1. A generic framework for monetary performance attribution. (2019). Blomvall, Jorgen ; Hagenbjork, Johan.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:105:y:2019:i:c:p:121-133.

   Full description at Econpapers || Download paper

2. Exact Smooth Term-Structure Estimation. (2018). Willems, Sander ; Filipovi, Damir.
   In: Papers.
   RePEc:arx:papers:1606.03899.

   Full description at Econpapers || Download paper

3. Measurement of interest rates using a convex optimization model. (2017). Blomvall, Jorgen.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:256:y:2017:i:1:p:308-316.

   Full description at Econpapers || Download paper

4. Kriging of financial term-structures. (2016). Rulliere, Didier ; Cousin, Areski ; Maatouk, Hassan.
   In: Post-Print.
   RePEc:hal:journl:hal-01206388.

   Full description at Econpapers || Download paper

5. Term structure extrapolation and asymptotic forward rates. (2016). Vellekoop, M H ; de Kort, J.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:67:y:2016:i:c:p:107-119.

   Full description at Econpapers || Download paper

6. Kriging of financial term-structures. (2016). Rulliere, Didier ; Maatouk, Hassan ; Cousin, Areski.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:255:y:2016:i:2:p:631-648.

   Full description at Econpapers || Download paper

7. Exact Smooth Term Structure Estimation. (2016). Willems, Sander ; Filipovia, Damir.
   In: Swiss Finance Institute Research Paper Series.
   RePEc:chf:rpseri:rp1638.

   Full description at Econpapers || Download paper

8. Kriging of financial term-structures. (2016). Rulliere, Didier ; Maatouk, Hassan ; Cousin, Areski.
   In: Papers.
   RePEc:arx:papers:1604.02237.

   Full description at Econpapers || Download paper

9. Kriging of financial term-structures. (2015). Maatouk, Hassan ; Cousin, Areski.
   In: Working Papers.
   RePEc:hal:wpaper:hal-01206388.

   Full description at Econpapers || Download paper

10. A simple and general approach to fitting the discount curve under no-arbitrage constraints. (2015). Fengler, Matthias ; Hin, Lin-Yee.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:15:y:2015:i:c:p:78-84.

    Full description at Econpapers || Download paper

11. On the Range of Admissible Term-Structures. (2014). Niang, Ibrahima ; Cousin, Areski.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00968943.

    Full description at Econpapers || Download paper

12. On the range of admissible term-structures. (2014). Niang, Ibrahima ; Cousin, Areski.
    In: Papers.
    RePEc:arx:papers:1404.0340.

    Full description at Econpapers || Download paper

13. Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves. (2010). Bianchetti, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:22022.

    Full description at Econpapers || Download paper

1. Adams K. (2001) Smooth interpolation of yield curves. Algo Research Quarterly 4: 11–22.
   Paper not yet in RePEc: Add citation now
   
2. Adams K., van Deventer D.R. (1994) Fitting yield curves and forward rate curves with maximum smoothness. Journal of Fixed Income 4: 52–62.
   Paper not yet in RePEc: Add citation now
   
3. Andersen, L. (2003). Reduced-form models: Curve construction and the pricing of credit swaps. In: Credit Derivatives: The Definitive Guide. Risk Books.
   Paper not yet in RePEc: Add citation now
   

4. Barzanti L., Corradi C. (1998) A note on interest rate term structure estimation using tension splines. Insurance: Mathematics and Economics 22: 139–143.

5. Breeden D., Litzenberger R. (1978) Prices of state-contingent claims implicit in option prices. Journal of Business 51: 621–651.

6. Catmull E., Rom R. (1974) A class of local interpolating spline. In: Barnhill R.E., (eds) Computer Aided Geometric Design. Academic Press, New York.
   Paper not yet in RePEc: Add citation now
   

7. Chambers D.R., Carleton W.T., Waldman D.W. (1984) A new approach to estimation of the term structure of interest rates. Journal of Financial and Quantitative Analysis 19: 233–269.

8. Cline A.K. (1974) Scalar- and planar-valued curve fitting using splines under tension. Communications of the ACM 17: 218–223.
   Paper not yet in RePEc: Add citation now
   

9. Cox J., Ingersoll J., Ross S. (1985) A theory of the term structure of interest rates. Econometrica 53: 385–407.

10. Craven P., Wahba G. (1979) Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation. Numerische Matematik 31: 377–403.
    Paper not yet in RePEc: Add citation now
    
11. Diament P. (1993) Semi-empirical smooth fit to the Treasury Yield Curve. Journal of Fixed Income 3: 55–70.
    Paper not yet in RePEc: Add citation now
    
12. Eubank, R. L. (1988). Spline smoothing and nonparametric regression. Marcel Dekker.
    Paper not yet in RePEc: Add citation now
    
13. Golub, B., & Tilman, L. (2000). No room for nostalgia in fixed income. Risk Magazine, July, 44–48.
    Paper not yet in RePEc: Add citation now
    
14. Hagan, P., & West, G. (2004). Interpolation methods for yield curve construction. Working Paper.
    Paper not yet in RePEc: Add citation now
    
15. Hansen P. (1992) Analysis of discrete ill-posed problems by means of the L-curve. SIAM Rev. 34: 561–580.
    Paper not yet in RePEc: Add citation now
    

16. Heath D., Jarrow R., Morton A. (1992) Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuation. Econometrica 66: 77–105.

17. Hull J., White A. (1990) Pricing interest rate derivative securities. Review of Financial Studies 3(4): 87–100.

18. Hyman J.M. (1983) Accurate monotonicity preserving cubic interpolation. SIAM Journal of Statistics and Computation 4: 645–654.
    Paper not yet in RePEc: Add citation now
    
19. Jamishidian F. (1991) Bond and option evaluation in the Gaussian interest rate model. Research in Finance 9: 131–170.
    Paper not yet in RePEc: Add citation now
    
20. Koch P.E., Lyche T. et al (1993) Interpolation with exponential splines in tension. In: Farin G.(eds) Geometric Modeling, Computing/Supplementum 8. Springer Verlag, Wien, pp 173–190.
    Paper not yet in RePEc: Add citation now
    
21. Koch, P. E., & Lyche, T. (1989). Exponential B-splines in tension. In C. K. Chui et al. (Eds.), Approximation Theory VI: Proceedings of the Sixth International Symposium on Approximation Theory (Vol. II, pp. 361–364). Boston: Academic Press.
    Paper not yet in RePEc: Add citation now
    
22. Kvasov B. (2000) Methods of shape-preserving spline approximation. World Scientific Publishing, Singapore.
    Paper not yet in RePEc: Add citation now
    
23. Lynch, R. W. (1982). A method for choosing a tension factor for spline under tension interpolation. Working Paper, University of Texas.
    Paper not yet in RePEc: Add citation now
    

24. McCulloch J.H. (1975) The tax-adjusted yield curve. Journal of Finance 30: 811–830.

25. McCulloch, J. H., & Kochin, L. A. (2000). The inflation premium implicit in the US real and nominal term structures of interest rates. Technical Report 12, Ohio State University.

26. Monteiro, A., Tutuncu, R., & Vicente, L. (2007). Recovering risk-neutral probability density functions from options prices using cubic Splines and ensuring nonnegativity. Working Paper.
    Paper not yet in RePEc: Add citation now
    
27. Morozov V. (1966) On the solution of functional equations by the method of regularization. Soviet Mathematics Doklayh 7: 414–417.
    Paper not yet in RePEc: Add citation now
    

28. Nelson C.R., Siegel A.F. (1987) Parsimonious modeling of yield curves. Journal of Business 60: 473–489.

29. Press, W., Teukolsky, S., Vetterling, W., & Flannery, B. (1992). Numerical Recipes in C. Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    
30. Pruess S. (1976) Properties of splines in tension. Journal of Approximation Theory 17: 86–96.
    Paper not yet in RePEc: Add citation now
    
31. Renka R.J. (1987) Interpolatory tension splines with automatic selection of tension factors. SIAM Journal of Scientific and Statistical Computing 8(3): 393–415.
    Paper not yet in RePEc: Add citation now
    
32. Rentrop P. (1980) An algorithm for the computation of exponential splines. Numerische Matematik 35: 81–93.
    Paper not yet in RePEc: Add citation now
    
33. Rice J.A. (1984) Bandwidth choice for nonparametric regression. Annals of Statistics 12: 1215–1230.
    Paper not yet in RePEc: Add citation now
    
34. Schweikert D.G. (1966) An interpolating curve using a spline in tension. Journal of Mathematics and Physics 45: 312–317.
    Paper not yet in RePEc: Add citation now
    
35. Sheah G.S. (1984) Pitfalls in smoothing interest rate terms structure data: equilibrium models and spline approximation. Journal of Financial and Quantitative Analysis 19: 253–269.
    Paper not yet in RePEc: Add citation now
    
36. Svensson, L. (1994). Estimating and interpreting forward interest rates: Sweden 1992–1994. CEPR Discussion Paper 1051 (October).
    Paper not yet in RePEc: Add citation now
    

37. Tanggaard C. (1997) Nonparametric smoothing of yield curves. Review of Quantitative Finance and Accounting 9: 251–267.

1. The Black-Scholes-Merton dual equation. (2024). Guo, Shuxin ; Liu, Qiang.
   In: Papers.
   RePEc:arx:papers:1912.10380.

   Full description at Econpapers || Download paper

2. Forecasting the Term Structure of Interest Rates with Dynamic Constrained Smoothing B-Splines. (2020). Moura, Marcelo ; Mineo, Eduardo ; Fabris, Antonio Elias ; Alencar, Airlane Pereira.
   In: JRFM.
   RePEc:gam:jjrfmx:v:13:y:2020:i:4:p:65-:d:340878.

   Full description at Econpapers || Download paper

3. Kriging of financial term-structures. (2016). Rulliere, Didier ; Cousin, Areski ; Maatouk, Hassan.
   In: Post-Print.
   RePEc:hal:journl:hal-01206388.

   Full description at Econpapers || Download paper

4. Term structure extrapolation and asymptotic forward rates. (2016). Vellekoop, M H ; de Kort, J.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:67:y:2016:i:c:p:107-119.

   Full description at Econpapers || Download paper

5. Exact Smooth Term Structure Estimation. (2016). Willems, Sander ; Filipovia, Damir.
   In: Swiss Finance Institute Research Paper Series.
   RePEc:chf:rpseri:rp1638.

   Full description at Econpapers || Download paper

6. Kriging of financial term-structures. (2016). Rulliere, Didier ; Maatouk, Hassan ; Cousin, Areski.
   In: Papers.
   RePEc:arx:papers:1604.02237.

   Full description at Econpapers || Download paper

7. State price densities implied from weather derivatives. (2015). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:64:y:2015:i:c:p:106-125.

   Full description at Econpapers || Download paper

8. A noisy principal component analysis for forward rate curves. (2015). Laurini, Márcio ; Ohashi, Alberto.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:246:y:2015:i:1:p:140-153.

   Full description at Econpapers || Download paper

9. Arbitrage and duality in nondominated discrete-time models. (2015). Nutz, Marcel ; Bouchard, Bruno.
   In: Papers.
   RePEc:arx:papers:1305.6008.

   Full description at Econpapers || Download paper

10. A simple and general approach to fitting the discount curve under no-arbitrage constraints. (2014). Fengler, Matthias ; Hin, Lin-Yee.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2014:23.

    Full description at Econpapers || Download paper

11. A Noisy Principal Component Analysis for Forward Rate Curves. (2014). Laurini, Márcio ; Ohashi, Alberto.
    In: Papers.
    RePEc:arx:papers:1408.6279.

    Full description at Econpapers || Download paper

12. Non-Parametric Pricing of Interest Rates Options. (2012). Mauad, Roberto ; Laurini, Márcio.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:32:y:2012:i:2:a:13534.

    Full description at Econpapers || Download paper

13. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18046.

    Full description at Econpapers || Download paper

14. Dynamic Functional Data Analysis with Nonparametric State Space Models.. (2012). Laurini, Márcio.
    In: IBMEC RJ Economics Discussion Papers.
    RePEc:ibr:dpaper:2012-01.

    Full description at Econpapers || Download paper

15. Giving Flexibility to the Nelson-Siegel Class of Term Structure Models. (2011). B. De Rezende, Rafael.
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:9:y:2011:i:1:p:27-49.

    Full description at Econpapers || Download paper

16. Constrained smoothing B-splines for the term structure of interest rates. (2010). Moura, Marcelo ; Laurini, Márcio.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:2:p:339-350.

    Full description at Econpapers || Download paper

17. Implied volatility and risk aversion in a simple model with uncertain growth. (2010). Lundtofte, Frederik.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:30:y:2010:i:1:p:182-191.

    Full description at Econpapers || Download paper

18. Incorporating Market Information into the Construction of the Fan Chart. (2009). Elekdag, Selim ; Kannan, Prakash.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2009/178.

    Full description at Econpapers || Download paper

19. Measuring time-varying economic fears with consumption-based stochastic discount factors. (2007). Rubio, Gonzalo ; Nieto, Belen.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1029.

    Full description at Econpapers || Download paper

20. Discount curve construction with tension splines. (2007). Andersen, Leif.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:10:y:2007:i:3:p:227-267.

    Full description at Econpapers || Download paper

21. Constrained Smoothing Splines for the Term Structure of Interest Rates. (2007). Moura, Marcelo ; Laurini, Márcio.
    In: Insper Working Papers.
    RePEc:ibm:ibmecp:wpe_100.

    Full description at Econpapers || Download paper

22. Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide. (2006). Melick, Will ; Humpage, Owen ; Higgins, Patrick ; Galati, Gabriele.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0618.

    Full description at Econpapers || Download paper

23. Option-implied preferences adjustments, density forecasts, and the equity risk premium. (2006). Blanco, Roberto ; Rubio, Gonzalo ; Alonso, Francisco.
    In: Working Papers.
    RePEc:bde:wpaper:0630.

    Full description at Econpapers || Download paper

24. Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution. (2005). Markose, Sheri ; Alentorn, Amadeo.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:397.

    Full description at Econpapers || Download paper

25. Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:226.

    Full description at Econpapers || Download paper

26. Notes for a Contingent Claims Theory of Limit Order Markets. (2005). Lehmann, Bruce N..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11533.

    Full description at Econpapers || Download paper

27. Dynamics of State Price Densities. (2005). Härdle, Wolfgang ; Hlavka, Zdenek ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-021.

    Full description at Econpapers || Download paper

28. Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures. (2005). Hjalmarsson, Erik ; Chen, Zhiwu ; Bakshi, Gurdip.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0159.

    Full description at Econpapers || Download paper

29. Testing the forecasting performace of IBEX 35 option implied risk neutral densities. (2005). Blanco, Roberto ; Rubio, Gonzalo ; Alonso, Francisco.
    In: Working Papers.
    RePEc:bde:wpaper:0504.

    Full description at Econpapers || Download paper

30. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle. (2005). Renault, Eric ; Garcia, René ; René Garcia, ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-9.

    Full description at Econpapers || Download paper

31. Static Hedging of Standard Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409016.

    Full description at Econpapers || Download paper

32. Local Volatility Function Models under a Benchmark Approach. (2004). Platen, Eckhard ; Heath, David.
    In: Research Paper Series.
    RePEc:uts:rpaper:124.

    Full description at Econpapers || Download paper

33. The forecast ability of risk-neutral densities of foreign exchange. (2004). Craig, Ben ; Keller, Joachim G..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0409.

    Full description at Econpapers || Download paper

34. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

35. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
    In: Finance.
    RePEc:wpa:wuwpfi:0311001.

    Full description at Econpapers || Download paper

36. What Do Financial Markets Think of War in Iraq?. (2003). Zitzewitz, Eric ; Wolfers, Justin ; Leigh, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9587.

    Full description at Econpapers || Download paper

37. Aversion Analysis. (2003). gourieroux, christian ; Allard, Marie ; Christian, GOURIROUX ; Bronsard, Camille.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2003-06.

    Full description at Econpapers || Download paper

38. Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques. (2003). Lomakka, Magnus ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0146.

    Full description at Econpapers || Download paper

39. The empirical performance of option-based densities of foreign exchange. (2003). Craig, Ben ; Keller, Joachim G..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0313.

    Full description at Econpapers || Download paper

40. Market Risk and Volatility in the Brazilian Stock Market. (2003). Yoshino, Joe.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:6:y:2003:n:2:p:385-403.

    Full description at Econpapers || Download paper

41. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
    In: Papers.
    RePEc:arx:papers:math/0310223.

    Full description at Econpapers || Download paper

42. Bivariate option pricing with copulas. (2002). luciano, elisa ; Cherubini, U..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:9:y:2002:i:2:p:69-85.

    Full description at Econpapers || Download paper

43. Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds. (2002). Lin, Bing-Huei.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:12:y:2002:i:1:p:57-75.

    Full description at Econpapers || Download paper

44. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8944.

    Full description at Econpapers || Download paper

45. Multivariate Option Pricing with Copulas.. (2002). luciano, elisa ; Cherubini, Umberto.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:05-2002.

    Full description at Econpapers || Download paper

46. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-09.

    Full description at Econpapers || Download paper

47. Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter. (2001). Dupont, Dominique Y..
    In: Economics Series.
    RePEc:ihs:ihsesp:104.

    Full description at Econpapers || Download paper

48. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

    Full description at Econpapers || Download paper

49. Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate. (2001). Rzepkowski, Bronka .
    In: Working Papers.
    RePEc:cii:cepidt:2001-03.

    Full description at Econpapers || Download paper

50. The pitfalls in inferring risk from financial market data. (2000). Bliss, Robert R..
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-00-24.

    Full description at Econpapers || Download paper

51. The Expectations of Hong Kong Dollar Devaluation and Their Determinants. (2000). Rzepkowski, Bronka .
    In: Working Papers.
    RePEc:cii:cepidt:2000-04.

    Full description at Econpapers || Download paper

52. Testing the stability of implied probability density functions. (2000). Bliss, Robert R ; Panigirtzoglou, Nikolaos.
    In: Bank of England working papers.
    RePEc:boe:boeewp:114.

    Full description at Econpapers || Download paper

53. Semiparametric Pricing of Multivariate Contingent Claims. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-028.

    Full description at Econpapers || Download paper

54. Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-027.

    Full description at Econpapers || Download paper

55. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. (1999). Ludvigson, Sydney ; Lettau, Martin.
    In: Staff Reports.
    RePEc:fip:fednsr:93.

    Full description at Econpapers || Download paper

56. Extracting market expectations from option prices: case studies in Japanese option markets. (1999). Shiratsuka, Shigenori ; Nakamura, Hisashi.
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-99-1.

    Full description at Econpapers || Download paper

57. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-47.

    Full description at Econpapers || Download paper

58. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9801.

    Full description at Econpapers || Download paper

59. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-02.

    Full description at Econpapers || Download paper

60. Calibrating volatility surfaces via relative-entropy minimization. (1997). Marco Avellaneda, Craig Friedman, Richard Holmes,, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:4:y:1997:i:1:p:37-64.

    Full description at Econpapers || Download paper

61. Option Hedging Using Empirical Pricing Kernels. (1997). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6222.

    Full description at Econpapers || Download paper

62. Implied Exchange Rate Distributions: Evidence from OTC Option Markets. (1997). Campa, Jose ; Reider, Robert L. ; P. H. Kevin Chang, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6179.

    Full description at Econpapers || Download paper

63. The Forecasting Ability of Correlations Implied in Foreign Exchange Options. (1997). Campa, Jose ; P. H. Kevin Chang, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5974.

    Full description at Econpapers || Download paper

64. Implied risk-neutral probability density functions from option prices: theory and application. (1997). Bahra, Bhupinder.
    In: Bank of England working papers.
    RePEc:boe:boeewp:66.

    Full description at Econpapers || Download paper

65. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. (1995). Lo, Andrew ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5351.

    Full description at Econpapers || Download paper

66. Too much cocited documents. This list is not complete

Report date: 2025-10-05 06:22:56 || Missing content? Let us know