest Rate & Foreign Exchange
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Rogers L.C.G., Omar Zane 'Saddle-Point Approximations to Option Prices' 11/97 <option-
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Rogers L.C.G., Stephen Satchell 'Does the Behavior of the Asset Tell Us Anything about
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Rogers L.C.G., Stephen Satchell 'Estimating Variance from High, Low & Closing Prices'
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Rogers L.C.G., Z. Shi 'Value of an Asian Option' <options-average> J. Appl.Prob.
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Rogerson W. 'First-order Approach to Principal-Agent Problems' Econometrica 11/85
Rogerson W. 'Note on Existence of Single Price Equilibrium Price Distribution in
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Rogerson W. 'Repeated Moral Hazard' Econometrica 1/85
Rogoff K. 'The Purchasing Power Parity Puzzle' JEL 6/96
Roley V. 'Determinants of the Treasury Security Yield Curve' JofF 12/81
Rolfes Bernd, E. Henn 'A Vega Notion' Equity RISK 12/99 <options-volatility>
Rolfes Bernd, F. Broeker 'Good Migrations' <monte carlo, credit risk> RISK 11/98
Roll Richard 'A Simple Implicit Measure of the Effective Bid-Ask Spread in an
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Roll Richard 'After-tax Investment Results from Long-term vs. Short-term Discount
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Roll Richard 'Ambiguity When Performance Measured by Security Market Line' JofF 9/78
Roll Richard 'Analytic Valuation Formula for Unprotected American Call Options on
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Roll Richard 'Collaterized Mortgage Obligations' 4/86 <mortgage>
Roll Richard 'Critique of Asset Pricing Theory Tests:part 1 ' JFE 77 <CAPM>
Roll Richard 'Evidence on Growth Optimum Model' JofF 6/73
Roll Richard 'Industrial Structure & the Comparative Behavior of Internations Stock
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Roll Richard 'Mean-Variance Analysis of Tracking Error' J. Portfolio Management
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Roll Richard 'R Squared' JofF 7/88
Roll Richard 'U.S. Treasury Inflation-Indexed Bonds' J. Fixed Income 12/96
Roll Richard, Steven Ross 'An Empirical Investigation of the Arbitrage Pricing Theory'
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Roll Richard, Steven Ross 'Critical Reexamination of Empirical Evidence on Abritrage
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Roll Richard, Steven Ross 'On Cross Sectional Relation Between Expected Returns &
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Roll Richard, Steven Ross 'The Arbitrage Pricing Thoery Approach to Strategic
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Rolnick A., B. Smith, W. Weber 'Lessons from a Laissez-Faire Payments System:the
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Rolnick A., F. Welde, W. Weber 'Debasement Puzzle:Essay on Medieval Monetary History'
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Rolnick A., W. Weber 'Money, Inflation & Output under Fiat & Commodity Standards'
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Roma A., Walter Torous 'Cyclical Behavior of Interest Rates' JofF 9/97
Romagnoil S., T. Vargiolu 'Robustness of the Black-Scholes Approach in the Case of
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Romagnoli Silvia, T. Vargiolu 'Pricing & Hedging of the Currency Multiple Option on
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Romano Marc, Nizar Touzi 'Contingent Claims & Market Completeness in a Stochastic
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Romer D. 'Rational Asset-Price Movements without News' AER 12/93
Romer P. 'Cake Eating, Chattering, and Jumps:Existence Results for Variational
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Ronen T. 'Tests & Properties of Variance Rations in Macrostructure Studies' JF&QA 6/97
Rong S. 'On the Solutions of Backward Stochastic Differential Equations with Jumps &
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Ronn Ehud, A. Verma 'Pricing Risk Adjusted Deposit Insurance :Option Based Model'
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Ronn Ehud, C. Xuan 'Using Interest Rate options to Hedge Interest Rate-Dependent
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Ronn Ehud, P. Wadhwa 'On Relationship Between Expected Returns & Implied Volatility of
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Ronn Ehud, R. Sias 'Simple Time-Varying Binomial Model for Valuation of Interest Rate-
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Rosenzweig B. 'Presentation of Models of the Interest Rates Term Structure to use in a
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Ross P. 'Billions of Buckytubes' SA Oct 92
Ross P. 'Buckeyballs' SA 1/91
Ross P. 'Buckytubes' SA 12/91
Ross P. 'Endless Endgame' <chess> SA 11/91
Ross R. 'Good Point Methods for Computing Prices & Sensitivities of Multi-Asset
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Ross Steven 'Adding Risks: Samuelson's Fallacy of Large Numbers Revisited' JF&QA 9/99
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Ross Steven 'Debt & Taxes & Uncertainty' JofF 7/85
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Ross Steven 'Intertemporal Asset Pricing' TVI
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Ross Steven 'Portfolio Turnpike Theorems for Constant Policies' <growth> JFE Vol 1 No
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Roth A. 'On the Non-Transferable Utility Value:Reply to Aumann ' Econometrica 7/86
Roth A. 'Stability & Polarization of Interests in Job Matching' Econometrica 1/84
Roth A., J. Vate 'Random Paths to Stability in Two-Sided Matching' Econometrica 11/90
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Rubinstein Ariel 'Why are Certain Properties of Binary Relations Relatively More
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Rubinstein Ariel, A. Wolinsky 'Equilibrium in a Market with Sequential Bargaining'
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Rubinstein Ariel, Z. Safra, W.Thompson 'On Interpreation of Nash Bargin. Solution &
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Rubinstein Mark 'Alternative Paths to Portfolio Insurance' IAFO&FOM
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Rubinstein Mark 'As Simple as One, Two, Three'<volatility><Black-Scholes, arbitrary
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Rubinstein Mark 'Buy Now, Choose Later' <options-chooser> RISK ??/??
Rubinstein Mark 'Comparative Static Analysis of Risk Premiums' JofB 10/73 <CAPM>
Rubinstein Mark 'Derivative Assets Analysis' <arbitrage>Economic Perspectives Fall
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Rubinstein Mark 'Displaced Diffusion Option Pricing' JofF 3/83
Rubinstein Mark 'Double Trouble ' <options-compound> RISK 12/91
Rubinstein Mark 'Edgeworth Binomial Trees' <option-numeric> J. Deriv. Spring 98
Rubinstein Mark 'Exotic Options' March 1991 <Forward-Start,Compound,Chooser,
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Rubinstein Mark 'Implied Binomial Trees' Research Symp Proced. CBT 5/95
Rubinstein Mark 'Latest Approach to Binomial Option Pricing Using Implied Trees
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Rubinstein Mark 'Mean Variance Synthesis of Corporate Financial Theory' JofF 3/73
Rubinstein Mark 'Nonparametric Tests of Alternative Option Pricing Models Using All
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Rubinstein Mark 'NYMEX Crack Spread Options' <options-spread> 5/19/94 NYMEX conference
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Rubinstein Mark 'On the Relation Between Binomial & Trinomial Option Pricing Models'
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Rubinstein Mark 'One for Another' Risk July/Aug 91 <options-exchange>
Rubinstein Mark 'Options for the Undecided'<options-chooser> RISK April 91
Rubinstein Mark 'Return of Oz' <options-rainbow><merican ,spread options> RISK 11/94
Rubinstein Mark' 'Somewhere over the Rainbow'<options-rainbow> RISK 11/91
Rubinstein Mark 'Strong Case for Generalized Logarithmic Utility Model as Premier
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Rubinstein Mark 'Two Into One ' <options-product> RISK 5/91
Rubinstein Mark 'Valuation of Uncertain Income Streams & the Pricing of Options' Bell
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Rubinstein Mark, Eric Reiner 'Breaking Down the Barriers'<options-barrier> RISK 9/91
Rubinstein Mark, Eric Reiner 'Unscrambling the Binary Code'<options-barrier> RISK
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Rubinstein Mark, H. Leland 'Replicating Options with Positions in Stock & Cash'
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Rubinstein R. 'Monte Carlo Optimal Simulations & Sensitivity of Queuing Networks'
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Rubinstein R. 'Multidimensional Control Variates in Monte Carlo Simulation' in Monte
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Rust John 'Numerical Dynamic Programming in Economics' <117 pages> wp to be published
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Rust John 'Optimal Replacement of GMC Bus Engines:Empirical Model of Harold Zurcher'
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Rust John 'Using Randomization to Break the Curse of Dimensionality' Econometrica 5/97
Rust John 'When is it Optimal to Kill off the Market for Durable Goods?' Econometrica
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Rust John, C. Phelan 'How Social Security & Medicare Affect Retirement Behavior in a
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Ruthen R. 'Catching the Wave' <gravity> SA 3/92
Ruthen R. 'Gravity Rainbow' SA 9/91
Ruthen R. 'Puzzling Powerhouse' <black holes> SA 12/92
Ruthen R. 'Quark Quest' <top,bottom> SA 3/93
Ruther R. 'Quantum Magnets' SA 7/91
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Rutkowski Marek 'Pricing & Hedging of Rates & Term Structure Models' N.S.Wales wp
Rutkowski Marek 'Pricing of the Foreign Market American Options' N.S.Wales wp
Rutkowski Marek 'Probabilistic Aspects of Continuous-Time Arbitrage Pricing:A,B,C'
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Rutkowski Marek 'Risk Minimizing Hedging of Contingent Claims in Incomplete Models of
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Rutkowski Marek 'Self-Financing Trading Strategies for Sliding, Rolling-Horizon &
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Rutkowski Marek 'Spot, Forward & Futures Libor Rates' 97 <term structure>
Rutkowski Marek 'The Early Exercise Premium Representation of Foreign Market American
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Rutkowski Marek 'Trading Strategies for Sliding,Rolling-Horizon & Consol Bonds' 9/98
Rutkowski Marek 'Valuation & Hedging of Contingent Claims in the HJM Model with
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Rutterford J., M. Fitzgerald 'International Option Markets' (ed) S.Hodges
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Rutz R. 'Margin,Settlement & Risk-Mangement Systems' (ed) S.Hodges Options:Recent
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Ruud P. 'Comparison of the E.M. & Newton-Raphson Algorithm'<numeric> 2/89 U.of Cal.
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Ruud P. 'Extensions of Estimation Methods Using the EM Algorithm' <numeric> 12/88
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Ruud P. 'The Geometry of the Gauss-Markov Theorem' <alphabetic> 8/95 wp U.Cal.
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Schroder Mark 'A Model of Price Dependence on the Timing of the Resolution of
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Schroder Mark 'Arbitrage Bounds on Bond Prices ' <term structure>
Schroder Mark 'Change of Numeraire for Pricing Futures, Forwards & Options' RFS Winter
99 <option-pricing>
Schroder Mark 'Computing the Constant Elasticity of Variance Option Pricing Formula'
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Schroder Mark 'Deriving Prices of European Options as Discount Bonds' <term
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Schroder Mark 'Essays in Continuous-Time Financial Theory' NU diss. 95
Schroder Mark 'Numerical Solutions to the Optimal Portfolio Selection Problem with
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Schroder Mark 'Optimal Portfolio Selection with Fixed Transaction Costs' in
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Schroder Mark 'Parity Results for American Options'wp NU 95,<options-american> in
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Schroder Mark 'Pricing a Treasury Bond' <term structure>
Schroder Mark 'Pricing Futures & Forwards on Yields' <term structure>
Schroder Mark 'Reduction Methods Applicable to Compound Option Formula'<options-
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Schroder Mark 'Spline Functions ' <term structure>
Schroder Mark 'Technical Description of Spline Function Algorithm' <term structure>
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Schroder Mark, Costis Skiadas 'Optimal Portfolio Selection & Equilibrium Pricing with
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Schroeder Michael 'On the Valuation of Arithmetic-Average Asian Options:Integral
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Schroeder Michael 'On the Valuation of Arithmetic-Average Asian Options:Laguerre
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Schroeder Michael 'On the Valuation of Paris Options:Foundational Results' <option-
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Schroeder Michael 'The Laplace Transform Approach to Valuing Exotic Options:the Case
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Schwartz E., J. Greenleaf 'Comment on Investment Decisions, Repetitive Games & the
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Schwartz E., S. Zurita 'Soverign Debt:Optimal Contract,Underinvestment & Foregiveness'
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Schwartz E., Walter Torous 'Prepayment & the Valuation of Mortgage Backed Securities'
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Schwartz E., Walter Torous 'Prepayment,Default,Valuation of Mortgage Pass-through
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Schwartz R., D. Whitcomb 'Time-Variance Relationship:Reply' JofF 12/79
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Schwarz T., A. Szakmary 'Price Discovery in Petroleum Markets:Arbitrage,Cointegration
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Schwarz T., F. Laatsch 'Dynamic Efficiency & Price Leadership in Stock Index Cash &
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Schweizer Martin 'Approximation Pricing & the Variance Optimal Martingale Measure'
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Schweizer Martin 'Hedging of Options in a General Semimartingale Model' PhD ETH-Zurich
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Sharpe William 'Capital Asset Pricing:Theory of Asset Equilibrium under Conditions of
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Shimko David 'Bounds of Probability'<volatility><Skew,Vega,Distributions,option price
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Shimko David 'Equilibrium Valuation of Risky Discrete Cash Flows in Continous Time'
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Shimko David 'Optimal Probability Trading Strategies' JP Morgan 4/94 <volatility>
Shimko David 'Options on Futures Spreads:Hedging Speculation & Valuation'<Hedging>
JFM 4/94
Shimko David 'Options or Insurance' <options-insurance> RISK 7/95
Shimko David 'Room for a View' <derivatives><best portfolio> RISK 8/95
Shimko David 'Taking all the Credit' <credit risk> 5/99 talk at UofC
Shimko David 'Valuation of Multiple Claim Insurance Contracts' JF&QA 6/92
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Shimko David, N. Tejima, D. van Deventer 'Pricing of Risky Debt when Interest Rates
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Shimko David, R. McDonald 'A Golden Opportunity?' <gold hedging> RISK Oct. 97
Shimony A. 'Reality of Quantum World' SA <partical physics>
Shirakawa Hiroshi 'Evaluation of Yield Spread for Credit Risk' Adv. in Math Econ 99
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Shirakawa Hiroshi 'Interest Rate Option Pricing with Poisson-Gaussian Forward Rate
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Shirakawa Hiroshi 'Optimal Consumption & Portfolio Selection with Incomplete Markest &
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Shirreff D. 'Making Ends Meet' <Index Amortizing Rate Swaps' < Swaps> RISK 2/93
Shiryaev Albert 'Essentials of the Arbitrage Theory' 1/2001 <arbitrage>
Shiryaev Albert 'On Some Basic Concepts & Some Basic Stochastic Models Used in
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Shiryaev Albert 'Optimal Stopping Rules 'Springer 78
Shiryaev Albert, Alexander Cherny 'Some Distribution Properties of a Brownian Motion
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Shiryaev Albert, Alexander Cherny 'Vector Stochastic Integrals & the Fundamental
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Shiryaev Albert, Jan Kallsen 'On the Real-Valued Cumulant Process, Exponential
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Shiryaev Albert, Yuri Kabanov, O. Kramkov, A. Mei'Nikov 'Towards the Theory of Pricing
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Shiskin J. 'Systematic Aspects of Stock Price Fluctuations' in MDIM
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Shivdasani A., D. Yermack 'CEO Involvement in the Selection of New Board Members:an
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Shleifer Andrei 'State versus Private Ownership' J Econ Persp. Fall 98
Shleifer Andrei, Robert Vishny 'Liquidation Values & Debt Capacity:Market Equilibrium
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Shleifer Andrei, Robert Vishny 'Politics of Market Socialism' J.Econ.Per Spring 94
Shleifer Andrei, Robert Vishny 'Survey of Corporate Goverance' JofF6/97
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Shogren J., S. Shin, D. Hayes, J. Kliebenstein 'Resolving Differences in Willingness
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Shorrocks A. 'Inequality Decomposition by Population Sub-groups' Econometrica 11/84
Shorrocks A. 'Revisiting the Sen Poverty Index' Econometrica 9/95
Shousen M.' Preseveance of Paul Samuelson's Economics' JEP Spring 97
Showalter D. 'Oligopoly & Financial Structure' AER 6/95
Showalter R. 'Hilbert Spaces Methods for Partial Differential Equations:Distibutions &
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Shreatha K., J. Smith 'Comparision of Inflation Forecasts from Interest Rate & Vector
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Shreve Steven 'A Control Theorists View of Asset Pricing' Applied Stochastic Analysis
91
Shreve Steven 'Liquidity Premium for Capital Asset Pricing with Transaction Costs'
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Shreve Steven 'Reflected Brownian Motion in the "Bang-Bang" Control of Brownian
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Shreve Steven 'Understanding the Methodology of Stochastic Calculus in Derivatives'
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Shreve Steven, Dmitri Bertsekas 'Alternative Theoretic Framework for Finite Horizon
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Shreve Steven, G. Xu 'A Duality Method for Optimal consumption & Investment under
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Shreve Steven, H. Mete Soner 'Optimal Investment & Consumption with Transaction Costs'
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Shreve Steven, H. Mete Soner, G. Xu 'Optimal Investment & Consumption with Two Bonds
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Shreve Steven, Jan Vecer 'Options on a Traded Account:Vacation Call, Vacation Puts &
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Shreve Steven, John Lehoczky 'Optimal Consumption for General Diffusions with
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Shrikhande M. 'Nonaddictive Habit Formation & the Equity Premium Puzzle' <alphabetic>
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Shubba Rao 'Testing Linear' 1980 #1 145-158 J. Time Series
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Shumway T., V. Warther 'The Delisting Bias in CRSP's Nasdaq Data and Its Implications
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Shyam-Sunder L. 'Stock Price Effect of Risky vrs. Safe Debt' JF&QA 12/91
Shyy G., B. Butcher 'Price Equilibrium & Transmission in a Controlled Economy:Case
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Shyy G., J. Lee 'Price Transmission & Information Asymmetry in Bund Futures
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Shyy G., V. Vigayraghavan,B. Scott-Quinn 'Further Investigation of the Lead-Lag
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SIAM NEWS 'Image Processing Makes its Mark in Court' 12/93
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Sias R., L. Starks 'Day-of-the-Week Anomaly:Role of Institutional Investors' FAJ
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Sias R., L. Starks 'Institutions & Individuals at the Turn-of-the-Year' JofF 9/97
Sibert A. 'Risk Premium in Foreign Exchange Market'<foreign exchange> FRB Kansas
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Sibulkin M. 'Note on Bathtub Vortex & the Earths Rotation' Amer Scien 7/85 <science-
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Sicherman N., R. Pettway 'Acquistion of Divested Assets & Shareholders Wealth' JofF
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Sickles R., P. Taubman 'Analysis of Health & Retirement Status of the Elderly'
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Sidenius Jakob 'Double Barrier Options:Valuation by Path Counting' J. Computational
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Sidenius Jakob 'LIBOR Market Models in Practice' J. Comp. Finance Spring 2000
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Siebert H. 'Labor Market Rigidities:ath the Root of Unemployment in Europe' J. Econ
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Siegel A., C. Nelson 'Long-Term Behavior of Yield Curves'<term structure> < JF&QA 3/88
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Siegel J. 'Equity Risk Premia,Corporate Profit Forecasts, & Investor Sentiment around
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Siegel J. 'Risk, Interest Rates & the Forward Exchange' <options-currency> Quart. J.
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Siegel J., R. Thaler 'Anomalies:the Equity Premium Policy' J. Econ Perspec Winter 97
Sigman K., R. Wolff 'Review of Regenerative Processes' SIAM Review 6/93
Siklos P., Clive Granger 'Temporary Cointegration with an Application to Interest Rate
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Sikorov J. 'Instalment Plan' <options in instalments> RISK 10/93
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Silber W. 'Technical Trading:When it Works & When It Doesnot' J.of Derivatives
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Silk J., A. Szlay, Y. Zeldovich 'Large Scale Structure of the Universe' PPC
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Silverman B. 'Density Estimation for Statistics & Data Analysis' <distributions>
Silverman D. 'Solution of the Black Scholes Equation Using the Green's Function of
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Silverman J., J. Moony, F. Shepherd 'Infrared Video Cameras' SA 3/92
Silvers J. 'Alternative to Yield Spread as Measure of Risk' JofF 9/73
Silvestre J. 'Market Power Foundations of Macroeconomic Policy' JEL 3/93
Silvestrov Dmitrii, A. Kukush, V. Galochkin 'Optimal Monte Carlo Option Pricing'
Sim A., D. Thurston 'An Empirical Study of a New Class of No-Arbitrage Based Discrete
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Sime R. 'Lisa Meiter & Discovery of Nuclear Fission' SA 1/98
Simon D. 'Expectations & the Treasury Bill-Federal Funds Rate Spread over Recent
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Simon D. 'Implied Voltatility Asymmetries in Treasury Bond Futures Options' 12/97 JFM
Simon H. 'Altruism & Economics' AER May 93
Simon L., M. Stinchcombe 'Extreme Form Games in Continous Time:Pure
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Simon L., William Zame 'Discontinuous Games & Endogenous Sharing Rules' Econometrica
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Simon M. 'The Rise & Fall of Bank Control in the United States:1890-1939' AER 12/98
Simon S., M. Goovaerts, Jan Dhaene 'An Easy Computational Upper Bound for the Price of
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Simon T. 'Support Theorem for Jump Processes' <stochastic> <Levy,Ito, Skorhohd> SP&A
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Simons H. 'Adapting Moving Averages for Changing Markets <tech. analysis> FUTURES 5/94
Simons K. 'Interest Rate Structure & the Credit Risk of Swaps' < Swaps> New England
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Simons L., M. Stinchcombe 'Equilibrium Refinement for Infinite Normal Form Games'
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Sims C., T. Zha 'Bayesian Methods for Dynamic Multivariate Models' FRB Atlanta 10/96
Sims C., T. Zha 'Error Bounds for Impulse Responses' Econometrica 9/99
Sims Christoper 'Are Forecasting Models Usable for Policy Analysis' FRB Minn Winter 86
Sims Christoper 'Discrete Approximations to Continuous Time Distributed Lags'<AR>
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Sims Christoper 'Least Squares Estimation of Autoregressions with some Unit Roots' 3-
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Sims Christoper 'Macroeconomics & Methodology' J.Econ. Perspect. Winter 96
Sims Christoper, H. Uhlig 'Understanding Unit Rooters:Helicopter Tour' Econometrica
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Sims Christoper, J. Stock, M. Watson 'Inference in Linear Time Series Models with Some
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Sin C. 'Sticky Local Martingales & Hedge Ratios on Stochastic Volatility Models' PhD
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Sinclair-Desgagne B. 'First Order Approach to Multi-Signal Principal-Agent Problems'
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Singal V. 'Airline Mergers & Competition:An Integration of Stock & Product Price
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Singer B., K. Terhaar, John Zerolis 'Maintaining Consistent Global Asset Views (with a
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Singh M., J. McConnell 'Implementing an Option-Theoretic CMO Valuation Model with
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Singh R. 'Takeover Bidding with Toeholds:Case of the Owners Curse' RFS Winter 98
Singh S., Kenneth Ribet 'Fermats Last Stand' <number theory> SA 11/97
Singleton Kenneth 'Estimation of Affine Asset Pricing Models using the Empirical
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Singleton Kenneth 'Modelling the Term Structure of Interest Rates in General
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Singleton Kenneth 'Specification & Estimation of Intertemporal Asset Pricing Models'
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Singpurwalla, S. Wilson 'Warranty Problem:Statistical & Game Theoretic Aspects' SIAM
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Sinquefield R. 'Where Are the Gains from International Diversification?' FAJ 2/96
Siow A. 'Occupational Choice under Uncertainity' Econometrica 5/84
Sircar K. <Ronnie> 'Hedging under Stochastic Volatility' 11/98 <volatility>
Sircar K. <Ronnie>, George Papanicolaou 'General Black-Scholes Models Accounting for
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Sirri E., Peter Tufano 'Costly Search & Mutual Fund Flows' JofF 10/98
Skelton H. 'Relative Risk in Municipal & Corporate Debt' JofF 5/83
Skiadas Costis 'Conditionary & Aggregation of Preferences' Econometrica 3/97
Skiadas Costis 'Recursive Utility & Preferences for Information' 6/97 <utility'
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Skiadopollos George, Stewart Hodges, Les Clewlow 'The Dynamics of the S&P Implied
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Skiadopoulos George, Stewart Hodges 'Simulating the Evolution of the Implied
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Skinner F. 'Hedging Bonds Subject to Credit Risk' J. Banking & Finance 3/98
Skinner F. 'Trinomial Model of Bonds with Default Risk' <credit risk> FAJ 3/94
Skinner G. 'X-Ray Imaging with Coded Masks' SA 8/88
Skorohod A. 'On a Generalization of Stochastic Integral' Theory Prob App XX 75
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Skovgaard I. 'Note on Differentiation of Cumulants of Log Likelihood Derivatives' 1986
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Slade G. 'Random Walks' <Brownian motion> Amer Scienc. 3/96
Slade G. 'Self-Avoiding Walks' Math.Intell. v16 #1 1994 <random>
Sleijpen G., J. var der Vorst, M. van Gijzen SIAM News 9/96
Slesnick D. 'Empirical Approaches to the Measurement of Welfare' JEL 12/98
Slezak S. 'Theory of the Dynamics of Security Returns Around Market Closures' JofF
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Sloan I., P. Kachoyan 'Lattice Methods for Multiple Integration:Theory, Erro Analysis
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Sloan L., Henryk Wozniakowski 'An Intractability Result for Multiple Integration'
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Sloane N. 'Packing of Spheres' S.A. Jan 84 <bin packing >
Slominski L. 'Some Remarks on Approximation of Solutions of SDE with Reflecting
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Slominski L. 'Stability of Strong Solutions of Stochastic Differential Equations'
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Slonim R., A. Roth 'Learning in High Stakes Ultimatum Games:Experiment in the Slovak
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Slovin M. 'Financial Disintermediation in a Macroeconimc Framework:Comment' JofF 6/74
Slovin M., M. Sushka 'Implications of Equity Issuance Decisions with a Parent-
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Slovin M., M. Sushka 'Model of the Commercial Loan Rate' JofF 12/83
Slovin M., M. Sushka 'Ownership Concentration,Corporate Control Activity & Firm
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Slovin M., M. Sushka, E. Waller 'Is There News in the Prime Rate?' JF&QA 12/94
Slovin M., M. Sushka, J. Polonchek 'Corporate Sale & Leasebacks & Shareholder Wealth'
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Slovin M., M. Sushka, Y. Bendeck 'Intra-Industry Effects of Going Private
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Slusher R., B. Yurke 'Sqeezed Light' SA 5/88
Small J. 'Testing & Estimation with Seasonal Autoregressive Mis-specification' w.p. U.
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Small K. 'A Discrete Choice Model for Ordered Alternatives' Econometrica 3/87
Smirlock M., J. Yawitz 'Asset Returns, Discount Rate Changes & Market Efficiency'
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Smirlock M., W. Marshall 'Examination of the Empirical Relationship Between the
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Smith B., B. Amoako-Adu 'Relative Prices of Dual Class Shares' JF&QA 6/95
Smith C. 'Corporate Risk Management:Theory & Practice' J. Derivatives Summer 95
Smith C. 'Option Pricing:A Review' in RII
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Smith C., J. Warner 'Bankruptcy,Secured Debt & Optimal Capital Structures' JofF 3/76
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Smith D. 'A Simple Method for Pricing Interest Rate Swaptions' < Swaps> FAJ May 91
Smith D. 'Aggressive Corporate Finance:Close Look at the Procter & Gamble-Bankers
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Smith D. 'How to Generate Chaos at Home' SA 1/92
Smith D. 'Parametric Cubic Spline Fitting Program for Open & Closed Curves' Computers
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Smith D. 'Pricing Interest Rate Swap Deefault Risk:Empirical Investigation' 97 U.
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Smith D. 'Techniques for Deriving a Zero Coupon Curve for Pricing Interest Rate
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Smith D. 'Theoretic Framework for the Analysis of Credit Union Decision Making' JofF
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Smith D., R. Webb 'Volatility of Eurodollar Futures Prices Around Fed Time' J.Fixed
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Smith D., T. Cargill, R. Meyer 'An Economic Theory of a Credit Union' JofF 5/81
Smith E., R. Marsden 'Ulysses Mission' <space explorer> SA 1/98
Smith G. 'Further Evidence on Value of A Priori Information' JofF 3/80
Smith G. 'Solution to a Problem of Stochastic Process Switching' Econometrica 1/91
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Smith J. 'Trade Credit & Informational Asymmetry' JofF 9/87
Smith L. 'Curve Fitting with Extrapolation'<numeric analysis> C Users J. 6/93
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Smith M. 'Shareholder Activism by Institutional Investors:Evidence from CalPERS' JofF
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Smith P. 'Cryptography Without Exponentiation' <cryptography> Dr.Dobbs 4/94
Smith P., C. Reither 'Comprehensive Income & the Effect of Reporting It' FAJ 11/96
Smith R. 'Alternative Asymtotically Optimal Tests in Econometrics' U.Queens 11/83
Smith R. 'Choice of Issuance Procedure & the Cost of Competitive & Negotiated
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Smith R. 'Non-Nested Tests for Competing Models Estimated by Generalized Method of
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Smith R., J. Kim 'Combined Effects of Free Cash Flow & Financial Slack on Bidder &
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Smith R., R. Blundell 'An Exogeneity Test for a Simultaneous Equation Tobit Model with
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Smith S., D. Gregory, K. Weiss 'Note on Quality Versus Price Risk & the Theory of
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Smith S., R. Harper 'Private Insurance of Public Debt:Cost & Benefits of Municipal
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Smith S., S. Tschinkel 'New Tools for Regulators in High-Tech World' Economic Review
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Smith T., Robert Whaley 'Estimating the Effective Bid/Ask Spread from Time & Sales
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Smith V. 'Economics in the Laboratory' J. Economic Perspectives Winter 94
Smith V., A. Williams 'Experimental Market Economies' SA 12/92
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Smith W. 'Sensitivity Analysis of Rates of Return:Comment' JofF 12/78
Smith W., L. Zumpano 'Default Risk Structure of Interest Rates:Case of Coupon Debt'
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Smithson Charles 'Beyond VAR' RISK 12/2000
Smithson Charles 'Credit Derivatives' RISK 12/95 <risk-credit>
Smithson Charles 'Extended Family (1)' <options-general> {family tree of option
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Smithson Charles 'Taxonomy of Options... & Option Pricing Models' wp Chase Manh.
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Smithson Charles 'Value-at-Risk' <risk> RISK 1/96
Smithson Charles 'Wonderful Life' <option-pricing><history & variation of Black
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Snyder J. 'Stabiliity Considerations for Numerical Methods' SIAM News 12/97
Snyder W. 'Horse Racing:Testing the Efficient Markets Model' JofF 9/78
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Sobel J., L. Stole 'Fixed Equilibrium Rationalablityin Signaling Games' <games>
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Sobti R., G. Sykes 'Evaulation & Hedging of Interest Rate Caps in Floating Rate
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Sochacki James, Kubichek, George 'Absorbing Boundary Conditions & Surface Waves'
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Sola M., J. Driffill 'Testing the Term STructure of Interest Rates using a Stationary
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Solnick S., D. Hemenway 'Deadweight Loss of Christmas:Comment' J. Waldfogel 'Rely' AER
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Solnik Bruno 'CAPM in International Context' JofF 5/74
Solnik Bruno 'Distribution of Daily Stock Returns & Settlement Procedures:Paris Bourse
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Solnik Bruno 'International Arbitrage Pricing Theory' JofF 5/83
Solnik Bruno 'Note on the Validity of the Random Walk for European Stock Prices' JofF
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Solnik Bruno 'Relation Between Stock Prices & Inflationary Expectations:International
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Solnik Bruno 'Using Financial Prices to Test Exchange Rate Models' JofF 3/87
Solodov M., B. Savaiter 'A New Projection Method for Variational Inequality Problems'
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Solon G. 'Work Incentive Effects of Taxing Unemployment Benefits' Econometrica 3/85
Solow R. 'Perspectives on Growth Theory' J. Economic Perspectives Winter 94
Solvin M., M. Sushka, J. Polonchek 'Value of Bank Durability:Borrowers as Bank
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Sommer Daniel 'Continuous-Time Limits in the Generalized Ho-Lee Framework under the
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Sommer Daniel 'Pricing & Hedging Contingent Claims in Term Structure Models with
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Sommer Daniel 'Pseudo-Arbitrage:A New Approach to Pricing & Hedging in Incomplete
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Soner H. Mete, Nizar Touzi 'Stochastic Target Problems, Dynamic Programming &
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Soner H. Mete, Nizar Touzi 'Super-Replication under Gamma Constraints' SIAM J. Control
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Sornette Didier '"String" Formulation of the Dynamics of the Forward Interest Rate
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Zhang Jin 'Arithmetic Asian Options with Continuous Sampling' 5/99 <options-Asian>
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Zhang N. 'Term Structures, Indexed Bonds, & Derivatives Pricing' Princeton 98 PhD
Zhang Peter 'Correlation Digital Options' J. Financial Engin. 3/95
Zhang Peter 'Flexible Arithmetic Asian Options' J. of Derivatives Spring 95<options-
average>
Zhang Peter 'Flexible Asian Options' J.Fin.Enig. V3#1(94)<options-average>
Zhang Peter 'Unified Formula for Outside Barrier Options' <options-barrier> J.
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Zhang Q., G. Yin 'Turnpike Sets in Stochastic Manufacturing Systems with Finite Time
Horizon'<alphabetic> IMA 1129 1993?
Zhang 'Treasury Yield Curve' 3/93 APPLIED ECONOMICS
Zhang Xiao Lan 'Formules Quasi-Explicites pour les Options Americaines dan un Model de
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Simulation (95)
Zhang Xiao Lan 'Numerical Analysis of American Option Pricing in a Jump-Diffusion
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Zhang Xiao Lan 'Options Americaines et Modeles de Diffusion avec Sauts' CR Acad Sci
Ser. I Math 93
Zhang Xiao Lan 'Valuation of American Option in a Jump-Diffusion Model' in Num. Method
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Zhao E., Domingo Tavella 'Exact Pricing Formula for Caps & Floors in Arrears' J. Fina.
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Zhao J. 'Investigating Term Structure Models for Contingent Claim Valuation in the
Eurodollar Options Market' Cornell 94 PhD thesis
Zhao L., R. Prentice, S. Self 'Multivariate Mean Parameter Estimtion by Using a Partly
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Zhao-Gao C. 'The Asymptotic Efficiency of a Linear Procedure of Estimation for ARMA
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Zheleznyak A. 'Modeling Fat-Tailed Portfolio Return Distributions in Multiple Factor
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Zheng B. 'Can a Poverty Index Be Both Relative and Absolute' Econometrica 11/94
Zheng C. 'An Arbitrage-Free SAINTS Model of Interest Rates' 1st National Bank of
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Zheng C. 'Default Implied Volatility for Credit Spread' Morgan Stanley 4/99 <credit
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Zheng C.K. 'Understanding the Default-Implied Volatility for Credit Spreads' J. Deriv.
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Zheng L. 'Is Money Smart? A Study of Mutual Fund Investors Fund Selection Ability'
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Zhou Anjun 'Modeling the Volatility of the Heath-Jarrow-Morton Model:A Multi-Factor
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Zhou C. 'A Jump-Diffusion Approach to Modeling Credit Risk & Valuing Defaultable
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Zhou C. 'Informational Asymmetry & Market Imperfections:Another Solution to the Equity
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Zhou C. 'Path-Dependent Option Valuation when the Underlying Path is Discontinuous'
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Zhou G. 'Analytical GMM Tests:Asset Pricing with Time Varying Risk Premium' RFS Winter
94
Zhou G. 'Asset-pricing under Alternative Distributions' JofF 12/93
Zhou H. 'A Study of the Finite Sample Properties of EMM, GMM,QMLE & MLE for a Square-
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Zhou L. 'Nash Bargaining Theory with Non-Convex Problems' Econometrica 5/97
Zhou X. 'On the Necessary Conditions of Optimal Controls for Stochastic Partial
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Zhou X., D. Lai 'Continuous-Time Mean-Variance Portfolio Selection:A Stochastic LQ
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Zhou Z. 'An Equilibrium Analysis of Hedging with Liquidity Constraints, Speculation &
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Zhu Jianwei 'Modular Pricing of Options' 8/2000 <option-pricing> <Fourier,stochastic
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Zhu Y., I. Friend 'Effects of Differnt Taxes on Risky & Risk-Free Investment & On Cost
of Capital' JofF 3/86
Zhu Y., Marco Avellaneda 'A Risk-Neutral Stochastic Volatility Model' <volatility>
11/97
Zhu Y., Marco Avellaneda 'An E-ARCH Model for the Term Structure of Implied Volatility
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Zhu Y.-I., Y. Sun 'The Singularity-Separating Method for Two-Factor Convertible
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Zhu Yianzi 'Three Essays in Mathematical Finance ' PhD NYU 97
Ziemba W. 'Comment on "Why a Weekend Effect"' J. Portfolio Management Winter 92
Ziemba W., C. Hensel 'Worldwide Security Market Anomalies' Phil. Trans.R.Soc.Lond.
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Zimmermann H. 'Constant Return Participating (CRP) Portfolio Insurance Strategies' J.
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Zimmermann K. 'Tackling the European Migration Problem' J. Econ.Perspect. Spring 95
Zimring F. 'Firearms,Violence & Public Policy' SA 11/91
Zingales L. 'Survival of the Fittest or the Fattest? Exit & Financing in the Trucking
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Zipkin P. 'Relationship between Risk & Maturity in a Stochastic Setting' <derivatives>
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Ziss S. 'Contracts as a Barrier to Entry' AER 6/96
Ziss S. 'Solution to the Problemof Externalities:When Agents are Well-
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Zivney T., W. Bertin 'Publish or Perish:What the Competition Is Really Doing' JofF
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Zoldi S., V. Ruban, A. Zenchuk, S. Burtsev 'Parallel Implementation of the Split-Step
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ZOR 'Mathematical Methods of Operations Research'
Zou J., Emmanuel Derman 'Monte Carlo Valuation of Path-Dependent Options on Indexes
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Zuehlsdorff C. 'Extended LIBOR Market Modesl with Affine & Quadratic Volatility' <term
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Zumbach G., Michel Dacorogna, J. Olsen, R. Olsen 'Measuring Shock in Financial
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Zumbach G., Ulrich Muller 'Operators on Inhomogeneous Time Series' Inter.J. Theor&
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Zurlinden M. 'Vulnerability of Pegged Exchange Rates:British Pound in the ERM' FRB
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Zvan Robert, Kenneth Vetzal, Peter Forsyth 'PDE Methods for Pricing Barrier Options'
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Zvan Robert, Kenneth Vetzal, Peter Forsyth 'Swing Low, Swing High' RISK 3/98 <option-
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Zvan Robert, Peter Forsyth, Kenneth Vetzal 'A Finite Volume Approach for Contingent
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Zvan Robert, Peter Forsyth, Kenneth Vetzal 'A General Finite Element Approach for PDE
Option Pricing Models' 11/98 <option-numeric>
Zvan Robert, Peter Forsyth, Kenneth Vetzal 'Convergence of Lattice & PDE Methods for
Pricing Asian Options' 11/98 <option-numeric>
Zvan Robert, Peter Forsyth, Kenneth Vetzal 'Diffusion Operators & Meshes in Option
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Zvan Robert, Peter Forsyth, Kenneth Vetzal 'Discrete Asian Barrier Options' J.
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Zvan Robert, Peter Forsyth, Kenneth Vetzal 'Penalty Methods for American Options with
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Zvan Robert, Peter Forsyth, Kenneth Vetzal 'Robust Numerical Methods for PDE Models
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Zweck J., L. Williams 'A Wavelet Basis for Euclidean Invariant Computation of Visual
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Zweig M. 'An Investor Expctions Stock Price Predictive Model Using Closed-End Fund
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Zwick B. 'Interest-Induced Wealth Effect & the Behavior of Real & Nominal Interest
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Zwick B. 'Market for Corporate Bonds' <bonds>
Zwick B. 'Yields on Privately Placed Corporate Bonds' JofF 3/80
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