This document has not been cited yet.

1. Black, Fischer. (1976). The pricing of commodity contracts. In: Journal of Financial Economics, 3 1-2 pp. 167-179.

2. BLANCO, ROBERTO ; BRENNAN, SIMON ; MARSH, IAN W.. (2005). An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps. In:, 60 5 pp. 2255-2281.

3. Bryan L, 1998. Breaking up the Bank: Rethinking an Industry under Siege
   Paper not yet in RePEc: Add citation now
   

4. Bulow, Jeremy I. ; Geanakoplos, John D. ; Klemperer, Paul D.. (1985). Multimarket Oligopoly: Strategic Substitutes and Complements. In: Journal of Political Economy, 93 3 pp. 488-511.

5. Butler, Alexander W. ; Grullon, Gustavo ; Weston, James P.. (2005). Stock Market Liquidity and the Cost of Issuing Equity. In: J. Financ. Quant. Anal., 40 02 pp. 331.

6. Chordia, Tarun ; Roll, Richard ; Subrahmanyam, Avanidhar. (2000). Commonality in liquidity. In: Journal of Financial Economics, 56 1 pp. 3-28.

7. Christie, William G. ; Huang, Roger D.. (1994). Market Structures and Liquidity: A Transactions Data Study of Exchange Listings. In: Journal of Financial Intermediation, 3 3 pp. 300-326.

8. Cosimano, Thomas F. ; McDonald, Bill. (1998). What's different among banks?. In: Journal of Monetary Economics, 41 1 pp. 57-70.
   Paper not yet in RePEc: Add citation now
   

9. Diamond, Douglas W.. (1984). Financial Intermediation and Delegated Monitoring. In: The Review of Economic Studies, 51 3 pp. 393.

10. Duffie, Darrell. (1999). Credit Swap Valuation. In: Financial Analysts Journal, 55 1 pp. 73-87.

11. Froot, Kenneth A. ; Stein, Jeremy C.. (1998). Risk management, capital budgeting, and capital structure policy for financial institutions: An integrated approach. In: Journal of Financial Economics, 47 1 pp. 55-82.

12. Hasbrouck, J. (2001). Common factors in prices, order flows, and liquidity. In:, 59 3 pp. 383-411.
    Paper not yet in RePEc: Add citation now
    
13. Heidari, Massoud ; Wu, Liuren. (2003). Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. In: JFI, 13 1 pp. 75-86.
    Paper not yet in RePEc: Add citation now
    
14. Holmström, Bengt ; Tirole, Jean. (2001). LAPM: A Liquidity-Based Asset Pricing Model. In: The Journal of Finance, 56 5 pp. 1837-1867.
    Paper not yet in RePEc: Add citation now
    
15. Hull, John C ; White, Alan D. (2001). Valuing Credit Default Swaps II. In: JOD, 8 3 pp. 12-21.
    Paper not yet in RePEc: Add citation now
    
16. Jarrow, Robert A ; Yildirim, Yildiray. (2002). Valuing Default Swaps Under Market and Credit Risk Correlation. In: JFI, 11 4 pp. 7-19.
    Paper not yet in RePEc: Add citation now
    

17. Jarrow, Robert A. ; Turnbull, Stuart M.. (2000). The intersection of market and credit risk. In: Journal of Banking & Finance, 24 1-2 pp. 271-299.

18. Kashyap, Anil K ; Stein, Jeremy C. (2000). What Do a Million Observations on Banks Say About the Transmission of Monetary Policy?. In: American Economic Review, 90 3 pp. 407-428.

19. Kashyap, Anil K. ; Rajan, Raghuram ; Stein, Jeremy C.. (2002). Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-taking. In: The Journal of Finance, 57 1 pp. 33-73.

20. LI, HAITAO ; ZHAO, FENG. (2006). Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives. In:, 61 1 pp. 341-378.

21. Lin, Jyh-Horng ; Jou, Rosemary. (2005). Financial e-commerce under capital regulation and deposit insurance. In: International Review of Economics & Finance, 14 2 pp. 115-128.

22. LONGSTAFF, FRANCIS A. ; MITHAL, SANJAY ; NEIS, ERIC. (2005). Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market. In:, 60 5 pp. 2213-2253.

23. Longstaff, Francis A. ; Santa-Clara, Pedro ; Schwartz, Eduardo S.. (2001). The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. In: The Journal of Finance, 56 6 pp. 2067-2109.

24. Myers, S. C. ; Rajan, R. G.. (1998). The Paradox of Liquidity. In: The Quarterly Journal of Economics, 113 3 pp. 733-771.

25. O'Hara, Maureen. (2003). Presidential Address: Liquidity and Price Discovery. In: The Journal of Finance, 58 4 pp. 1335-1354.
    Paper not yet in RePEc: Add citation now
    

26. Santomero, Anthony M.. (1984). Modeling the Banking Firm: A Survey. In: Journal of Money, Credit and Banking, 16 4 pp. 576.

27. Sealey, C. W.. (1980). Deposit Rate-Setting, Risk Aversion, and the Theory of Depository Financial Intermediaries. In: The Journal of Finance, 35 5 pp. 1139.

28. Seppi DJ, 2003. Real Options and Energy Management Using Options Methodology to Enhance Capital Budgeting Decisions
    Paper not yet in RePEc: Add citation now
    

29. Vassalou, Maria ; Xing, Yuhang. (2004). Default Risk in Equity Returns. In:, 59 2 pp. 831-868.

30. Wong, Kit Pong. (1997). On the determinants of bank interest margins under credit and interest rate risks. In: Journal of Banking & Finance, 21 2 pp. 251-271.

31. Zarruk, Emilio R. ; Madura, Jeff. (1992). Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance. In: The Journal of Financial and Quantitative Analysis, 27 1 pp. 143.

1. Strong Taylor approximation of stochastic differential equations and application to the L\evy LIBOR model. (2010). Siopacha, Maria ; Papapantoleon, Antonis.
   In: Papers.
   RePEc:arx:papers:0906.5581.

   Full description at Econpapers || Download paper

2. Foreign exchange volatility is priced in equities. (2006). Neely, Christopher ; Guo, Hui.
   In: Working Papers.
   RePEc:fip:fedlwp:2004-029.

   Full description at Econpapers || Download paper

3. Generic Market Models. (2005). Pietersz, Raoul ; Regenmortel, Marcel van.
   In: Finance.
   RePEc:wpa:wuwpfi:0502009.

   Full description at Econpapers || Download paper

4. Inferring option-implied investors risk preferences. (2005). Giamouridis, Daniel.
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:15:y:2005:i:7:p:479-488.

   Full description at Econpapers || Download paper

5. The Tactical and Strategic Value of Commodity Futures. (2005). Harvey, Campbell ; Erb, Claude B..
   In: NBER Working Papers.
   RePEc:nbr:nberwo:11222.

   Full description at Econpapers || Download paper

6. Using implied volatility to measure uncertainty about interest rates. (2005). Neely, Christopher.
   In: Review.
   RePEc:fip:fedlrv:y:2005:i:may:p:407-425:n:v.87no.3.

   Full description at Econpapers || Download paper

7. Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives. (2005). Gil-Bazo, Javier ; Downarowicz, Anna ; Balbas, Alejandro.
   In: DEE - Working Papers. Business Economics. WB.
   RePEc:cte:wbrepe:wb055013.

   Full description at Econpapers || Download paper

8. Two-Factor Model for Low Interest Rate Regimes. (2004). Platen, Eckhard ; Miller, Shane.
   In: Research Paper Series.
   RePEc:uts:rpaper:130.

   Full description at Econpapers || Download paper

9. Facts and Fantasies about Commodity Futures. (2004). Rouwenhorst, K. ; Gorton, Gary.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:10595.

   Full description at Econpapers || Download paper

10. Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities. (2004). Longstaff, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10422.

    Full description at Econpapers || Download paper

11. Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?. (2004). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-018.

    Full description at Econpapers || Download paper

12. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2002-017.

    Full description at Econpapers || Download paper

13. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?. (2004). LI, HAITAO ; Jarrow, Robert ; Zhao, Feng.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:431.

    Full description at Econpapers || Download paper

14. Does the Black-Scholes formula work for electricity markets? A nonparametric approach. (2003). Hjalmarsson, Erik.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0101.

    Full description at Econpapers || Download paper

15. A Martingale Result for Convexity Adjustment in the Black Pricing Model. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212005.

    Full description at Econpapers || Download paper

16. Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions. (2002). Dutta, Kabir K..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-26.

    Full description at Econpapers || Download paper

17. New evidence on the implied-realized volatility relation. (2002). Hansen, Charlotte ; Christensen, Bent Jesper.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:2:p:187-205.

    Full description at Econpapers || Download paper

18. Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence. (2002). McLaren, Keith ; Robert E. J. Hibbard, ; Brown, Rob.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-13.

    Full description at Econpapers || Download paper

19. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Richter, Martin ; Sorensen, Carsten.
    In: Working Papers.
    RePEc:hhs:cbsfin:2002_004.

    Full description at Econpapers || Download paper

20. An empirical comparison of the performance of alternative option pricing models. (2002). Gago, Monica ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200204.

    Full description at Econpapers || Download paper

21. Distributions Implied by Exchange Traded Options: A Ghost’s Smile?. (2002). Cincibuch, Martin.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp200.

    Full description at Econpapers || Download paper

22. Filtering Equity Risk Premia From Derivative Prices. (2001). Runggaldier, Wolfgang ; Bhar, Ram.
    In: Research Paper Series.
    RePEc:uts:rpaper:69.

    Full description at Econpapers || Download paper

23. Implied volatility surfaces: uncovering regularities for options on financial futures. (2001). Tompkins, Robert G..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:3:p:198-230.

    Full description at Econpapers || Download paper

24. Basis variation and a common source of risk: evidence from UK futures markets. (2001). Patricia Fraser, Andrew J. McKaig, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:1:p:39-62.

    Full description at Econpapers || Download paper

25. Determinants of the implied volatility function on the Italian Stock Market. (2001). Beber, Alessandro.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2001/05.

    Full description at Econpapers || Download paper

26. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices. (2001). Jagannathan, Ravi ; Sun, Steve Guoqiang ; Kaplin, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8682.

    Full description at Econpapers || Download paper

27. The Case of the Missing Market: The Bond Market and Why It Matters for Financial Development. (2000). Herring, Richard J. ; Chatusripitak, Nathporn .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-08.

    Full description at Econpapers || Download paper

28. Infering Forward Looking Financial Market Risk Premia from Derivatives Prices. (2000). Bhar, Ram.
    In: Research Paper Series.
    RePEc:uts:rpaper:42.

    Full description at Econpapers || Download paper

29. Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives. (2000). .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:113-125.

    Full description at Econpapers || Download paper

30. Monetary policy when the nominal short-term interest rate is zero. (2000). Orphanides, Athanasios ; Henderson, Dale ; Clouse, James ; Small, David.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-51.

    Full description at Econpapers || Download paper

31. Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk. (1999). Manfredo, Mark ; Leuthold, Raymond M..
    In: Finance.
    RePEc:wpa:wuwpfi:9908002.

    Full description at Econpapers || Download paper

32. Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives. (1999). Schlogl, Erik ; Dudenhausen, A..
    In: Research Paper Series.
    RePEc:uts:rpaper:19.

    Full description at Econpapers || Download paper

33. Volatility forecasting in the framework of the option expiry cycle. (1999). Buckle, Mike ; ap Gwilym, Owain ; Owain Ap Gwilym, Mike Buckle, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:1:p:73-94.

    Full description at Econpapers || Download paper

34. Equivalent Black volatilities. (1999). Patrick S. Hagan, Diana E. Woodward, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:6:y:1999:i:3:p:147-157.

    Full description at Econpapers || Download paper

35. The Term Structure of Interest Rate-Futures Prices. (1999). Stapleton, R. C. ; Subrahmanyam, Marti G..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-045.

    Full description at Econpapers || Download paper

36. 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

37. Option-Based Tests of Interest Rate Diffusion Functions. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-026.

    Full description at Econpapers || Download paper

38. Empirical Tests of Interest Rate Model Pricing Kernels. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-015.

    Full description at Econpapers || Download paper

39. Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models. (1998). Clewlow, Les ; Strickland, Chris .
    In: Research Paper Series.
    RePEc:uts:rpaper:2.

    Full description at Econpapers || Download paper

40. Pricing stock and bond derivatives with a multi-factor Gaussian model. (1998). Isabelle Bajeux-Besnainou, Roland Portait, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:207-225.

    Full description at Econpapers || Download paper

41. Valuing the Futures Market Clearinghouses Default Exposure During the 1987 Crash. (1998). Craine, Roger ; Bates, David.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6505.

    Full description at Econpapers || Download paper

42. Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty. (1998). .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-14.

    Full description at Econpapers || Download paper

43. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-14.

    Full description at Econpapers || Download paper

44. Modelling market volatilities: the neural network perspective. (1997). F. Gonzalez Miranda, N. Burgess, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:3:y:1997:i:2:p:137-157.

    Full description at Econpapers || Download paper

45. 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

46. The sovereignty option: the Quebec referendum and market views on the Canadian dollar. (1996). Thomas, Charles ; Leahy, Michael P..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:555.

    Full description at Econpapers || Download paper

47. Regulatory competition and the efficiency of alternative derivative product margining systems. (1996). Kupiec, Paul ; White, Patricia A..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-11.

    Full description at Econpapers || Download paper

48. An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates. (1994). Baum, Christopher ; Liu, Olin.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:275.

    Full description at Econpapers || Download paper

49. An Asian Option to the Valuation of Insurance Futures Contracts. (1993). Cummins, John ; Geman, Helyette.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:94-03.

    Full description at Econpapers || Download paper

50. Short-term options with stochastic volatility: Estimation and empirical performance. (). Fiorentini, Gabriele ; Rubio, Gonzalo ; Angel León, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:02.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 06:27:44 || Missing content? Let us know