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Abid Fathi, Nader Naifar 'The Impact Of Stock Returns Volatility On Credit Default Swap Rates: A Copula Study' IJT&AF 12/05

Adams Renée B., Heitor Almeida, Daniel Ferreira 'Powerful CEOs and Their Impact on Corporate Performance' RFS Winter 2005

Adcock C.J. 'Exploiting Skewness To Build An Optimal Hedge Fund With A Currency Overlay' European J. of Finance Oct. 2005

Ait-Sahalia Yacine, Julio Cacho-Diaz, T.R. Hurd 'Portfolio Choice with a Large Number of Assets: Jumps & Diversification' 1/06

Albanese Claudio, Manlio Trovato 'A Stochastic Volatility Model for Bermuda Swaptions and Callable CMS Swaps' 11/05

Albrecher Hansjorg 'Semi-Static Hedging Strategies for Strongly Path-Dependent Options' <Exotic options, Stochastic volatility, Levy models, Hedging, Comonotonicity>

Albrecher Hansjorg 'Static Hedging of Asian Options under Levy Models: The Comonotonicity Approach' 11/03

Aldabe F., Giovanni Barone-Adesi, Robert Elliott 'Option Pricing with Regulated Fractional Brownian Motion' <option-pricing> <martingale, vol. increase over time, RFBM> Applied Stochastic Models and Data Analysis Volume 14, Issue 4. 1997

Alderweireld Thomas, João Garcia, Luc Léonard 'A Practical Operational Risk Scenario Analysis Quantification' RISK 2/06

Allen Franklin, Stephen Morris 'Finance Applications of Game Theory' Wharton 1998 <CAPM, M-M, Efficient Market>

Alvarez Luis, Erkki Koskela 'Irreversible Investment under Interest Rate Variability: Some Generalizations' JofB 3/06

Amador Manuel, Ivan Werning, George-Marios Angeletos 'Commitment vs. Flexibility' Econometrica Volume 74, Issue 2, March 2006

Ammann Manuel, Ralf Seiz ‘Pricing and Hedging Mandatory Convertible Bonds’ J. Derivatives Spring 2006

Andersen Leif 'Yield Curve Construction with Tension Splines' 12/2/05 SSRN Andersen Leif, Jesper Andreasen 'Yield Curve Modeling with Skews and

Stochastic Volatility' 2/02 <term structure> <Libor Market Model, low dimension HJM, vanilla, CMS, Bermuda>

Anderson Christopher, Luis Garcia-Feijóo 'Empirical Evidence On Capital Investment, Growth Options, and Security Returns' JofF 2/06

Anderson Richard 'Replicability, Real-Time Data & the Science of Economic Research:FRED, ALFRED & VDC' FRB St. Louis Review Jan/Feb 06

Anderson Robert 'A Nonstandard Representation for Brownian Motion & Ito Integration' Israel Math. J. 1976

Andreas A., B. Engelmann, P. Schwendner, Uwe Wystup 'Fast Fourier Method for the Valuation of Options on Several Correlated Currencies' in Foreign Exchange Risk 2ed RISK Books

Ang Andrew, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang 'The Cross-Section Of Volatility And Expected Returns' JofF 2/06

Angrist Joshua, Victor Chernozhukov, Ivan Fernandez-Val 'Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure' Econometrica Volume 74, Issue 2, March 2006

Athey Susan, Guido Imbens 'Identification and Inference in Nonlinear Difference-in-Differences Models' Econometrica Volume 74, Issue 2, March 2006

Athreya Siva, Richard F. Bass, Maria Gordina, Edwin A. Perkins 'Infinite Dimensional Stochastic Differential Equations of Ornstein-Uhlenbeck Type' SP&A 3/06

Attouch Hedy, Giuseppe Butazzo, Gerard Michaille 'Variational Analysis in Sobolev & BV Spaces:Applications to PDEs & Optimization' 2005 SIAM books

Augar Philip 'The Greed Merchants:How Investment Banks Played the Free Market Game' 2005 Pengin Press

Avramov Doron, John C. Chao 'An Exact Bayes Test of Asset Pricing Models with Application to International Markets' JofB 1/06

Ayache Elie, Philippe Henrotte, Sonia Nassar, Xuewen Wang 'Can Anyone Solve The Smile Problem?' Jan 04

Baaquie Belal 'A Common Market Measure For Libor And Pricing Caps, Floors And Swaps In A Field Theory Of Forward Interest Rates' IJT&AF 12/05

Baccara Mariagiovanna, Anna Battauz, Fulvio Ortu 'Effective Securities In Arbitrage-Free Markets With Bid-Ask Spreads At Liquidation: A Linear Programming Characterization' JED&C 1/06

Bakshi Gurdip, Dilip Madan 'A Theory of Volatility Spreads' 10/05 SSRN 2/06 <risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails>

Bandyopadhyay Akash 'Feynman Path Integrals for Derivative Pricing' Quantitative Equity Derivatives Research Report, Bank Of America, New York, August 1999.

Bandyopadhyay Akash 'Option Pricing Using Feynman Path Integrals' Seminar Presented At Firmwide Risk, Goldman Sachs, New York, October 2000. <options-numeric><Van-Vleck formula>

Bandyopadhyay Akash 'Stress Test, Regression Analysis, And Convergence Of Convertible Bond Valuation Models' Derivatives Analytics Research Report Merrill Lynch, New York, April 2001.

Bandyopadhyay Akash 'Var From Stress Test Projection Reports' Equity Derivatives Risk Management Report, Deutsche Bank, New York, August 2000.

Barclay Michael, Clifford W. Smith, Erwan Morellec 'On the Debt Capacity of Growth Options' JofB 1/06

Bardina Xavier, Maria Jolis 'Multiple Fractional Integral With Hurst Parameter Less Than 1/2' SP&A 3/06

Barndorff-Nielsen Ole, Neil Shephard 'Power Variation And Time Change' SIAM J. Theory Of Probability And Its Applications V. 50 #1, 2006 <Limit Distribution Results For Power Variation, Time-Changed Brownian Motion, Alpha-Stable Processes, Stochastic Volatility, Realized Variance, Semimartingales>

Barndorff-Nielsen Ole, Steen Thorbjørnsen 'Regularizing Mappings Of Lévy Measures' SP&A 3/06

Beaglehold David 'Down and Out, Up and Out Options' U. Iowa 1993 Beaglehole David 'Down and Out, Up and In Options' U. Iowa 1992 Becker Bo 'Wealth And Executive Compensation' JofF 2/06 Belinfante Johan 'A Survey of Lie Groups & Lie Algebras with Applications &

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RISK supplement 5/04 Bernhardt Dan, Vladimir Dvoracek, Eric Hughson, Ingrid M. Werner 'Why Do

Larger Orders Receive Discounts on the London Stock Exchange?' RFS Winter 2005

Berti Patrizia, Luca Pratelli, Pietro Rigo 'Asymptotic Behavior Of The Empirical Process For Exchangeable Data' SP&A 2/06

Bielecki Thomasz, Andrea Vidozzi, Luca Vidozzi 'An Efficient Approach To Valuation Of Credit Basket Products And Options On Ratings Triggered Step-Up Bonds' 3/06

Bielecki Tomasz, Andrea Vidozzi, Luca Vidozzi 'An Efficient Approach to Valuation of Credit Basket Products & Ratings Triggered Step-Up Bonds' <credit risk> Nov. 2005

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Blake Ian, Gadien Seroussi, Nigel Smart 'Advances in Elliptic Curve Cryptography' 2005 Cambridge Press

Bocker Klaus, Claudia Kluppelberg 'Operational VAR:A Closed-Form Approximation' <loss distribution model, Pareto severatiy model> RISK 12/05

Boot Arnoud, Todd Milbourn, Anjolein Schmeits 'Credit Ratings as Coordination Mechanisms' RFS Spring 06

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Bourgade Paul, Olivier Croissant 'Heat Kernel Expansion for a Family of Stochastic Volatility Models:Delta-Geometry' <SABR, Heston, stochastic volatility, smile, heat kernel expansion, Molchanov's theorem, first and second variation formulas> 11/05

Brace Alan 'Dual Swap & Swaption Formulae in Forward Models' FMMA Notes 2/96 <swaps>

Brandt Michael, Francis Diebold 'A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations' JofB 1/06

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Brennan Michael, Yihong Xia 'Risk and Valuation under an Intertemporal Capital Asset Pricing Model' JofB 1/06

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Brigo Damiano, Jan Liinev 'On the Distribution Distance Between the Lognormal LIBOR & Swaps Market Model' QF 10/05 <Kullback-Leibler information metric> <term structure>

Brigo Damiano, Jan Liinev 'On the Distributional Distance Between the LIBOR and the Swap Market Models' 2nd World Congress Bachelier 2002 This is different than similar paper

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Cain George, Gunter Meyer 'Separation of Variables for Partial Differential Equations:An Eigenfunction Approach' 2005 Chapman & Hall/CRC

Cao H. Henry, Tan Wang, Harold H. Zhang 'Model Uncertainty, Limited Market Participation, and Asset Prices' RFS Winter 2005

Capocci Daniel, Albert Corhay, Georges Hubner 'Hedge Fund Performance And Persistence In Bull And Bear Markets' European J. of Finance Oct. 2005

Carey Alexander 'Path-Conditional Forward Volatility' SSRN 3/06 Carmona Rene, Valdo Durrleman 'Generalizing The Black-Scholes Formula To

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1/20/06Carr Peter 'The Valuation of American Exchange Options with Application to

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Carr Peter, Liuren Wu ‘A Tale of Two Indices’ J. Derivatives Spring 2006 Cartea Alvaro, Marcelo Figueroa 'Pricing in Electricity Markets: A Mean

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Cartea Alvaro, Sam Howison 'Option Pricing with Levy-Stable Processes' <Euro. prices, Levy-Stable processes, stable Paretian hypothesis, stochastic volatility>3/04

Cerny Ales, Jan Kallsen 'On The Structure Of General Mean-Variance Hedging Strategies' SSRN 2/06

Cetorelli Nicola, Philip Strahan 'Finance As A Barrier To Entry: Bank Competition And Industry Structure In Local U.S. Markets' JofF 2/06

Chacko George, Luis Viceira 'Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets' RFS Winter 2005

Challet Damien, Tobias Galla 'Price Return Autocorrelation and Predictability In Agent-Based Models Of Financial Markets' QF 12/05

Chance Don 'A Hedging Deficiency In Eurodollar Futures' J. Futures Markets 2/06

Chang George, James Feigenbaum 'A Bayesian Analysis Of Log-Periodic Precursors To Financial Crashes' QF 2/06

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Chen Qi, Wei Jiang 'Analysts Weighting of Private and Public Information' RFS Spring 06

Cheridito Patrick, Damir Filipovic, Robert Kimmel 'Market Price of Risk Specifications for Affine Models: Theory and Evidence' tobe JFE 2005

Chiu W. Henry 'Skewness Preference, Risk Aversion & the Precedence Relation on Stochastic Changes' MS 12/05

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Dai Min, Yue Kuen Kwok 'Characterization of Optimal Stopping Regions Of American Asian And Lookback Options' MF 1/06

Dalang Robert, Olivier Leveque 'Second-Order Hyperbolic S.P.D.E.s Driven by Boundary Noise' <SPDE, mathematical finance>

Damjanovic Vladislav, Charles Nolan 'Aggregation and Optimization with State-Dependent Pricing: A Comment' Econometrica Volume 74, Issue 2, March 2006

Daniels Kenneth, Malene Shin Jensen 'The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads' J. Fixed Income 12/05

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Davis Mark 'The Representation of Martingales of Jump Processes' SIAM J. Control & Opt. 1976

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Derrick Sandra, Daniel Stapleton, Richard Stapleton 'The Libor Market Model: A Recombining Binomial Tree Methodology' 4/05 <term structure> <BGM>

Dhaliwal Dan, Oliver Zhen Li 'Investor Tax Heterogeneity And Ex-Dividend Day Trading Volume' JofF 2/06

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Dionne Georges, Genevieve Gauthier, Nadia Ouertani, Nabil Tahani 'Heterogeneous Basket Options Pricing Using Analytical Approximations' SSRN 2/06

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Drobetz Wolgang 'How To Avoid The Pitfalls In Portfolio Optimization? Putting The Black-Litterman Approach At Work' Swiss Society for Financial Market Research

Du Ning, David Budescu 'The Effects of Imprecise Probabilities & Outcomes in Evaluating Investment Options' MS 12/05

Duan Jin-Chuan, Peter Ritchken, Zhiqiang Sun 'Approximating Garch-Jump Models, Jump-Diffusion Processes, and Option Pricing' MF 1/06

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Duffy Daniel 'Financial Instrument Pricing using C++' Wiley Press Duffy Daniel 'Finite Difference Methods in Financial Engineering: A Partial

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Durham J. Benson 'Jump-Diffusion Processes and Affine Term Structure Models: Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates' SSRN 1/06

Eberlein Ernst, Antonis Papapantoleon 'Symmetries and Pricing Of Exotic Options In Lévy Models' In Exotic Option Pricing And Advanced Lévy Models, A. Kyprianou, W. Schoutens, P. Wilmott (Eds.)

Eberlein Ernst, Nataliya Koval 'A Cross-Currency Lévy Market Model' Eberlein Ernst, Wolfgang Kluge 'Exact Pricing Formulae For Caps And Swaptions

In a Lévy Term Structure Model' J. Computational Finance 2006, V.9 #2 Eberlein Ernst, Wolfgang Kluge 'Valuation of Floating Range Notes In Lévy Term

Structure Models' tobe MF Eberlein Ernst, Wolfgang Kluge, Antonis Papapantoleon 'Symmetries In Lévy Term

Structure Models' Eberlein Ernst, Wolfgang Kluge, Philipp Schonbucher 'The Lévy Libor Model With

Default Risk' Edwards Craig 'Derivative Pricing Models with Regime Switching: A General

Approach' <option pricing, log stable> J. of Derivatives Fall 05 El Karoui Nicole 'Couverture des Risques dans les Marches Financiers' El Karoui Nicole, Asma Meziou 'Constrained Optimization With Respect To

Stochastic Dominance:Application To Portfolio Insurance' MF 1/06 Eling Martin 'Autocorrelation, Bias, and Fat Tails - Are Hedge Funds Really

Attractive Investments?' 12/05 SSRN Elizalde Abel 'Do We Need to Worry about Credit Risk Correlation' J. Fixed

Income 12/05 Evers Ingmar 'A Series Solution for Bermudan Options' Applied Math. Finance

12/05 Fabozzi Frank, Radu Tunaru 'On Risk Management Problems Related To A Coherence

Property' QF 2/06 Falk James, Nozer D. Singpurwalla, Yefim Y. Vladimirsky 'Reliability

Allocation for Networks and Systems' SIAM Review 2006 #1 Farmer J. Doyne 'Comment on ‘Large Stock Price Changes: Volume Or Liquidity?’

QF 2/06 Farmer J. Doyne 'Comment On 'Large Stock Price Changes: Volume Or Liquidity?',

By Weber And Rosenow' QF 2/06

Faulkender Michael, Mitchell Petersen 'Does the Source of Capital Affect Capital Structure?' RFS Spring 06

Feige Uriel, Robert Krauthgamer 'A Polylogarithmic Approximation of the Minimum Bisection' SIAM Review 2006 #1

Feller M. 'The Levy Laplacian' 2005 Cambridge Press Feng Liming, Pavlo Kovalov, Vadim Linetsky, Michael Marcozzi 'Variational

Methods in Derivatives Pricing' 2005 in Handbook of Financial Engineering Elsevier

Feng Liming, Vadim Linetsky 'Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Levy Process Models: A Hilbert Transform Approach' 2005

Feng Liming, Vadim Linetsky 'Pricing Options in Jump-Diffusion Models: an Extrapolation Approach' 2005

Feng Liming, Vadim Linetsky, Michael Marcozzi 'On the Valuation of Options in Jump-Diffusion Models by Variational Methods' 2004 wp

Filipovic Damir, Robert Kimmel 'A Note on the Canonical Representation of Affine Diffusion Processes' 9/05

Foresi, Silverio, Liuren Wu 'Crash-O-Phobia: A Domestic Fear or a Worldwide Concern?' J. of Derivatives Winter 2005

Foucault Thierry, Ohad Kadan, Eugene Kandel 'Limit Order Book as a Market for Liquidity' RFS Winter 2005

Fournier Nicolas, Jean-Sébastien Giet 'Existence Of Densities For Jumping Stochastic Differential Equations' SP&A 4/06

Francis Bill, Iftekhar Hasan, Delroy Hunter 'Dynamic Relations between International Equity and Currency Markets: The Role of Currency Order Flow' JofB 1/06

Fries Christian 'Bumping the Model. Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method' SSRN 1/06

Friz Peter, Jim Gatheral 'Valuation of Volatility Derivatives As An Inverse Problem' QF 12/05 <volatility> <variance swaps, realized variance, Carr & Lee>

Fuhrman Marco 'Nonlinear Kolmogorov Equations In Infinite Dimensional Spaces: The Backward Stochastic Differential Equations Approach And Applications To Optimal Control' Ann. Probab. 30, no. 3 (2002), 1397-1465 <Solutions of semilinear parabolic differential equations, forward & backward infinite dimensional stochastic evolution equations, optimal control, Hamilton-Jacobi-Bellman>

Gaigalas Raimundas 'A Poisson Bridge Between Fractional Brownian Motion And Stable Lévy Motion' SP&A 3/06

Gantert Nina, Remco Van Der Hofstad, Wolfgang König 'Deviations Of A Random Walk In A Random Scenery With Stretched Exponential Tails' SP&A 3/06

Garrett Thomas, Russell Rhine 'On the Size & Growth of Government' FRB St. Louis Review Jan/Feb 06

Gasinski Leszek 'Nonlinear Analysis' 2005 Chapman & Hall/CRC Gaspar Jose-Miguel, Massimo Massa, Pedro Matos 'Favoritism In Mutual Fund

Families? Evidence On Strategic Cross-Fund Subsidization' JofF 2/06 Gatarek Dariusz, Przemyslaw Bachert, Robert Maksymiuk 'The LIBOR Market Model

in Practice' Wiley 2006 Geiss Christel, Stefan Geiss 'On an Approximation Problem For Stochastic

Integrals Where Random Time Nets Do Not Help' SP&A 3/06 Genon-Catalot Valentine, Catherine Laredo 'Leroux's Method For General Hidden

Markov Models' SP&A 2/06 Gervais Simon, Anthony W. Lynch, David K. Musto 'Fund Families as Delegated

Monitors of Money Managers' RFS Winter 2005 Giacometti Rosella, Marida Bertocchi, Svetlozar T. Rachev, Frank Fabozzi

'Stable Distributions in the Black-Litterman Approach to the Asset Allocation' 12/05

Giacomini Enzo, Wolfgang Hardle 'Value-At-Risk Calculations With Time Varying Copulae' 2005

Gibson Michael 'Measuring Counterparty Credit Exposure to a Margined Counterparty' SSRN 1/06

Gigueroa-Lopez, Jin Ma 'Some Problems of Portfolio Optimization And Hedging In A Levy Market Via Fictitious Completions' 10/05

Gil-Bazo 'The Value Of The 'Swap' Feature In Equity Default Swaps' QF 2/06 Giles Michael, Paul Glasserman 'Smoking Adjoints:Fast Monte Carlo Greeks'

<est. sensitivies from large inputs, Libor Market Model> RISK 1/06 Glaser Alexander, Frank von Hippel 'Thwarting Nuclear Terrorism' SA 2/06 Glasserman Paul 'Measuring Marginal Risk Contributions In Credit Portfolios'

J. Computational Finance 2006, V.9 #2 Gonzalez Luis 'Orthogonal Projections of the Identity:Spectral Analysis and

Applications to Approximate Inverse Preconditioning' SIAM Review 2006 #1 Gregoriou Greg, Fabrice Rouah, Stephen Satchell, Fernando Diz 'Simple And

Cross Efficiency Of CTAs Using Data Envelopment Analysis' European J. of Finance Oct. 2005

Grieves Robin, Alan Marcus 'Delivery Options and Treasury-Bond Futures Hedge Ratios' J. of Derivatives Winter 2005

Grigelionis Bronius 'Generalized z-Distributions & Related Stochastic Processes' Matematikos Ir Informatikos Institutas Preprintas Nr 2000-22 Vilnius

Grove E.A., G. Ladas 'Periodicies in Nonlinear Difference Equations' 2004 Chapman & Hall/CRC

Gua Junwu 'Analytic Backward Induction of Option Cash Flows: A New Application Paradigm For The Markovian Interest Rate Models' IJT&AF 12/05

Guha Rajiv, Aleeandro Sbuelz 'Structural Recovery of Face Value at Default' SSRN 12/05

Hadjiliadis Oylmpia, Vecer Jan 'Drawdowns Preceding Rallies in Brownian Motion Model' wp 2005

Hamernick Robert, James Doran 'Is There Money to be Made Investing in Options? A Historical Perspective' SSRN 1/06

Han Yufeng 'Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model' RFS Spring 06

Harbrecht Helmut, Reinhold Schneider 'Wavelet Galerkin Schemes for Boundary Integral Equations---Implementation and Quadrature' SIAM J. Sci. Comput. 1/06

Hau Harald, Hélène Rey 'Exchange Rates, Equity Prices, and Capital Flows' RFS Spring 06

Heath David, Eckhard Platen 'Currency Derivatives Under A Minimal Market Model With Random Scaling' IJT&AF 12/05

Hecht Peter, Tuomo Vuolteenaho 'Explaining Returns with Cash-Flow Proxies' RFS Spring 06

Hedges James 'Hedge Fund Transparency' European J. of Finance Oct. 2005 Henrard Marc 'A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor

Model' SSRN 2004 <two bermudan, half-way between European and Bermudan> <swaption>

Henrard Marc 'Bond Futures and Their Options: More than the Cheapest-to-Deliver; Marginning and Quality Option' SSRN 2/06

Henrard Marc 'Libor Market Model and Gaussian HJM explicit approaches to Option on Composition' SSRN 3/06

Henry D. 'Perturbation of the Boundary in Boundary-Value Problems of Partial Differential Equations' 2005 Cambridge Press

Henry-Labordere Pierre 'Stochastic Volatility Model & Hyperbolic Geometry' wp Barclays Capital 2004

Henry-Labordere Pierre 'Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry' 1/06 <term structure><Heat Kernel, swaption smile, Heston process, Stochastic Libor Markets, CEV, calibration>

Hibschweiler Rita, Thomas MacGregor 'Fractional Cauchy Transforms' 2005 Chapman & Hall/CRC

Holloway Marguerite 'The Beauty of Branes' SA October 2005 <physics-string><Lisa Randall>

Horowitz Joel 'Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables' Econometrica Volume 74, Issue 2, March 2006

Howell Kenneth 'Principles of Fourier Analysis' 2001 Chapman & Hall/CRC Hu Yaozhong, David Nualart 'Renormalized Self-Intersection in Local Time for

Fractional Brownian Motion' Hu Yaozhong, David Nualart 'Some Processes Associated with Fractional Bessel

Processes' Hundsdorfer W., J.G. Verwer 'Numerical Solution Of Time-Dependent Advection-

Diffusion-Reaction Equations' Springer, Berlin <PDE, Relevant To Black-Scholes>

Hurst Simon, Eckhard Platen, Svetlozar Rachev 'Option Pricing for a Logstable Asset Pricing Model' Mathematics and Computer Modeling 1999

Ibragimov Nail, Rafail Gazizov 'Lie Symmetry Analysis of Differential Equations in Finance' Nonlinear Dynamics 17, 1998

Idzorek Thomas 'A Step-By-Step Guide To The Black-Litterman Model:Incorporating User-Specified Confidence Levels' Duke U. 2006

Idzorek Thomas 'A Step-by-Step Guide to the Black-Litterman Model' wp 2002 Ikonen S., J. Toivanen 'Operator Splitting Methods For American Options With

Stochastic Volatility' <Volatility> <American Option Pricing, Stochastic Volatility Models, Operator Splitting Methods, Time Discretization, Heston Model, Parabolic PDE, Early Exercise> European Congress On Computational Methods In Applied Sciences And Engineering 2004

Imanuvilov Oleg, Guenter Leugering, Roberto Triggiani, Bing-Yu Zhang (ed) 'Control Theory of Partial Differential Equations' 2005 Chapman & Hall/CRC

Imkeller P., I. Pavlyukevich 'First Exit Times Of SDEs Driven By Stable Lévy Processes' SP&A 4/06

in 't Hout Karel, B.D. Welfert 'Stability of ADI Schemes Applied to Convection-Diffusion Equations with Mixed Derivative Terms' 10/05 <initial-boundary, splitting, von Neumann stability, Fourier transform> same ver. in "Applied Numerical Mathematics">

Ivanov A.V., M.N. Rozhkova 'Properties of the Statistical Estimate of the Entropy of a Random Vector with a Probability Density' Probl. Inf. Transmission 1981

Iwasawa Kazuhiro 'Analytic Formula for the European Normal Black Scholes Formula' 12/2001 <option-pricing>

Jackson Andrew Jackson, Timothy Johnson 'Unifying Underreaction Anomalies' JofB 1/06

Jaimungal Sebastian 'Pricing & Hedging Equity Index Annuities with Variance-Gamma Deviates' 11/04 <V-G, Point-to-Point and Cliquet instruments>

Jamshidian Farshid 'A Note on Analytical Valuation of Double Barrier Options' Sakura Global 1997

Janenko N.N. 'Meìthode aÌ pas Fractionnaires, Reìsolutions De Probleìmes Polydimensionnels De Physique Matheìmatique' 1968 Colin Press

Janenko N.N. 'Zwishcenschrittmethode zur Losung Mehrdimensionaler' <English 'The Method of Fractional Steps' Springer 1969, outof print>

Janicki Aleksander, Aleksander Weron 'Simulation & Chaotic Behavior of alpha-Stable Stochastic Processes' Marcel Decker 1994

Janso Svate, Johan Tysk 'Feynman-Kac Formulas for Black-Scholes Type Operators' wp Uppsala 2004

Javaheri Alireza 'Inside Volatility Arbitrage:The Secrets of Skewness' Wiley Press 2005

Jiang George J., Yisong, S. Tian 'The Model-Free Implied Volatility and Its Information Content' RFS Winter 2005

Jiang George, John Knight 'Efficient Estimation of Continuous-Time Stochastic Volatility Process via Empirical Characteristic Function' York U. 2002

Jiang Lishang, Baojun Bian, Fahuai Yi 'A Parabolic Variational Inequality Arising From The Valuation Of Fixed Rate Mortgages' Euro. J. Applied Math 6/05

Jin Hanqing, Harry Markowitz, Xun Yu Zhou 'A Note On Semivariance' MF 1/06 Jobert Arnaud, L.C.G. Rogers 'Option Pricing With Markov-Modulated Dynamics'

SIAM J. Control & Opt. 1/06 Jobst Norbert, Arnaud de Servigny 'An Empirical Analysis of Equity Default

Swaps (II):Multivariate Insights' RISK 1/06 Jonathan H. Ingersoll 'The Subjective and Objective Evaluation of Incentive

Stock Options' JofB 3/06 Joshi Chandrashekhar 'Plasma Accelerators' SA 2/06 Jostova Gergana, Alexander Philipov 'Bayesian Analysis of Stochastic Betas'

JF&QA 12/05 Kandori Michihiro, Ichiro Obara 'Efficiency in Repeated Games Revisited: The

Role of Private Strategies' Econometrica Volume 74, Issue 2, March 2006 Kang Joseph Choongseok 'A Model for Convexity-Based Cross-Hedges with Treasury

Futures' J. Fixed Income 12/05 Karch Andreas, Lisa Randall 'Relaxing to Three Dimensions' 10/05 <physics-

strings> Kerkhof Jeroen, Bertrand Melenberg, J. M. Schumacher 'Testing Hedge

Effectiveness For Option Positions' J. Risk V. 8 #2 2006 Kim In Joon, Jangkoo Kang, Geunhyuk Chang, Hwa-Sung Kim 'An Efficient

Approximation Method For American Exotic Options' 11/03 Incomplete Draft <Floating Strike Look-Back, Quadratic Approximation Barone-Adesi & Whaley, Barrier Option Formula>

Kimmel Robert 'Complex Times: Asset Pricing and Conditional Moments under Non-Affine Diffusions' January 2006

King Thomas, Daniel Nuxoll, Timothy Yeager 'Are the Causes of Bank Distress Changing? Can Researchers Keep Up?' FRB St. Louis Review Jan/Feb 06

Kloppel Susanne, Martin Schweizer 'Dynamic Utility Indifference Valuation Via Convex Risk Measures' 8/05

Klos Alexander, Elke Weber, Martin Weber 'Investment Decisions & Time Horizon:Risk Perception & Risk Behavior in Repeated Gambles' MS 12/05

Kogan Leonid,Stephen A. Ross, Jiang Wang, Mark M. Westerfield 'The Price Impact And Survival Of Irrational Traders' JofF 2/06

Kohatsu-Higa Arturo, Agnès Sulem 'Utility Maximization In An Insider Influenced Market' MF 1/06

Kokotovic Petar, Hassan Khalil 'Singular Perturbation Methods in Control:Analysis & Design' 1999 SIAM Books

Korn Ralf, L.C.G. Rogers 'Stocks Paying Discrete Dividends: Modeling and Option Pricing' J. of Derivatives Winter 2005

Kostadinov Krassimir 'Tail Approximation for Credit Risk Portfolios with Heavy-Tailed Risk Factors' J. Risk V. 8 #2 2006

Kozhemiakin Alexander V. 'Cyclical Considerations in Valuing Emerging Markets Debt' J. Fixed Income 12/05

Koziol Christian 'Optimal Exercise Strategies For Corporate Warrants' QF 2/06 Kuijlaars Arno 'Convergence Analysis of Krylov Subspace Iterations with

Methods from Potential Theory' SIAM Review 2006 #1 Kuo Hui-Hsiung 'Introduction to Stochastic Integration' 2006 Springer

Kusuoka Shigeo, Daniel Stroock 'Applications of the Malliavin Calculus. I.' In Stochastic Analysis (Katata/Kyoto, 1982) North-Holland, Amsterdam, 1984

Kythe Prem, Michael Schaferkotter 'Handbook of Computational Methods for Integration' 2005 Chapman & Hall/CRC

Lamoureux Christopher, Alex Paseka 'Information In Option Prices And The Underlying Asset Dynamics' 8/05 <Volatility> <Exact, Discrete-Time Joint Transition Density Of Returns And Volatilities>

Laprise Scott, Michael Fu, Steven Marcus, Andrew Lim, Huiju Zhang 'Pricing American-Style Derivatives with European Call Options' MS 1/06 <options-American><any Markov setting, not just geometric Brownian, upper/lower bounds, interpolation function>

Larsen Kasper 'Optimal Portfolio Delegation when Parties Have Different Coefficients of Risk Aversion' QF 10/05

Laurence Peter, Tai-Ho Wang 'Closed Form Solutions For Quadratic And Inverse Quadratic Term Structure Models' IJT&AF 12/05

Le Gall Jean-Francois 'A Conditional Limit Theorem For Tree-Indexed Random Walk' SP&A 4/06

Lee Hsiang-Tai, Jonathan K. Yoder, Ron Mittelhammer, Jill Mccluskey 'A Random Coefficient Autoregressive Markov Regime Switching Model For Dynamic Futures Hedging' J. Futures Markets 2/06

Leleux Benoit 'Post-IPO Performance:A French Appraisal' Finance 12/93 Levendorskii Sergei, Oleg Kudryavtsev, Vadim Zherder 'The Relative Efficiency

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Levine William, Caroline Essex-Torcaso, Maureen Stone, Emi Murano, Jerry Prince, Vijay Parthasarathy, Wei Tian 'A Nonlinear Incompressible Model of the Human Tongue' SIAM News 3/06

Li Duan, Xiaoling Sun, Jun Wang 'Optimal Lot Solution To Cardinality Constrained Mean-Variance Formulation For Portfolio Selection' MF 1/06

Li Haitao, Feng Zhao 'Unspanned Stochastic Volatility:Evidence From Hedging Interest Rate Derivatives' JofF 2/06 <quadratic term structure>

Liao Szu-Lang, Chao-Chun Chen 'The Valuation of European Options When Asset Returns Are Autocorrelated' J. Futures Markets 1/06

Liao Szu-Lang, Hsing-Hua Huang 'Pricing Black-Scholes Options with Correlated Interest Rate-Risk & Credit Risk:an Extension' QF 10/05

Lien Donald 'A Note on The Superiority Of The OLS Hedge Ratio' Volatilities' J. Futures Markets 11/05

Lim Andrew 'Mean-Variance Hedging When There Are Jumps' SIAM J. Control & Opt. 12/05

Lin S.J. 'Stochastic Analysis of Fractional Brownian Motion' S&SR 1995 Linaras Charilaos, George Skiadopoulos 'Implied Volatility Trees And Pricing

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Leveraged Trading Strategies:An Application of Gaussian Mixture Models to the Morgan Stanley Technology Index Tracking Fund' QF 10/05

Lindsey J.K. 'Statistical Analysis of Stochastic Processes in Time' 2004 Cambridge Press

Ljungqvist Alexander, Felicia Marston, William Wilhelm 'Competing For Securities Underwriting Mandates: Banking Relationships And Analyst Recommendations' JofF 2/06

Loewenstein Mark, Gregory Willard 'The Limits Of Investor Behavior' JofF 2/06 Low Buen Sin, Shaojun Zhang 'The Volatility Risk Premium Embedded in Currency

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MacKay Peter, Gordon M. Phillips 'How Does Industry Affect Firm Financial Structure?' RFS Winter 2005

Mallier R., A.S. Deakin 'A Green's Function For a Convertible Bond Using The Vasicek Model' J. Applied Math 2002 <convertible security, lognormal, Vasicek model, Mellin transform in the stock price>

Mandelbrot Benoit, J.W. Van Ness 'Fractional Brownian Motions, Fractional Noise & Applications' SIAM Review 1968

Mangasarian Llvi 'Nonlinear Programming' 1994 SIAM Books Marchuk G.I. 'Methods of Numerical Mathematics' Springer 1982 Marchuk G.I., V.V. Shaidurov 'Difference Methods and Their Extrapolations'

Springer 1983 Matia Kaushik, Kazuko Yamasaki 'Statistical Properties Of Demand Fluctuation

In The Financial Market' QF 12/05 Mattheij R., S. Rienstra, J. ten Thije Boonkkamp 'Partial Differential

Equations:Modeling, Analysis, Computation' 2005 SIAM books Matthej Robert, Jaap Molenaar 'Ordinary Differential Equations in Theory &

Practice' 2002 SIAM Books Maulik Krishanu, Bert Zwart 'Tail Asymptotics For Exponential Functionals Of

Lévy Processes' SP&A 2/06 McCulloch J. Huston 'The Risk-Neutral Measure and Option Pricing under Log-

Stable Uncertainty' 6/03 <option-pricing> <Carr/Wu, RNM by convolution of negatively skewed stable and exponentially tilted positively skewed stable, FFT, pricing kernal, equity premium puzzle, Romberg integration>

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Meucci Attilio 'Beyond Black-Litterman: Views On Non-Normal Markets In Normally Distributed Markets' RISK 2/06

Meucci Attilio 'Beyond Black-Litterman:Views on Non-Normal Markets' 11/05 Mezic Igor 'Nominal Dynamics in Control: A Theory for Hamiltonian Systems &

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Number Theory' 2005 Cambridge Press Mikosch Thomas, Sidney Resnick 'Activity Rates With Very Heavy Tails' SP&A

2/06 Milstein Grigori, John Schoenmakers 'Numerical Construction of a Hedging

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Milstein Grigori, John Schoenmakers, Vladimir Spokoiny 'Transition Density Estimation For Stochastic Differential Equations Via Forward-Reverse Representations' Bernoulli 10, no. 2 (2004), 281-312

Miyahara Yoshio 'Martingale Measures for the Geometric Levy Process Models' 11/05

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Monoyios Michael 'The Minimal Entropy Measure and an Esscher Transform in an Incomplete Market Model' 2005

Moreno Carlos 'Sum of Squares of Integers' 2005 Chapman & Hall/CRC Mueller Carl, Leonid Mytnik, Aurel Stan 'The Heat Equation with Time-

Independent Multiplicative Stable Lévy Noise' SP&A 1/06 Mukherjee Subrata, Yu Xie Mukherjee 'Boundary Methods:Elements, Contours, &

Nodes' 2005 Chapman & Hall/CRC

Muller Alfred, Marco Scarsini 'Stochastic Order Relations and Lattices of Probability Measures' SIAM J. Optim. 2/06 <copula, zonoid, lattice, univariate stochastic orders, multivariate stochastic orders, optimization with stochastic dominance constraints>

Murdock James 'Pertubations:Theory & Methods' 1999 SIAM Books Nadal Jean-Pierre, Denis Phan, Mirta Gordon, Jean Vannimenus 'Multiple

Equilibria In A Monopoly Market With Heterogeneous Agents And Externalities' QF 12/05

Naicker V., k. Andripoulos, PGL Leach 'Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics' J. Nonlinear Mathematical Physics V. 12, #2 2005 <option-numeric><Lie points, Schrodinger equation>

Nam Jouahn, Alan Tucker, Jason Wei 'Price Hedging with Local and Aggregate Quantity Risk' J. of Derivatives Winter 2005

Nappo Giovanna, Barbara Tortil 'Continuous Time Random Walks And Queues: Explicit Forms And Approximations Of The Conditional Law With Respect To Local Times' SP&A 4/06

Nappo Giovanna, Barbara Tortil 'Filtering Of A Reflected Brownian Motion With Respect To Its Local Time' SP&A 4/06

Neely Christopher, Drew Winters ‘Year-End Seasonality in One-Month LIBOR Derivatives’ J. Derivatives Spring 2006

Ng Andrew, Hailiang Yang 'On The Joint Distribution Of Surplus Before And After Ruin Under A Markovian Regime Switching Model' SP&A 2/06

Norberg Ragnar 'Interest Guarantees in Banking' Applied Math. Finance 12/05 Nualart David 'Levy Market Models: Completion, Hedging and Portfolio

Optimization' 5/04 Nualart David, Giovanni Peccati 'Convergence in Law of Multiple Stochastic

Integrals' Nualart David, Wim Schoutens 'Backward Stochastic Differential Equations &

Feynman-Kac Formula for Levy Processes, with Applications in Finance' <Option Pricing, Clark-Ocone, PDIE, Black-Scholes> Bernoulli 2001 <SDE>

Odders-White Elizabeth, Mark Ready 'Credit Ratings and Stock Liquidity' RFS Spring 06

Officer Micah 'The Market Pricing of Implicit Options in Merger Collars' JofB 1/06

Øksendal Bernt 'A Universal Optimal Consumption Rate For An Insider' MF 1/06 Ortobelli Sergio, Svetlozar T. Rachev, Stoyan Stoyanov, Frank J. Fabozzi,

Almira Biglova 'The Proper Use Of Risk Measures In Portfolio Theory' IJT&AF 12/05

Ouknine Youssef 'Reflected Backward Stochastic Differential Equations with Jumps' S&SR 1998

Ou-Yang Hui 'An Equilibrium Model of Asset Pricing and Moral Hazard' RFS Winter 2005

Patras Frederic 'A Reflection Principle For Correlated Defaults' SP&A 4/06 Peligrad Magda, Sergey Utev 'Another Approach To Brownian Motion' SP&A 2/06 Peng Shige, Xuehong Zhu 'Necessary and Sufficient Condition For Comparison

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Cambridge University Press, 2000 Pergamenshchikov Serguei, Omar Zeitouny 'Ruin Probability In The Presence Of

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2005 Chapman & Hall/CRC Pirrong Craig 'The Valuation of Power Options in a Pirrong-Jermakyan Model'

SSRN 12/05 Pitman Jim 'The Distribution of Local Times of a Brownian Bridge' 1999

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Platen Eckhard 'A Benchmark Approach To Finance' MF 1/06 Plerou Vasiliki, Parameswaran Gopikrishnan, H. Eugene Stanley 'Two Phase

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Predota Martin 'On European and Asian Option Pricing In The Generalized Hyperbolic Model' Euro. J. Applied Math 2/05

Printems Jacques 'On the Discretization in Time of Parabolic Stochastic Differential Equations' <SPDE>

Proske Frank 'The Stochastic Transport Equation Driven by Levy White Noise' <SDE> <SPDE, mathematical finance>

Psychoyios Dimitris, George Skiadopoulos 'Volatility Options: Hedging Effectiveness, Pricing, and Model Error' J. Futures Markets 1/06

Queiros S.M. Duarte 'Empirical Estimation of Tail Dependence using Copulas:Application to Asian Markets' QF 10/05

Rabehasaina Landy 'Monotonicity Properties Of Multi-Dimensional Reflected Diffusions In Random Environment And Applications' SP&A 2/06

Rauh Joshua 'Investment And Financing Constraints:Evidence From The Funding Of Corporate Pension Plans' JofF 2/06

Realdon Marco 'Quadratic Models in Discrete Time' SSRN 1/06 <quadratic term structure, Ahn-Dittmar-Gallant, macroeconomic data>

Reisz Alexander, Claudia Perlich 'Temporal Resolution of Uncertainty and Corporate Debt Yields: An Empirical Investigation' JofB 3/06

Rogers L.C.G., Surbjeet Singh 'Modelling Liquidity and its Effects on Price' Jan 06

Rossi Alessandro, Giampiero Gallo 'Volatility Estimation Via Hidden Markov Models' J. Empirical Finance 3/06 <Stochastic volatility; Markov chain; GARCH; SWARCH; Forecasting>

Rosu I., Daniel Stroock 'On the Derivation of the Black-Scholes Formula' Seminaire de Probabilities 37, 2004

Roth Ron 'Introduction to Coding Theory' 2005 Cambridge Press Rubinstein Ariel ‘Lecture Notes in Microeconomic Theory’ Princeton Press Sade Orly, Charles Schnitzlein, Jaime F. Zender 'Competition and Cooperation

in Divisible Good Auctions: An Experimental Examination' RFS Spring 06 Samperi Dominick 'Model Selection Using Entropy and Geometry: Complements to

the Six-Author Paper' <information geometry, exponential hedging, Tsallis entropy, replicator equation>

Samperi Dominick 'On the Evolution of Strategy: Ito Vector Fields and Replicator Flows' SSRN paper 12/05

Sancetta Alessio, Stephen Satchell 'New Test Statistics For Market Timing With Applications To Emerging Markets Hedge Funds' European J. of Finance Oct. 2005

Santos Tano, Pietro Veronesi 'Labor Income and Predictable Stock Returns' RFS Spring 06

Satchell Steven, Alan Scowcroft 'A Demystification of the Black-Litterman Model: Managing Quantitative and Traditional Construction' Journal of Asset Management, vol. 1, no. 2 (September 2000): 138-150.

Savani Rahul, Bernhard Stengel 'Hard-to-Solve Bimatrix Games' Econometrica Volume 74, Issue 2, March 2006

Schilling Rene 'Measures, Integrals & Martingales' 2006 Cambridge Press Schoutens Wim 'Moment Swaps' QF 12/05 <variance swaps, higher moments, VG,

Heston, Levy, stochastic volatility, hedging> <Swap> Schoutens Wim, Erwin Simon, Jurgen Tistaert 'Model Risk for Exotic & Moment

Derivatives' in Exotic Option Pricing & Advanced Levy Models ed. Kyprianou, et al. 2005

Schweizer Martin, Johannes Wissel 'Term Structures Of Implied Volatilities:Absence Of Arbitrage And Existence Results' 12/05

Sen Suvrajeet, Lihua Yu, Talat Genc 'A Stochastic Programming Approach to Power Portfolio Optimization' Operations Research Jan 2006

Sepp Artur 'Analytical Valuation of Lookback and Russian Options in a Double-Exponential Jump Diffusion Model' <option-lookback>

Sepp Artur, Igor Skachkov 'Option Pricing with Jumps' (with Igor Skachkov), Wilmott Magazine, November 2003 <option-pricing>

Sewell Granville 'Finite Differences, Finite Elements and PDE2D' U. Texas Press 2000 <out of print>

Shapira Yair 'Solving PDEs in C++' 2006 SIAM books Sholomitskii A. 'On the Necessary Conditions of Poisson Convergence for

Martingales' SIAM Theory Prob. & Appli. Vol 49, #4 2005 Silberberg Gheorghe 'Discrete Symmetries Of The Black-Scholes Equation' <Lie

algebra symmetry, PDE> Situ Rong 'On Solutions of Backward Stochastic Differential Equations with

Jumps and Applications' SP&A 1997 Smith Daniel R. 'Conditional Coskewness and Asset Pricing' SSRN 2/06 Sobehart Jorge, Sean Keenan 'Capital Structure Arbitrage And Market Timing

Under Uncertainty And Trading Noise' J. Credit Risk V. 1 #4 2005? Solín Pavel 'Partial Differential Equations and the Finite Element Method'

Wiley 11/05 Sornette Didier, Wei-Xing Zhou 'Non-Parametric Determination Of Real-Time Lag

Structure Between Two Time Series: The 'Optimal Thermal Causal Path' Method' QF 12/05

Stentoft Lars 'Pricing American Options When The Underlying Asset Follows GARCH Processes' J. Empirical Finance 9/05 <Time-Varying Volatility, GARCH, American Options, Least Squares Monte Carlo>

Stoev Stilian, Murad Taqqu 'How Rich Is The Class Of Multifractional Brownian Motions?' SP&A 2/06

Stone Charles, Anne Zissu ‘Securitization of Senior Life Settlements: Managing Extension Risk’ J. Derivatives Spring 2006

Svenstrup Mikkel 'On the Suboptimality of Single-Factor Exercise Strategies For Bermudan Swaptions' JFE 12/05

Talbot John, Dominic Welsh 'Cryptography & Complexity' 2006 Cambridge Press Taniguchi Setsuo 'Brownian Sheet And Reflectionless Potentials' SP&A 2/06 Tavares Santiago Alves 'Generation of Multivariate Hermite Interpreting

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Confidence Sets Through The Business Cycle' J. Credit Risk V. 1 #4 2005? Turnbull Stuart 'The Pricing Implications Of Counterparty Risk For Non-Linear

Credit Products' J. Credit Risk V. 1 #4 2005? Usadki Adam, Clint Dawson '50 Years of ADI Methods:Celebrating the

Contributions of Jim Douglas, Don Peaceman & Henry Rachford' SIAM News 3/06 <Stone Strongly Implicit Proceedure (SIP), line successive overrelaxation (LSOR), Newton-Krylov Scheme>

Vecer Jan 'Crash Options, Rally Options' wp 2005

Verhofen Michael 'Markov Chain Monte Carlo Methods in Financial Econometrics' Financial Markets and Portfolio Management, Vol. 19, No. 4, pp. 397-406, 2005 <MCMC>

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Weber Philipp, Bernd Rosenow 'Large Stock Price Changes: Volume Or Liquidity?' QF 2/06

Wei Steven X., Chu Zhang 'Why Did Individual Stocks Become More Volatile?' JofB 1/06

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Williams Leighton (ed) 'Informational Efficiency in Financial & Betting Markets' Cambridge Press 2005 <state contingent>

Wojdylo John 'Computing the Coefficients in Laplace's Method' SIAM Review 2006 #1

Xia Jianming, Jia-An Yan 'Markowitz's Portfolio Optimization In An Incomplete Market' MF 1/06

Yamamoto Yusaku 'Double-Exponential Fast Gauss Transform Algorithms For Pricing Discrete Lookback Options' <Merton Jump Diffusion, American Lookback>

Yang Hongtao 'Calibration of the Extended CIR Model' SIAM J. App. Math 1/06 Yin G., Q. Zhang, F. Liu, R.H. Liu, Y. Cheng 'Stock Liquidation Via Stochastic

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