Professional Documents
Culture Documents
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)
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>
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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
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Andreasen Jesper, B. Gruenwald 'American Option Pricing in Jump Diffusion Model'
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Andreasen Jesper, B. Jensen, R. Roulsen 'New Skin for the Old Ceremony:Eight Different
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Andreasen Jesper, Pierre Collin-Dufresne, Wei Shi 'Applying the HJM-Approach when
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Andrew Abel 'Capital Accumlation & Uncertain Lifetimes with Adverse Selection'
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Andrew Abel, B. Bernheim 'Fiscal Policy with Impure Intergenerational Alturism'
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Andrew Abel, F. Mishkin 'On Econometric Testing of Rationality & Market Efficiency'
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Andrew Abel, J. Eberly 'A Unified Model of Investment Under Uncertainity' AER 12/94
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Andrew Abel, L. Blanchard 'Present Value of Profits & Cyclical Movements in
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Andrews Donald 'A Stopping Rule for the Computation of Generalized Method of Moments'
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Andrews Donald 'Admissibility of the Likelihood Ratio Test when the Parameter Space is
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Andrews Donald 'Asymptotic Normality of Series Estimatores for Nonparametric & Semi-
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Andrews Donald 'Asymptotics for Semiparametric Econometric Models via Stochastic
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Andrews Donald 'Chi-Square Diagnostic Tests for Econometric Models:Theory'
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Andrews Donald 'Conditonal Kolmogorov Test' Econometrica 9/97
Andrews Donald 'Consistency in Nonlinear Econometric Models:Generic Uniforma Law of
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Andrews Donald 'Consistent Moment Selection Procedures for Generalized Method of
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Andrews Donald 'Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit
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Andrews Donald 'Heteroskedasticity & Autocorrelation Consistent Covariance Matrix
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Andrews Donald 'Inconsistency of the Bootstrap when a Parameter is on the Boundary of
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Andrews Donald 'Inference in Semiparametric Models-Time Series & Cross Section' 8-88
Andrews Donald 'Large Sample Correspondence between Classical Hypothesis Tests &
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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
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Andrews Donald, J. Monahan 'Improved Hetroskedasticity & Autocorrelation Consistent
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Andrews Donald, M. Buchinsky 'A Three-Step Method for Choosing the Number of Bootstrap
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Andrews Donald, W. Plaberger 'Optimal Tests for Regression with Restricted Parameter
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Andrews Donald, W. Plaberger 'Optimal Tests of Parameter Constancy' 7-91
Andrews Donald, W. Plaberger 'Optimal Tests when a Nusiance Parameter is Present Only
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Andrews Donald'Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood,
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Andrews J.G. 'Stock Options with Absolute & Proportional Discrete Dividends:Technical
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Ane Thierry 'Pricing & Hedging S&P Index Options with Hermite Polynomial
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Ane Thierry, Helyette Geman 'Order Flow, Transaction Clock & Normality of Asset
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Ang J., D. Peterson 'Returns,Risk & Yield:Evidence Ex Ante Data' JofF 6/85
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Ang J., J. Chua, J. McConnell 'Administrative Costs of Corporate Bankruptcy:Note' JofF
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Araujo Aloisio, P. Monteiro 'General Equilibium with Infinitely Many Goods:case of
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Ben-Ameur Hatem, M. Breton, Pierre L'Ecuyer 'A Numerical Procedure for Pricing
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Benson R., N. Daniel 'Up, Over and Out' RISK June 91 <options-barrier><knock out>
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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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Bergman Y., B. Grundy, Zvi Wiener 'General Properties of Option Prices' JofF 12/96
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Berlin M., L. Mester 'Deposits and Relationship Lending' RFS Summer 99
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Berman L. 'Comparision of Path Generation Methods for Monte Carlo Valuation of Single
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Bermin Hans-Peter 'General Approach to Hedging Options:Evidence from Barrier & Partial
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Bernardo A., E. Talley 'Investment Policy & Exit-Exchange Offers Within Financially
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Bertozzi A., J. McKenna 'Multidimensional Residues,Generativing Functions &
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Bertrand P. 'Obligation a reinvestessment optionnel du coupon:Pris a l'emission et
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Bertsimas Dmitris, Leonid Kogan, Andrew Lo 'Pricing & Hedging Derivative Securities in
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Bertsimas Dmitris, P. Hummell, Andrew Lo 'Optimal Control of Execution Costs for
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Bessembinder Hendrik 'Trade Execution Costs on NASDAQ & the NYSE:Post-Reform
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Bessembinder Hendrik, Jay Coughenour, Paul Seguin 'Is There a Term Structure of
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Bessler D., T. Covey 'Cointegration:Some Results on U.S. Cattle Prices' JFM Aug 91
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Beth T. (ed) 'Public Key Cryptography:State of the Art' 91 <cryptography>
Bethe H., G. Brown 'How a Supernova Explodes' SA 5/85 <astrophysics>
Betounes D. 'Generalized Stochastic Differential Equations on (D*)'<SDE> in
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Beumee J., B. Hilberink, S. Patel, P. Walsh 'Hedging Derivative Credit Risk' RiskCare
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Beumee J., B. Hilberink, S. Patel, P.Walsh 'Hedging Contingent Claims on Risky
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Bewley T. 'Stationary Monetary Equilibrium wit a Continuum of Independently
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Beylkin Gregory 'On Wavelet-Based Algorithms for Solving Differential Equations'
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Bielecki Tomasz, Stanley Pliska 'Selecting Optimal Portfolios:Risk Sensitive Versus
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Bizid Aldelhamid, Elyes Jouini, Pierre-Francois Koehl 'Pricing of Non-Redundant
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Bloomfield P. 'Least Absolute Deviations'
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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., William Zame 'Algebraic Geometry of Perfect & Sequential Equilibrium'
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Blume M. 'On the Assessment of Risk' in MDIM
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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
Blyth S.,J. Uglum 'Rates of Skew' <interest rate> <volatility> RISK 7/99
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Board J., C. Sutcliffe 'Dual Listing of Stock Index Futures:Arbitrage, Spread
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Bochud Thierry 'Application of Malliavin Calculus to Improve Monte Carlo Valuation 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 'Efficiency Tests of Foreign Currency Options Markets
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Bodurtha James, George Courtadon 'Pricing of Foreign Exchange Options' Salomon Center
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Bodurtha James, George Courtadon 'Probabilities & Values of Early Exercise:Spot &
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Bodurtha James, George Courtadon 'Tests of an American Option Pricing Model on the
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Bodurtha James, Martin Jermakyan 'Non-Parametric Estimation of an Implied Volatility
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Bodurtha James, Martin Jermakyan 'Regular Smiles' 8/96 <volatility><smiles>
Bodurtha James, N. Mark 'Testing CAPM with Time Varying Risk & Returns' JofF 9/91
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Bohman H. 'Method to Calculate the Distribution Function whe the Characteristic
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Bohnet I., B. Frey 'Social Distance & Other-Regarding Behavior in Dictator Games' AER
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Boldin M. 'Dating Turning Points in the Business Cycle' JofB 1/94
Boldrin M., A. Rustichini 'Growth & Interminancy in Dynamic Models with Externalities'
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Boldrin M., R. Deneckere 'Simple Growth Models with very Complicated Dynamics' 4/87
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Bollen N. 'Deriviatives & Price of Risk' 10/97 JFM
Bollen N. 'Valuing Options in Regime-Switching Models' J.of Derivatives Fall 98
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Bollerslev Tim 'A Conditionally Hetroskedastic Time Series Model for Speculative
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Bollerslev Tim 'Generalized Autoregressive Conditional
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Bollerslev Tim 'Modeling the Coherence in Short-Run Nominal Exchange Rates:Multiv.
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Bollerslev Tim, Eric Ghysels 'On Periodic Autoregressive Conditional
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Bollerslev Tim, Ian Domowitz 'Price Volatility, Spread Variability & the Role of
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Bollerslev Tim, Ian Domowitz 'Trading Patterns & Prices in Interbank Foreign Exchange
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Bollerslev Tim, R. Chou, K. Kroner 'ARCH Modeing in Finance:A Review of the Theory &
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Bollerslev Tim, Robert Engle 'A Capital Assets Pricing Model with Time-varying
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Bollerslev Tim, Robert Engle 'Common Persitence in Conditional Variances'
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Bollerslev Tim, Robert Engle, Daniel Nelson 'ARCH Models' wp UofCal 93 <GARCH>
Bollerslev Tim, Robert Engle, J. Wooldridge 'A Capital Asset Pricing Model with Time-
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Bolorforoush M., E. Weyman 'On Some Graphical Representations of Multivariate Data'
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Bolster P., L. Lindsey, A. Mitrusi 'Tax Induced Trading:Effect of the 1986 Tax Reform
Act on Stock market Acitivity' JofF 6/89
Bolster P., V. Janjigian, E. Trahan 'Determining Investor Suitability Using the
Analytic Hierarchy Process' FAJ 7/95
Bolten S. 'Treasury Bill Auction Procedures:Empirical Investigation' JofF 6/73
Bolton P., D. Scharfstein 'Corporate Finance, the Theory of the Firm & Organization' J
Econ Persp. Fall 98
Bolton P., E. Von Tradden 'Blocks, Liquidity and Corporate Control' JofF 2/98
Bomberger W., W. Frazer 'Interest Rates, Uncertainty & Livingston Data' JofF 6/81
Bonatti E. 'Rifting of Continents' SA 1/91 ?
Bondarenko M., A. Vishnyakov 'On the Russian Stock Exchange' SIAM Theory of Prob. &
Its Applic. 3/94
Bondarenko O. 'Recovering Risk Netural Densities:A New Nonparametric Approach' 4/2000
<option-pricing>
Bondram M. 'Computing Linear Parts of Non-Linear Smoothers' 3/91
Boness A. 'Some Evidence of the Profitablility of Trading Put and Call Options' in
Cootner 'Random Character of Stock Prices' 64
Bonham C., R. Cohen 'Testing the Rationality of Price Forecasts' AER 3/95
Bonin J., D. Jones, L. Putterman 'Theoretical & Empirical Studies of Producer
Cooperation' JEL 9/93
Bonmisseau J., B. Cornet 'Existence of Marginal Cost Pricing Equilibrium Economies
with Several Nonconvex Firms' Econometrica 5/90
Bonnans J., A. Shapiro 'Optimization Problems with Perturbations:Guided Tour' SIAM
Review 6/98
Bonomo M. 'Can a Well Filled Equ. Asset Price model explain mean reversion' 1/94 J.
Applied Econometrics
Bonomo M., R. Garcai 'Consumption & Equilibrium Asset Pricing :Empirical Assesment' U.
Montreal 10/91
Bonser-Neal C., G. Brauer, R. Neal, S. Wheatley 'International Investment Restrictions
& Closed-End Country Fund Prices' JofF 6/90
Book R. 'Relativization of the P=7 NP & Other Problems:Development in Structural
Complexity Theory' SIAM NEWS 6/94
Bookstaber Richard 'Beneath the Surface' RISK <Duration>
Bookstaber Richard 'Contract & Market Hedging:Comparison of Futures Contracts &
Adjustable Rate Mortgages in Hedging Interest Rate Risk' Review Futures Markets
v5,#2 86
Bookstaber Richard 'Option Portfolio Strategies:Measurement & Evaluation' <portfolio>
JB Oct 84
Bookstaber Richard 'Portfolio Insurance Trading Rules' w.p. <portfolio> Jan 87
Bookstaber Richard, Clarke 'An Algorithm to Calculate the Return Distribution of
Portfolios with Option Position' <portfolio> MS 4/83
Bookstaber Richard, Clarke 'Problems in Evaluating the Performance of Portfolios with
Options' <portfolio> FAJ Jan85
Bookstaber Richard, D. Jacob, J. Langsam 'Arbitrage-Free Pricing of Options on
Interest Sensitive Instruments'<term structure> AF&OR 1986
Bookstaber Richard, J. Langsam 'Portfolio Insurance Trading Rules'<portfolio> J. of
Futures Markets Feb 88
Bookstaber Richard, J. McDonald 'A General Distribution for Describing Security Price
Returns" <distributions> JB 1987
Bookstaber Richard, J. McDonald 'Generalized Option Valuation Model for the Pricing of
Bond Options'<interest rates> Review of Futures Markets 1985
Boot A., Anjan Thakor 'Can Relationship Banking Survive Competition?' JofF 4/2000
Boot A., Anjan Thakor 'Security Design' JofF 9/93
Booth G., Y. Tse 'Long Memory in Interest Rate Futures Markets:Fraction Cointegration
Analysis' J. Futures Markets 8/95
Booth J., L. Booth 'Economic Factors, Monetary Policy & Expected Returns on Stocks &
Bonds' Econ. Review FRB S.F. 1997
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
& Clientele Effects' JofF 6/84
Borch K. 'Additive Insurance Premiums:Note' JofF 12/82
Bordo M., D. Wheelock 'Price Stability & Financial Stability:Historical Record' Review
FRB SL 9/98
Borkovec M., Claudia Kluppelberg 'Extremal Behavior of Diffusion Models in Finance'
1998 <Diffusion> <CIR,Gaussian,Hyperbolic,term struct.,volt.>
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'
JofF 6/00
Borse J. 'Scenario-Based Portfolio Hedging & Replication via an Integrative Genetic
Algorithm & Mathematical Programming Procedure'
Borwein J., P. Borwein 'Ramanujan & PI' SA 2/88 <number theory>
Boschen J., C. Otrok 'Long-Run Neutrality & Superneutrality in an ARIMA
Framework:Comment' AER 12/94
Boschen J., K. Smith 'You Can payMe Now & You Can Pay Me Later:Dynamic Response of
Executive Compensation to Firm Performance' JofB 10/95
Bose R., B. Manvel 'Intro.to Combination Theory' <pars> <combination theory>
Bosley D. 'A Technique for the Numerical Verification of Asymptotic Expansions' SIAM
Review 3/96
Boss A. 'Collapse & Formation of Stars ' SA 1/85 <astrophysics>
Bossaerts Peter 'Martingale Restrictions on Equilibrium Prices of Arrow-Debreu
Securities Under Rational Expectations & Consistent Beliefs' <martingales> 5/96
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
Model'<option,simulated moments><equil. pricing> MF 10-93<CIR>
Bossaerts Peter, R. Dammon 'Tax Induced Intertemporal Restrictions on Security
Returns' JofF 9/94
Bossaerts Peter, Wolfgang Hardle, Christian Hafner 'A New Method for Volatility
Estimation with Applications in Foreign Exchange Rate Series' <volatility> 4/95
Bosshardt D. 'Model of Intertemporal Discount Rates in the Presence of Real &
Inflationary Autocorrelations' JofF 9/87
Bossy M., Denis Talay 'A Stochastic Particle Method for Some One-Dimensional Non-
Linear P.D.E.s' <SDE> Math & Computers in Simulation (95)
Bossy M., M. Picasso, Denis Talay 'Probabilitic Numerical Methods for Physical &
Financial Problems' CinP 7/97 <SDE> <monte, polymers>
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
3/95
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'
8/2000 <distribution>
Bouchaud Jean-Philippe 'Taming Large Events: Option Portfolio Theory for Strongly
Fluctuating Assets' MF forthcoming
Bouchaud Jean-Philippe, Didier Sornette 'Option Pricing in the Presence of Extreme
Fluctuations' (in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities'
<Levy, stable>
Bouchaud Jean-Philippe, Didier Sornette 'Rely to Mikheev's Comment on the Black
Scholes Option Pricing Problem' J.de Physique I 1995 <option-pricing>
<Asian,American>
Bouchaud Jean-Philippe, Didier Sornette 'The Black Scholes Option Pricing Problem in
Mathematical Finance:Generalization & Extensions for a Large Class of Stochastic
Processes' J.de Physique I 1994 <option-pricing> <Asian,American>
Bouchaud Jean-Philippe, Didier Sornette, C. Walter, J. Aguilar 'Taming Large
Events:Optimal Portfolio Theory for Strongly Fluctuating Assets' Int. J. Theor &
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
Revisited' <option-pricing> Philo. Trans.:Math,Phy.,Engin Aug 99 v357 #1758 ,wp
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
Attached' RISK 7/98 <term structure>
Bouchaud Jean-Philippe, Rama Cont, Nicole El-Karoui, Marc Potters, N. Sagna
'Phenomenology of the Interest Rate Curve:Statistical Analysis of Term Structure
Deformation' App.Math.Fin. 9/99;12/97 <term structure> <Value at Risk,
volatility hump, forward rate,deformation>
Boucher J. 'Misspecification Bias in Tests of Forward Exchange Rate Unbiasedness
Hypothesis'<foregin exchange> w.p. FRB Atlanta Oct 91
Boucher J. 'Stationary Representations, Cointegration, & Rational Expectations with an
Application to the Forward Exchange Market'<cointegration> FRB Atlanta July 91
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>
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Chow Y., H. Robbins, H. Teicher 'Moments of Randomly Stopped Sums' 6-65 Annals of Math
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Chow Y., H. Teicher 'On Second Moments of Stopping Rules' Ann. Math Stat. <optimal
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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'
Econometrica 3/91
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
Simple-Sum & Weighted Measures of Money Stock'<comment C. Nelson> FRB Review
S.L. 3/94
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
Matrix Factorization' SIAM Review 12/95
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
Models' Econometrica 3/84
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
Arbitrage Profitability' JofF 12/91
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
Returns Due to Demand Completementarities' Econometrica 5/99
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'
JFM 6/92
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
Investigation' JF&QA 12/94
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'
Econometrica 11/85
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'
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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
JASA 1976
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
Heath, Jarrow,Morton Model' U. Warwick 96 <think is 'Pricing... Gaussian I.R.'
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Clewlow Les, Chris Strickland 'Monte Carlo Valuation of Interest Rate Derivatives
under Stochastic Volatility' J. Fixed Income 12/97 <term structure>
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
Pricing & Hedging in the Presence of Volatility Smiles' 5/97 <volatility>
Clewlow Les, Stewart Hodges, K. Pang, Chris Strickland 'Computational Aspects of Term
Structure Models & Pricing Interest Rate Derivatives'<term structure> in "Option
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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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Cnen X., X. Shen 'Sieve Extremum Estimates for Weakly Dependent Data' Econometrica
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Coase R. 'Institutional Structure of Production' AER 9/92
Coase R. 'Problem of Social Costs' <alpha>
Coastes D., P. Diggle 'Tests for Comparing Two Estimated Spectral Densities' J. Time
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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)
J.Economic Dynamics & Control
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 &
Economic Fluctuations' JofF 3/91
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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<wavelet>
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'
FRB Atlanta 7/93
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
Interest Rate Models'<term structure> FRB Atlanta w.p. 11/92
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
Risk premia & Cost of Capital to Firms' JofF 3/73
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
Economic Models' Quarterly Review FRB MINN Summer 95
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
Income 3-93
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
<martingale>
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
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Compte O. 'Communications in Repeated Games with Imperfect Private Monitoring'
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Cvitanic Jaksa, Ioannis Karatzas, H. Mete Soner 'Backward Stochastic Differential
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Cvitanic Jaksa, Jin Ma 'Hedging Options for a Large Investor & Forward-Backward SDEs'
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Cvitanic Jaksa, Walter Schachermayer, Hui Wang 'Utility Maximization in Incomplete
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Dacorogna Michel, Ramazan Gencay, Ulrich Muller, Olivier Pictet, Richard Olsen 'An
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Dana R., Monique Pontier 'Existence, Uniqueness & Determinacy of Arrow-Debreu
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Danesi Vladimir, Valentine Genon-Catalot, Laurent 'Maximum Contrast Estimation for
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Daniel D., W. Longbrake ,N. Murphy 'Effect of Technology on Bank Economies of Scale
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Daniel J. 'Congestion Pricing & Capacity of Large Hub Airports:Bottleneck Model with
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Daniel K. D. Hirshleifer, A. Subrahmanya 'Investor Psychology and Security Market
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Daniel K., Sheridan Titman 'Evidence on the Characteristics of Cross Sectional
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Danielsson J., C. de Vries 'Extreme Returns, Tail Estimation & Value-at-Risk' 7/97
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Das Sanjiv' Bond & Option Pricing for Jump-Diffusions Processes' Harvard 94
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Das Sanjiv 'Differential Operators' < Swaps> Risk 7/92
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Das Sanjiv 'Forward March' <Commodity> < Swaps> Risk 2/93
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Das Sanjiv 'Poisson-Gaussian Processes & the Bond Markets' 7/98
Das Sanjiv 'Pricing Credit Derivatives' <credit risk> 11/97
Das Sanjiv 'Structured Notes & Derivative Embedded Securities' 96 Euromoney Books
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Das Sanjiv, Rangarajan Sundaram 'Auction Theory:Summary with Applications to Treasury
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Das Sanjiv, Rangarajan Sundaram 'Of Smiles & Smirks:A Term-Structure Perspective'
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Das Sanjiv, Rangarajan Sundaram 'Of Smiles & Smirks:Higher Order Moments in Modeling
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Das Sanjiv, Rangarajan Sundaram 'Taming the Skew:Higher-Order Moments in Modeling
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Das Sanjiv, Silverio Foresi 'Exact Solutions for Bond & Option Prices with Systematic
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Dasgupta P. 'Population Problem:Theory and Evidence' <alpha> JEL 12/95
Dash Jan 'Functional Path Integrals & the Average Bond Price'<options-numeric> Centre
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Dash Jan 'Path Integrals & Options' 7/93 for SIAM Annual Conference <options-path>
Dash Jan 'Path Integrals & Options-I' Centre de Physique Theorique Marseille
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Dash Jan 'Path Integrals & Options-II One Factor Term Structure Models' Centre de
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Dassios A. 'Distribution of the Quantile of Brownian Motion with Drift & Pricing of
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Datta S., M. Iskandar-Datta 'New Evidence on the Valuation Effects of Convertible Bond
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Datta S., M. Iskandar-Datta, A. Patel 'Some Evidence on the Uniqueness of Initial
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Datta S., M. Iskandar-Datta, A. Patel 'The Pricing of Initial Public Offers of
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Datta S., U. Dhillon 'Bond & Stock Market Response to Unexpected Earnings
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Dattatreya Ravi, Frank Fabozzi 'Simplified Model for Valuing Debt Options' <term
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Dattatreya Ravi, Frank Fabozzi 'The Risk-Point Method for Measuring & Controlling
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Daves P., M. Ehrhardt 'Liquidity,Reconstruction & Value of U.S. Treasury Strips'
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Davey E. 'Swaptions:Another Piece in the Meccano Set' <swaps>
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Davidson R., J. MacKinnon 'Heteroskedasticity-Robust Tests in Regression Directions'
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Davidson R., J. MacKinnon 'Implicit Alternatives & Local Power of Test Statistics'
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Davidson R., J. MacKinnon 'New Form of Information Matrix Test' Econometrica Jan 92
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Davis Mark 'Margrabe Formula' Tokyo-Mitsubishi 96
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Davis Mark, M. Zervos 'A Pair of Solvable Singular Stochastic Control Problems' Anna.
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Davis Mark, Thaleia Zariphopoulou 'American Options & Transaction Fees' <options-
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Davis Mark, V. Panas 'The Writing Price of a European Contingent Claim uder
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Davis P. 'ADI Methods:Boon to the Oil Industry' SIAM News 7/93
Davis P. 'B-Splines & Geometric Design' SIAM News 6/96
Davis P. 'Cashing in on the Vulnerabilities of Cash Cards' <encryption> SIAM News 4/97
Davis P. 'Continuous Process Optimization' SIAM News 5/96
Davis P. 'Levenberg-Marquardt Methods & Nonlinear Estimation' SIAM Oct93
Davis P. 'LP-Based Delinquent Account Strategy Pays Off in Consumer Credit Business'
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Davis P. 'Numerical Initial-Value Problems:Closed Book No Longer' SIAM News 11/97
Davis R., Sidney Resnick 'Extremes of Moving Averages of Random Variables from the
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Davydov Dmitry, Vadim Linetsky 'The Valuation & Hedging of Barrier & Lookback Options
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De Finetti B. 'La Prevision:ses Lois Logiques, ses Sources Subjectives' Ann Inst H. P.
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De Finetti B. 'Theory of Probability' Wiley 74
de Gooijer J., B. Abraham, A. Gould, L. Robinson 'Methods for Determining Order of an
AR/MA Process:Survey'<Bayesian> 1985 International Statistical Review
de Jager G., J. Winsen 'Power over Gamma:Curved Option Payoffs' Research in Finance 97
<option-pricing><power options, continuous strike>
de Jong F., Pedro Santa-Clara 'The Dynamics of the Forward Interest Rate Curve:A
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De la Pena V. 'Decoupling Inequalities:Second Generation of Martingale Inequalities'
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de Lima P. 'On the Robustness of Nonlinarity Tests to Moment Condition Failure'
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de Munnik J. 'Construction of a Path-Independent Interest Rate Tree:Model of
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de Munnik J. 'Note on the Interest Rate Contingent Claim Valuation & Use of Principal
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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
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De Santis G., B. Gerard 'International Asset Pricing & Portfolio Diversification with
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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
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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
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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'
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DeBondt W., R. Thaler 'Does the Stock Market Overreact?' JofF 7/85
DeBondt W., R. Thaler 'Further Evidence on Investor Overreaction & Stock Market
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Debreu Gerard 'A Classical Tax-Subsidy Problem' in Mathematical Economics Cambridge
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Debreu Gerard 'Applications to the Economics of Differential Topology & Global
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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
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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
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Debreu Gerard 'Smooth Preferences' in Mathematical Economics Cambridge Press
Debreu Gerard 'Social Equilibrium Existence Theorem' in Mathematical Economics
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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
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Decamps J.-P. 'Une formule variationnelle pour les obligations due secteur
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D'Ecclesia R., Stavros Zenios 'Risk Factor Analysis & Portfolio Immunization in the
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DeCoster G., W. Labys, D. Mitchell 'Evidence of Chaos in Commodity Futures Prices' JFM
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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
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Degerine S. 'Maximum Likelihood Estimation of Autocovarinace Matrices from Replicated
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Deissenberg C. 'Limit Cycles in Local Preference Optimization' w.p. Centre de
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Deissenberg C. 'Robust Lyapunov Games:Continuous Case' 4/90 <games>
DeJong D. 'Co-Integration & Trend Stationarity in Macroeconimc Time Series:Evidence
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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
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DeJong D., J. Nankervis, N.Savin, C. Whiteman 'Integration vrs. Trend Stationarity in
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DeJong D., R. Forsythe, R. Lundholm 'Ripoffs, Lemons & Reputation Formation in Agency
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DeJong F., J. Driessen, Antoon Pelsser 'Libor & Swap Market Models for the Pricing of
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<BGM,Jamshidian>
DeJong R., J. Davidson 'Consistency of Kernel Estimators of Heteroscedastic &
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Dekel E. 'Asset Demands without the Independence Axiom' Econometrica 1/89
Dekel E., Barton Lipman, A. Rustichini 'Standard State-Space Models Preclude
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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
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Delgado R., Marta Sanz-Sole 'Green Formulas in Anticipating Stochastic
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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
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Delliacherie C. 'Un Survol de la Theorie-de l'Integrale Stochastique'<SDE><martingale>
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Delliacherie C., Paul Meyer 'Probabilities & Potentials' A & B, North Holland 78/82
DeLong J., Andrei Shleifer, L. Summers, R. Waldmann 'Positive Feedback Investment
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DeLong J., Andrei Shleifer, L. Summers, R. Waldmann 'Size & Incidence of the Losses
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DeLong J., R. Waldmann 'Interpreting Procyclical Productivity:Evidence from a Cross-
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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.
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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
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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
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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
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Duan Jin-Chuan, Jean-Guy Simonato 'American Option Pricing under GARCH by a Markov
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Duan Jin-Chuan, Jean-Guy Simonato 'Empirical Martingale Simulation for Asset Prices'
<martingale> <EMS> CIRANO wp 5/97
Duan Jin-Chuan, Jean-Guy Simonato 'Estimating & Testing Exponential-Affine Term
Structure Models by Kalman Filter'<term structure> 10/95
Duan Jin-Chuan, Stanley Pliska 'Option Valuation with Co-Integrated Asset Prices'
9/2000 <option-pricing>
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
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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
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Durfour J. 'Some Impossibility Theorems in Econometrics with Applications to
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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
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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
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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'
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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'
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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
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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
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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
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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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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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Ferris M., J. Pang 'Engineering & Economic Applications of Complementary Problems'
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Ferris S., R. Haugen,A. Makhija 'Predicting Contemporary Volume with Historic Volume
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Ferson Wayne 'Tests of Asset Pricing with Time-Varying Expected Risk Premiums & Market
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Ferson Wayne 'Theory & Empirical Test of Asset Pricing Models' 92 <asset>
Ferson Wayne 'Treasury Bill Futures as Unbiased Predictors:New Evidence & Relation to
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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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Figlewski Stephen, S. Kon 'Portfolio Management with Stock Index Futures' FAJ 82
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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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Ghysels Eric, A. Hall 'Are Consumption Based Intertemporal Capital Asset Pricing
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Giles D., V. Srivastava 'Exact Distribution of a Least Squares Regression Coefficient
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Giliberto S., N. Varaiya 'Winners Curse & Bidder Competition in Acquistions:Evidence
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Glasserman Paul, Jeremy Staum 'Conditioning on One-Step Survival for Barrier Option
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Glasserman Paul, Philip Heidelberger, Perwez Shaahabuddi 'Variance Reduction
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Glasserman Paul, Philip Heidelberger, Perwez Shahabuddin 'Asymptotically Optimal
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Glosten Lawerence 'Components of the Bid-Ask Spread & the Statistical Properties of
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Glosten Lawerence, Ravi Jagannathan, David Runkle 'On Relation between Expected Value
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Glynn Peter, D. Iglehart 'A Martingale Approach to Regenerative Simulation' <Monte
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Gobet E. 'Schema d'Euler Continu Pour des Diffusions Tuees et Options Barrier' Comptes
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Goldstein Robert 'Identifying the Class of Term Structure Models Possessing Closed-
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Goldys Ben 'On Pricing Interest Rate Derivatives when the Forward Libor Rates are
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Golec J. 'Herding on Noise:Case of Johnson Redbooks Weekly Retail Sales Data' JF&QA
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Gompers P., J. Lerner 'Venture Capital Distributions:Short-Run & Long Run
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Goncalves F., J. Issler 'Estimating the Term Structure of Volatility & Fixed-Income
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Gonchanuk N., P.. Kotelenez 'Fractional Step Method for Stochastic Evolution Equtions'
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Gondizio Jacek, R. Kouwenberg, Ton Vorst 'Hedging Options under Transaction Costs &
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Goodman L., N. Vijayarghavan 'Generalized Duration Hedging with Futures Contracts' R.
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Gordienko E., J. Minjarez 'Adaptive Control for Discrete-Time Markov Processes with
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Gordon C., J. Luecke 'Knots are Determined by Their Complements' Bulletin (AMS) 1-89
Gordon D., E. Leeper 'Dynamic Impacts of Monetary Policy:Exercise in Tentative
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Gordon D., E. Leeper, T. Zha 'Trends in Velocity & Policy Expectations' 11/97 FRB
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Gordon L., J. Pound 'Information,Ownership Structure,& Shareholder Wealth:..Governance
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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 M., L. Gould 'Cost of Equity Capital with Personal Income Taxes & Flotation
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Gordon M., P. Halpern 'Cost of Capital for a Division of the Firm' Econometrica 9/74
Gordon R. 'Can Captial Income Taxes Survive in Open Economies' JofF 7/92
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
Gordon R., A.Bovenberg 'Why is Capital so Immobile Internationally? Possible
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Gordon R., J. Slemrod 'General Equilibrium Simulation Study of Subsidies to Municipal
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Gordon R., J. Wilson 'Examination of Multijurisdicitional Corporate Income Taxation
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Gordy Michael 'A Comparative Anatomy of Credit Risk Models' J. Banking & Finance Jan
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Gorenflo R., F. Mainardi 'Essentials of Fractional Calculus' 1/2000 <numeric>
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Gorostiza L. 'Rate of Convergence of Approximate Solution of Stochastic Differential
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Gorton G., G. Pennacchi 'Financial Intermediaries & Liquidity Creation' JofF 3/90
Gorton G., G. Pennacchi 'Security Baskets & Index-Linked Securities' JofBus. 1/93
Gorton G., J. Kahn 'The Design of Bank Loan Contracts' RFS Summer 2000
Gorton G., R. Rosen 'Corporate Control, Portfolio Choice & the Decline of Banking'
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Gosnell T., A. Keown, J. Pinkerton 'Bankruptcy & Insider Trading:Differences Between
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Gosselin P., T. Wurzbacher 'An Ito Type Isometry for Loops in Rd via the Brownian
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Goswami G., M. Shrinkhande 'Interest Rate Swaps & Economic Exposure' FRB Atlanta
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Goswami G., T. Noe, M. Rebello 'Debt Financing under Asymmetric Information' JofF 6/95
Goto F. 'Achieving Semiparametric Efficiency Bounds in Self-Censored Duration Models'
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Gottlieb D., C. Sthu 'On the Gibbs Phenomenon & its Resolution' SIAM News 12/97
Gottlieb G., Avner Kalay 'Implication of the Discreteness of Observed Stock Prices'
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Goudreau R. 'Commerical Bank Profitability Rises as Interest Margins & Security Sales
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Gould H., J. Tobochnik 'More on Fractals & Chaos:Multifractals'<chaos> CinP 3/90
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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Gourieroux Christian, Alain Monfort, Eric Renault 'Indirect Inference ' J. Applied
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Gourieroux Christian, Jean-Paul Laurent, Huyen Pham 'Mean-Variance Hedging &
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Gourieroux Christian, Olivier Scaillet 'Estimation of the Term Structure from Bond
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Gourlay A. 'Hopscotch:Fast Second Order Partial Differential Equaton Solver' J.
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Goyal A., Firoozye N. 'Jump Diffusion:Risk Neutral Valuation & Estimation Techniques
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Grabbe O. 'Copper-Bottom Pricing' <options-spreads> RISK 5/95
Graboyes R. 'Medical Care Price Indexes' Economic Quarterly FRB Richmond Fall 94
Graddy D., R. Kyle 'Affiliated Bank Performance & the Simultaneity of Financial
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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
Graham F., R. Kormendi, P. Meguire 'Government Debt,Government Spending & Private
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Graham J. 'Herding Among Investment Newletters:Theory & Evidence' JofF 2/99
Graham J. 'How Big are Tax Benefits of Debt?' JofF Oct 2000
Graham J. 'Is a Group of Economists Better than One? Than None?' JofBusiness 4/96
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Graham J., Campbell Harvey 'Grading the Performance of Market Timing Newsletters' FAJ
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Graham J., M. Lemmon, J. Shallheim 'Debt, Leases, Taxes & Endogeneity of Corporate Tax
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Gramlick, Kotlinkoff, Mitchell, Pecchenino, Polland 'Social Security Symposium' Review
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Gramm W., G. Gay 'Scams,Scoundrels & Scapegoats:Taxonomy of CEA Regul.over Derivative
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Grandine T. 'Applications of Contouring' SIAM Review 6/2000
Grandits Peter 'On Martingale Measure for Stochastic Processes with Independent
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Grandits Peter, L. Krawczyk 'Closedness of Some Spaces of Stochastic Integrals' Sem de
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Grandits Peter, Thorsten Rheinlander 'On the Minimal Entropy Martingale Measure' Tech.
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Grandmont J-M. 'Distriubtions of Preferences and the "Law of Demand"' Econometrica
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Grandmont J-M. 'Expection Evaluation & Stability of Large Socioeconimc Systems'
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Grandmont J-M. 'On Endogeneours Competitive Business Cycles' Econometrica 9/85
Granger Clive 'Empirical Studies of Capital Markets:Survey' MMinIV
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Granger Clive 'Modeling Nonlinear Relationships Between Extended Memory Variables'
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Granger Clive 'Prediction with a Generalized Cost of Errors Function' 69
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Granger Clive, Oscar Morgenstern 'Spectral Analysis in New York Stock Market Prices'
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Granlich E. 'Infrastructure Investment' JEL 9/94
Grannan E., Glen Swindle 'Minimizing Transaction Costs of Option Hedging Strategies'
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Grant D., G. Vora 'Implementing No-Arbitrage Term Structure of Interest Rate Models in
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Grant D., G. Vora, D. Weeks 'Path Dependent Options:Extending the Monte Carlo
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Grant D., G. Vora, D. Weeks 'Simulation & the Early-Exercise Option Problem'<options-
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Grant S. 'Subjective Probability without Monotonicity:Or How Machina's Mom May Also be
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Grant S., A. Kajii 'A Cardinal Chacterization of the Rubinstein-Safra-Thomson
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Grant S., A. Kajii, B. Polak 'Temporal Resolution of Uncertainity & Recursive Non-
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Grauer F., Robert Litzenberger 'Pricing of Commodity Futures Contracts. Nominal Bonds
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Grauer R. 'Investment Policy Implications of the Capital Asset Pricing Model' JofF
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Grauer R. 'On the Cross-Sectional Relation between Expected Returns, Betas & Size'
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Grauer R., Nils Hakansson 'Gains from International Diversification: 1968-85:Returns
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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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Guo Xin 'Inside Information & Stock Fluctuations' PhD Rutgers 5/99
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
Hagerman R.,R. Richmond 'Random Walks, Martingales & OTC' JofF 9/73
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Hagiwara M., M. Herece 'Risk Aversion & Stock Price Sensitivity to Dividends' AER 9/97
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Hahn R. 'Policy Watch:Government Analysis of the Benefits & Costs of Regulation' J
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Hahn T. 'Commercial Paper' Economic Qyarterly FRB Richmond Spring 93
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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., M. Stephenson 'Algorithm for Solution of Stochastic Optimal Control Problems
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Halliwell J. 'Quantum Cosmology & Creation of Universe' {astrophysics} SA 12/91
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Ledoit Olivier, Pedro Santa-Clara 'Relative Pricing of Options with Stochastic
Volatility' 3/98 <volt>
Ledolter J., George Box 'Conditions for the Optimality of Exponential Smoothing
Forecast Procedures' Metrika 78 <regression>
Ledyard J., T. Palfrey 'Characterization of Interim Efficiency with Public Goods'
Econometrica 3/99
Lee B. 'Causal Relations Among Stock Returns,Interest Rates,Real Activity & Inflation'
JofF 9/92
Lee B. 'Euro-Dollar Multiplier' JofF 9/73
Lee B. 'Heteroskedasticity Test Robust to Conditional Mean Misspecification'
Econometrica Jan 92
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
3/95
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
3/91
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
1/94
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
12/92
Lee Daniel 'A Note on the Pricing Accuracy of the Whaley American Futures Options
Pricing Model' 8/98 <option-American>
Lee Daniel 'Diffusion Processes & Options Pricing:The Canonical Model' <option-
pricing> <Markov semi-group, exponential generator> 12/97
Lee G. 'Piecewise Linear Approx. of Multivariate Functions' Bell System Tech J. 9/92
Lee G. 'Un-Manaaged Economy' Forbes 12/84 <rational expectations>
Lee Gary G.J. 'Bridging the Gap Between Implied & GARCH Voatilities' 12/96
<volatility>
Lee I. 'Do Firms Knowingly Sell Overvalued Equity?' JofF 9/97
Lee J., Lee, Wei 'Binomial Option Pricing with Stochastic Parameters:Beta Distribution
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numeric>
Lee J., M. King 'Locally Most Mean Powerful Based ARCH' J. BUSINESS & ECON STAT.
1993?
Lee J., N. Nayar 'Transaction Data Analysis of Arbitrage between Index Options & Index
Futures' JFM 12/93
Lee L. 'Generalized Econometeric Models with Selectivity' Econometrica 3/83
Lee L. 'Tests for Bivariate Normal Distribution in Econometric Models with
Selectivity' Econometrica 7-84
Lee L., M. Pitt 'Microeconometric Demand Systems with Binding Nonnegativity
Constraints' Econometrica 9/86
Lee L., R. Porter 'Switching Regression Models with Imperfect Sample Separation
Information-With an Application on Cartel Stability' Econometrica 3/84
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
Applications & Allocation Schedules' JF&QA 12/99
Lee R., J. Skinner 'Will Aging Baby boomers Bust the Federal Budget' J. Econ.
Perspectives Winter 99
Lee Roger 'Implied & Local Volatilities under Stochastic Volatility' Inter.J. Theor&
App. Fin. 2/2001 <volatility>
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
Mangagement Summer 92
Lee S., K. Ohk 'Stock Index Futures Listing & Structural Change in Time-Varying
Volatility' JFM 10/92
Lee S., S. Oh 'Managing Non-Parallel Shift Risk of Yield Curve with Interest Rate
Futures' JFM 8/93<Duration>
Lee W., Anjan Thakor, G. Vora 'Screening, Market Signalling & Capital Structure
Theory' JofF 12/83
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
11/91
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'
Economic Review Atlanta 5/92
Leeper E. 'Has the Romers Narrative Approach Indentified Monetary Policy Skock?' FRB
2-93
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
J. Appl. Math 10/89
Lefebvre M. 'First-Passage Distribution of Bidimensional Processes' <SDE> <Brownian>
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Legland F. 'Splitting-up Approximation for SPDEs & SPDs with Application to Nonlinear
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Lehmann B. 'Orthogonal Frontiers & Alternative Mean-Variance Efficiency Tests' JofF
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Lehmann B. 'Residual Risk Revisited' J.Econometrics (90)
Lehmann B., A. Warga 'Optimal Distribution Free Tests & Further Evidence of
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Lehoczky John 'Simulation Methods for Option Pricing' (in Dempster M.,S. Pliska (ed)
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Lehoczky John, S. Sethi, Steven Shreve 'A Martingale Formulation for Optimal
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Lehoczky John, S. Sethi, Steven Shreve 'Optimal Consumption & Investment Policies
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Lehoczky John, Steven Shreve 'Explict Equation Solution for Multiagent
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Lehrbass F. 'Rethinking Risk-Adjusted Returns'Credit RISK 4/99 <ROARC>
Lehrer E. 'On Representation of a Relation by Measure' NU 6/88
Lehrer E., A. Pauzner 'Repeated Games with Differential Time Preferences' Econometrica
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Lehrer E., D. Monderer 'Discounting Versus Undiscounting in Dynamic
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Lei L., D. Liu, A. Hallam 'Solving for Optimal Futures & Options Positions Using a
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Leibowitz M. 'Convertible Securites' FAJ 11/74 <Convertible bonds>
Leibowitz M., E. Sorensen, R. Arnott, N. Hanson 'A Total Differential Approach to
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Leibowitz M., L. Bader, S. Kogelman 'Asset Allocation Under Uncertainty' J. of Fixed
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Leibowitz M., L. Bader, S. Kogelman 'Global Fixed Income Investing:Impact of Currency
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Leibowitz M., L. Bader, S. Kogelman 'Optimal Portfolios Relative to Benchmark
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Leibowitz M., L. Bader, S. Kogelman, A. Dravid 'Benchmark Departures & Total Fund
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Leibowitz M., S. Kogelman, L. Bader 'The Spread Curve & the Risk/Return Decision'
J.Fixed Income 6/95
Leibowitz M., S. Kogelman, L. Bader, A. Dravid 'Interest Rate-Sensitive Asset
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Leiderman L. 'Interest Rates as Predictors of Inflation in a High-Inflation Semi-
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Leippold Markus, Liuren Wu 'The Potential Approach to Bond & Currency Pricing' 3/99
<term structure> <HJM,state-price density,resolvent>
Leisen D. 'Pricing the American Put Option:A Detailed Convergence Analysis for
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Leisen D. 'Random-Time Binomial Model' 23 (1999) J. Economic Dyn. & Control <option-
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Leisen D. 'Stock Evolution under Stochastic Volatility:A Discrete Approach' J. Deriv.
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Leisen D. 'Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk' B-446
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Leisen D., M. Reimer 'Binomial Models for Option Valuation-Examining & Improving
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Leistikow D. 'Impact of Shifts in Uncertainty on Spot & Futures Price Change Serial
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Leitz-Martini M. 'A Discrete Clark-Ocone Formula' 7/2000 <stochastics> <Malliavin
derivative>
Lekkos I. 'A Critique of Factor Analysis of Interest Rates' J. Derivatives V8 #1 Fall
2000
Leland H. 'Agency Costs, Risk Management & Capital Structure' JofF 8/98
Leland H. 'On Turnpike Portfolios' MMinIV
Leland H. 'Optimal Asset Rebalancing in the Presence of Transaction Costs' 9/96
<portfolio>
Leland H. 'Option Pricing & Replication with Transaction Costs' JofF 12/85
Leland H. 'Stochastic Convergence of Asynchronous Parallel Computatiion for Solving
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Leland H. 'Symposium on Public Issues in Finance' JofF 7/97
Leland H., Klaus Toft 'Optimal Capital Structure, Endogenous Bankruptcy & the Term
Structure of Credit Spreads' JofF 7/96
Lemieux Christiane, Pierre L'Ecuyer 'Efficiency Improvement by Lattice Rules for
Pricing Asian Options' wp 98 <options-Asian>
Lence S., D. Hayes 'Parameter-based Decision Making Under Estimation Risk:Application
to Futures Trading' JofF 3/94
Lence S., M. Hayenga, M. Patterson 'Storage Profitability & Hedge Ratio Estimation'
J. Futures Markets 9/96
Leng H. 'Announcement Versus Nonannouncement:Study of Intraday Transaction Price Paths
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Leone F., L. Nelson, R. Nottingham 'Folded Normal Distribution' Technometics 11-
61<distributions>
Leong K. 'Exorcising the Demon' RISK Oct 90 <option-pricing>
Leong K. 'Model Choice'<term structure> RISK 12/92
LePage W. 'Complex Variables & the Laplace Transform for Engineers' Dover Pub.
Lepingle D. 'Euler Scheme for Reflected SDE' <SDE> Math & Computers in Simulation (95)
Lerman R. 'Policy Watch:Child Support Policies' J.Economic Perspectives Winter 93
LeRoy Steven 'Capital Market Efficiency:Update FRB SF Spring 90
LeRoy Steven 'Efficient Capital Markets & Martingale' JEL 12/89 <efficient markets>
LeRoy Steven 'Expectations Models of Asset Prices:Survey of Theory' JofF 3/82
LeRoy Steven 'Mortgage Valuation under Optimal Prepayment' RFS Fall 96
LeRoy Steven 'Risk Aversion & the Martingale Property of Stock Prices' Internation
Econ. Review 6/73 <stock price>
LeRoy Steven, C.LaCivita 'Risk Aversion & Desperion of Asset Prices' J. Bus 10-81
LeRoy Steven, W. Parke 'Stock Price Volatility:Tests Based on Geometric Random Walk'
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Lesmond D., J. Ogden,C. Trzcink 'New Estimate of Transaction Costs' RFS Winter 99
Lesne Jean-Philippe, Jean-Luc Prigent 'A General Subordinated Stochastic Process for
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Lesne Jean-Philippe, Jean-Luc Prigent, O. Scaillet 'Convergence of Discrete Time
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Lessard D. 'International Portfolio Diversification:Multivariate Analysis for a Group
of Latin American Countries' JofF 6/73
Lessard D. 'World, National, & Industry Factors in Equity Returns' JofF 5/74
Lester R. 'Rethinking Nucluar Power' SA 3/86 <physics>
Letokhov V. 'Detecting Individual Atoms & Molecules with Lasers' SA 9/88
Lettau M., H. Uhlig 'Rules of Thumb versus Dynamic Programming' AER 3/99
Leung S. 'Uncertain Lifetime,the Theory of the Consumer & the Life Cycle Hypothesis'
Econometrica 9/94
Leuthold R.,P. Garcia,R. Lu 'Returns & Forecasting Ability of Large Traders in Frozen
Pork Bellies Futures Market' J.Business 7/94
Levental S., A. Skorohod 'A Necessary & Sufficient Condition for Absence of Arbitrage
with Tame Portfolios' <portfolio> Annals of App. Prob 11/95
Levental S., A. Skorohod 'Necessary & Sufficient Condtion for Absence of Aribtrage
with Tame Portfolios' <portfolio> Ann App. Prob 95
Levental S., A. Skorohod 'On the Possibility of Hedging Options in the Presence of
Transaction Costs' J. Applied Prob 97<transaction>
Levhari D. 'Optiomal Savings & Portfolio Choice Under Uncertainity' MMinIV
Levi M. 'Underutilization of Forward Markets or Rational Behavior' JofF 9/79
Levin A. 'Deriving Closed Form Solutions for Gaussian Pricing Models:A Systematic
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Levin A. 'One and Multifactor Valuations of Mortgages: Computational Problems &
Shorcuts' Inter. J. Theor. & Applied Finance 10/99
Levin A. 'Recovering Implied Volatility & Distribution from American Futures Option
Pricies Using the Regularization Method' Bank of Montreal 98
Levine H. 'A System of Reaction Diffusion Equations Arising in the Theory of
Reinformced Random Walks' IMA
Levine J. 'Finite-Dimensional Realizations of Stochastic PDE & Aplications to
Filtering' Stochastics & Stochastics Reports 1991
Levine R. 'Pricing of Forward Exchange Rates' J. Intern. Money & Finance 89 <foreign
exchange>
Levine R. 'Stock Markets, Growth & Tax Policy' JofF 9/91
Levy A., M. Livingston 'Gains from Diversification Reconsidered:Transaction Costs &
Superior Information' FMI&I v4 #3 1995
Levy A., R. Levin 'More on Wrong-Way Exposure' JP Morgan 8/99 <risk>
Levy D., E. Tadmor 'From Semidiscrete to Fully Discrete:Stability of Runge-Kutta
Schemes by the Energy Method' SIAM Review 3/98
Levy E. 'Asian Arithmetic' RISK 5/90 <options-average>
Levy E. 'Capitalizing on Correlation' RISK May 91 <Foreign Currency>
Levy E. 'Pricing European Average Rate Currency Options' <options-average> <basket
options>J. International Money and Finance 10/92
Levy E., F. Mantion 'Approximate Valuation of Discrete Lookback & Barrier Options'
<options-barrier> 1/98 NetExposure
Levy E., F. Mantion 'Discrete by Nature' <options-lookback><barrier, analytic> RISK
1/97
Levy E., Stewart Turnbull 'Average Intelligence <options-Average><Rate/Asian
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Levy H. 'Demand for Assets Under Conditions of Risk' JofF 3/73
Levy H. 'Investment Diversification & Investment Specialization & the Assumed Holding
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Levy H. 'Stochastic Dominance Rules for Truncated Normal Distriubtions:Note' JofF
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Levy H. 'Stochastic Dominance:Investment Decison Making under Uncertainity' Kluwer 98
Levy H. 'Upper & Lower Bounds of Put & Call Option Value:Stochastic Dominance
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Levy H., A. Levy 'Option Valuation:Extension of Binomial' <options-numeric> AF&OR v5
1991
Levy H., D. Gunthorpe 'Optimal Investment Proportions in Senior Securities & Equities
Under Alternative Holding Periods' J.Port.Manag. Summer 93
Levy H., Fred Arditti 'Valuation, Leverage & Cost of Capital in the Case of
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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
Levy J., A. Levy 'Ordering Uncertain Options Under Inflation:Note' JofF '9/84
Levy J., Yoram Kroll 'Ordering Uncertain Options with Borrowing & Lending' JofF 5/78
Levy M., H. Levy 'The Danger of Assuming Homogeneous Expectations' FAJ 5/96
Levy P. 'Processus Stochastiques et Movement Brownian' Gauthier-Villars 65
Lewellen W., D. Emery 'On the Matter of Parity Among Financial Obligations' JofF 3/81
Lewellen W., K. Stanley,R. Lease,G. Schlarbaum 'Some Direct Evidence on the Dividend
Clientele Phenomenon' JofF 12/78
Lewicki P., Marco Avellaneda 'Pricing Interest Rate Contingent Claims in Markets with
Uncertain Volatilities' <volatility> 2/95
Lewin S. 'Economics & Psychology:Lessons for Our Own Day from the Early Twentieth
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Lewis A. 'Applications of Eigenfunction Expansions in Continuous Time Finance' MF
10/98 <option-pricing> <yield, exit>
Lewis A. 'Simple Algorithm for the Portfolio Selection Problem' <portfolio> JofF 3/88
Lewis C., G. Pennacchi 'Valuing Insurance for Defined-Benefit Pension Plans' AFOR 99
Lewis C., J. Schalheim 'Are Debt & Leases Substitutes?' JFQ&A 12/92
Lewis K. 'Are Foreign Exchange Intervention & Monetary Policy Related & Does It Really
Matter?' JofBus 4/95
Lewis K. 'Behavior of Eurocurrency Returns Across Different Holding Periods & Monetary
Regimes' JofF 9/90
Lewis K. 'Note on Interest Elasticity of Transactions Demand for Cash' JofF 9-74
Lewis K. 'Occasional Interventions to Target Rates' AER 9/95
Lewis K. 'Trying to Explain Home Bias in Equities & Consumption' JEL 6/99
Li Anlong 'A One-Factor Lognormal Markovian Interest Rate Model:Theory &
Implementation' <term structure> AFOR v8 95
Li Anlong 'A One-Factor Volatility Smile Model with Closed-form Solutions for European
Options' 11/98 <volatility>
Li Anlong 'Applying Volatility Smile Models to Optimise Pricing & Hedging Strategies'
6/99 <volatility>
Li Anlong 'Binomial Approximation of Singular Diffusions in Financial
Models'<Diffusion> J.Fin.Eng 12/93
Li Anlong 'Pricing of Double Barrier Options & Their Variations' AFOR 99 <options-
barrier>
Li Anlong 'Using Stock Price as Numeraire in Option Pricing Models with Non-Constant
Volatility' AFOR v.9 97 , 4/96 <volatility>
Li Anlong, Peter Ritchken, L. Sankarasubramanian 'Lattice Methods for Pricing American
Interest Rate Claims' <HJM,Volt.,Markov> JofF 6/95
Li Anlong, Peter Ritchken, L. Sankarasubramanian 'Lattice Works' <options-numeric>
RISK 11-95
Li Anlong, V. Raghavan 'LIBOR-in-Arrears Swaps'<swaps> J.of Derivatives Spring 96
Li C-K., R. Mathias 'External Characterizations of the Schur Complement & Resulting
Inequalities' SIAM Review 6/2000
Li D. 'Note on Efficiency Gains of Estimation of SURE with Identical Sets of
Regressors' 5-86 U. Guelph
Li D. 'Value at Risk Based on the Volatility, Skewness & Kurtosis' 3/99 <VAR>
Li D., S. Li 'A Theory of Corporate Scope & Financial Structure' JofF 6/96
Li D., W-L. Ng 'Optimal Dynamic Portfolio Selection:Multiperiod Mean-Variance
Formulation' MF 7/2000 <portfolio>
Li David 'Constructing a Credit Curve' RISK supp 11/98 <credit risk>
Li David 'On Default Correlation:A Copula Function Approach' J. Fixed Income 3/2000
,2/2000 <credit risk> RiskMetrics
Li Dongfeng 'Effectiveness of Hedging Strategies Using Yield Futures' North Carolina
State U. 98 PhD Diss.
Li Feng 'Option Pricing:How Flexible Should the SPD Be?' J. Deriv. Summer 2000
<option-distribution> <skewed generalized "t" distribution, kurtosis>
Li H., I. Mathur 'An Analysis of the Intra-Day Relationship Between the Eurodollar &
U.S. Tresury Bill Futures Market'<eurodollar>
Li H., S. Rosen 'Unraveling in Matching Markets' AER 6/98
Li Hitao 'Pricing of Swaps with Default Risk' R. Deriv. Research v2 98 <credit risk>
Li J., Y. Renardy 'Numerical Study of Flows of Two Immiscible Liquids at Low Reynolds
Number' SIAM Review 9/2000
Li L., C. Huang Continuous time stopping games with monotone reward structure M.I.T.
(March 1989): 258
Li Li 'Trading Model & Asset Price Forecast:A Discrete Event Approach' City U NY 98PhD
Li W. 'Government Loan Guarantee & Grant Program:Evaluation' Econ Quart FRB Richmond
Fall 98
Li W., Y. Song, Michael Ong 'Maturity Mismatch' RISK 11/99 <credit risk>
Li Y. 'Expected Stock Returns, Risk Premium & Volatility of Economic Factors' 3/92
<stock>
Liang W., W. Chen, S. Gao 'Applications of Lattice Theory to Graph Decomposition'
Circits Systems Signal Process' 90 <graph>
Liberzon D., R. Brockett 'Spectral Analysis of Fokker-Planck & Related Operators
Arising from Linear Stochastic Differential Equations'<SDE> SIAM J. Control &
Opt. V 38,#5 2000
Lie E., H. Lie 'The Role of Personal Taxes in Corporate Decisions:An Empirical
Analysis of Share Repurchases & Dividends' JF&QA 12/99
Liebowitx S., S. Margolis 'Network Externality: An Uncommon Tragedy' J.Econ.Per Spring
94
Liedll G. 'Science of Materials' SA <unlabeled>
Lien Donald 'Application of Mean-Variance Analysis to Broad-Based Futures Contracts'
JFM Feb 92
Lien Donald 'Asymmetric Arbitrage in Futures Markets:Empirical Study' JFM 86
<Futures>
Lien Donald 'Futures Hedging & Stochastic Volatility' AFOR 99
Lien Donald 'Hedger Response to Multiple Grades of Deliver on Futures Markets' JFM
V8,#6 Dec 88
Lien Donald 'Inventory Effect in Commodity Futures Markets:Empirical Study ' JFM 12/87
<Futures>
Lien Donald 'Note on Effect of No-Arbitrage Conditions'<arbitrage> JFM 10/92
Lien Donald 'On the Conventional Definition of Currency Hedge Ratio' J. Futures
Markets 4/96
Lien Donald 'Optimal Hedging & Spreading in Cointegrated Markets'<hedging> Economic
Letters 92
Lien Donald, Q. Vuong 'Parmeterization & Two-Stage Conditional Maximum Likelihood
Estimation' w.p.Cal Tech <maximum likelihood>
Lien Donald, Xiangdong Luo 'Estiamting Multiperiod Hedge Ratios in Cointegrated
Markets' JFM 12/93
Lien Donald, Xiangdong Luo 'Estimating Extended Mean-Gini Coefficient for Futures
Hedging' J. Futures Markets 9/93
Lien Donald, Xiangdong Luo 'Multiperiod Hedging in the Presence of Conditional
Heteroskedasticity' J.Futures Markets 12/94
Lien Donald, Xiangdong Luo 'Theoretical Comparison of Composite Index Futres
Contracts' J. Futures Markets 10/93 <options-index>
Lien Donald, Yiu Kuen Tse 'Fractional Cointegration & Futures Hedging' J. Futures
Markets 6/99
Lien Donald, Yiu Kuen Tse 'Hedging Time-Varying Downside Risk' J. Futures Markets 9/98
Liesenfeld R., R. Jung 'Stochastic Volatility Models:Conditional Normality versus
Heavy-Tailed Distributions' 9/97 <volatility>
Lii K. 'Transfer Function Model Order & Parmameter Estimation' #5 1985 J. Time Series
Analysis
Likharev K., T. Claeson 'Simple Electronics' SA 6/92
Likkos I. 'Distributional Properties of Spot & Forward Interest Rates:USD,DEM,GBP,JPY'
J. Fixed Income 3/99
Lillestol Jostein 'Risk Analysis & the NIG Distribution' J. of Risk Summer 2000 <risk>
<skew,fat tail,negative inverse gaussian>
Lim C. 'On Singular Hamiltonians:Existence of Quasi-Periodic Solutions & Nonlinear
Stability' Bulletin (AMS) 1-89
Lim K. 'Arbitrage & Price Behavior of Nikkei Stock Index Futures' JFM 4/92
Lim K. 'Comparative Study of Various Univariate Time Series Models for Canadian Lynx
Data' J.Time Series Analysis #2 (87)
Lim K., M. Livingston 'Stripping of Treasury Securities & Segmentation in the Treasury
Securities Markets' J.Fixed Income 3/95
Lim K-G., E. Terry, D. How 'Information Transmission Across Eurodollar Futures
Markets' Int. J. Theo & Appl Finance 4/98
Lin J. 'Pocket-Calculator Approximation to Normal Tail' Probability in Engin & Info 90
<distributions>
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
Convertible Preferred prices' JF&QA 3/95
Lin W. 'Pricing Equity Swaps'<swaps> wp U. Boston 7/95
Lin Wen-Ling 'Alternative Estimators for Factor GARCH Models-A Monte Carlo
Comparison'<ARCH> w.p. U. of Wisconsin Dec.89
Lin X. Sheldon 'Double Barrier Hitting Time Distribution with Applications to Exotic
Options'<option-barrier><Laplace> Insurance:Math. & Econ. 23 (1998)
Lin Y., E. Sontag, Y. Wang 'Recent Results on Lypunov-theoretic Techniques for
Nonlinear Stability' 12/93
Lindahl M. 'Measuring Hedgin Effectiveness with R^2:Note' JFM 89 <hedging>
Lindahl M. 'Minimum Variance Hedge Ratios for Stock Index Futures:Duration &
Expiration Effects' JFM Feb 92
Lindbeck A. 'The Swedish Experiment' JEL 9/97 <alpha>
Lindeman J. 'Asian Options' 7/96 <options-Asian>
Lindeman J. 'From Continuous HJM to Trees' 10/96 <term structure>
Lindvall T. 'Ergodicity & Inequalities in a Class of Point Processes' SP&A 11/88
Linetsky Vadim 'A Step Option Model for Valuation of Credit Risk Securities' IOE Tech.
97 Depart. I&O Eng. Uof Mich.
Linetsky Vadim 'Path Integral Approach to Finanical Modeling & Options Pricing'
<options-pricing> Computational Economics <Lagrangian,Feynman-Kac> 4/98
Linetsky Vadim 'Step Options' <options-barrier> <path-depend,occupation time Feynman-
Kac, Laplace>,MF 1/99
Linetsky Vadim 'Step Options:Feynman-Kac Approach to Occupation Time Derivatives' IOE
Tech. 5/97 <options-barrier> <knockout>
Linetsky Vadim 'Steps to the Barrier' RISK 4/98 <options-barrier> <option-step>
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