Aarão Jorge ‘Fundamental Solutions for Some Partial Differential Operators from Fluid Dynamics and Statistical Physics’ SIAM Review June 2007, V. 49, #2

Abate James, James L. Grant, Chris Rowberry ’Understanding the Required Return Under New Uncertainty’ Journal of Portfolio Management Fall 2006

Abhyankar Abhay, Devraj Basu, Alexander Stremme ‘Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: An Empirical Study’ Journal of Banking and Finance Volume 31, Issue 2, Feb 2007

Abid Fathi, Mourad Mroua, Wing-Keung Wong ‘The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches’ SSRN 5/07

Abid Fathi, Nader Naifar ‘Copula Based Simulation Procedures for Pricing Basket Credit Derivatives’ SSRN 4/07

Abreu Dilip, David Pearce ‘Bargaining, Reputation, and Equilibrium Selection in Repeated Games with Contracts’ Econometrica 5/07

Acebrón Juan, Renato Spigler ‘The Remote Control and Beyond:the Legacy of Robert Adler’ SIAM News June 2007

Acemoglu Daron, Asuman Ozdaglar ‘Competition and Efficiency in Congested Markets’ Mathematics of Operations Research Feb 2007 32

Adda Jermome, Russell Cooper 'Dynamic Economics:Quantitative Methods and Applications' MIT Press 2003

Ait-Sahalia Yacine, Jean Jacod ‘Estimating the Degree of Activity of Jumps in High Frequency Financial Data’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Ait-Sahalia Yacine, Jean Jacod ‘Testing For Jumps in a Discretely Observed Process’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Ait-Sahalia Yacine, Jialin Yu ‘High Frequency Market Microstructure Noise Estimates and Liquidity Measures’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Akdeniz Levent, W. Davis Dechert ‘The Equity Premium in Brock's Asset Pricing Model’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Albanese Claudio, Alicia Vidler ‘A Structural Model for Credit-Equity Derivatives and Bespoke CDOS’ Wilmott Magazine, Forthcoming 2007

Alexander Carol, Andreza Barbosa ‘Effectiveness of Minimum-Variance Hedging’ Journal of Portfolio Management Winter 2007

Allen Gregory ‘Does Size Matter?’ Journal of Portfolio Management Spring 2007 Altman Edward, William Stonberg ‘The Market in Defaulted Bonds and Bank Loans’

Journal of Portfolio Management Summer 2006 Alvarez Luis, Erkki Koskela ‘Optimal Harvesting Under Resource Stock and Price

Uncertainty’ Journal of Economic Dynamics and Control V. 37, #7 July 2007 Al-Zoubi Haitham, Aktham Maghyereh ‘The Relative Risk Performance of Islamic

Finance:A New Guide To Less Risky Investments’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

Amenc Noel, Philippe Malaise, Lionel Martellini ‘From Delivering to Packaging of Alpha’ Journal of Portfolio Management Winter 2006

Ammann Manuel, Stephan Kessler, Jurg Tobler ‘Analyzing Active Investment Strategies’ Journal of Portfolio Management Fall 2006

Andersen Torben, Luca Benzoni ‘Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Andersen Torben, Per Frederiksen, Arne Staal ‘The Information Content of Realized Volatility Forecasts’ 2007

Andersen Torben, Tim Bollerslev, Nour Meddahi ‘Realized Volatility Forecasting and Market Microstructure Noise’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Anderson E.J., A. B. Philpott, H. Xu ‘Modelling the Effects Of Interconnection Between Electricity Markets Subject To Uncertainty’ Mathematical Methods of Operations Research Feb. 2007

Anderson Matthew, Jung-Han Kimn ‘Basket Implied Volatility from Geodesics’ <SABR> Andreou Panayiotis, Christakis Charalambous, Spiros Martzoukos ‘Generalized

Parameter Functions for Option Pricing’ SSRN 3/07 Andrikopoulos Andreas ‘On the Pricing of Options With Quadratic Payoffs: A Note’

SSRN May 2007 Andrikopoulos Andreas ‘On the Quadratic Approximation to the Value of American

Options: A Note’ Applied Financial Economics Letters, Forthcoming 2007 Angeletos George-Marios, Christian Hellwig, Alessandro Pavan ‘Dynamic Global Games

of Regime Change: Learning, Multiplicity, and the Timing of Attacks’ Econometrica 5/07

Annaert Jan, Sofie Van Osselaer, Bert Verstraete ‘Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria’ SSRN 5/07

Antinolfi Gaetano, Costas Azariadis, James B. Bullard ‘Monetary Policy as Equilibrium Selection’ Commentary Peter N. Ireland St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4

Arifovic Jasmina, John Ledyard ‘Call Market Book Information and Efficiency’ Journal of Economic Dynamics and Control V. 31, #6 June 2007

Asem Ebenezer ‘Misspecified Likelihood Function and Value-At-Risk Italian Banks’ Interest Rate Risk Exposure’ Journal of Risk Vol 9, #3 2007

Ashcraft Adam, João A.C. Santos ‘Has the CDS Market Lowered the Cost of Corporate Debt?’ SSRN 6/07

Asmussen  Søren, Mats Pihlsgård ‘Loss Rates for Lévy Processes with Two Reflecting Barriers’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 308-321. <reflection, Skorokhod, light tail, Lundberg, Markov modulated>

Asmussen Søren, Peter Glynn ‘Stochastic Simulation:Algorithms and Analysis’ Springer Press 2007

Assoe Kodjovi, Jean-Francois LHer, Francois Plante ‘The Relative Importance of Asset Allocation and Security Selection’ Journal of Portfolio Management Fall 2006

Athreya Kartik, Andrea Waddle 'Implications of Some Alternatives to Capital Income Taxation' FRB Richmond Economic Quarterly Winter 2007

Atkinson Colin, Gianluca Fusai ‘Discrete Extrema of Brownian Motion and Pricing of Exotic Options’ Journal of Computational Finance V. 10, #3, March 2007

Babilua Petre ‘Semimartingale Local Time and the American Put Option’ Georgian Mathematical Journal 13 (2006), No. 2, 199—214

Baele Lieven, Geert Bekaert, Koen Inghelbrecht ‘The Determinants of Stock and Bond Return Comovements’ SSRN 6/07

Bakry D., O. Mazet ‘Characterization of Markov Semigroups on R Associated to Some Families of Orthogonal Polynomials’ Séminaire de Probabilités XXXVII 2003 #1832 #1832

Balakrishna B.S. ‘Delayed Default Dependency and Default Contagion’ SSRN 4/07 Bali Turan, Suleyman Gokcan and Bing Liang ‘Value at Risk And The Cross-Section of

Hedge Fund Returns’ Journal of Banking and Finance Vol 31, #4 April 2007 Balu Mariana-Elena Voineagu, Felix Furtuna ‘Principal Component Analysis –

Statistical Method of Territorial Profile Factor Analysis’ SSRN May 2007 Banasiak Jacek, Luisa Arlotti ‘Perturbations of Positive Semigroups with

Applications’ Springer 2006;reviewed SIAM Review 5/07 Bandi Federico, Jeff Russell, Chen Yang ‘Realized Volatility Forecasting in the

Presence of Time-Varying Noise’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Bandi Federico, Peter Phillips ‘A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions’ Journal of Econometrics April 2007

Banerjee Suman, Vladimir Gatchev, Paul Spindt ‘Stock Market Liquidity and Firm Dividend Policy’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Bank Peter, Christian Küchler ‘On Gittins Index Theorem in Continuous Time’ SP&A tobe 2007

Bansal Ravi ‘Long-Run Risks and Financial Markets’ Commentary Thomas J. Sargent St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4

Baptista Alexandre ‘On the Non-Existence of Redundant Options’ Vol 31, # 2 May 2007 Economic Theory

Bardos Mireille ‘What is at Stake in the Construction and Use of Credit Scores?’ Computational Economics Volume 29, Number 2 / March, 2007

Barndorff-Nielsen Ole, C. Halgreen 'Infinite Divisibility of the Hyperbolic and Generalized Inverse Gaussian Distributions' Zeitschrift fur Wahrscheinlickeitstheorie und verwandt Geiete 38, 1977

Barndorff-Nielsen Ole, Peter Reinhard Hansen, Asger Lunde, Neil Shephard ‘Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Barone-Adesi Giovanni, Robert Elliott ‘Cutting the Hedge’ Computational Economics Volume 29, Number 2 / March, 2007

Bastania A. Foroush, S. Mohammad Hosseini ‘A New Adaptive Runge–Kutta Method For Stochastic Differential Equations’  <adaptive time stepping, forward/backward> Journal of Computational and Applied Mathematics Volume 206, Issue 2, 15 September 2007, Pages 631-644 

Battalio Robert, Andrew Ellul, Robert Jennings ‘Reputation Effects in Trading on the New York Stock Exchange’ Journal of Finance June 2007

Baudoin Fabrice, Laure Coutin ‘Operators Associated with a Stochastic Differential Equation Driven by Fractional Brownian Motions’ SP&A tobe 2007

Baurdoux Erik ‘Examples of Optimal Stopping via Measure Transformation for Processes with One-Sided Jumps’ Stochastics Volume 79 Issue 3 & 4 2007

Baviera Roberto ‘Gigi Model (Or a Bivariate Bond Market Model)’ SSRN 4/07 Bayraktar Erhan ‘A Proof of the Smoothness of the Finite Time Horizon American Put

Option for Jump Diffusions’ SSRN 4/07 Baysal R. Evren, Jeremy Staum ‘Empirical Likelihood for Value at Risk and Expected

Shortfall’ 2007 Beckers Stan, Ross Curds, Simon Weinberger ‘Funds of Hedge Funds Take the Wrong

Risks’ Journal of Portfolio Management Spring 2007 Bekaert Geert, Campbell Harvey, Christian Lundblad, Stephan Siegel ‘Global Growth

Opportunities and Market Integration’ Journal of Finance June 2007 Bélanger Amélie, Bruce Simpson ‘Computing Two-Factor Deltas Using Unstructured

Meshes’ Journal of Computational Finance V.10, #3,  March 2007 Ben Dor Arik, Jay Hyman, Patrick Houweling, Olaf Penninga ‘DTS (Duration Times

Spread)’ Journal of Portfolio Management Winter 2007 Ben Dor Arik, Simon Polbennikov, Jeremy Rosten ‘DTSsm (Duration Times Spread) for

CDS: A New Measure of Spread Sensitivity’ Journal of Fixed Income Spring 2007 Bender Carl, Steven Orszag ‘Advanced Mathematical Methods for Scientists and

Engineers’ Springer 1999 <highly recommended book> Benedict Brandy 'Modeling Alcoholism as a Contagious Disease:How "Infected"

Drinking Buddies Spread Problem Drinking' SIAM News April 2007 Benigno Gianluca, Pierpaolo Benigno, Fabio Ghironi ‘Interest Rate Rules for Fixed

Exchange Rate Regimes’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Benner Wolfgang, Lyudmil Zyapkov ‘A Multifactoral Cross-Currency Libor Market Model With a FX Volatility Skew’ SSRN 5/07

Bensoussan Alan, Jussi Keppo, Suresh Sethi ‘Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices’ SSRN 5/07

Bentahar Imen, Bruno Bouchard ‘Explicit Characterization of the Super-Replication Strategy in Financial Markets with Partial Transaction Costs’ SP&A May 2007

Ben-Tal Aharon, Arkadi Nemirovski ‘Robust Convex Optimization’ Mathematics of Operations Research (23) 1998

Ben-Tal Aharon, Marc Teboulle ‘An Old-New Concept Of Convex Risk Measures: The Optimized Certainty Equivalent’ Pages 449–476 Mathematical Finance July 2007 - Vol. 17 Issue 3

Berestycki Henri ‘Changing the Implied Volatility in Local and Stochastic Volatility Models’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Berk Jonathan, Richard Stanton ‘Managerial Ability, Compensation, and the Closed-End Fund Discount’ The Journal of Finance.   Apr 2007. Vol. 62

Bernaschi Massimo, Maya Briani, Marco Papi, Davide Vergni ‘Scenario-Generation Methods for an Optimal Public Debt Strategy’ Quantitative Finance, Volume 7 Issue 2 2007

Bernstein Peter ‘Capital Ideas Evolving’ Wiley 2007 Bertholon Henri, A. Monfort, Fulvio Pegoraro ‘Econometric Asset Pricing Modelling’

SSRN 3/07 Bertrand Marianne, Antoinette Schoar, David Thesmar ‘Banking Deregulation and

Industry Structure: Evidence from the French Banking Reforms of 1985’ The Journal of Finance.   Apr 2007. Vol. 62

Beskos Alexandros, Omiros Papaspiliopoulos, Gareth Roberts ‘A New Factorization of Diffusion Measure with View Towards Simulation’ To Be Published. .

Beskos Alexandros, Omiros Papaspiliopoulos, Gareth Roberts ‘Retrospective Exact Simulation of Diffusion Sample Paths with Applications’ 2006 Bernoulli, 12:1077–1098.

Beskos Alexandros, Omiros Papaspiliopoulos, Gareth Roberts, Paul Fearnhead ‘Exact and Computationally Efficient Likelihood-Based Estimation For Discretely Observed Diffusion’ Processes”. J. R. Statist.Soc. B, 68:333–382. 2007 .

Bey Roger, Larry Johnson ‘Do Short-Selling and Margin Trading Impact the Replication of Emerging Market Indexes?’ Journal of Portfolio Management Spring 2006

Bhansali Vineer ‘Putting Economics (Back) into Quantitative Models’ Journal of Portfolio Management Spring 2007

BhargavaVivek, D. K. Malhotra ‘Do Price-Earnings Ratios Drive Stock Values?’ Journal of Portfolio Management Fall 2006

Bianco Simone, Roberto Reno ‘Unexpected Volatility and Intraday Serial Correlation’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Biegler Lorenz, Omar Ghattas, Matthias Heinkenschloss, David Keyes, Bart van Bloemen Waanders (ed) ‘Real-Time PDE-Constrained Optimization’ 2007 SIAM Press

Bielecki Tomasz, Monique Jeanblanc, Marek Rutkowski ‘Hedging of Basket Credit Derivatives in Credit Default Swap Market’ Vol 3 #1 2007, Journal of Credit Risk

Bienstock Daniel ‘Experiments with Robust Optimization’ 2006 Billett Matthew, Tao-Hsien Dolly King, David Mauer ‘Growth Opportunities and the

Choice of Leverage, Debt Maturity, and Covenants’ The Journal of Finance.   Apr 2007. Vol. 62

Bisesti Lorenzo, Antonio Castagna, Fabio Mercurio ‘Consistent Pricing and Hedging of an FX Options Book’, Kyoto Economic Review 74(1) 2005

Björck Ake ‘Numerical Methods for Least Squares Problems’ SIAM Press 1996

Björk Tomas, Jan Grandell ‘An Insensitivity Property of the Ruin Probability’ Scand. Actuar. J. 1985, No. 3-4,

Björk Tomas, Jan Grandell ‘Exponential Inequalities for Ruin Probabilities in the Cox Case’ Special Issue for ICA 1988 Helsinki. Scand. Actuar. J. 1988, No. 1-2,

Bladt Mogens, Michael Sørensen ‘Simple Simulation of Diffusion Bridges with Application to Likelihood Inference for Diffusions’ <Options-Numeric> <EM, Euler, Milstein> 2007

Bladt Mogens, Michael Sørensen ‘Statistical Inference For Discretely Observed Markov Jump Processes’ J. R. Statist. Soc. B, 67:395 – 410. 2006 .

Blavatskyy Pavlo, Ganna Pogrebna ‘Models of Stochastic Choice and Decision Theories: Why Both are Important for Analyzing Decisions’ SSRN 4/07

Bleichrodt Hans, Jose Maria Abellan-Perpiñan, Jose Luis Pinto-Prades, Ildefonso Mendez-Martinez ‘Resolving Inconsistencies in Utility Measurement Under Risk: Tests of Generalizations of Expected Utility’ Management Science March 2007, Volume 53, Issue 3

Blitz David, Pim van Vliet ‘The Volatility Effect: Lower Risk without Lower Return’ SSRN 4/07

Bloch Daniel ‘LIBOR Market Models within the Affine and Quadratic Models’ SSRN 5/07 Boerger Reik, Alvaro Cartea, Ruediger Kiesel, Gero Schindlmayr ‘A Multivariate

Commodity Analysis and Applications to Risk Management’ SSRN 4/07 Boes Mark-Jan, Feike Drost, Bas J. M. Werker ‘The Impact of Overnight Periods on

Option Pricing’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Boisedffre Louis de ‘No-Arbitrage Equilibria with Differential Information:an Existence Proof’ Vol 31, # 2 May 2007 Economic Theory

Bollerslev Tim ‘On the Correlation Structure for Generalized Autoregressive Conditional Heteroskedastic Processes’ Journal of Time Series Analysis (9), 1988

Bollerslev Tim, Dobrislav Dobrev ‘No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications’ NBER Working Paper No. W12963 SSRN 3/07

Bollerslev Tim, Tzuo Hann Law, George Tauchen ‘Risk, Jumps, and Diversification’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Bona Jerry, Sanford Grossman ‘Price and Interest Rate Dynamics in a Transactions Based Model of Money Demand’ November 1983.

Bonami Pierre, Miguel Lejeune ‘An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints’ SSRN 3/07

Bondarenko Oleg ‘Nonparametric Test of Affine Option Models’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Bonet Blai ‘On the Speed of Convergence of Value Iteration on Stochastic Shortest-Path Problems’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 365-373  

Bookstaber Richard ‘A Demon of Our Own Design:Markets, Hedge Funds, and the Perils of Financial Innovation’ Wiley 2007

Boone Audra, J. Harold Mulherin ‘How Are Firms Sold?’ The Journal of Finance.   Apr 2007. Vol. 62

Borovkova Svetlana, Ferry Permana, Hans v.d. Weide ‘A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option’ Journal of Derivatives Summer 2007

Bossaerts Peter, Paolo Ghirardato, Serena Guarnaschelli and William Zame 'Prices and Allocations in Asset Markets with Heterogeneous Attitudes Towards Ambiguity' March 2007 <expected utility axioms, ambiguous states>

Boswijk H. Peter, Cars H. Hommes, Sebastiano Manzan ‘Behavioral Heterogeneity in Stock Prices’ Journal of Economic Dynamics and Control V. 31, #6 June 2007

Boudoukh Jacob, Roni Michaely, Matthew Richardson, Michael R Roberts ‘On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing’ The Journal of Finance.   Apr 2007. Vol. 62

Bourguignon Francois, Marielle de Jong ‘The Importance of Being Value’ Journal of Portfolio Management Spring 2006

Boyarchenko Nina, Sergei Levendorskii ‘On Errors and Bias of Fourier Transform Methods in Quadratic Term Structure Models’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

Boyle Phelim, Weidong Tian ‘Portfolio Management with Constraints’ Pages 319–343 Mathematical Finance July 2007 - Vol. 17 Issue 3

Brandt Achi, Colin Cryer ‘Multigrid Algorithms for the Solution of Linear Complementary Problems Arising from Free Boundary Problems’ SIAM J. Sci. Statist. Comput. 4(4) 1983

Bremaud Pierre ‘Martingale Theory of Point Processes over the Real Half Line Admitting an Intensity’ Springer Lecture Notes in Econ & Math. Vol 107, 1974

Brennan Michael, Xiaoquan Liu, Yihong Xia ‘Option Pricing Kernels and the ICAPM’ (June 29, 2005). Finance. Paper 16-05 <investment opportunity set,  FTSE 100, S&P 500 index>

Brigo Damiano, Andrea Pallavicini, Roberto Torresetti ‘Calibration of CDO Tranches With The Dynamical GPL Model’ Generalised Poisson, single names> RISK May 2007

Brigo Damiano, Fabio Mercurio, M. Morini ‘The Libor Model Dynamics: Approximations, Calibration and Diagnostics’ European Journal of Operational Research 163, 2005

Bris Arturo, William Goetzmann, Ning Zhu ‘Efficiency and the Bear: Short Sales and Markets Around the World’ Journal of Finance June 2007

Broadie Mark, Mikhail Chernov, Michael Johannes ‘Model Specification and Risk Premia: Evidence from Futures Options’ Journal of Finance June 2007

Broadie Mark, Mikhail Chernov, Suresh Sundaresan ‘Optimal Debt and Equity Values in the Presence Of Chapter 7 and Chapter 11’ Journal of Finance June 2007

Broadie Mark, Özgür Kaya ‘A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Brossard J. ’Deux Notions Équivalentes D'unicité En Loi Pour Les Équations Différentielles Stochastiques’ Séminaire de Probabilités XXXVII 2003 #1832

Brownlees Christian, Giampiero Gallo ‘Comparison of Volatility Measures: a Risk Management Perspective’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Brummelhuis Raymond, Roger Kaufmann ‘Time Scaling of VAR in GARCH(1,1) and AR(1)-GARCH(1,1) Processes’ Journal of Risk Volume 9 / Number 4  2007

Brush John ‘Value and Growth, Theory and Practice’ Journal of Portfolio Management Spring 2007

Bruti-Liberati Nicola, Eckhard Platen ‘Approximation of Jump Diffusions in Finance and Economics’ May 2007 Computational Economics

Brzezniak Z., A. Carroll ‘Approximation of the Wong-Zakai Type For Stochastic Differential Equations In M-Type 2 Banach Spaces With Applications to Loop Spaces’ Séminaire de Probabilités XXXVII 2003 #1832

Bungartz Hans-Joachim, Michael Griebel 'Spare Girds' Acta Numerica 2004 p. 1-123 Burtschell Xavier Jon Gregory, Jean-Paul Laurent ‘Beyond the Gaussian Copula:

Stochastic and Local Correlation’ Vol 3 #1 2007, Journal of Credit Risk Caginalp Gunduz, Huseyin Merdan ‘Asset Price Dynamics with Heterogeneous Groups’

Physica D, Vol. 225, pp. 43-54, 2007 Campbell John, Jiang Wang, Stanford Grossman ‘Trading Volume and Serial Correlation

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Campbell John, Robert Schiller ‘Valuation Ratios and the Long-Run Stock Market Outlook’ J. Portfolio Management v24, #2 Winter 1998

Cantor Richard, Christopher Mann ‘Analyzing the Tradeoff Between Ratings Accuracy and Stability’ Journal of Fixed Income Spring 2007

Cao Guanghua, Nathan Coelen, Andrea Ling, Roderick George MacLeod ‘Simple Computational Methods for Pricing Equity Default Swaps’ Morgan Stanley SSRN May 2007

Cao Guanghua, Nathan Coelen, Andrea Ling, Roderick George MacLeod ‘Simple Computational Methods for Pricing a Down and Out Basket Bermudan Put’ Morgan Stanley SSRN May 2007

Cao Guanghua, Roderick George MacLeod ‘Pricing Exotic Barrier Options with Finite Differences’ Morgan Stanley SSRN May 2007

Cao Guilan, Kai He ‘Successive Approximation of Infinite Dimensional Semilinear Backward Stochastic Evolution Equations with Jumps’ SP&A tobe 2007

Capriotti Luca ‘A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion’ SSRN 4/07

Capriotti Luca ‘Least Squares Importance Sampling for Monte Carlo Security Pricing’ SSRN 3/07

Carassus Laurence, Miklós Rásonyi ‘Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do’ Mathematics of Operations Research Feb 2007 32

Carr Peter Carr ‘Recent Developments in Volatility Contracting’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Carr Peter, Bjorn Flesaker ‘Robust Replication of Default Contingent Claims’ 2007 <static position, CDS>

Carr Peter, Roger Lee ‘Hedging Variance Options on Continuous Semimartingales’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Carr Peter, Roger Lee ‘Realised Volatility And Variance: Options Via Swaps’ <explicit formula, VIX> RISK May 2007

Cascos Ignacio, Ilya Molchanov ‘Multivariate Risks and Depth-Trimmed Regions’ p. 373-397 Finance and Stochastics Volume 11, Number 3 / July, 2007

Castagna Antonio, Fabio Mercurio ‘Consistent Pricing of FX Options’ 2006 <volatility> <Vanna-Volga, implied volatility>

Cavaglia Stefano, James Sefton, Alan Scowcroft, Bryn Smith ‘Global Style Investing’ Journal of Portfolio Management Summer 2006

Cecchetti Stephen ‘The Case of the Negative Nominal Interest Rates: New Estimates of the Term Structure of Interest Rates During the Great Depression’ NBER Working Paper No. W2472 SSRN 4/07

Ceria Sebastián, Robert Stubbs ‘Incorporating Estimation Errors into Portfolio Selection:Robust Portfolio Construction’ Journal of Asset Management 7,2 7/06

Chamberlain Gary ‘Decision Theory Applied to an Instrumental Variables Model’ Econometrica 5/07

Chambers Donald, Qin Lu ‘A Tree-Model for Pricing Convertible Bonds with Equity, Interest Rate, and Default Risk’ Journal of Derivatives Summer 2007

Chan Ngai Hang, Shi-Jie Deng, Liang Peng, Zhendong Xia ‘Interval Estimation of Value-at-Risk Based on GARCH Models with Heavy-Tailed Innovations’ Journal of Econometrics April 2007

Chari V., Patrick J. Kehoe, Ellen McGrattan ‘Business Cycle Accounting’ Econometrica 5/07

Cheevaprawatdomrong Torpong, Irwin Schochetman, Robert Smith, Alfredo Garcia ‘Solution and Forecast Horizons for Infinite-Horizon Nonhomogeneous Markov Decision Processes’ Mathematics of Operations Research Feb 2007 32

Chellathurai Thamayanthi, Thangaraj Draviam ‘Dynamic Portfolio Selection with Fixed and/or Proportional Transaction Costs Using Non-Singular Stochastic Optimal Control Theory’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Chen Fei, Charles Sutcliffe ‘Better Cross Hedges with Composite Hedging? Hedging Equity Portfolios Using Financial and Commodity Futures’ ICMA Centre Discussion Papers in Finance No. DP2007-04 SSRN 5/07

Chen Xilong, Eric Ghysels ‘News - Good Or Bad - And Its Impact Over Multiple Horizons’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Chen Ying, Vladimir Spokoiny ‘Adaptive Volatility Estimation with Application to Risk Management’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Chen Yu-Ting, Cheng-Few Lee, Yuan-Chung Sheu ‘An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model’ p. 323-355 Finance and Stochastics Volume 11, Number 3 / July, 2007

Cheridito P. ‘Representations of Gaussian Measures That Are Equivalent to Wiener Measure’ Séminaire de Probabilités XXXVII 2003 #1832

Chesney Marc, Larry Scott ‘Pricing European Currency Options: a Comparison of the Modified Black-Scholes Model and a Random Variance Model’ Journal of Financial and Quantitative Analysis (24) 1989

Cheyette Oren, Boris Postler ‘Empirical Credit Risk’ Journal of Portfolio Management Summer 2006

Chiarella Carl, Chih-Ying Hsiao, Willi Semmler ‘Intertemporal Asset Allocation When the Underlying Factors Are Unobservable’ May 2007 Computational Economics

Choi Jaehyuk, Kwangmoon Kim, MinSuk Kwak ‘Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion’ SSRN 6/07

Choulli Tahir, Christophe Stricker, Jia Li ‘Minimal Hellinger Martingale Measures of Order Q’ p. 399-427 Finance and Stochastics Volume 11, Number 3 / July, 2007

Chourdakis Kyriakos 'The Pricing Kernel' <option-pricing> www.theponytail.net Christophe Stephen, Michael G. Ferri, James J. Angel ‘Should Owners of Nasdaq

Stocks Fear Short-Selling?’ Journal of Portfolio Management Spring 2007 Chu Chi Chium Yue Kuen Kwok ‘Valuation of Guaranteed Annuity Options in Affine Term

Structure Models’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

Chung San-Lin, Pai-Ta Shih ‘Generalized Cox-Ross-Rubinstein Binomial Models’ Management Science March 2007, Volume 53, Issue 3

Cipra Barry ‘Geosciences Conference Tackles Global Issues’ SIAM News June 2007 Cipra Barry 'Get with the (Sequentially Linear) Program:A Robust Approach to

Zapping Cancer'  <short, targeted, multiple focus beams> SIAM News April 2007 Cizek Pavel, Wolfgang Hardle, Vladimir Spokoiny ‘Adaptive Pointwise Estimation in

Time-Inhomogeneous Time-Series Models’ SSRN 6/07 Clarke Roger, Harindra de Silva, Steven Thorley ‘Minimum-Variance Portfolios in the

U.S. Equity Market’ Journal of Portfolio Management Fall 2006 Clémençon Stéphan, Skander Slim ‘On Portfolio Selection under Extreme Risk Measure:

The Heavy-Tailed ICA Model’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3 <Independent Component Analysis>

Cline Daren ‘Regular Variation of Order 1 Nonlinear AR-ARCH Models’ SP&A tobe 2007 Coggin T. Daniel, Bala Arshanapalli ‘Speed of Adjustment in U.S. Financial Markets’

Journal of Portfolio Management Winter 2006 Cohen-Cole Ethan ‘Asset Liquidity, Debt Valuation and Credit Risk’ FRB of Boston

Quantitative Analysis Unit Working Paper No. 07-5 6/07 Coleman Thomas ‘Fitting Forward Rates to Market Data’ SSRN 6/07 Coleman Thomas, Yohan Li Kim, Y. Li, M. Patron ‘Robustly Hedging Variable Annuities

With Guarantees Under Jump and Volatility Risks’ Journal of Risk & Insurance, Vol. 74, Issue 2, pp. 347-376, June 2007 May 2007

Collamore Jeffrey, Andrea Höing ‘Small-Time Ruin for a Financial Process Modulated by a Harris Recurrent Markov Chain’ p. 299-322 Finance and Stochastics Volume 11, Number 3 / July, 2007

Colwell David, Nadima El-Hassan, Oh Kang Kwon ‘Hedging Diffusion Processes by Local Risk Minimization with Applications to Index Tracking’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Confortola Fulvia ‘Dissipative Backward Stochastic Differential Equations with Locally Lipschitz Nonlinearity’ SP&A tobe 2007

Connor Gregory Connor, Matthias Hagmann, Oliver Linton ‘Efficient Semiparametric Estimation of the Fama-French Model and Extensions’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Consiglio Andrea, Annalisa Russino ‘How Does Learning Affect Market Liquidity? A Simulation Analysis of a Double-Auction Financial Market with Portfolio Traders’ Journal of Economic Dynamics and Control V. 31, #6 June 2007

Consiglio Andrea, Domenico De Giovanni ‘Pricing the Option to Surrender in Incomplete Markets’ SSRN 4/07

Corrado Charles ‘The Hidden Martingale Restriction in Gram-Charlier Option Prices’ Journal of Futures Markets June 2007

Cramton Peter, et al (ed) 'Combinatorial Auctions' MIT Press 2006 Crosby John ‘Valuing Inflation Futures Contracts’ <Jarrow & Yildirim Model> RISK

3/07 Cryer Colin ‘The Efficient Solution of Linear Complementarily Problems for

Tridiagonal Minkowski Matrices’ ACM Trans. Math. Software 9(2) 1983

Cumby Robert ‘Is it Risk? Explaining Deviations from Uncovered Interest Parity’ NBER Working Paper No. W2380 SSRN 4/07

D’Addona Stefano, Mattia Ciprian ‘Time Varying Sensitivities on a Grid Architecture’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

D’Amico Guglielmo, Jacques Janssen, Raimondo Manca ‘Valuing Credit Default Swap in a Non-Homogeneous Semi-Markovian Rating Based Model’ Computational Economics Volume 29, Number 2 / March, 2007

Da Fonseca José, Martino Grasselli, Claudio Tebaldi ‘Option Pricing When Correlations are Stochastic: An Analytical Framework’ SSRN 4/07

Daglish Toby, John Hull, W. Sou ‘Volatility Surfaces: Theory, Rules of Thumb, and Empirical Evidence’ w.p. 2002

Das Sanghamitra, Mark J. Roberts, James Tybout ‘Market Entry Costs, Producer Heterogeneity, and Export Dynamics’ Econometrica 5/07

Davies Andrew ‘International Bond Market Cointegration Using Regime Switching Techniques’ Journal of Fixed Income Spring 2007

Davis Mark, Alison Etheridge (trans.) ‘Louis Bachelier's Theory Of Speculation : The Origins Of Modern Finance’ <good history through Harrison/Pliska> Oxford Press 2006

Dawid Herbert, Richard Day ‘On Sustainable Growth and Collapse: Optimal and Adaptive Paths’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Dawkins Mark, Nilabhra Bhattacharya, Linda Smith Bamber ‘Systematic Share Price Fluctuations after Bankruptcy Filings and the Investors Who Drive Them’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

De Coster Colette ‘Two-Point Boundary Value Problems:Lower and Upper Solutions’ Elsevier 2006;reviewed SIAM Review 5/07

de Finetti Bruno ‘Il Problema Dei Pieni’, Giornale Istituto Italiano Attuari, 9, 1-88., 1940 ; English translation by L. Barone available as “The Problem of “Full-Risk Insurances”, Ch. 1 ‘The Problem in a Single Accounting Period’, Journal of Investment Management, 4, 19-43, 2006. <same idea as Markowitz Mean-Variance but in actuarial and mathematical context>

De Giorgi Enrico, Thorsten Hens, János Mayer ‘Computational Aspects of Prospect Theory with Asset Pricing Applications’ May 2007 Computational Economics

Debnath Lokenath, Dambaru Bhatta 'Intergral Transforms & Their Application' 2007 CRC Press

Deelstra Griselda, Ahmed Ezzine, Dries Heyman, Michèle Vanmaele ‘Managing Value-At-Risk For A Bond Using Bond Put Options’ Computational Economics Volume 29, Number 2 / March, 2007

DeFusco Richard, Dennis McLeavey, Jerald Pinto, David Runkle ‘Quantitative Investment Analysis’ Wiley Press 2007 2nd Ed.

Delarue D. ‘Estimates of the Solutions of a System of Quasi-Linear PDEs. A Probabilistic Scheme’ Séminaire de Probabilités XXXVII 2003 #1832

Dembo Amir, Ofer Zeitouni 'Large Deviation Techniques and Applications' Jones & Bartlet Pub. 1993

Dempster Arthur, Nan Laird, Donald Rubin ‘Maximum Likelihood from Incomplete Data Via the EM Algorithm (With Discussion)’. J. Roy. Statist. Soc. B, 39:1 –38. 1977 .

Dempster Michael, Igor V. Evstigneev, Klaus R. Schenk-Hoppé ‘Volatility-Induced Financial Growth’ Quantitative Finance, Volume 7 Issue 2 2007

Dempster Michael, Matteo Germano, Elena Medova, Muriel Rietbergen, Francesco Sandrini, Mark Scrowston ‘Managing Guarantees’ Journal of Portfolio Management Winter 2006

Dempster Michael, Matteo Germano, Elena Medova, Muriel Rietbergen, Francesco Sandrini, Mark Scrowston ‘Designing Minimum Guaranteed Return Funds’ Quantitative Finance, Volume 7 Issue 2 2007

Den Iseger Peter ‘New algorithms for Laplace Transform Inversion’ presentation 2007

Den Iseger Peter ‘Numerical Transform Inversion Using Gaussian Quadrature’ Probability in the Engineering and Informational Sciences Volume 20, Issue 1  (January 2006)

Denardo Eric, Haechurl Park, Uriel G. Rothblum ‘Risk-Sensitive and Risk-Neutral Multiarmed Bandits’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 374-394 <optimal stopping>

Detlefsen Kai, Wolfgang Hardle ‘Calibration Risk for Exotic Options’ Journal of Derivatives Summer 2007

Deuskar Prachi, Anurag Gupta, Marti Subrahmanyam ‘The Economic Determinants of Interest Rate Option Smiles’ SSRN 4/07

Di Patti Emilia Bonaccorsi, Giorgio Gobbi ‘Winners or Losers? The Effects of Banking Consolidation on Corporate Borrowers’ The Journal of Finance.   Apr 2007. Vol. 62

Diaconis Persi, Susan Holmes, Richard Montgomery ‘Dynamical Bias in the Coin Toss’ SIAM Review June 2007, V. 49, #2

DiCecio Riccardo, Edward Nelson ‘An Estimated DSGE Model for the United Kingdom’ Commentary Martin Fuka? and Adrian R. Pagan St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4

Dobrev Dobrislav Dobrev ‘Capturing Volatility From Large Price Moves: Generalized Range Theory And Applications’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Doganoglu Toker, Christoph Hartz, Stefan Mittnik ‘Portfolio Optimization When Risk Factors Are Conditionally Varying and Heavy Tailed’ May 2007 Computational Economics

Dolinsky Yan,Yuri Kifer ‘Hedging with Risk for Game Options in Discrete Time’ Stochastics Volume 79 Issue 1 & 2 2007

Dong Gang Nathan ‘Improving Risk-Adjusted Returns of Fixed-Portfolios with VIX Derivatives’ SSRN 5/07

Dopfel Frederick ‘Leverage and the Limits of the Possible’ Journal of Portfolio Management Spring 2006

Doran James ‘The Influence of Tracking Error on Volatility Risk Premium Estimation’ Journal of Risk Vol 9, #3 2007

Dotsis George, Raphael Markellos ‘The Finite Sample Properties of the GARCH Option Pricing Model’ Journal of Futures Markets June 2007

Doumerc Ya. ‘A Note on Representations of Eigenvalues of Classical Gaussian Matrices’ Séminaire de Probabilités XXXVII 2003 #1832

Doust Paul ‘The Intrinsic Currency Valuation Framework’ RISK 3/07 Duarte Margarida, Diego Restuccia, Andrea Waddle 'Exchange Rates and Business

Cycles Across Countries' FRB Richmond Economic Quarterly Winter 2007 Dueker Michael, Christopher Neely ‘Can Markov Switching Models Predict Excess

Foreign Exchange Returns?’ Journal of Banking and Finance Volume 31, Issue 2, Feb. 2007

Dufour Jean-Marie, René Garcia, Abderrahim Taamoutix ‘Measuring Causality Between Volatility and Returns with High-Frequency Data’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Dufresne Pierre Collin, Julien Hugonnier ‘Pricing and Hedging in the Presence of Extraneous Risks’ SP&A tobe 2007

Dunsky Robert, Thomas Ho ‘Valuing Fixed Rate Mortgage Loans with Default and Prepayment Options’ Journal of Fixed Income Spring 2007

Durham Garland, A. Ronald Gallant ‘Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes’ 2002, J. Business & Econom. Statist., 20:297–338. .

Dynkin Lev, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, Bruce Phelps ‘Quantitative Management of Bond Portfolios’ Princeton Press 2007

Ebmeyer Dirk ‘Hedging Contingent Claims with Constrained Portfolios and Nonlinear Wealth Dynamics’ SSRN 4/07

Eckbo B. Espen, Oyvind Norli ‘Pervasive Liquidity Risk’ SSRN 6/07

Ederington Louis, Wei Guan ‘Higher Order Greeks’ Journal of Derivatives Spring 2007 Edwards Amy, Lawrence E. Harris, Michael Piwowar ‘Corporate Bond Market Transaction

Costs and Transparency’ Journal of Finance June 2007 Ehlers Philippe, Philipp Schönbucher ‘Background Filtrations and Canonical Loss

Processes for Top-Down Models of Portfolio Credit Risk’ Swiss Finance Institute Research Paper No. 07-07

Einarsson Bo ‘Accuracy and Reliability in Scientific Computing’ 2005  SIAM Press Eisenberg Larry ‘The Marginal Price of Risk with a CVaR Constraint’ SSRN 6/07 Eisenberg Larry ‘The Marginal Price of Risk with a VAR Constraint’ Journal of Risk

Volume 9 / Number 4  2007 Ekeland Ivar ‘The Best of All Possible Worlds:Mathematics and Density’ U.Chicago

Press 2006 <least action, mechanics, dynamics> Ekström Erik, Johan Tysk ‘Properties of Option Prices in Models with Jumps’ Pages

381–397 Mathematical Finance July 2007 - Vol. 17 Issue 3 El Ghaoui Laurent, Hervé Lebret ‘Robust Solutions to Least-Squares Problems with

Uncertain Data’ SIAM J. on Matrix Analysis and Applications’ 18, 1997 El Ghaoui Laurent, Maksim Oks, Francois Oustry ‘Worst-Case Value-at-Risk and Robust

Portfolio Optimization:A Conic Optimization Approach’ Operations Research 51,4 , 2003

Eliaz Kfir, Ran Spiegler ‘A Mechanism-Design Approach to Speculative Trade’ Econometrica 5/07

Elliott Robert, Cody Hyndman ‘Parameter Estimation in Commodity Markets: A Filtering Approach’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Elliott Robert, Tak Kuen Siu, Leunglung Chan ‘Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching’ Applied Mathematical Finance Vol. 14, #1 March 2007

Elton Edwin, Martin Gruber, T. Clifton Green ‘The Impact of Mutual Fund Family Membership on Investor Risk’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Embrechts Paul, Jan Grandell, Hanspeter Schmidli ‘Finite-Time Lundberg Inequalities in the Cox Case Scand. Actuar. J. 1993, No. 1

Engle Robert, Robert Ferstenberg ‘Execution Risk’ Journal of Portfolio Management Winter 2007

Engle Robert, Zheng Sun ‘When is Noise Not Noise - A Microstructure Estimate of Realized Volatility’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Eraker Bjorn ‘MCMC Analysis of Diffusion Models with Application to Finance’ Journal Of Business And Economic Statistics, 19:177–191, 2001 .

Ervin Vincent, Norbert Heuer, John Paul Roop ‘Numerical Approximation of a Time Dependent, Nonlinear, Space-Fractional Diffusion Equation’ SIAM Journal on Numerical Analysis April 2007

Escanciano Juan Carlos, Jose Olmo ‘Estimation Risk Effects on Backtesting for Parametric Value-at-Risk Models’ SSRN 3/07

Ewald Christian-Olivier, Klaus Schenk-Hoppe, Zhaojun Yang ‘Closed-Form Solutions for European and Digital Calls in the Hull and White Stochastic Volatility Model and Their Relation to Locally R-Minimizing and Delta Hedges’ Swiss Finance Institute Research Paper No. 07-11 SSRN 6/07

Fabozzi Frank, Petter Kolm, Dessislava Pachamanova, Sergio Focardi ‘Robust Portfolio Optimization and Management’ Wiley 2007

Fabozzi Frank, Petter N. Kolm, Dessislava Pachamanova, Sergio Focardi ‘Robust Portfolio Optimization’ Journal of Portfolio Management Spring 2007

Fabozzi Frank, Sergio Focardi, Caroline Jonas ‘Trends in Quantitative Equity Management: Survey Results’ Quantitative Finance, Volume 7 Issue 2 2007

Fabozzi Frank, Sergio Focardi, Petter Kolm ‘Financial Modeling of the Equity Market: From CAPM to Cointegration’ Wiley 2006

Fagiuoli E., F. Stella, A. Ventura ‘Constant Rebalanced Portfolios and Side-Information’ Quantitative Finance, Volume 7 Issue 2 2007

Falkenstein Eric ‘Why Risk is Not Related to Return’ SSRN 4/07 Fama Eugene, Kenneth French ‘Average Returns, B/M, and Share Issues’ <book to

value> 11/06 Fama Eugene, Kenneth French ‘Migration’ March/April FAJ 2007 <firm changes as grow

in size> Fang Y., R.  Wu 'Optimal Dividend Strategy in the Compound Poisson Model with

Constant Interest' Stochastic Models V. 23, #1, 2007 Farr Dorsey ‘Exploring the Dimensions of Active Management’ Journal of Portfolio

Management Fall 2006 Faseruk Alex, Lev Blynski ‘Comparison of the Effectiveness of Option Price

Forecasting: Black-Scholes vs. Simple and Hybrid Neural Networks’ Journal of Financial Management and Analysis, Vol. 19, No. 2, July-December 2006 SSRN 4/07

Fasshauer Greg ‘Meshfree Methods’ Fedyk Yuriy, Johan Walden ‘High-Speed Natural Selection in Financial Markets with

Large State Spaces’ SSRN 3/07 Feldhütter Peter ‘An Empirical Investigation of an Intensity-Based Model for

Pricing CDO Tranches’ SSRN 5/07 Feng Feng, Vadim Linetsky ‘Pricing Discretely Monitored Barrier Options and

Defaultable Bonds in Levy Process Models: A Fast Hilbert Transform Approach’ Mathematical Finance, Forthcoming 2007 <Esscher transform, discrete barrier options, first passage time problems, credit risk, defaultable bonds, Fourier transform, Hilbert transform, Whittaker cardinal series, Sinc expansion>

Feng Liming, Vadim Linetsky ‘Pricing Options in Jump-Diffusion Models: An Extrapolation Approach’ Operations Research, Forthcoming SSRN 6/07 <Bermuda, Barrier, V-G, PIDE>

Ferreira Miguel, Paul Laux ‘Corporate Governance, Idiosyncratic Risk, and Information Flow’ The Journal of Finance.   Apr 2007. Vol. 62

Feunou-Kamkui Bruno, Nour Meddahi ‘Realized Term Structure of Risk’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Finn David ‘Falling Paper and Flying Business Cards’ SIAM News May 2007 Fiori Roberta, Simonetta Iannotti ‘Scenario-Based Principal Component Valueat- Risk

When the Underlying Risk Factors Are Skewed and Heavy-Tailed: an Application to Italian Banks’ Interest Rate Risk Exposure’ Journal of Risk Vol 9, #3 2007

Fischel Daniel, Stanford Grossman ‘Customer Protection in Futures and Securities Markets’ Journal of Futures Markets, Vol. 4 (3), 1984, pp. 273-295.

Fitzsimmons Patrick, Jim Pitman, Marc Yor ‘Markovian Bridges: Construction, Palm Interpretation, and Splicing”. In Et Al., E. C., Editor, Seminar On Stochastic Processes, Pages 101–134. Birkhauser. Prog. Probab., Vol. 32. 1992 .

Fleming Wendell, Sanford Grossman, Jean-Luc Vila, Thaleia Zariphopoulou ‘Optimal Portfolio Rebalancing with Transaction Costs’ March 1990.

Flury Markus ‘Large Deviations and Phase Transition for Random Walks in Random Nonnegative Potentials’ SP&A tobe 2007

Forman Julie, Michael Sørensen ‘The Pearson Diffusions And Their Statistical Analysis’ Preprint No. 9, Department Of Applied Mathematics And Statistics, University Of Copenhagen. 2006 .

Francq Christian, Jean-Michel Zakoian ‘Quasi-Maximum Likelihood Estimation in GARCH Processes When Some Coefficients Are Equal to Zero’ SP&A tobe 2007

Franzoni Francesco, Jose M. Marin ‘Portable Alphas from Pension Mispricing’ Journal of Portfolio Management Summer 2006

Freire M.V., S. Popov, M. Vachkovskaia ‘Percolation for the Stable Marriage of Poisson and Lebesgue’ SP&A 4/07

Fries Christian ‘Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks’ SSRN 5/07

Fries Christian 'Mathematical Finance: Theory, Modeling, Implementation' 2007  Wiley Press

Fries Thomas-Peter, Hermann-Georg Matthies ‘Classication and Overview of Meshfree Methods’ <numerics> 7/04

Fujishige Satoru, Akihisa Tamura ‘A Two-Sided Discrete-Concave Market with Possibly Bounded Side Payments: An Approach by Discrete Convex Analysis’ Mathematics of Operations Research Feb 2007 32

Funke Christian, Timo Gebken, Lutz Johanning ‘Predictability of Supplier Returns After Large Customer Price Changes’ SSRN 5/07

Gabaix Xavier ‘A Unified Theory of Ten Financial Puzzles’ SSRN 4/07 Gabaix Xavier, Arvind Krishnamurthy, Olivier Vigneron ‘Limits of Arbitrage: Theory

and Evidence from the Mortgage-Backed Securities Market’ The Journal of Finance.   Apr 2007. Vol. 62

Gallmeyer Michael, Burton Hollifield, Francisco J. Palomino, Stanley E. Zin ‘Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models’ Commentary Pamela Labadie St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4

Gallo Giampiero, Margherita Velucchi ‘On the Interaction between Ultra-High Frequency Measures of Volatility’ Universita' di Firenze, Dipartimento di Statistica Econometrics Working Paper No. 2007-01 SSRN May 2007

Galluccio Stefano 'Beyond Black-Scholes: Semimartingales and Lévy Processes for Option Pricing' <Lévy processes, Fourier, Wavelet analysis> European Physical Journal B. 4/2001

Galtchouk L. ‘On the Reduction of a Multidimensional Continuous Martingale to a Brownian Motion’ Séminaire de Probabilités XXXVII 2003 #1832

Gamarnik David ‘On the Undecidability of Computing Stationary Distributions and Large Deviation Rates for Constrained Random Walks’ MATHEMATICS OF OPERATIONS RESEARCH 2007 32: 257-265 <Lyapnuov>

Gander Walter, Walter Gautschi ‘Adaptive Quadrature---Revisited’ BIT 40(1) 3/2000 Gapeev Pavel ‘Perpetual Barrier Options in Jump-Diffusion Models’ Stochastics

Volume 79 Issue 1 & 2 2007 Garcia João, Serge Goossens, Wim Schoutens ‘Let’s Jump Together Pricing of Credit

Derivatives: From Index Swaptions to CPPIs’ 5/8/07 <dynamic multivariate jump driven model in a credit setting, dynamic Lévy, Multivariate Variance Gamma (VG) model, for a series of correlated spreads, two step calibration procedure-swaptions, correlation matching>

Garcia René, Éric Renault, Georges Tsafack ‘Proper Conditioning for Coherent VaR in Portfolio Management’ Management Science March 2007, Volume 53, Issue 3

Gaver D.P. 'Observing Stochastic Processes, and Approximate Transform Inversion' Operations Research, Vol. 14, No. 3. (May - Jun., 1966)

Gharghori Philip, Madhu Veeraraghavan, Quin See ‘Is Difference of Opinion Among Investors a Source of Risk?’ SSRN 4/07

Ghosh Anisha ‘Realized Beta and the Conditional CAPM: A Time-Series Test When Risk Premia Are Time-Varying’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Ghysels Eric, Per Mykland, Eric Renault ‘In-Sample Asymptotics and Across-Sample Efficiency Gains for Volatility Measurement’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Giese Alexander, Jan Maruhn ‘Cost-Optimal Static Super-Replication of Barrier Options: an Optimization Approach’ Journal of Computational Finance V. 10, #3, March 2007

Giese Guido ‘Modelling CDO Tranches with Dependent Loss Given Default’ <stochastic loss given default> RISK June 2007

Glasserman Paul, Sira Suchintabandid ‘Correlation Expansions for CDO Pricing’ Journal of Banking and Finance Vol31, #5 May 2007 <normal copula, factor models>

Glasserman Paul, Wanmo Kang, Perwez Shahabuddin ‘Large Deviations in Multifactor Portfolio Credit Risk’ <Gaussian Copula> Pages 345–379 Mathematical Finance July 2007 - Vol. 17 Issue 3

Glowinski Roland ‘Finite Element Methods for Incompressible Viscous Flow’ in Handbook of Numerical Analysis Vol IX 2003

Gobet Emmanuel, Céline Labart ‘Error Expansion for the Discretization of Backward Stochastic Differential Equations’ SP&A tobe 2007

Gockenbach Mark ‘Understanding and Implementing the Finite Element Method’ SIAM books 2006

Goldberg Richard, James Read ‘Just Lucky? A Statistical Test for Option Backdating’ SSRN 4/07

Golden Linda, Mulong Wang, Chuanhou Yang ‘Handling Weather Related Risks Through the Financial Markets: Considerations of Credit Risk, Basis Risk, and Hedging’ Journal of Risk & Insurance, Vol. 74, Issue 2, pp. 319-346, June 2007 May 2007

Goldenberg David ‘Early Exercise Error and the Pricing of American Put Options’ SSRN 6/07

Goldfarb Donald, Garud Iyengar ‘Robust Portfolio Selection Problems’ Mathematics of Operations Research, 28.1, 2003

Goldfeld Stephen, Richard Quandt 'Nonlinear Methods in Econometrics' North Holland 1972

Goldfeld Stephen, Richard Quandt, Hal Trotter 'Maximization of Quadratic Hill-Climbing' Econometrica Vol 34, 1966

Goldreich David ‘Underpricing in Discriminatory and Uniform-Price Treasury Auctions’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Goller Christian 'The Economics of Risk and Time' MIT Press 2004 Gomes Joao, Leonid Kogan, Motohiro Yogo ‘Durability of Output and Expected Stock

Returns’ NBER Working Paper No. W12986 SSRN 3/07 Gonçalves Carlos Pedro dos Santos, Carlos Gonçalves ‘An Evolutionary Quantum Game

Model of Financial Market Dynamics - Theory and Evidence’ SSRN 4/07 González-Hernández Juan, Raquiel R. López-Martínez, J. Rubén Pérez-Hernández

‘Markov Control Processes with Randomized Discounted Cost’ Mathematical Methods of Operations Research Feb. 2007

Gorovoi Viatcheslav, Vadim Linetsky ‘Intensity-based Valuation of Residential Mortgages: An Analytically Tractable Model’ to appear in Mathematical Finance 2007

Gorska Rumiana ‘Decomposition of the Realized Rate of Return On Investment in Fixed-Income Securities’ SSRN 5/07

Gourieroux Christian, Joann Jasiak ‘The Econometrics of Individual Risk’ Princeton Press 2007

Grandell Jan ‘A Class of Approximations of Ruin Probabilities’ Scand. Actuar. J. 1977, Suppl.

Grandell Jan ‘A Note on Linear Estimation of the Intensity in a Doubly Stochastic Poisson Field’ J. Appl. Probability 8 1971

Grandell Jan ‘A Remark On: "A Class of Approximations of Ruin Probabilities"’ (Scand. Actuar. J. 1977 , Suppl. ). Scand. Actuar. J. 1978, No. 2,

Grandell Jan ‘Approximate Waiting Times in Thinned Point Processes’ Litovsk. Mat. Sb. 20 (1980), No. 4,

Grandell Jan ‘Aspects of Risk Theory’ Springer Series in Statistics. Probability And Its Applications. Springer-Verlag, New York, 1991. X+175 Pp. ISBN: 0-387-97368-0

Grandell Jan ‘Correction: "Point Processes and Random Measures"’ (Advances In Appl. Probability 9 (1977), No. 3, 502--526). Advances In Appl. Probability 9 (1977), No. 4,

Grandell Jan ‘Empirical Bounds for Ruin Probabilities’ Stochastic Process. Appl. 8 (1978/79), No. 3,

Grandell Jan ‘Finite Time Ruin Probabilities and Martingales. Informatica 2 (1991), No. 1,

Grandell Jan ‘On Risk Processes with Stochastic Intensity Function’ Astin Bull. 6 (1971/72)

Grandell Jan ‘On Stochastic Processes Generated by a Stochastic Intensity Function’ Skand. Aktuarietidskr. 1971, (1972).

Grandell Jan ‘On The Estimation of Intensities in a Stochastic Process Generated by a Stochastic Intensity Sequence’ J. Appl. Probability 9 (1972),

Grandell Jan ‘Ruin Probabilities in the "Nonrenewal" Case’ Proceedings Of The 1st World Congress Of The Bernoulli Society, Vol. 1 (Tashkent, 1986), VNU Sci. Press, Utrecht, 1987.

Grandell Jan ‘Some Remarks on the Ammeter Risk Process’ Schweiz. Verein. Versicherungsmath. Mitt. 1995, No. 1,

Grandell Jan ‘Statistical Inference for Doubly Stochastic Poisson Processes’ Stochastic Point Processes: Statistical Analysis, Theory, And Applications (Conf., IBM Res. Center, Yorktown Heights, N.Y., 1971), Wiley-Interscience, New York, 1972.

Grandell Jan, C.-O. Segerdahl ‘A Comparison of Some Approximations of Ruin Probabilities’ Skand. Aktuarietidskr. 1971, (1972).

Grandell Jan, Mats Hamrud, Peter Toll ‘A Remark on the Autoregressive Model’ IEEE Trans. Inform. Theory 26 (1980), No. 6,

Grandell Jan, Sven-Åke Widaeus ‘The Esscher Approximation Method’ Filip Lundberg Symposium On Risk Theory (Stockholm, 1968). Skand. Aktuarietidskr. 1969, Suppl. 3-4, (1971).

Grenadier Steven, Neng Wang ‘Investment under Uncertainty and Time-Inconsistent Preferences’ Journal of Financial Economics April 2007

Grochulski Borys 'Optimal Nonlinear Income Taxation with Costly Tax Avoidance' FRB Richmond Economic Quarterly Winter 2007

Gropp Reint, Arjan Kadareia ‘Stale Information, Shocks and Volatility’ SSRN 4/07 Grossman Sanford ‘A Characterization of the Optimality of Equilibrium in Incomplete

Markets’ Journal of Economic Theory, Vol. 15 (2), 1977, pp. 1-15. Grossman Sanford ‘A Proposal for the Reform of Disclosure Requirements for Managed

Futures’ Journal of Financial Engineering, Vol 2 (1), September 1992, pp. 55-58. Grossman Sanford ‘A Transaction Cost Based Model of Asset Risk Premia’ May 1983. Grossman Sanford ‘A Transactions Based Model of the Monetary Transmission

Mechanism, Part 2’ National Bureau of Economic Research, Inc., Working Paper No. 974, September 1982.

Grossman Sanford ‘An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies’ Journal of Business, Vol. 61 (3), July 1988, pp. 275-298.

Grossman Sanford ‘An Analysis of the Role of 'Insider Trading' on Futures Markets’ Journal of Business, Vol. 59 (2), II, April 1986, pp. 5129-5146.

Grossman Sanford ‘An Economic Analysis of Dual Trading’ Rodney L. White Center for Financial Research, Working Paper Number 33-89, 1989.

Grossman Sanford ‘An Introduction to the Theory of Rational Expectations Under Asymmetric Information’ Review of Economic Studies, Vol. 48, October 1981, pp. 541-559.

Grossman Sanford ‘Derivative Securities, Dynamic Hedging and Stock Market Volatility’ MTEC Journal, 1st issue, October 1988, pp. 1-15.

Grossman Sanford ‘Dynamic Leveraging Strategies and the Risk/Return Profile of Professionally Managed Futures -- Including a Commentary on Elton, Gruber, and Rentzier's Evaluation of Commodity Funds’ MFA Journal, Vol. 6 (2), 1991, pp. 51-56.

Grossman Sanford ‘Equilibrium under Uncertainty and Bayesian Adaptive Control Theory’ Adaptive Economic Models, eds. R. Day and T. Groves, Academic Press, New York, 1975, pp. 279-307.

Grossman Sanford ‘Further Results on the Informational Efficiency of Competitive Stock Markets’ Journal of Economic Theory, Vol. 18 (1), June 1978, pp. 81-101.

Grossman Sanford ‘Informational Portfolio Strategies for Dynamic Asset Allocation’ MTEC Journal, Vol 5, November 1992, pp. 3-15.

Grossman Sanford ‘Informational Tactical Asset Allocation’ MTEC Journal, 2nd issue, August 1989, pp. 7-24.

Grossman Sanford ‘Institutional Investing and New Trading Technologies’ prepared for the Market Volatility and Investor Confidence Panel of the NYSE, June 7, 1990.

Grossman Sanford ‘Insurance Seen and Unseen: The Impact on Markets’ The Journal of Portfolio Management, Vol. 14, Summer 1988, pp. 5-8.

Grossman Sanford ‘Market Liquidity and Trading Technology’ MTEC Journal, 3rd Issue, July 1990, pp. 7-17.

Grossman Sanford ‘Monetary Dynamics with Proportional Transactions Cost and Fixed Payment Periods’ New Approaches to Monetary Economics, eds. William Barnett and Kenneth Singleton, Cambridge University Press, 1987, pp. 3-40.

Grossman Sanford ‘Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs’ Econometrica, September 1981, pp. 1149-1172.

Grossman Sanford ‘On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information’ Journal of Finance, Vol. 31 (2), 1976, pp. 573-584.

Grossman Sanford ‘Program Trading and Market Volatility: A Report on Interday Relationships’ Financial Analysts Journal, July/August 1988, pp. 18-28.

Grossman Sanford ‘Program Trading and Stock and Futures Price Volatility’ Journal of Futures Markets, Vol. 8 (4), August 1988, pp. 413-419.

Grossman Sanford ‘Rational Expectations and the Economic Modelling of Markets Subject to Uncertainty: A Bayesian Approach’ Journal of Econometrics, Vol. 3 (3), 1975, pp. 255-272.

Grossman Sanford ‘Rational Expectations and the Informational Role of Prices’ Modern Business Cycle Theory, ed. Robert Barro, Harvard University Press, Cambridge, MA, 1989, pp. 128-152.

Grossman Sanford ‘The Case for Eliminating Position Limits on Financial Futures’ Journal of Financial Engineering, Vol. 2 (1), September 1992, pp. 39-42.

Grossman Sanford ‘The Existence of Future Markets, Noisy Rational Expectations and Informational Externalities’ Review of Economic Studies, Vol. 64 (3), October 1977, pp. 431-449.

Grossman Sanford ‘The Informational Role of Prices’ MIT Press, Cambridge, MA (1989) Grossman Sanford ‘Trading Technology and Financial Market Stability’ Innovation and

Technology in the Markets: A Reordering of the World's Capital Market Systems, ed. Daniel R. Siegel, Probus Publishing Company, Chicago, IL, 1990, pp. 47-57.

Grossman Sanford, Angelo Melino, Robert Shiller ‘Estimating the Continuous-Time Consumption-Based Asset-Pricing Model’ Journal of Business & Economic Statistics, Vol. 5 (3), July 1987, pp. 315-327.

Grossman Sanford, David Levhari, Leonard Mirman ‘Consumption under Uncertainty’ General Equilibrium, Growth, and Trade, eds. Green and Scheinkman, Academic Press, New York, 1979, pp. 105-124.

Grossman Sanford, Jean-Luc Vila ‘Optimal Dynamic Trading with Leverage Constraints’ with Jean-Luc Vila, Journal of Financial and Quantitative Analysis, Vol. 27 (2), June 1992, pp. 151-168.

Grossman Sanford, Jean-Luc Vila ‘Portfolio Insurance in Complete Markets: A Note’ The Journal of Business, Vol. 62 (4), October 1989, pp. 473-476.

Grossman Sanford, Joseph Stiglitz ‘Information and Competitive Price Systems’ American Economic Review, Vol. 66 (2), 1976, pp. 246-253.

Grossman Sanford, Joseph Stiglitz ‘On the Impossibility of Informationally Efficient Markets’ American Economic Review, Vol. 70 (3), June 1980, pp. 393-408.

Grossman Sanford, Joseph Stiglitz ‘On Value Maximization and Alternative Objectives of the Firm’ Journal of Finance, Vol. 32 (2), 1977, pp. 389-402.

Grossman Sanford, Joseph Stiglitz ‘Stockholder Unanimity in Making Production and Financial Decisions’ Quarterly Journal of Economics, Vol. 94 (3), May 1980, pp. 543-566.

Grossman Sanford, L. Weiss ‘Heterogeneous Information and the Theory of the Business Cycle’ Journal of Political Economy, Vol. 90 (4), August 1982, pp. 699-727.

Grossman Sanford, L. Weiss ‘Monetary Non-Neutrality When Prices are Observables’ Savings, Investment, and Capital Markets in an Inflationary Economy, eds.

Marshall Sarnal and Girogio Szego, Ballinger Publishing Co., Cambridge, MA, 1982, pp. 313-314.

Grossman Sanford, Motty Perry ‘Perfect Sequential Equilibrium’ Journal of Economic Theory, Vol. 39 (1), June 1986, pp. 97-119.

Grossman Sanford, Motty Perry ‘Sequential Bargaining Under Asymmetric Information’ Journal of Economic Theory, Vol. 39 (1), June 1986, pp. 120-154.

Grossman Sanford, Oliver Hart ‘A Theory of Competitive Equilibrium in Stock Market Economies’ Econometrica, Vol. 47 (2), March 1979, pp. 293-330.

Grossman Sanford, Oliver Hart ‘An Analysis of the Principal-Agent Problem’ Econometrica, Vol. 51 (1), January 1983, pp. 7-46.

Grossman Sanford, Oliver Hart ‘Corporate Financial Structure and Managerial Incentives’ The Economics of Information and Uncertainty, ed. John McCall, University of Chicago Press, Chicago, 1982, pp. 107-140.

Grossman Sanford, Oliver Hart ‘Implicit Contracts under Asymmetric Information’ Quarterly Journal of Economics, Vol. 98, 1983, pp. 123-156.

Grossman Sanford, Oliver Hart ‘Implicit Contracts, Moral Hazard and Unemployment’ American Economic Review, Vol. 71 (2), 1981, pp. 301-307.

Grossman Sanford, Oliver Hart ‘Takeover Bids, the Free-Rider Problem, and the Theory of the Corporation’ Bell Journal of Economics, Vol. 11 (1), Spring 1980, pp. 42-64.

Grossman Sanford, Oliver Hart ‘Take-Over Bids:The Managerial Theory of the Firm and the Free Rider Problem’ Contemporary Economic Analysis, Vol. 2, eds. David A. Currie, William Peters, and Croom Helm London, 1980, pp. 461-468.

Grossman Sanford, Robert Shiller ‘Consumption Correlatedness and Risk Measurement in Economies with Non-Traded Assets, and Heterogeneous Information’ Journal of Financial Economics, Vol. 10 (2), July 1982, pp. 195-210.

Grossman Sanford, Robert Shiller ‘The Determinants of the Variability of Stock Market Prices’ American Economic Review, Vol. 71 (2), 1981, pp. 222-227.

Grüne Lars, Willi Semmler ‘Asset Pricing with Dynamic Programming’ May 2007 Computational Economics

Gunzburger Max ‘Numerical Methods for Stochastic PDEs’ <conference report> SIAM News June 2007

Guo Xianping ‘Continuous-Time Markov Decision Processes with Discounted Rewards: The Case of Polish Spaces’ Mathematics of Operations Research Feb 2007 32

Guthrie Raeme ‘Missed Opportunities: Optimal Investment Timing When Information is Costly’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Güttler André, Mark Wahrenburg ‘The Adjustment of Credit Ratings in Advance of Defaults’ Journal of Banking and Finance Volume 31, Issue 3, March 2007

Gwilym Owain Ap, James Seaton, Karina Suddason, Stephen Thomas ‘Does the Fed Model Travel Well?’ Journal of Portfolio Management Fall 2006

Györfi László, András Urbán, István Vajda ‘Kernel-Based Semi-Log-Optimal Empirical Portfolio Selection Strategies’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Haberman Richard ‘Mathematical Models:Mechanical Vibrations, Population Dynamics and Traffic Flows’ SIAM Press 1998

Haigh Michael, Naomi Boyd, Bahattin Buyuksahin ‘Herding Among Large Speculative Traders in Futures Markets’ SSRN 4/07

Hamadène Said, Monique Jeanblanc ‘On the Starting and Stopping Problem: Application in Reversible Investments’ Mathematics of Operations Research Feb 2007 32

Hamerle Alred, Michael Knapp, Nicole Wildenauer ‘Default and Recovery Correlations - A Dynamic Econometric Approach’ RISK 3/07

Hammer Peter, Alexander Kogan, Miguel Lejeune ‘Reverse-Engineering Country Risk Ratings: Combination Non-Recursive Models’ SSRN 4/07

Han Bing ‘Stochastic Volatilities and Correlations of Bond Yields’ Journal of Finance June 2007

Han Chulwoo, Frank Park, Jangkoo Kang ‘Efficient Value-At-Risk Estimation for Mortgage-Backed Securities’ Journal of Risk Vol 9, #3 2007

Harel Arie, Giora Harpaz ‘Fair Actuarial Values for Deductible Insurance Policies in the Presence of Parameter Uncertainty’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

Harel Arie, Giora Harpaz, Jack Clark Francis ‘Pricing Securities with Exchange-Imposed Price Limits via Risk Neutral Valuation’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Harford Jarrad, Kai Li ‘Decoupling CEO Wealth and Firm Performance: The Case of Acquiring CEOs’ The Journal of Finance.   Apr 2007. Vol. 62

Harris Richard, Evarist Stoja, Jon Tucker ‘A Simplified Approach to Modeling the Co-Movement Of Asset Returns’ Journal of Futures Markets June 2007

Hasseltoft Henrik ‘The Long-Run Risk Model: Dynamics and Cyclicality of Interest Rates’ SSRN 6/07

Hatem Ben-Ameur, Michèle Breton, Lotfi Karoui, Pierre L’Ecuyer ‘A Dynamic Programming Approach For Pricing Options Embedded In Bonds’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Havil Justin 'Nonplussed !---Mathematical Proof of Implausible Ideas' Princeton 2007

Helmes Kurt, Richard Stockbridge ‘Linear Programming Approach to the Optimal Stopping of Singular Stochastic Processes’ Stochastics Volume 79 Issue 3 & 4 2007

Helwege Jean, Christo Pirinsky, Rene Stulz ‘Why Do Firms Become Widely Held? An Analysis of the Dynamics of Corporate Ownership’ Journal of Finance June 2007

Henrard Marc ‘CMS Swaps in Separable One-Factor Gaussian LLM and HJM Model’ SSRN 5/07

Henrard Marc ‘Skewed Libor Market Model and Gaussian HJM Explicit Approaches to Rolled Deposit Options’ Journal of Risk Volume 9 / Number 4  2007

Hens Thorsten, Peter Wöhrmann ‘Strategic Asset Allocation and Market Timing: A Reinforcement Learning Approach’ May 2007 Computational Economics

Herings P. Jean-Jacques, Felix Kubler ‘Approximate CAPM When Preferences are CRRA Computational Economics Volume 29, Number 1 / February, 2007

Hernández–Hernández Daniel, Alexander Schied ‘A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties’ SP&A tobe 2007

Herold Ulf, Raimond Maurer, Michael Stamos, Huy Thanh Vo ‘Total Return Strategies for Multi-Asset Portfolios’ Journal of Portfolio Management Winter 2007

Herzog Florian, Gabriel Dondi, Hans Geering, Hans ‘Stochastic Model Predictive Control and Portfolio Optimization’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

Herzog Florian, Gabriel Dondi, Simon Keel, Lorenz Schumani, Hans Geering ‘Solving ALM Problems Via Sequential Stochastic Programming’ Quantitative Finance, Volume 7 Issue 2 2007

Hetzel Robert 'The Contributions of Milton Friedman to Economics' FRB Richmond Economic Quarterly Winter 2007

Higham Desmond, Xuerong Mao, Chenggui Yuan ‘Almost Sure and Moment Exponential Stability in the Numerical Simulation of Stochastic Differential Equations’ SIAM J. Numerical Analysis April 2007 < almost sure and small-moment stability , time step to zero, backward Euler; Euler–Maruyama; implicit; one-sided Lipschitz condition; linear growth condition; Lyapunov exponent; stochastic theta method>

Hill Joanne ‘Alpha as a Net Zero-Sum Game’ Journal of Portfolio Management Summer 2006

Hirano K. ‘On the Maximum of a Diffusion Process in a Random Lévy Environment’ Séminaire de Probabilités XXXVII 2003 #1832

Hiriart-Urruty Jean-Baptiste ‘Potpourri of Conjectures and Open Questions in Nonlinear Analysis and Optimization’ SIAM Review June 2007, V. 49, #2

Hoberg Gerard ‘The Underwriter Persistence Phenomenon’ Journal of Finance June 2007 Hol Suzan, Sjur Westgaard , Nico van der Wijst, Tom Farmen ‘Default Risk and its

Greeks under an Objective Probability Measure’ SSRN 4/07

Homescu Chris, Linda R. Petzold, Radu Serban ‘Error Estimation for Reduced-Order Models of Dynamical Systems’ SIAM Review June 2007, V. 49, #2

Hong Harrison, Jeremy Stein, Jialin Yu ‘Simple Forecasts and Paradigm Shifts’ Journal of Finance June 2007

Hou Kewei, Lin Peng, Wei Xiong ‘A Tale of Two Anomalies: The Implication of Investor Attention for Price and Earnings Momentum’ SSRN 4/07

Howison Sam ‘A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options’ Applied Mathematical Finance Vol. 14, #1 March 2007

Howison Sam, Mario Steinberg ‘A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options’ Applied Mathematical Finance Vol. 14, #1 March 2007

Hsuku Yuan-Hung ‘Dynamic Consumption and Asset Allocation with Derivative Securities’ Quantitative Finance, Volume 7 Issue 2 2007

Huang Jennifer, Kelsey Wei, Hong Yan ‘Participation Costs and the Sensitivity of Fund Flows to Past Performance’ Journal of Finance June 2007

Huang Shirley, Jun Yu ‘On Stiffness in Affine Asset Pricing Models’ Journal of Computational Finance V. 10, #3, March 2007

Huang Xin ‘Macroeconomic News Announcements, Financial Market Volatility and Jumps’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Huehne Florian ‘Defaultable Lévy Libor Rates and Credit Derivatives’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Huge Brian Norsk, Niels Rom-Poulsen ‘An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices’ Journal of Derivatives Summer 2007

Hull John ‘The Power Law’ <Extreme Tail Loss Distribution> RISK 3/07 Hull John ‘VAR versus Expected Shortfall’ RISK 3/07 Hur Jungshik, Vivek Sharma ‘Stock Market Returns and Size Premium’ SSRN 3/07 Hurd Tom, Alexey Kuznetsov ‘Affine Markov Chain Model of Multifirm Credit

Migration’ Vol 3 #1 2007, Journal of Credit Risk Hurn Stan, Joseph Jeisman, Kenneth Lindsay ‘Seeing the Wood for the Trees: A

Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations’ 2006

Hurn Stan, Joseph Jeisman, Kenneth Lindsay ‘Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of SDEs by Numerical Solution of the Fokker-Planck Equation’ 2006

Hurn Stan, Joseph Jeisman, Kenneth Lindsay ‘Transitional Densities of Diffusion Processes: A New Approach to Solving the Fokker-Planck Equation’ Journal of Derivatives Summer 2007 <PDF, CDF, likelihood> <option-pricing>

Hurst Simon, Eckhard Platen, Svetlozar Rachev 'Subordinated Market Index Models: a Comparison' Financial Engineering and the Japanese Markets 4, 1997

Ikonen Samuli, Jari Toivanen ‘Componentwise Splitting Methods for Pricing American Options Under Stochastic Volatility’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2 , wp 11/05 <Option-American> <Heston, Strang symmetrization>

Ilinski Kirill, Oleg Soloviev ‘Stochastic Volatility Membrane’ Wilmott 2007 <implied volatility surface>

Infanger Gerd ‘Stochastic Programming for Funding Mortgage Pools’ Quantitative Finance, Volume 7 Issue 2 2007

Ingber Lester ‘Real Options for Project Schedules (ROPS)’  SSRN 4/07 Inoue Akihiko, Yumiharu Nakano ‘Optimal Long-Term Investment Model with Memory’

Applied Mathematics and Optimization V. 55, #1 2007 Irala Lokanandha, Prakash Patil ‘Portfolio Size and Diversification’ SSRN 4/07 Isaenko Sergey ‘Dynamic Equilibrium with Overpriced Put Options’ Economic Notes,

Vol. 36, Issue 1, pp. 1-26, February 2007  Istas Jacques ‘Quadratic Variations of Spherical Fractional Brownian Motions’ SP&A

4/07

Jacka Saul, Abdelkarem Berkaoui ‘On the Density of Properly Maximal Claims in Financial Markets with Transaction Costs’ Ann. App. Prob. April 2007

Jacobs Bruce, Kenneth Levy ‘Enhanced Active Equity Strategies’ Journal of Portfolio Management Spring 2006

Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Financial Market Simulation’ J. Portfolio Management 9/04

Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Portfolio Optimization with Factors, Scenarios and Realistic Short Positions’ Operations Research July/Aug 2003

Jacobs Bruce, Kenneth Levy, Harry Markowitz ‘Trimability and Fast Optimization of Long-Short Portfolios’ FAJ March/April 2006

Jacobs Bruce, Kenneth Levy, Harry Markowitz, David Starer ‘Optimization and Neutrality of Long-Short Portfolios’ Jacobs Levy Equity Management, Florham Park, NJ.

Jacobsen Martin, Anders Tolver Jensen ‘Exit Times for a Class of Piecewise Exponential Markov Processes with Two-Sided Jumps’ SP&A tobe 2007

Jacod Jean, Philip Protter ‘Risk Neutral Compatibility with Option Prices’ 2006 Jacquier Eric, Michael Johannes, Nicolas Polson ‘MCMC Maximum Likelihood for Latent

State Models’ <simulated annealing, jumps, diffusion, stochastic volatility> Journal of Econometrics April 2007

Jaffee Dwight, Andrei Shleifer ‘Costs of Financial Distress, Delayed Calls of Convertible Bonds, and the Role of Investment Banks’ NBER Working Paper No. W2558 SSRN 4/07

Jain Kamal ‘A Polynomial Time Algorithm for Computing an Arrow--Debreu Market Equilibrium for Linear Utilities’ SIAM J. Computing 5/07

Jakubowski Jacek, Jerzy Zabczyk ‘Exponential Moments for HJM Models with Jumps’ p. 429-445 Finance and Stochastics Volume 11, Number 3 / July, 2007

Jakubowski Tomasz ‘The Estimates of the Mean First Exit Time from a Ball for the alpha-Stable Ornstein–Uhlenbeck Processes’ SP&A tobe 2007

Jamdee Sutthisit, Cornelis Los ‘Dynamic Risk Profile of the U.S. Term Structure by Wavelet MRA’ International Research Journal of Finance and Economics Issue 5, 2006 <multi-resolution analysis>

Jarrow Robert, Haitao Li, Sheen Liu, Chunchi Wu ‘Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence’ SSRN 3/07

Ji Tingting ‘Essays on Consumer Portfolio Choice and Credit Risk’ Ohio State University and KPMG LLP SSRN 5/07

Jiang Danling ‘Cross-Sectional Dispersion of Firm Valuations and Expected Returns’ SSRN 4/07

Jiang George ‘Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index’ Journal of Derivatives Spring 2007

Jin Xing, Hwee Huat Tan, Junhua Sun ‘A State-Space Partitioning Method for Pricing High-Dimensional American-Style Options’ <Tilley's Bundling Algorithm, Quasi-Random, Dynamic Programming, 15 Dimensions> Pages 399–426 Mathematical Finance July 2007 - Vol. 17 Issue 3

Jofré Alejandro, R. Terry Rockafellar, Roger J-B. Wets ‘Variational Inequalities and Economic Equilibrium’ Mathematics of Operations Research Feb 2007 32

Johannes Michael, Nick Polson ‘Particle Filtering and Parameter Learning’ SSRN 5/07 Johnson Oliver ‘Log-Concavity and the Maximum Entropy Property of the Poisson

Distribution’ SP&A tobe 2007 Jones Charles, Jack Wilson ‘Using the Supply-Side Approach to Understand and

Estimate Equity Returns’ Journal of Portfolio Management Fall 2006 Jones Robert, Terence Lim, Peter Zangari ‘The Black-Litterman Model for Structured

Equity Portfolios’ Journal of Portfolio Management Winter 2007 Jorion Philippe, Gaiyan Zhang ‘Information Effects of Bond Rating Changes: The Role

of the Rating Prior to the Announcement’ Journal of Fixed Income Spring 2007 Joshi Mark ‘Achieving Higher Order Convergence for the Prices of European Options

in Binomial Trees’ SSRN 4/07

Kacperczyk Marcin, Amit Seru ‘Fund Manager Use of Public Information: New Evidence on Managerial Skills’ The Journal of Finance.   Apr 2007. Vol. 62

Kalemanova Anna, Bernd Schmid, Ralf Werner ‘The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing’ Journal of Derivatives Spring 2007

Kalnina Ilze Kalnina, Oliver Linton ‘Conducting Inference For Realised Variance Using Infill Subsampling’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Karpowicz Anna, Krzysztof Szajowski ‘Double Optimal Stopping of a Risk Process’ Stochastics Volume 79 Issue 1 & 2 2007

Kent John ‘Time-Reversible Diffusions’ Adv. Appl. Prob., 10:819–835. 1978 . Keppo Jussi, Xu Meng, Michael Sullivan ‘A Computational Scheme for the Optimal

Strategy in an Incomplete Market’ Journal of Economic Dynamics and Control, Forthcoming 2007

Khasminskii Rafail, Chao Zhu, Gang George Yin ‘Stability of Regime-Switching Diffusions’ SP&A tobe 2007

Khoshnevisan D. ‘The Codimension of the Zeros of a Stable Process in Random Scenery’ Séminaire de Probabilités XXXVII 2003 #1832

Kirchler Michael, Jürgen Huber ‘Fat Tails and Volatility Clustering in Experimental Asset Markets’ Journal of Economic Dynamics and Control V. 31, #6 June 2007

Kirchler Michael, Jürgen Huber ‘Fat Tails and Volatility Clustering in Experimental Asset Markets’ Journal of Economic Dynamics and Control June 2007

Kjaergaard Lars ‘Modelling Inflation’ Three factor Gaussian HJM , Jarrow Yildirim, interest rates, calibrated> RISK June 2007

Klasa Sandy ‘Why Do Controlling Families of Public Firms Sell Their Remaining Ownership Stake?’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Kling Arnold ‘Interest-Only/Principal-Only Mortgage-Backed Strips: A Valuation and Risk Analysis’ NBER Working Paper No. W2340 SSRN 3/07

Klüppelberg Claudia, Serguei Pergamenchtchikov ‘Extremal Behaviour of Models with Multivariate Random Recurrence Representation’ SP&A 4/07

Kocherlakota Narayana ‘Model Fit and Model Selection’ Commentary Lee Ohanian St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4

Koh Annie, Richard Levich ‘Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence’ NBER Working Paper No. W3055 SSRN 4/07

Kohlmann Michael, Christina Niethammer ‘On Convergence to the Exponential Utility Problem’ SP&A tobe 2007

Komzsik Louis 'Approximation Techniques for Engineers' 2007 CRC Press Kondor Imre, Szilárd Pafka, Gábor Nagy ‘Noise Sensitivity of Portfolio Selection

Under Various Risk Measures’ Journal of Banking and Finance Vol 31, #5 May 2007 Kozhemiakin Alexander ‘The Risk Premium of Corporate Bonds’ Journal of Portfolio

Management Winter 2007 Koziol Christian, Peter Sauerbier ‘Valuation of Bond Illiquidity: An Option-

Theoretical Approach’ Journal of Fixed Income Spring 2007 Krishnan C.N.V. Peter Ritchken, James B. Thomson ‘Predicting Credit Spreads’ SSRN

6/07 Kristian Debrabanta Kristian, Andreas Rößler ‘Continuous Weak Approximation for

Stochastic Differential Equations’ <Milstein, Runge-Kutta> to be 2007  Journal of Computational and Applied Mathematics 

Kritzman Mark ‘Are Optimizers Error Maximizers?’ Journal of Portfolio Management Summer 2006

Kritzman Mark, Lee Thomas ‘Re-Engineering Investment Management’ J. Portfolio Management 9/04

Kritzman Mark, Simon Myrgren, Sebastien Page ‘Optimal Execution for Portfolio Transitions’ Journal of Portfolio Management Spring 2007

Kritzman Mark, Simon Myrgren, Sebastien Page ‘Portfolio Rebalancing: A Test of the Markowitz-Van Dijk Heuristic’ SSRN 4/07

Kritzman Mark, Simon Myrgren, Sebastien Page’Implementation Shortfall’ Journal of Portfolio Management Fall 2006

Küchler Uwe, Michael Sørensen ‘Exponential Families Of Stochastic Processes’ 1977 Springer, New York. .

Küchler Uwe, Michael Sørensen ‘Statistical Inference for Discrete-Time Samples from Affine Stochastic Delay Differential Equations’ 2007

Kühn Christoph, Andreas Kyprianou, Kees Van Schaik ‘Pricing Israeli Options: a Pathwise Approach’ Stochastics Volume 79 Issue 1 & 2 2007

Kunieda Takuma ‘Asset Bubbles and Borrowing Constraints’ SSRN 5/07 La Chioma Claudia, Benedetto Piccoli ‘Heath–Jarrow–Morton Interest Rate Dynamics

And Approximately Consistent Forward Rate Curves’ <Nonlinear Nelson–Siegel Family> Pages 427–447 Mathematical Finance July 2007 - Vol. 17 Issue 3

Lacey Nelson, Sanjay Nawalkha ‘Convexity, Risk, and Returns’ SSRN 5/07 Lachal A. ‘Application De La Théorie Des Excursions À L'intégrale Du Mouvement

Brownien’ Séminaire de Probabilités XXXVII 2003 #1832 Lain Lei, Federico Bandi ‘How Effective Are Realized Effective Spreads?’ Conference

on Volatility and High Frequency Data Chicago, April 21-22, 2007 Lam Swee-Sum, Ruth Seow-Kuan Tan, Glenn Tsao-Min Wee ‘Initial Public Offerings of

State-Owned Enterprises: An International Study of Policy Risk’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Lambrecht Bart, StewartMyers ‘A Theory of Takeovers and Disinvestment’ The Journal of Finance.   Apr 2007. Vol. 62

Lasfer Meziane, Sharon Lin, Yaz Gulnur Muradoglu ‘Market Behaviour of Foreign Versus Domestic Investors Following a Period of Stressful Circumstances’ SSRN 3/07

Ledoux M. ‘A Remark on Hypercontractivity and Tail Inequalities for the Largest Eigenvalues of Random Matrices’ Séminaire de Probabilités XXXVII 2003 #1832

Lee Jyh-Huei, Dan Stefek, Alexander Zhelenyak ‘Robust Portfolio Optimization---A Closer Look’ BARRA 6/06

Lee Suzanne ‘Jumps and Information Flow in Financial Markets’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Lehmann Bruce, David Modest ‘The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests’ NBER Working Paper No. W1725 SSRN 4/07

Leibowitz Martin, Anthony Bova ‘Gathering Implicit Alphas in a Beta World‘ Journal of Portfolio Management Spring 2007

Leizarowitz Arie, Alexander Zaslavski ‘Uniqueness and Stability of Optimal Policies of Finite State Markov Decision Processes’ Mathematics of Operations Research Feb 2007 32

Lejay A. ‘An Introduction to Rough Paths’ Séminaire de Probabilités XXXVII 2003 #1832 #1832

Leland Hayne ‘Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spinoffs, and Structured Finance’ The Journal of Finance.   Apr 2007. Vol. 62

Leon Angel, Javier Mencia, Enrique Sentana ‘Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation’ SSRN 4/07

Lerner Josh, Antoinette Schoar, Wan Wongsunwai ‘Smart Institutions, Foolish Choices: The Limited Partner Performance Puzzle’ The Journal of Finance.   Apr 2007. Vol. 62

LeVeque Randall ‘Finite Difference Methods for Ordinary and Partial Differential Equations:Steady-State and Time-Dependent Problems’ SIAM Press 2007

Levy Andre, Peter Swan ‘Optimal Portfolio Balancing Under Conventional Preferences and Transaction Costs Explains the Equity Premium Puzzle’ SSRN 3/07

Levy Gilat, Ronny Razin ‘On the Limits of Communication in Multidimensional Cheap Talk: A Comment’ Econometrica 5/07

Levy Moshe, Golan Benita, Haim Levy ‘Financial Disclosure and Regulation’ Journal of Portfolio Management Winter 2006

Lewis Alan ‘Option Valuation under Stochastic Volatility: Volume II’ Finance Press, Newport Beach (2007 forthcoming)

Lewis Alan 'Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models'  Feb 26, 2007 <small-time asymptotics for arbitrary stochastic volatility models using a tranversality condition>

Li Juan, Shanjian Tang ‘A Local Strict Comparison Theorem and Converse Comparison Theorems for Reflected Backward Stochastic Differential Equations’ SP&A tobe 2007

Li Minqiang ‘The Impact of Return Nonnormality on Exchange Options’ SSRN 4/07 Li Oi, Jeffrey Racine 'Nonparametric Econometrics:Theory and Practice' Princeton

Press 2007 <Kernel, semi-parametric, time series, simultaneous equation, panel data>

Li Xiafei, Chris Brooks, Joelle Miffre ‘The Value Premium and Time-Varying Unsystematic Risk’ SSRN 5/07

Li Yingying, Per Mykland ‘Robustness of Volatility Estimators’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Lillestøl Jostein ‘Fat and Skew:Can NIG Cure? On the Prospects of Using the Normal Inverse Gaussian Distribution in Finance’ 1998 Norweigian School of Econ.

Lin Chen-Miao, Stephen Smith ‘Hedging, Financing, and Investment Decisions: a Simultaneous Equations Framework’ The Financial Review, Forthcoming 4/07

Lin J. Barry, Christos Pantzalis Jung Chul Park ‘Corporate Use of Derivatives and Excess Value of Diversification’ Journal of Banking and Finance Volume 31, Issue 3, March 2007

Lindset Snorre, Arne-Christian Lund ‘A Monte Carlo Approach for the American Put Under Stochastic Interest Rates’ Journal Economic Dynamics and Control April 2007

Litterman Robert ‘The Active Risk Puzzle:Implications for the Asset Management Industry’ J. Portfolio Management 9/04

Litterman Robert 'Beyond Equilibrium:The Black-Litterman Approach' in Modern Investment Management:An Equilibrium Approach Wiley Press 2003

Liu Hening ‘Dynamic Asset Allocation under Ambiguity for Unobservable Regime-Switching Mean Returns’ SSRN 6/07

Liu Hening ‘Dynamic Asset Allocation under Ambiguity for Unobservable Regime-Switching Mean Returns’ SSRN 6/07

Liu Xiaoquan, Mark Shackleton, Stephen Taylor, Xinzhong Xu ‘Closed-Form Transformations from Risk-Neutral to Real-World Distributions’ Journal of Banking and Finance Vol 31, #5 May 2007

Lo Andrew, Archie Craig MacKinlay ‘Stock Prices Do Not Follow Random Walks:Evidence from a Simple Specification Test’ Review of Financial Studies (1) 1988

Lord Gabriel, Tony Shardlow ‘Postprocessing for Stochastic Parabolic Partial Differential Equations’ SIAM Journal on Numerical Analysis Volume 45 Issue 2, Pages 870-889, 2007 <stochastic exponential integrator; postprocessing; numerical solution, implicit Euler–Maruyama, Galerkin approximation>

Lord Roger, Christian Kahl 'Optimal Fourier Inversion in Semi-Analytical Option Pricing' SSRN May 2007 <option-numeric <Variance-Gamma,V-G, Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations>

Lord Roger, Remmert Koekkoek, Dick J.C. Van Dijk ‘A Comparison of Biased Simulation Schemes for Stochastic Volatility Models  < Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour, simulation method better than Broadie & Kaya > SSRN May 2007

Loukoianova Elena, Salih Neftci, Sunil Sharma ‘Pricing and Hedging of Contingent Credit Lines’ Journal of Derivatives Spring 2007

Lukacs Eugene ‘Characteristic Functions’ 2nd Ed. Griffin Press 1970 Lyons Terry, Zhongmin Qian 'System Control and Rough Paths' Oxford Press 20002 Macey-Dare Rupert ‘Barrier-Lookback Options and Target Zone Reserves’ SSRN 5/07 Macey-Dare Rupert ‘Expected Loss Balance of Probability Theorem’ SSRN 6/07

Mackay Peter, Sara B. Moeller ‘The Value of Corporate Risk Management’ Journal of Finance June 2007

Mackenzie Dana ‘Mathematicians Confront Climate Change’ SIAM News June 2007 Mahani Reza, Dan Bernhardt ‘Financial Speculators' Underperformance: Learning,

Self-Selection, and Endogenous Liquidity’ Journal of Finance June 2007 Mahieu Ronald, Ying Xu ‘Hedging With Interest Rate and Credit Derivatives by Banks’

SSRN 3/07 Maio Paulo ‘ICAPM with Time-Varying Risk Aversion’ SSRN 6/07 Malamud Semyon, Eugene Trubowitz ‘A Unified Approach to Market Incompleteness’ SSRN

6/07 Malamud Semyon, Eugene Trubowitz ‘Asset Prices and Insurance Loadings’ SSRN 4/07 Markose Sheri, Jasmina Arifovic, Shyam Sunder ‘Advances In Experimental And Agent-

Based Modelling: Asset Markets, Economic Networks, Computational Mechanism Design And Evolutionary Game Dynamics’ Journal of Economic Dynamics and Control V. 31, #6 June 2007

Markowitz Harry ‘Market Equilibrium in Non-CAPM World’ presentation 2006 Marosi András, Nadia Massoud ‘Why Do Firms Go Dark?’ Journal of Financial and

Quantitative Analysis Vol. 42, No. 2, June 2007 Marquardt D. 'An Algorithm for Least Squares Estimation of Nonlinear Parameters'

Journal of SIAM Vol 2 1963 Martin Duncan, Chris Marrison ‘Credit Risk Contagion’ <default, Merton Portfolio

model> RISK April 2006 Mauceri Christian, Diem Ho ‘Clustering by Kernel Density’ Computational Economics

Volume 29, Number 2 / March, 2007 Meidner Dominik, Boris Vexler ‘Adaptive Space-Time Finite Element Methods for

Parabolic Optimization Problems’ SIAM Journal on Control and Optimization March 2007

Meilijson I. ‘The Time to a Given Drawdown in Brownian Motion’ Séminaire de Probabilités XXXVII 2003 #1832

Mercurio Fabio ‘No-Arbitrage Conditions for Cash-Settled Swaptions’ 2007 Mermin N. David ‘What Has Quantum Mechanics to do with Factoring?’ Physics Today

April 2007 <cryptography> <value is speed in finding cycles---like modulo, not factoring>

Meucci Attilio ‘Risk Contributions from Generic User-Defined Factors’ <regression to decompose Volatility, Value-At-Risk, Expected Shortfall, Principal Components> RISK June 2007

Miermont G., J. Schweinsberg ‘Self-Similar Fragmentations and Stable Subordinators’ Séminaire de Probabilités XXXVII 2003 #1832

Milevsky Moshe Arye, Andrew Aziz, Allen Goss, Jane Comeault (Thompson), David Wheeler ’Cleaning a Passive Index’ Journal of Portfolio Management Spring 2006

Miller Guy ‘Needles, Haystacks, and Hidden Factors’ Journal of Portfolio Management Winter 2006

Milstein Gregori, John Schoenmakers, Vladimir Spokoiny ‘Forward and Reverse Representations for Markov Chains’ SP&A tobe 2007

Mishra A. ‘The Market Reaction to Stock Splits — Evidence from India’ International Journal of Theoretical & Applied Finance, Mar2007, Vol. 10 Issue 2

Mishra S.K. ‘The Nearest Correlation Matrix Problem: Solution by Differential Evolution Method of Global Optimization’ SSRN 4/07

Mizrach Bruce ‘Recovering Probabilistic Information from Options Prices and the Underlying’ SSRN 3/07

Molenkamp Jan Bertus ‘Model-Based Transition Management’ Journal of Portfolio Management Fall 2006

Mönnigmann Martin, Wolfgang Marquardt, Christian H. Bischof, Thomas Beelitz, Bruno Lang, Paul Willems ‘A Hybrid Approach for Efficient Robust Design of Dynamic Systems’ SIAM Review June 2007, V. 49, #2

Morana Claudio ‘Estimating, Filtering and Forecasting Realized Betas’ The Journal of Financial Forecasting, Forthcoming SSRN 4/07

Morana Claudio, Richard Baillie ‘Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach’ SSRN 3/07

Mortell Michael, Robert O’Malley, Alexei Pokrovskii, Vladimir Sobolev (ed) ‘Singular Perturbations and Hysteresis’ 2005 SIAM Press

Mountford T. ‘Brownian Sheet Local Time and Bubbles’ Séminaire de Probabilités XXXVII 2003 #1832

Mulvey John, Cenk Ural, Zhuojuan Zhang ‘Improving Performance for Long-Term Investors: Wide Diversification, Leverage, and Overlay Strategies’ Quantitative Finance, Volume 7 Issue 2 2007

Muthuraman Kumar ‘A Computational Scheme for Optimal Investment – Consumption with Proportional Transaction Costs’ Rates’ Journal Economic Dynamics and Control April 2007

Mykland Per, Lan Zhang ‘Partial Likelihood in Volatility Estimation’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Nakata Hiroyuki ‘A Model of Financial Markets with Endogenously Correlated Rational Beliefs’ Vol 30, # 3 March 2007 Economic Theory

Nanda Sudhir, Donald Peters ‘A Very Long-Term Buy-and-Hold Portfolio’ Journal of Portfolio Management Spring 2006

Nawalkha Sanjay ‘A Contingent Claims Analysis of the Interest Rate Risk Characteristics of Corporate Liabilities’ Financial Management Association International Annual Meeting, October 1995, New York

Nawalkha Sanjay ‘Arbitrage and Equilibrium Foundations of the Duration Risk Measure’ SSRN 4/07

Nawalkha Sanjay ‘Is the Arbitrage Pricing Theory Dead?’ SSRN 5/07 Nawalkha Sanjay ‘Simple Formulas for Financial Analysts for Pricing Zero-Dividend

and Positive-Dividend Stocks’ SSRN 4/07 Nawalkha Sanjay ‘The Duration Vector: a Continuous-Time Extension to Default-Free

Interest Rate Contingent Claims’ SSRN 5/07 Nawalkha Sanjay, Gloria Soto ‘Simple Formulas for Pricing Eurodollar/Euribor

Futures Using Preference-Free Multifactor Affine and Quadratic Models’ SSRN 5/07 Nawalkha Sanjay, Natalia Beliaeva ‘Efficient Trees for CIR and CEV Short Rate

Models’ SSRN 4/07 Nawalkha Sanjay, Natalia Beliaeva, Gloria M. Soto ‘Preference-Free Time-Homogeneous

USV Models for Pricing Fixed Income Derivatives’ SSRN 5/07 Nawalkha Sanjay, Natalia Beliaeva, Gloria Soto ‘A New Taxonomy of the Dynamic Term

Structure Models’ SSRN 5/07 Nawalkha Sanjay, Natalia Beliaeva, Gloria Soto ‘Simple Formulas for Pricing Credit

Default Swaps Using Preference-Free Multifactor Affine and Quadratic Models’ SSRN 5/07

Nayak Suhas ‘An Equilibrium-Based Model of Stock-Pinning’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Nekrasov Vasily ‘Comments on “Fourier Series Method for Measurement of Multivariate Volatilities” by P. Malliavin and M. E. Mancino’ SSRN May 2007

Nelson Edward ‘Milton Friedman and U.S. Monetary History: 1961-2006’ FRB St. Louis Review May/June 2007

Nielsen Lars Tyge ‘Dividends in the Theory of Derivatives Security Pricing’  Vol. 31, #3, June 2007 Economic Theory

Nikeghbali Ashkan ‘Non-Stopping Times and Stopping Theorems’ SP&A 4/07 Nishimura Kazuo, John Stachurski ‘Stochastic Optimal Policies When the Discount

Rate Vanishes’ Journal Economic Dynamics and Control April 2007 Novikov Alexander, Albert Shiryaev ‘On a Solution of the Optimal Stopping Problem

for Processes with Independent Increments’ Stochastics Volume 79 Issue 3 & 4 2007

Nualart David ‘Noncausal Stochastic Integrals and Calculus’ . L.N.M., 1516, 1988.  Nualart David, Etienne Pardoux ‘Stochastic Calculus with Anticipating Integrands’

Probability Theory and Related Fields. 78,  1988

Nualart David, Moshe Zakai ‘On the Relation Between the Stratonovich and Ogawa Integrals’  Ann.Proba. 17, 1989

Nualart David, Suleyman Ustunel, Moshe Zakai 'On the Moments of a Multiple Wiener-Ito Integral and the Space Induced by the Polynomials of the Integral' Stochastics 25, No.4, 233-240 (1988).

Obloj Jan ‘An Explicit Solution to the Skorokhod Embedding Problem for Functionals of Excursions of Markov Processes’ SP&A 4/07

OCinneide Colm, Bernd Scherer, Xiaodong Xu ‘Pooling Trades in a Quantitative Investment Process’ Journal of Portfolio Management Summer 2006

Oertel Frank 'The Stochastic Logarithm of Semimartingales and Market Price of Risk Processes' 9/06

Ozbas Oguzhan, Lior Menzly ‘Market Segmentation and Cross-Predictability of Returns’ SSRN May 2007

Pachamanova Dessislava ‘Handling Parameter Uncertainty in Portfolio Risk Minimization’ Journal of Portfolio Management Summer 2006

Paganopoulos Stylianos, Peter Taylor ‘Deriving the Three-Factor Model of Fama & French (1993)’ SSRN 6/07

Palia Darius, Yaxuan Qi, Yangru Wu ‘The Empirical Importance of Background Risks’ SSRN 3/07

Pan Xia ‘The Linear Dependence and Feedback Spectra Between Stock Market and Economy’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Papapantoleon Antonis ‘An Introduction to Lévy Processes With Applications in Finance’ <Lévy-Khintchine Formula, Lévy-Ito Decomposition>

Parke William, George Waters ‘An Evolutionary Game Theory Explanation of ARCH Effects’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Peiris Shelton, David E. Allen, Wenling Joey Yang ‘An Examination of the Role of Time and its Impact on Price Revision’ SSRN 4/07

Perold André ‘The Capital Asset Pricing Model’ J. Economic Perspectives V. 18, #3 9/04 <CAPM>

Perrson J., L. von Sydow ‘Pricing European Options Using a Space-Time Adaptive FD-Method’ tobe Comp. Vis. Sci. 2005

Pesavento Elena, Barbara Rossi ‘Impulse Response Confidence Intervals For Persistent Data: What Have We Learned?’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Pfeiffer Thomas, Georg Schneider ‘Residual Income-Based Compensation Plans for Controlling Investment Decisions Under Sequential Private Information’ Management Science March 2007, Volume 53, Issue 3

Phillips Peter ‘A Model of the IPO Process where Underpricing Can Be the Equilibrium Outcome’ SSRN 4/07

Pironneau Olivier, Frederic Hecht ‘Mesh Adaption for the Black and Scholes Equations’ East-West J. Numer. Math 2003

Pirvu Traian ‘Portfolio Optimization under the Value-At-Risk Constraint’ Quantitative Finance, Volume 7 Issue 2 2007

Piterbarg Vladimir 'Markovian Projection Method for Volatility Calibration' RISK April 2007 , SSRN 5/06 <volatility> <Heston, Gyöngy inhomogeneous Markovian mimicking 1D Ito, Derman/Kani, Dupire, basket options, parameter averaging, index options>

Piterbarg Vladimir V. 'Mixture of Models: A Simple Recipe for a ... Hangover?' Wilmott Magazine, pages 72–77, January 2005

Piterbarg Vladimir V. 'TARNs: Models, Valuation, Risk Sensitivities' Wilmott Magazine, November 2004. <sausage monte carlo>

Pliska Stanley ‘A Discrete Time Stochastic Decision Model’ Advances in Filtering and Optimal Stochastic Control’ edited by W.H. Fleming and L.G. Gorostiza, Lecture Notes in Control and Information Sciences 42, Springer-Verlag, New York, 290-304, 1982.

Pliska Stanley ‘A Dynamic Programming Model for the Optimal Observation of a Discrete Time, Linear Stochastic Process’, Australian J. of Statistics, Vol. 16, No. 3, November 1974, 156-162.

Pliska Stanley ‘A Martingale Characterization of the Price of a Nonrenewable Resource with Decisions Involving Uncertainty’ J. Econ. Theory, Vol. 35, No. 2, April 1985, 322-342 (co-author: S.D. Deshmukh).

Pliska Stanley ‘A Risk Sensitive Intertemporal CAPM, With Application to Fixed Income Management’ submitted for publication (co-author: T. Bielecki).

Pliska Stanley ‘A Semi-Group Representation of the Maximum Expected Reward Vector in Continuous Parameter Markov Decision Theory’ SIAM J. Control, Vol. 13, No. 6, Nov. 1975, 1115-1129.

Pliska Stanley ‘Accretive Operators and Markov Decision Processes’ Mathematics of Operations Research, Vol. 5, No. 3, August 1980, 444-459.

Pliska Stanley ‘Choosing the Maximum from a Sequence with a Discount Function’ Applied Math. And Opt., Vol. 2., No. 3, 1975/76, 279-289 (co-author: W. Rasmussen).

Pliska Stanley ‘Controlled Jump Processes’ Stochastic Processes Appl. Vol. 3, 1975, 259-282.

Pliska Stanley ‘Controlled Storage Processes’ Applied Stochastic Control in Econometrics and Management Science, edited by A. Bensoussan, P. Kleindorfer, and C. Tapiero, North-Holland, Amsterdam, 1980, 181-202 (co-author: P. de Morais).

Pliska Stanley ‘Duality Theory for Some Stochastic Control Models’ Stochastic Differential Systems, edited by M. Kohlmann and N. Christopeit, Lecture Notes in Control and Information Sciences 43, Springer-Verlag, Berlin-Heidelberg-New York, 329-337, 1982.

Pliska Stanley ‘Economic Properties of the Risk Sensitive Criterion for Portfolio Management’ The Review of Accounting and Finance, to appear (co-author: T.R. Bielecki).

Pliska Stanley ‘Financial Economics, With Applications to Investments, Insurance, and Pensions’ 1998, The Actuarial Foundation, Schaumburg, Illinois (co-authors: H. Panjer et al.).

Pliska Stanley ‘Index Arbitrage: Choosing Minimum Variance Market Basket Trading Strategies’ Options:Recent Advances in Theory and Practice, edited by S. Hodges, Manchester University Press, UK, 1990, 123-140.

Pliska Stanley ‘Management and Optimization of Queueing Systems’ Queueing Theory and Applications, edited by S. Ozekici, Hemisphere Publishing Corporation, New York, 1990, 168-187.

Pliska Stanley ‘Multi-Person Controlled Diffusions’ SIAM J. Control, Vol. 11, No. 4, November 1973, 563-586.

Pliska Stanley ‘On a Functional Differential Equation that Arises in a Markov Control Problem’ J. Diff. Eqns., Vol. 28, No. 3, June 1978, 390-405.

Pliska Stanley ‘On the Transient Case for Markov Decision Chains with General State Spaces’ Dynamic Programming and Its Applications, edited by M.L. Puterman, Academic Press, New York, 1978, 335-350.

Pliska Stanley ‘Optimal Consumption and Exploration of Nonrenewable Resources Under Uncertainty’ Econometrica, Vol. 48, No. 1, January 1980, 177-200 (co-author: S.D. Deshmukh).

Pliska Stanley ‘Optimal Consumption of a Nonrenewable Resource with Stochastic Discoveries and a Random Environment’ Review of Economic Studies, Vol. 50, 1983, 543-554 (co-author: S.D. Deshmukh).

Pliska Stanley ‘Optimal Control of Single Server Queueing Networks and Multi-Class M/G/1 Queues with Feedback’ Operations Research, Vol. 25, No. 2, March-April 1977, 248-258 (co-author: Dong-Wan Tcha).

Pliska Stanley ‘Optimal Inspection Under Semi-Markovian Deterioration: Basic Results’ Naval Research Logistics, Vol. 35, No. 5, October 1988, 373-392 (co-author: A.Z. Milioni).

Pliska Stanley ‘Optimal Inspection Under Semi-Markovian Deterioration: The Catastrophic Case’ Naval Research Logistics, Vol. 35, No. 5, October 1988, 393-412 (co-author: A.Z. Milioni).

Pliska Stanley ‘Optimal Observations for Minimum Variance Filtering’, IEEE Trans. Auto. Control, Vol. AC-19,No. 1, February 1974, 79-80.

Pliska Stanley ‘Optimal Policies for Batch Service Queueing Systems’ OPSEARCH, Vol. 19, No. 1, March 1981, 12-22 (co-author: H.J. Weiss).

Pliska Stanley ‘Optimal Portfolios with Asymptotic Criteria’ Annals of Operations Research, Vol. 45, 1993, 187-204 (co-authors: H. Konno and K. Suzuki).

Pliska Stanley ‘Optimal Scheduling of Inspections: A Delayed Markov Model with False Positives and Negatives’Operations Research, Vol. 39, No. 2, March-April 1991, 261-273 (co-author: S. Ozekici).

Pliska Stanley ‘Optimization of Multitype Branching Processes’ Management Science, Vol. 23, No. 2, October 1976, 117-125.

Pliska Stanley ‘Option Pricing for Co-Integrated Assets’ Advances in Finance and Stochastics, edited by K. Sandmann and P.J. Schönbucher, Springer, New York, 2002, 85-100 (co-author: J.-C. Duan).

Pliska Stanley ‘Option Valuation with Co-Integrated Asset Prices’ submitted for publication (co-author: Jin-Chuan Duan).

Pliska Stanley ‘Risk Sensitive Asset Management with Constrained Trading Strategies’ Recent Developments in Mathematical Finance, edited by J. Yong, World Scientific, Singapore, 2002, 127-138 (coauthors: D. Hernandez-Hernandez and T.R. Bielecki).

Pliska Stanley ‘Risk Sensitive Control with Applications to Fixed Income Portfolio Management’ Proceedings of the European Congress of Mathematics, Barcelona, July 10-14, 2000, edited by C. Casacuberta et al., Birkhaüser, Basel, Switzerland, 331-345 (co-author: T. Bielecki).

Pliska Stanley ‘Risk-Sensitive Dynamic Asset Allocation, Asset & Liability Management: A Synthesis of New Methodologies’ edited by R. Jarrow, Risk Books, London, 129-140, 1998.

Pliska Stanley ‘Single Person Controlled Diffusions with Discounted Costs’ J. Optimization Th. Appl., Vol. 12, No. 3, September 1973, 248-255.

Pliska Stanley ‘Supply of Storage Theory and Commodity Equilibrium Prices with Stochastic Production’ Amer. J. Agri. Economics, Vol. 55, No. 4, November 1973, 653-658.

Pliska Stanley ‘The Effects of Regulations on Trading Activity and Return Volatility in Futures Markets’ The Journal of Futures Markets, Vol. 11, No. 2, April 1991, 135-151 (co-author: C.T. Shalen).

Poklukara Darja Rupnik ‘Nonlinear Filtering for Jump-Diffusions’ <Poisson, measure transform> Dec. 2006 Journal of Computational and Applied Mathematics 

Pool Veronika Krepely, Hans Stoll, Robert Whaley ‘Failure to Exercise Call Options: An Anomaly and a Trading Game’ SSRN 3/07

Poole William ‘The GSEs: Where Do We Stand?’ FRB St. Louis Review May/June 2007 Post Thierry, Philippe Versijp ‘Multivariate Tests for Stochastic Dominance

Efficiency of a Given Portfolio’ Journal of Financial and Quantitative Analysis Vol. 42, No. 2, June 2007

Poterba James, Larry Summers ‘Mean Reversion in Stock Prices:Evidence and Implications’ Journal of Financial Economics (22) 1988

Poti Valerio ‘A Stochastic Discount Factor Volatility Upper Bound in a Mean-Variance-Skewness World: No Good Deal Implications for Multi-Factor Models Estimates’ SSRN 3/07

Poulsen Rolf ‘Approximate Maximum Likelihood Estimation of Discretely Observed Diffusion Processes’ 1999 Working Paper 29, Centre for Analytical Finance, Aarhus. .

Primbs James, Muruhan Rathinam, Yuji Yamada ‘Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis’ Applied Mathematical Finance Vol. 14, #1 March 2007

Protter Philip, Kazuhiro Shimbo ‘No Arbitrage and General Semimartingales’ 2006 equivalent martingale measure, Girsanov’s theorem, No Free Lunch with Vanishing Risk, Semimartingales, Novikov’s condition>

Racicot François-Éric, Raymond Théoret ‘Les Modèles HJM et LMM Revisités et Leurs Versions Étendues’  2006 <sausage monte carlo, TARN, stochastic volatility Cheyette>

Rapisarda Francesco, Damiano Brigo, Fabio Mercurio ‘Parameterizing Correlations: A Geometric Interpretation’ IMA Journal of Management Mathematics 2006

Rappaport Alfred ‘Dividend Reinvestment, Price Appreciation and Capital Accumulation’ Journal of Portfolio Management Spring 2006

Rásonyi Miklós ‘A Remark on The Superhedging Theorem Under Transaction Costs’ Séminaire de Probabilités XXXVII 2003 #1832 #1832

Ravazzolo Francesco, Philip Hans Franses, Dick J.C. van Dijk ‘Bayesian Model Averaging in the Presence of Structural Breaks’ SSRN 4/07

Reichenstein William ‘Rationality of Naive Forecasts of Long-Term Rates’ Journal of Portfolio Management Winter 2006

Reilly Frank, David J. Wright, Robert R. Johnson ‘Analysis of the Interest Rate Sensitivity of Common Stocks’ Journal of Portfolio Management Spring 2007

Reimann S., A. Tupak ‘Prices Are Macro-Observables! Stylized Facts from Evolutionary Finance’ May 2007 Computational Economics

Renò Roberto ‘Disentangling Jumps from Diffusion in Equity and Electricity Markets’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Renò Roberto, Antonio Roma, Stephen Schaefer ‘A Comparison of Alternative Non-Parametric Estimators of the Short Rate Diffusion Coefficient’ Economic Notes, Vol. 35, Issue 3, November 2006

Reynolds Daniel, Ryan Szypowski ‘SIAM Conference on CSE’ <computational science> SIAM News May 2007

Roberts Gareth, Osnat Stramer ‘On Inference for Partially Observed Nonlinear Diffusion Models Using Metropolis-Hastings Algorithms’ Biometrika, 88:603–621, 2001 .

Rogers L.C.G., José Scheinkman ‘Optimal Exercise of Executive Stock Options’ p. 357-372 Finance and Stochastics Volume 11, Number 3 / July, 2007

Rogers L.C.G., Mike Tehranchi 'The Implied Volatility Surface Does Not Move by Parallel Shifts' 2007?

Rosenberg Barr ‘Extra Market Components of Covariance In Security Returns’ Journal of Finance and Quantitative Analysis, March 1974, pp. 263-274

Rosenberg Barr ‘Persuasive Evidence of Market Inefficiency’ Journal of Portfolio Management 1985

Rosenberg Barr ‘Prediction of Common Stock Betas’ Journal of Portfolio Management, 1985  

Rosenberg Barr ‘The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices’  Research Program in Finance working paper, 1972

Rosenberg Barr ‘Varying Parameter Estimation’ Ph. D Thesis, Harvard University 1968 Rosenberg Barr, Andrew Rudd ‘Factor-Related and Specific Returns of Common Stocks:

Serial Correlation and Market Inefficiency’ Journal of Finance, 1982 Rosenberg Barr, James Ohlson ‘The Stationary Distribution of Returns and Portfolio

Separation in Capital Markets:A Fundamental Contradiction’ The Journal of Financial and Quantitative Analysis, Vol. 11,  Sep., 1976

Rosenberg Barr, Vinay Marathe ‘Tests of Capital Asset Pricing Hypotheses’ Research in Finance, 1979

Rosenberg Barr, Vinay Marathe ‘The Prediction of Investment Risk: Systematic and Residual Risk’  Proceedings of the Seminar on the Analysis of Security …, 1975

Rosenberg Barr, Walt McKibben ‘The Prediction of Systematic and Specific Risk in Common Stocks’ JF&QA 1973

Rosu Ioanid, Dan Stroock ‘On the Derivation of the Black-Scholes Formula’ Séminaire de Probabilités XXXVII 2003 #1832 #1832

Rubinstein Aviad, Jacob Rubinstein, Gershon Wolansky ‘Determining Sets for the Discrete Laplacian’ SIAM Review June 2007, V. 49, #2

Rudebusch Glen, Brian P. Sack, Eric T. Swanson ‘Macroeconomic Implications of Changes in the Term Premium’ Commentary by John H. Cochrane St. Louis Review JULY/AUGUST 2007 Vol. 89, No. 4

Rudin Alexander, Jonathan Morgan ‘A Portfolio Diversification Index and Systematic Risks of Hedge Fund Investment Styles’ Journal of Portfolio Management Winter 2006

Rutkowski Marek, K. Yousiph 'PDE Approach to the Valuation and Hedging of Basket Credit Derivatives' UNSW 2006

Rutkowski Marek, Nannan Yu ‘An Extension of the Brody–Hughston–Macrina Approach to Modeling of Defaultable Bonds’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Saïda Ahmed Ben ‘Refining the Distribution of GARCH Models: Application to Stock Indexes Returns’ SSRN 4/07

Scherer Bernd ‘How Different is Robust Optimization Really? Deutsche Asset Management 2005

Schilling René 'Financial Modelling with Jump Processes' Journal of the Royal Statistical Society: Series A (Statistics in Society) Volume 168 Issue 1 Page 250 - January 2005

Schweizer Martin Johannes Wissel 'Arbitrage-Free Market Models for Option Prices: The Multi-Strike Case' May 2007 <drift restrictions, local implied volatilities and price level, static and dynamic arbitrage>

Sennewald Ken ‘Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility’ Rates’ Journal Economic Dynamics and Control April 2007

Sepp Artur ‘Variance Swaps under No Conditions’ <Conditional Variance Swaps, Heston Stochastic Volatility Model, Closed-Form Solutions Pricing/Hedging> RISK 3/07

Shanken Jay, Guofu Zhou ‘Estimating And Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations’ Journal of Financial Economics April 2007

Shapira Yair ‘Solving PDEs in C++:Numerical Methods in a Unified Object-Oriented Approach’ SIAM books 2006

Sharpe William ‘Investors and Markets:Portfolio Choices, Asset Prices and Investment Advice’ Princeton 2006

Sheppard Roelof, Gream West ‘Pricing Equity Derivatives under Stochastic Volatility: A Partial Differential Equation Approach’, School of Computational and Applied Mathematics University of Johannesburg, paper, <SABR, ADI and Hopscotch, Soviet splitting, Ikonen & Toivanen, D’Yakonov scheme> 2006.  

Shi Cheng Gin ‘Estimate of Term Structure Using DQTSM's with Non-Linear MPR’ SSRN 6/07

Shiller Robert ‘The Volatility of Long Term Interest Rates and Expectations Models of the Term Structure’ Journal of Political Economy (87) 1979

Shiller Robert, Pierre Perron ‘Testing the Random Walk Hypothesis:Power Versus Frequency of Observations’ Economic Letters (18) 1985

Shippy Saumya, Shubham Singh ‘Impact of Financial Derivative Products on Spot Market Volatility’ SSRN May 2007

Shor Peter ‘Polynomial-Time Algorithms for Prime Factorization and Discrete Logarithms on a Quantum Computer’ Proceedings of the 35th Annual Symposium on Foundations of Computer Science, Santa Fe , NM , Nov. 20--22, 1994. SIAM J.Sci.Statist.Comput. 26 (1997) 1484

Siegel Andrew, Artemiza Woodgate 'Performance of Portfolios Optimized with Estimation Error' Management Science Vol 53, No. 6, June 2007 P. 1005-1015 <poor out of sample mean-variance>

Silverman Dennis 'Derivation of the Black-Scholes Equation' <option-pricing> <Green Function, heat equation, www.physics.uci.edu/~silverma/bseqn>

Sipics Michelle ‘Spare Matrix Algorithm Drives SPICE Performance Gains’ SIAM News May 2007

Sircar Ronnie, Wei Xiong ‘A General Framework for Evaluating Executive Stock Options’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Siu Tak-Kuen, Wai-Ki Ching, Eric S. Fung, Michael K. Ng ‘Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models’ Jan 2007 Computational Economics

Skillicorn David 'Understanding Complex Datasets:Data Mining with Matrix Decompositions' 2007 CRC Press

Slager Alfred, Kees Koedijk ‘Investment Beliefs’ Journal of Portfolio Management Spring 2007

Smit Linda, Barbara Swat ‘Calculating the Price of Bond Convexity’ Journal of Portfolio Management Winter 2006

Smith Daniel ‘Asymmetry in Stochastic Volatility Models: Threshold or Correlation?’ SSRN 3/07

Sorensen Eric, Ronal Hua, Edward Qian ‘Aspects of Constrained Long–Short Equity Portfolios’ Journal of Portfolio Management Winter 2007

Staub Renato ‘Multilayer Modeling of a Market Covariance Matrix’ Journal of Portfolio Management Spring 2006

Stehfest H. 'Remark on algorithm 368: Numerical Inversion of Laplace Transforms' Commun. ACM 13, 10 Oct. 1970)

Stillwell John ‘Yearning for the Impossible: The Surprising Truths of Mathematics’ A K Peters,W ellesley 2006;reviewed SIAM Review 5/07

Strang Gilbert ‘On the Construction and Comparison of Difference Schemes’ <Strang symmetrization> SIAM J. Num. Anal. 1968

Strasser E. ‘Necessary and Sufficient Conditions for the Supermartingale Property of a Stochastic Integral with Respect to a Local Martingale’ Séminaire de Probabilités XXXVII 2003 #1832

Strummer Wolfgang, Igor Vajda ‘Optimal Statistical Decisions about Some Alternative Financial Models’ Journal of Econometrics April 2007

Stubbs R., P. Vance ‘Computing Return Estimation Error Matrices for Robust Optimization’ Axioma Inc. 4/05

Sufi Amir ‘Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans’ The Journal of Finance.   Apr 2007. Vol. 62

Sun Walter, Ayres Fan, Li-Wei Chen, Tom Schouwenaars, Marius Albota ‘Optimal Rebalancing for Institutional Portfolios’ Journal of Portfolio Management Winter 2006

Sun Yixiao Sun ‘Best Quadratic Unbiased Estimators of Integrated Variance in the Presence of Market Microstructure Noise’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Surya Budhi Atra ‘An Approach for Solving Perpetual Optimal Stopping Problems Driven by Lévy Processes’ Stochastics Volume 79 Issue 3 & 4 2007

Surz Ronald ‘A Fresh Look at Investment Performance Evaluation’ Journal of Portfolio Management Summer 2006

Sussman H.J. 'On the Gap Between Deterministic and Stochastic Ordinary Differential Equations' Ann. Probability 6, #1 (1978)

Swishchuk Anatoliy 'Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility' U. Calgary

Szimayer Alex, Ross Maller ‘Finite Approximation Schemes for Lévy Processes, and their Application to Optimal Stopping Problems’ SP&A tobe 2007

Taamouti Abderrahim Taamouti ‘Risk Measures and Portfolio Optimization Under Regime Switching Models’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Takuji Arai ‘An Approximate Approach to the Exponential Utility Indifference Valuation’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Talagrand Michel ‘The Generic Chaining’ Springer 2005;reviewed SIAM Review 5/07

Tauchen George, Hao Zhou ‘Realized Jumps on Financial Markets and Predicting Credit Spreads’ FEDS Working Paper No. 2006-35 , SSRN 3/07

Tauchen George, Viktor Todorov ‘Simulation Methods for Lévy-Driven CARMA Stochastic Volatility Models’ Journal of Business and Economic Statistics, 24(4), pp. 455-469, 2006

Tchuindjo Leonard ‘Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model’ Applied Mathematical Finance Vol. 14, #1 March 2007

Tédongap Roméo ‘Consumption Volatility and the Cross-Section of Stock Returns’ SSRN 5/07

Terazzan Omretta ‘Estimating the Term Structure of Credit Spreads on Euro-Denominated Corporate Bonds’ Economic Notes, Vol. 35, Issue 3, November 2006

Tetlock Paul ‘Giving Content to Investor Sentiment: The Role of Media in the Stock Market’ Journal of Finance June 2007

Theodosopoulos Ted, Muffasir Badshah 'Short-Term Equity Dynamics and Endogenous Market Fluctuations' 9/04 <randomness equity microstructure>

Théret Marie ‘Upper Large Deviations for the Maximal Flow in First-Passage Percolation’ SP&A tobe 2007

Thornton Daniel ‘Resolving the Unbiasedness and Forward Premium Puzzles’ SSRN 4/07 Thornton Daniel ‘The Lower and Upper Bounds of the Federal Open Market Committee’s

Long-Run Inflation Objective’ FRB St. Louis Review May/June 2007 Ting Christopher, Mitch Warachka, Yonggan Zhao ‘Optimal Liquidation Strategies and

Their Implications’ Rates’ Journal Economic Dynamics and Control April 2007 Todorov Viktor ‘Econometric Analysis of Jump-Driven Stochastic Volatility Models’

tobe 2007 Journal of Econometrics Todorov Viktor ‘Variance Risk Premium Dynamics’ wp 11/06 <VIX index, semi-

parametric two factor, Change of measure, continuous-time stochastic volatility model, diffusive risk, jump risk, Lévy process, quadratic variation, realized multipower variation, variance risk premium, variance swap>

Triantafyllopoulos Kostas ‘Covariance Estimation for Multivariate Conditionally Gaussian Dynamic Linear Models’ SSRN 4/07

Ulrich Maxim ‘Model Uncertainty and Term Premia on Nominal Bonds’ SSRN 4/07 Ulrich Maxim ‘Nominal Bonds and Bond Options under Heterogeneous Expectations’ SSRN

5/07 Üstünel Ali Süleyman ‘Estimation for the Additive Gaussian Channel and Monge–

Kantorovitch Measure Transportation’ SP&A tobe 2007 Van Binsbergen Jules H., Michael W. Brandt ‘Solving Dynamic Portfolio Choice

Problems By Recursing On Optimized Portfolio Weights or on the Value Function?’ May 2007 Computational Economics

Vangelisti Marco ‘The Capacity of an Equity Strategy’ Journal of Portfolio Management Winter 2006

Viceira Luis ‘Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates’ SSRN 5/07

Villanueva Miguel ‘Regressions of FX Returns on Fractionally Integrated Forward Premium’ SSRN 5/07

Voelkle Arndt ‘Path-Dependent Options and Structured Products: Pricing and Calibration for Single-Stock Underlyings in a Local Volatility Framework’ SSRN 5/07

Voort Maartijn van der ‘Factor Copulas: External Defaults’ Journal of Derivatives Spring 2007

Vytlacil Edward, Nese Yildiz ‘Dummy Endogenous Variables in Weakly Separable Models’ Econometrica 5/07

Wallis W.D. 'Introduction to Combinatorial Designs' 2007 CRC Press Wang Ashley, Gaiyan Zhang ‘Institutional Ownership and Credit Spreads: An

Information Asymmetry Perspective’ SSRN 3/07 Wang Jian 'Convexity of Option Prices in the Heston Model' 2007 Dept Math. Uppsala

Univ.

Wang Xiaoqun ‘Constructing Robust Good Lattice Rules for Computational Finance’ SIAM Journal on Scientific Computing March 2007

Weeks Jeffrey 'The Shape of Space' 2ed Marcel Dekker 2002 Wen Yi ‘Granger Causality and Equilibrium Business Cycle Theory’ FRB St. Louis

Review May/June 2007 Wesolowski Jacek, Piotr Witkowski ‘Hitting Times of Brownian Motion and the

Matsumoto–Yor Property on Trees’ SP&A tobe 2007 Wikipedia 'Gibbs Sampling' <monte carlo>< MCMC> Wikipedia 'Metropolis-Hastings Algorithm' <monte carlo>< MCMC> Willemann Søren ‘Fitting the CDO Correlation Skew: A Tractable Structural Jump-

Diffusion Model’ Vol 3 #1 2007, Journal of Credit Risk Windcliff Heath, J. Wang, Peter Forsyth, Kenneth Vetzal ‘Hedging with a Correlated

Asset: Solution of a Nonlinear Pricing PDE’ <viscosity solution, monotone discretization> March 2007 Journal of Computational and Applied Mathematics 

Windisch Günter ‘M-Matrices in Numerical Analysis’ Vo. 115 of Teubner Texts in Mathematics 1989

Winker Peter, Dietmar Maringer ‘The Hidden Risks of Optimizing Bond Portfolios Under VAR’ Journal of Risk Volume 9 / Number 4  2007

Wissel Johannes ‘Some Results on Strong Solutions of SDEs with Applications to Interest Rate Models’ SP&A tobe 2007

Wong Hoi Ying, Ka Yung Lau ‘Path-Dependent Currency Options With Mean Reversion’ SSRN 3/07

Wong Hoi Ying, Tze Lim Wong ‘Reduced-Form Models With Regime Switching: An Empirical Analysis for Corporate Bonds’ SSRN 3/07

Wong Kit Pong ‘The Effect of Uncertainty on Investment Timing in a Real Options Model’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Wu Liang-Chuan, Seng-Cho Chou, Chau-Chen Yang, Chorng-Shyong Ong ‘Enhanced Index Investing Based on Goal Programming’ Journal of Portfolio Management Spring 2007

Xiong Jie, Xun Yu Zhou ‘Mean-Variance Portfolio Selection under Partial Information’ SIAM Journal on Control and Optimization March 2007

Yamada Toshio, Shinzo Watanabe 'On the Uniqueness of Solutions of Stochastic Differential Equations' J. Mathematics of Kyoto University 11, 1971

Yang Jingping, Tom Hurd, Xuping Zhang ‘Saddlepoint Approximation Method for Pricing CDOs’ Journal of Computational Finance Volume 10 / Number 1, Fall 2006

Ynbi Assaf, Yang Assaf, Jun Yang ‘Hedging Volatility Risk: The Effectiveness of Volatility Options’ International Journal of Theoretical & Applied Finance, May 2007, Vol. 10 Issue 3

Zabolotnyuk Yuriy, Robert A. Jones, Chris Veld ‘An Empirical Comparison of Convertible Bond Valuation Models’ SSRN 6/07

Zanetti Francesco ‘A Non-Walrasian Labor Market in a Monetary Model of the Business Cycle’ Journal of Economic Dynamics and Control V. 37, #7 July 2007

Zeng Yong Zeng ‘Statistical Analysis of the Filtering Model For Financial Ultra-High Frequency Data’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Zhang Lan ‘What You Don't Know Cannot Hurt You’ Conference on Volatility and High Frequency Data Chicago, April 21-22, 2007

Zhang Lan 'Efficient Estimation of Stochastic Volatility using Noisy Observations: A Multi-scale Approach' Bernoulli, 12 (6), 1019-1043, 2006.

Zhang Xiaoyan, Haitao Li, Yuewu Xu ‘Econometric Evaluation of Asset Pricing Models With No-Arbitrage Constraint’ SSRN 3/07

Zhanga H., F. Liua, V. Anhc ‘Numerical Approximation of Lévy–Feller Diffusion Equation and its Probability Interpretation’ <Riesz–Feller, Cauchy problem for 0<alpha<1 and 1<alpha<=2 in bounded spatial domain, Markovian random walk; Stability and convergence> Journal of Computational and Applied Mathematics Volume 206, Issue 2, 15 September 2007 , Pages 1098-1115 

Zhao Jichao, Matt Davisona, Robert M. Corlessa ‘Compact Finite Difference Method for American Option Pricing’  <algebraic nonlinear equation of Pantazopoulos

(1998), 2nd order accurate, faster than Crank Nicolson, refinesfree boundary value by Barone-Adesi and Lugano <The saga of the American put, 2003>> Journal of Computational and Applied Mathematics Volume 206, Issue 1, 1 September 2007, Pages 306-321 

Zhu Jie ‘Testing for Expected Return and Market Price of Risk in Chinese A-B Share Markets: A Geometric Brownian Motion and Multivariate GARCH Model Approach’ SSRN 4/07

Zhu Qiji Jim ‘Investment System Specific Option Pricing Intervals and Vector Majorization’ SSRN 3/07

Zubairy M. Suhail ‘Factoring Numbers with Waves’ Science 4/27/07 <cryptography>