(editor) 'Birth of the AAA Derivatives Subsidiary' J.of Derivatives Summer 94 (editor) 'Financial Derivatives:Actions Needed to Protect the Financial System' J. of

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program.,volaility,martingale,principal components> 5/96 Aase Knut 'A Model for Loss of Profits Insurance' Progress in Probability<insurance>

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Research Symposium Proceedings9/95 Aase Knut 'Area Yield Futures & Options' 3/99 <hedge> Norw. Business School Aase Knut 'Contingent Claims Valuation When the Security Price is a Combination of an

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Aase Knut 'Jump/Diffusion Consumption-based CAPM & Equity Premium Puzzle' MF 4/93<diffusion>

Aase Knut 'Optimal Portfolio Diversification in a General Continuous-Time Model' <portfolio> (84) SP&A

Aase Knut 'Ruin Problems & Myopic Portfolio Optimization' <portfolio> (86) SP&A Aase Knut, Bernt Oksendal 'Admissible Investment Strategies in Continuous Trading'

<continuous time> SP&A 30:291 1988 Aase Knut, Bernt Oksendal, Nicolas Privault, J. Uboe 'White Noise Generalizations of

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Aasness J., E. Biorn,T. Skjerpen 'Engle Functions,Panel Data & Latent Variables' Econometrica 11/93

Abadir K., K. Hadri, E. Tzavalis 'Influence of VAR Dimension on Estimator Biases' Econometrica 1/99

Abadir K., M. Rockinger 'The Devils Horns Problem of Inverting Confluent Characteristic Functions' Econometrica 9/97

Abadir K., R. Paruolo 'Two Mixed Normal Densities from Cointegration Analysis' Econometrica 5/97

Abarbanell J., V. Bernard 'Tests of Analysts Over/Underreaction to Earnings Information as Explanation for Anomalous Stock Price Behavior' JofF 7/92

Abate Joseph, Ward Whitt 'Laplace Transforms of Probability Density Functions with Series Representations' 4/98 <numeric> <Laguerre,long-tail,Erlang, Bell numbers>

Abate Joseph, Ward Whitt 'Numerical Inversion of Laplace Transforms of Probability Distributions' J. Computing 95 , 1993 <distributions>

Abate Joseph, Ward Whitt 'The Fourier-Series Method for Inverting Transforms of Probability Distributions' Queueing Systems 92 v.10 5-88 , 91 <numeric>

Abbeu D., Ariel Rubinstein 'Structure of Nash Equilibrium in Repeated Games with Finite Automata' Econometrica 11/88

Abbott L. 'Mystery of the Cosmological Constant' SA 5/88 Abdulkadiroglu A., T. Sonmez 'Random Serial Dictatorship & the Core from Random

Endowments in House Allocations Problems' Econometrica 3/98 Abhyankar Abhay 'Return & Volatility Dynamics in the FT-SE 100 Stock Index & Stock

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Market' 98 Simon Fraser PhD Abken Peter 'An Empirical Evaluation of Value at Risk by Scenario Simulation' J.

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3/99 Aboudi R., D. Thon 'Efficient Algoritms for Stochastic Dominance Tests Based On

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Appl. Statistics 1978 <regression> Abraham K., J. Greenlees, B. Mooulton 'Working to Improve the Consumer Price Index'

J. Econ. Persp. W 98 Abraham K., J. Haltiwonger 'Real Wages & the Business Cycle' <business cycle> JEL 9/95 Abraham-Frois G., E. Berrebi 'Le Probleme de la Transformation:Solution(s)'

Econometrica 9/84 Abrahams S. 'A Review of Extension Risk in Thirty-Year GNMA Mortgages' J.Fixed Income

12/94

Abrahams S. 'New View in Mortgage Prepayments:Insight from Analysis at the Loan-by-Loan Level' J. Fixed Income 6/97

Abramov A., D. Brown 'Returns on Russian Treasury Securities 1994-96:Violation of Interest Rate Parity ?' J. Fixed Income 6/97

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Abramowicz M. 'Black Holes & Centrifical Force Paradox' Scientific American 3-93 Abrams R., R. Froyen, R. Waud 'State of the Federal Budget & State of the Economy'

Economy Inquiry 10/87 <budget> Abreu Dilip 'On the Theory of Infinitely Repeated Games with Discounting'

Econometrica 3/88 Abreu Dilip, A. Sen 'Virtual Implementation in Nash Equilibrium' Econometrica 7/91 Abreu Dilip, D. Pearce, E. Stacchette 'Towards a Theory of Discounted Repeated Games

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Econometrica 7/94 Abreu Dilip, P. Migrom, D. Pearce ' Information & Timing in Repeated Partnerships'

Econometrica 11/91 Abrew Dilip, H. Matsushima 'Virtual Implementation in Interactively Undominated

Strategies:Complete Information' Econometrica 9/92 Abril J. 'Approximate Densities of Some Quadratic Forms of Stanionary Random

Variables' J. Time Series Analysis (87) #3 Abuaf N., Philippe Jorion 'Purchasing Power Parity in the Long Run' JofF 3/90 Abu-Mostafa Y.,D. Psaltis 'Optical Neural Computers' Amer Scien 3/87 <math> Abu-Saris R., F. Hanson 'Computational Suboptimal Filter for a Class of Wiener-Poisson

Driven Stochastic Processes' Dynamics & Control 97 <stochastics> Acar Emmanuel, D. Prieul 'Expected Maximum Loss of Financial Returns' <risk>

NetExposure 11/97 Acar Emmanuel, S. Stachell 'A Theoretical Analysis of Trading Rules:an Application to

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Acharya S. 'Generalized Econometric Model & Tests of Signaling Hypothesis with Two Discrete Signals' JofF 6/88

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Opportunities in the Toronto 35 Index Option Market' J. Deriv. Summer 98 Ackert L., W. Hunter 'A Sequential Test Methodology for Detecting Futures Market

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Ackert L., W. Hunter 'Rational Expectations & Dynamic Adjustment of Security Analysts Forecasts to New Information' w.p. FRB Atlanta 8-93<security>

Ackert L., W. Hunter 'Rational Expectations & Security Analysts Earnings Forecasts'<alphabetic> FRB Atlanta 8/92

Acworth Paul, Mark Broadie, Paul Glasserman 'A Comparison of Some Monte Carlo & Quasi Monte Carlo Techniques for Option Pricing' 97 <monte carlo>

Adair R. 'Flaw in the Universal Mirror' 2/88 SA <astrophysics>

Adam B., P. Garcia,R. Hauser 'Robust Live Hog Pricing Strategies under Uncertain Prices & Risk Preferences' JFM 12/93

Adamchuk Alexander, S. Adamchuck, Sergei Esipov 'Arbitrage Relaxation of Instruments with Temporal Constraints' 6/98 <arbitrage>

Adamchuk Alexander, Sergei Esipov 'Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities, and Option Pricing' Physics-Uspekhi 97 <arbitrage>

Adams K., D. van Deventer 'Fitting Yield Curves & Forward Rate Curves with Maximum Smoothness' <term structure> <num J.Fixed Income 6/94

Adan I., M. van Eenige, J. Resing 'Fitting Discrete Distributions on the First Two Moments' <distributions> Prob in Engin & Info. Science (95)

Adcock C. 'Factor Friction'<multi-factor><factor models> RISK 12/91 Aderhold R., C. Cumming, A. Harwood 'International Linkages among Equity Markets and

Oct. 87 Market Break' FRB NY Quart. Review Summer 88 Adleman L. 'Factoring Numbers Using Singular Integers' <number field sieve>

<cryptography> Proc. ACM 91 Theory of Computing Adler B., D. Gale 'Arbitrage & Growth Rate for Riskless Investments in a Stationary

Economy' MF 1/97 <arbitrage> Adler M. 'Cost of Capital & Valuation of a Two-Country Firm' JofF 3/74 Adler M. 'Investor Recognition of Corporation International

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Processes'<Brownian motion> SP&A 5/92 Admati A. 'A Noisy Rational Expectations Equilibrium for Multi-Asset Security Markets'

Econometrica 5/85 Admati A., P. Pfleiderer 'Direct & Indicrect Sale of Information' Econometrica 7/90 Admati A., P. Pfleiderer 'Robust Financial Contracting & the Role of Venture

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JofF 9/89 Affleck-Graves John, S.Hedge, R. Miller 'Trading Mechanisms & Components of Bid-Ask

Spread' JofF 9/94 Aftergood S., et al 'Nuclear Power in Space' SA 6/91 Agca Senay, Donald Chance 'A Comparison of Alternative Bivariate Normal Probability

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JofF 6/00 Aggarwal Raj, A. Samwick 'Executive Compensation, Strategic Competition, and Relative

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Aggarwal Raj, M. Moran, Peter Ritchken 'Valuation of Covert Greenmail Payments:Application of Contingent Claims Analysis' J. Fin. Engin. 12/92

Aggarwal Raj, S. Mohanty, F. Song 'Are Survey Forecasts of Macroeconmic Variables Rational?' JofBusiness 1/95

Aghion P., M. Dewatripont, P. Rey 'Renegotiation Design with Unverifiable Information' Econometrica 3/94

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Control:Case of All-Equity Firms' JofF 9/90 Aguirre J. 'Self-Similarity & the Singular Cauchy Problem for the Heat Equation with

Cubic Absorption' App. Math. Letter 1/2001 <PDE> Aharony J., C. Jones, I. Swary 'An Analysis of Risk & Return Characteristics of

Corporate Bankruptcy Using Capital Market Data' JofF 9/80 Aharony J., I. Swary 'Effects of the 1970 Bank Holding Company Acts:Evidence from

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Study' JofF 3/80 Ahmadi H., P. Sharp, C. Walther 'Effectiveness of Futures & Options in Hedging

Currency Risk' <hedging> AFOR V1B 86 Ahmed H. 'Nonlinear Dynamics, Volatility Estimation & Management of Equity Risk' w.p.

1992 <volatility> Ahn B., G. Johnson 'Path Integrals, Fourier Transforms & Feynman Operational Calculus'

Mar/April 98 Anna. App. Prob. Ahn C. 'Effect of Temporal Risk Aversion on Optimal Consumption, the Equity Premium &

the Equilibrium Interest Rate' JofF 12/89 Ahn C. 'Option Pricing when Jump Risk is Systematic' <options-numeric> MF 10/92 Ahn C. 'Pricing of Foreign Currency Futures Options'<options-currency> J. Fina. Engin

9/96 Ahn C., H. Thompson 'Jump-Diffusion Processes & the Term Structure of Interest Rates'

JofF 3/88 Ahn D. 'Common Factores & Local Factors:Implications for Term Structures & Exchange

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Model' 7/97 (term structure) Ahn Dong-Hyun, Bin Gao 'Parametric Nonlinear Model of Term Structure Dynamics' RFS #4

99 ,3/98 <term structure> Ahn Dong-Hyun, Jacob Boudoukh, Matthew Richardson, Robert Whitelaw 'Optimal Risk

Management Using Options' JofF 2/99 Ahn Dong-Hyun, Steven Figlewski, Bin Gao 'Pricing Discrete Barrier Options with an

Adaptive Mesh Model' J. Derivatives Summer 99 <options-barrier> Ahn Dong-Hyun, V. Khadem, Paul Wilmott 'Pricing of Risk Bonds:Current Models & Future

Directions' <credit> Ahn Hyungsok 'Semimartingale Integral Representations' Annals of Prob. 4/97

<martingale> Ahn Hyungsok, Adviti Muni, Glen Swindle 'Misspecifed Asset Price Models & Robust

Hedging Strategies' Appl. Math Finance 3/97 <hedging>

Ahn Hyungsok, Adviti Muni, Glen Swindle 'Optional Hedging Strategies for Miispecified Asset Price Models' App.Math.Fin. 9/99 <hedging>

Ahn Hyungsok, Antony Penaud, Paul Wilmott 'Various Passport Options & Their Valuation' Applied. Math. Fin. 12/99 <option-passport>

Ahn Hyungsok, J. Powell 'Nonparametric Two Stage Estimation of Conditional Choice Probabilities in a Binary Choice Model Under Uncertainty'U of Wisc. Madison April 90

Ahn Hyungsok, J. Powell 'Semiparametric Estimation of Censored Selection Models' U of Wisc. Madison April 90

Ahn Hyungsok, M. Bouabci, Antony Penaud 'Tailormade for Tails' <distribution> <heavy tails>

Ahn Hyungsok, M. Dayal, E. Grannan, Glen Swindle 'Option Replication with Transaction Costs:General Diffusion Limits' <options-transaction> Annals of Applied Prob. V6 #5 98

Ahn Hyungsok, Paul Wilmott 'Exercise Class' <option-American> Ahn Hyungsok, Paul Wilmott 'On Trading American Options' <options-American> Ahonen E. 'Mechanics 2' Derive Newsletter 6/93 Ahtola J., George Tiao 'Distribution of Least Squares Estimators of Atuoregressive

Parameters for a Process with Complex Roots on the Unit Circle' J. Time Series Analysis #1 (87)

Ahtola J., George Tiao 'Note on Asymptotic Inference in Autoregressive Models with Roots on the Unit Circle' J. Time Series Analysis #1 (87)

Aigner D., C. Sprenkle 'On Optimal Financing of Cyclical Cash Needs' JofF 12/73 Aigner D., P. Balestra 'Optimal Experimental Design for Error Components Models'

Econometrica 7/88 Aina Victor 'Valuation of Default-Risky Securities under a Mixed Diffusion-Jump

Process' Simon Fraser U. PhD Diss. 99 Aingworth D., R. Motwani, J. Oldham 'Accurate Approximations for Asian Options'

<option-asian> 10/99 Ait Sahalia Farid 'Valuation & Exercise of American Barrier Options' Ait Sahalia Farid, L. Imhof, Tze Lai 'Fast & Accurate Valuation of American Barrier

Options' <option-american> 10/2000 Ait Sahalia Farid, Peter Carr 'American Options: a Comparison of Numerical Methods'

in Num.Method in Finance (ed.Rogers,Talay) Ait Sahalia Farid, T. Lai 'Valuation of Discrete Barrier & Hindsight Options' J.

Finan. Engin. 6/97 <options-barrier> Ait Sahalia Farid, Tze Leung Lai 'A Canonical Optimal Stopping Problem for American

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Lookback Options' App.Math Finance 9&12/98 <option-lookback> Aitken M., A. Frino, M. McCorry, P. Swan 'Short Sales are Almost Instantaneously Bad

News:Evvidence from the Australian Stock Exchange'JofF 12/98 Aitken M., G. Garvey, P. Swan 'How Brokers Facilitate Trade for Long-Term Clients in

Competitive Security Markets' JofBusiness 1/95 Ait-Sahalia Yacine 'Delta & Bootstrap Methods for Non-linear Functionals of

Nonparametric Kernel Estimators Base on Dependent Multivariate Data' 10-92 Ait-Sahalia Yacine 'Do Interest Rates Really Follow a Continuous-Time Markov

Diffusions? 10/97 <term structure> Ait-Sahalia Yacine 'Dynamic Equilibrium & Volatility in Finanical Asset Markets' wp

<volatility> Ait-Sahalia Yacine 'Nonparametric Pricing of Interest Rate Derivative Securities'

<diffusion,term structure,continuous time> Econometrica 5/96 Ait-Sahalia Yacine 'Testing Continuous-Time Models of the Spot Interest Rate' <term

structure> UofC w.p. 8/95,RFS Summer 96 Ait-Sahalia Yacine 'The Delta Method for Nonparametric Kernel Functionals' 8/94

<regression>

Ait-Sahalia Yacine 'Transition Densities for Interest Rate & other Nonlinear Diffusions' JofF 8/99

Ait-Sahalia Yacine, Andrew Lo 'Nonparametric Estimation of State-Price Denisties Implicit in Financial Asset Prices' JofF 4/98 <volatility smile>

Ait-Sahalia Yacine, Peter Bickel, Thomas Stoker 'Goodness-of-Fit Tests for Regression Using Kernel Methods' Journal of Econometrics, 2001 , <regression> 3/96

Ait-Sahalia Yacine, Y. Wang, F. Yared 'Do Option Markets Correctly Price the Probabilities of Movements of the Underlying Asset?' 10/97 <option-pricing>

Aivazian V., J. Callen 'Future Investment Opportunities & the Value of the Call Provision on a Bond:Comment' JofF 9/80

Aivazian V., J. Callen 'Investment, Market Structure & Cost of Capital' JofF 3/79 Aivazian V., J. Callen 'Millers Irrelevance Mechanism' JofF 3/87 Aiyagan S. 'Economic Fluctuation without Shocks to Fundamentals; or Does the Stock

Market Dance to it Own Music? FRB Minn W88 Aiyagari S. Rao 'On the Contribution of Technology Shocks' Quarterly Review Summer 97

FRB Minn. Aiyagari S. Rao 'Deficits, Interest Rates & Tax Distributions' FRB Minn Winter 85 Aiyagari S. Rao 'Deflating the Case for Zero Inflation' Quarterly Review Summer 97 FRB

Minn. Aiyagari S. Rao 'Explaining Financial Market Facts:Importance of Incomplete Markets &

Transaction Costs' <complete markets> Quarterly Review FRB Minn Winter 93 Aiyagari S. Rao 'Intergenerational Linkages & Government Budget Policies' FRB Minn Sp

87 <budget> Aiyagari S. Rao 'Macroeconomics with Frictions' Quart.Review FRB Minn. Summer 94 Aiyagari S. Rao 'On Contribution of Technology Shocks to Business Cycles' Quart.

Review FRB Minn. Winter 94 Aiyagari S. Rao, N. Wallace, R. Wright 'Coexistence of Money & Interest-Bearning

Securities' J. Monetary Economics 96 Aizenstros Elon 'Managing the Unmanageable ' <electric power energy,Burr XII

distribution> ASIA RISK 6/99 Ajinkya B., M. Gift 'Dispersion of Financial Analysts Earnings Forecasts & Option

Model Implied Standard Deviation of Stock Returns' JofF 12/85 Akahori J. 'Explosive Tests for Stochastic Integral Equations Related to Interest Rate

Models' J. Math. Sciences, U. Tokyo 98 <term structure> Akahori J. 'Some Formulae for a New Type of Path-Dependent Option'<options-path>

Annals of App.Prob 95 Akamanam S., M. Rao, K. Subramanyam 'On the Ergodicity of Bilinear Time Series

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Akasof S. 'Dynamic Aurora' SA 5/89 Akaujo A. 'Lack of Pareto Optimal Allocations in Economies with Infinitely Many

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Brownian Motion & the Ornstein-Uhlenbeck Process' 11/98 <Brownian> Akesson Fredrik, John Lehoczky 'Path Generation for Quasi-Monte Carlo Simulation of

Mortgage Backed Securities' 9/2000 <monte carlo> Akgiray Vedat, Geoffrey Booth 'Compound Distribution Models of Stock Returns: An

Empirical Comparison' <distributions> JFR Fall 87 Akgiray Vedat, Geoffrey Booth 'Mixed Diffusion-Jump Process Model of Exchange Rate

Movement' R. Econ & Stats 11/88 Akhtar M., B. Putman 'Money Demand & Foreign Exchange Risk:German Case 1972-76' JofF

6/80 Akian M., J. Menaldi, A. Seilem 'Multi-Asset Portfolio Selection Problems with

Transaction Costs' <transition cost> Math & Computers in Simulation (95) Akian M., J. Menaldi, X. Sulem 'On an Investment Consumption Model with Transaction

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Aksoy L. 'Nash Equilibrium Solution for Stock Market Crashes' 97 City U. NY PhD Albanese Claudio, Sebastian Jaimungal, Dmitri Rubisov 'Jumping in Line' RISK 2/2001,

w.p. <option-pricing><variance gamma, method of lines,jump,Richardson extrapolation> 9/2000

Albin P. 'Information Exchange in Security Markets & Assumption of Homogeneous Beliefs' JofF 9-74

Albizzati M., J. Geman 'Interest Rate Risk Management of the Surrender Option in Life Insurance Policies' <options-insurance> J. Risk & Insurance 94

Albrecht Peter 'A Stochastic Approach to Quantifing of Default Risk' U. Mannheim Albrecht, Thomas 'Die Vereinbarkeit der Value-at-Risk Methode in Banken mit

Anteilseignerorientierter Unternehmensfuhrung' Zeitschrift-fur-Betriebswirtschaft 3/98 <RAROC>

Alchian A., R. Kessel 'Redistribution of Wealth Through Inflation' in MDIM Alderson M., K. Chen 'Excess Asset Reversions & Shareholder Wealth' JofF 3/86 Alesina A., H. Rosenthal 'Theory of Dividend Government' Econometrica 11/96 Alessandrini F. 'Credit Risk, Interest Rate Risk & the Business Cycle' J. Fixed Income

9/99 Alessandrini S. 'A Motiational Example for the Numerical Solution of Two-Point

Boundary Value Problems' SIAM Review 9/95 Alexander Carol 'History Debunked'<volatility><correlation,financial analysis> RISK

12/94 Alexander Carol 'Optimal Hedging Using Cointegration' Philos. Trans. Royal Society

8/99 <hedging> Alexander Carol 'Primer on the Orthogonal GARCH Model' <ARCH> Alexander Carol 'Principal Component Analysis of Implied Volatility Smiles & Skews

10/2000 <volatility> Alexander Carol 'Principles of the Skew' <principal componetns, fixed strike>

<volatility> RISK 1/2001 Alexander Carol, A. Johnson 'Dynamic Links' <cointerg><correlation,equity,bond> RISK

2/94 Alexander Carol, C. Leigh 'On the Covariance Matrices Used in Value at Risk Models' J.

Derivatives Spring 97 Alexander Carol, I. Giblin 'Chaos in the System?'<chaos> <Financial Markets> RISK 6/94 Alexander Carol, N. Riyait 'World According to GARCH' <ARCH>wp & RISK 9/92 Alexander G. 'Short Selling & Efficient Sets' JofF 9/93 Alexander G., Br. Resnick 'More on Estimation Risk & Simple Rules for Optimal

Portfolio Selection' JofF 3/85 Alexander G., C. Eun, S. Janakiramanan 'Asset Pricing & Dual Listing on Foreign

Capital Markets' JofF 3/87 Alexander G., M. Stutzer 'A Graphical Note on European Put Thetas' J. Futures Markets

4/96 Alexander G., P. Benson, J. Kampmeyer 'Investigating the Valuation Effects of

Corporate Announcements of Voluentary Corporate Selloffs' JofF 6/84 Alexander G., R. Stover, D. Kuhnau 'Market Timing Stragegies in Convertible Debt

Financing' JofF 3/79 Alexander J., R. Marry 'Relative Significance of Journals,Authors,& Articles Cited in

Financial Research' JofF 6/94 Alexander S. 'Price Movements in Speculative Markets:Trends or Random Walks #2' <stock

price> in P. Cootner's 'Random Character of Stock Prices' Alexandre H. 'La Quasi-marche Aleatoire'FINANCE v13,#2 12-92 Alfriend M. 'International Risk Based Capital Standard:History & Explanation' <alpha> Algoet P., T. Cover 'Asymptotic Optimality & Asymptotic Equipartition of Log-Optimum

Invesment' Ann Probl 88 Al-Hussaini 'Unified Proof of Two Theorems in Statistics' SIAM Review 12/95 Ali M., R. Thalheimer 'Stationarity Tests in Time Series Model Building' <time series> Alini E., P. Elmer, F. Raiter 'Principles of Fixed-Income Securities Auctions' J.Fixed

Income 6/95

Aliprantis C., D. Brown, O. Burkinshaw 'Edgeworth Equilibria' Econometrica 9/87 Alkan A., G. Demange, D. Gale 'Fair Allocation of Indivisible Goods & Criteria for

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News 12/98 Allanese C., L. Seco 'Harmonic Analysis in Value at Risk Calculations' 10/2000 Allburn E. 'Graph Decomposition' Dr. Dobbs J. 1/91<graph> Allen B. 'Existence of Rational Expectations Equilibrium in a Large Economy with Noisy

Price Expectations' <rational expectations> Allen B. 'Non-parametric Approach to Smoothing by Aggregation Over Preferences' w.p.

8/81 Allen D., L. Thomas, E., Harry Zhang 'Stripping Coupons with Linear

Programming'J.Fixed Income 2000 , <term structure> Allen F. 'Prevention of Default' JofF 5/81 Allen F., A. Postelwaite 'Rational Expections & Measurement of a Stocks Elasticity of

Demand' JofF 9/84 Allen F., A. Santomero 'Theory of Financial Intermediation' Wharton 96-32 Allen F., D. Gale 'Arbitrage, Short Sales & Financial Innovation' Econometrica 7/91 Allen F., D. Gale 'Financial Markets, Intermediaries & Intertemporal Smoothing'

Wharton 96-33 Allen F., D. Gale 'Limited Market Participation & Volatility of Asset Prices' AER

9/94<volatility> Allen F., D. Gale 'Optimal Financial Crises' JofF 8/98 Allen H., M. Taylor 'Chart Analysis & the Foreign Exchange Market' R. Futures Markets

V8 #2 89 Allen J., J. McConnell 'Equity Curve-Outs & Managerial Discretion' JofF 2/98 Allen J., S. Lummer, J. McConnell, D. Reed 'Can Takeover Losses Explain Spin-Off

Gains' JF&QA 12/95 Allen M. 'Building a Role Model' <credit risk><capital for market risk> RISK 9/94 Alles Lakshman 'Smiles, Skews, Implied Distributions & Market Expectations from Option

Prices:Case of American Equity Options' Allingham M. 'Existence Theorems in the Capital Assets Pricing Model' Econometrica

7/91 Almgren Robert 'Solving the Black-Scholes Equation' 2/98 <option-pricing> Almgren Robert 'Stabiltiy of Finite Difference Methods' 3/2/98 <numerics> Almgren Robert, Neil Chriss 'Optimal Liquidation' 11/97 <markets> Al-Najiar N. 'Decompostion & Characterization of Risk with a Continuum of Random

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10/95 Al-Najjar N. 'Non-transitive Smooth Preferences'<Utility> w.p. U. Quebec Sept 90 Al-Najjar N. 'On the Robustness of Factor Structures to Asset Repacking' J. Math Econ.

4/99 Al-Osh M., A. Alzaid 'First-Order Integer-Valued Autoregressive (INAR(i) Processes' J.

Time Series Analysis (87) #3 Alpuim M. 'High Level Exceedances in Stationary Sequences with Extremal Index' SP&A

11/88 Alquachi L. 'Optimal Consumption & Portfolio Choice for Long-Horizon Investors'

Harvard 98 PhD Altman E. 'Defaulted Bonds:Demand,Supply & Performance 1987-92' FAJ 5/93 Altman E. 'Further Empirical Investigation of the Bankruptcy Cost Question' JofF 9/84 Altman E. 'Mark-to-Market & Present Value Disclosure' FAJ 3/93 Altman E. 'Measuring Corporate Bond Mortality & Performance' JofF 9/89 Altman E., B. Jacquillat , M. Levasseur 'Comparative Analysis of Risk Measures:France

& the U.S.' JofF 12/74 Altman E., D. Kao 'Rating Drift of High-Yield Bonds' J. of Fixed Income 3/92

Altman E., J. Bencivenga 'A Yield Premium Model for the High-Yield Debt Market' FAJ 10/95

Altman E., V. Kishore 'Almost Everything You Wanted to Know About Recoveries on Defaulted Bonds' 11/96 <credit derivatives> FAJ

Altug S., P. Labadie 'Dynamic Choice & Asset Markets' Academic 94 Altug S., R. Miller 'Household Choices in Equilibrium' Econometrica 5/90 Alvarez Luis 'A Singlular Stochastic Control Problem in an Unbounded Domain' U Paris-

Dauphine 94 Alvarez Luis 'Singular Stochastic Control in the Presence of a State-Dependent Yield

Structure' SP&A 2000 <term structure> Alvarez Luis 'Zero Coupon Bonds and Affine Term Structures:Reconsidering the One-

Factor Model'<term structure><Riccati,diffusion> Insurance:Math. & Econ. 23 (1998)

Alziary B., J.P. Decamps,P. Koehl 'A PDE Approach to Asian Options:Analytical & Numerical Evidence' 5/97 J. Banking & Fiannce <options-Asian>

Amaral L., S. Buldyrov, H.Leschhorn, P. Maass, M. Salinger, H. Stanley,M. Stanley 'Scaling Behavior in Economics I:Empiricial Results for Growth Companies' J. de Physique I 4/97

Amaral L., V. Plerou, P. Gopikrishman, M. Meyer, H. Stanley 'Distribution of Returns of Stock Prices' Inter. J. of Theor. & Applied Finance 7/2000

Ambarish R., K. John,J. Williams 'Efficient Signalling with Dividends & Investments' JofF 6/87

Ambarish R., L. Seigel 'Time is the Essence' <portfolio><time frame portfolios evaluated> RISK 8/96

Ambrose B., E. Ancel, M. Griffits 'Fractal Structure in Capital Markets Revisited'<Chaos> FAJ 5/93

Ambrose B., W. Megginson 'Role of Asset Structure, Ownership Structure & Takeover Defenses in Determining Acquistion Likelihood' JFQ&A 12/92

Amemiya T., Q. Vuong 'A Comparison of Two Consistent Estimators in the Choice-based Sampling Qualitative Response Model' Econometrica 5/87

Amemiya T., T. MaCurdy 'Instrumental-Variable Estimation of an Error-Components Model' Econometrica 7/86

Amendinger J., P. Imkeller, Martin Schweizer 'Additional Logarithmic Utility of an Insider' SP&A 7/98 v75 #2 , <utility>

Amendinger Jurgen 'Martingale Representation Theorems for Initially Enlarged Filtrations <martingale> SP&A 9/2000

Amershi A. 'Complete Analysis of Full Pareto Efficiency in Financial Markets for Arbitrary Preferences' JofF 9/85

Amershi A., B. Ramamurtie 'Rational Expectations Equilibrium in an Economy with Segmented Capital Asset Markets' wp FB Atlanta 11/95

Amiez G., P. Gremaud 'On a Numerical Approach to Stefan-like Problems'<boundary value> Numerishche Matematik v59 1991

Amihud Yakov 'General Risk Aversion & an Attitude Towards Risk' JofF 6/80 Amihud Yakov, B. Lev, N. Travlos 'Corporate Control & the Choice of Investment

Financing:Case of Corporate Acquistions' JofF 6/90 Amihud Yakov, Haim Mendelson 'Asset Price Behavior in a Dealtership Market' FAJ 5/87 Amihud Yakov, Haim Mendelson 'Effects of Beta,Bid-Ask Spread, Residual Risk & Size on

Stock Returns' JofF 6/89 Amihud Yakov, Haim Mendelson 'Liquidity, Maturity, & Yields on US Treasury Securities'

JofF 9/91 Amihud Yakov, Haim Mendelson 'Trading Mechanisms & Stock Returns:Empirical

Investigation' JofF 7/87

Amihud Yakov, Haim Mendelson 'Volatility,Efficiency & Trading:Evidence from the Japanese Stock Market' JofF 12/91

Amihud Yakov, Haim Mendelson, J. Uno 'Number of Shareholders & Stock Prices:Evidence from Japan' JofF 6/99

Amihud Yakov, M. Murgia 'Dividends, Taxes, & Signaling:Evidence from Germany' JofF 3/97

Amin Kaushik 'Jump Diffusion Option Valuation in Discrete Time' JofF 12/93 Amin Kaushik 'On the Computation of Continuous Time Option Prices Using Discrete

Approximations' <options-numeric><american,time vary volatility,term structure>JF&QA 12/91

Amin Kaushik 'Option Pricing Trees' J. Derivatives Summer 95<options-numeric> Amin Kaushik, A. Khanna 'Convergence of American Option Values from Discrete to

Continuous-Time Financial Models'<options-american> MF 11/94 Amin Kaushik, Andrew Morton 'Implied Volatility Functions in Arbitrage Free Term

Structure Models' <term structure> JFE 4/94 Amin Kaushik, James Bodurtha 'Discrete-Time Valuation of American Options with

Stochastic Interest Rates' <term structure><HJM> RFS Spring 95 Amin Kaushik, Robert Jarrow 'Pricing Foreign Currency Options under Stochastic

Interest Rates' <term structure>,HJM> J. International Money and Finance (91) Amin Kaushik, Robert Jarrow 'Pricing Options on Risky Assets in a Stochastic Interest

Rate Economy' <term structure> MF 10/92 Amin Kaushik, Victor Ng 'ARCH Processes & Option Valuation' U. Michigan 93 Amin Kaushik, Victor Ng 'Heath, Jarrow & Morton Implied Volatility Functions &

Conditional Heteroskedasticity Models:Information in Eurodollars Futures Options' wp 4/95 <term structure>

Amin Kaushik, Victor Ng 'Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options:New Approach' RFS Summer 97 <volatility>

Amin Kaushik, Victor Ng 'Option Valuation with Systematic Stochastic Volatility' JofF 7/93

Amitai D., A. Averbuch, M. Israeli,S. Itzikowitz 'Implicit-Explicit Parallet Asynchronous Solver of Parabolic PDES' SIAM J. Sci. Compu 7/98

Amman H., K. Kendrick, H. Neudecker 'Numerical Steady State Solutions for Nonlinear Dynamic Optimization Models' <numeric> <growth,macro,quadratic>9/95

Ammann M. 'Pricing Derivative Credit Risk' Springer 99 Ammer J., J. Mei 'Measuring International Economic Linkages with Stock Market Data'

JofF 12/96 Amoako-Adu B. 'Canadian Tax Reform & Its Effect on Stock Prices:Note' JofF 12/83 Anand S., M. Ravallion 'Human Development in Poor Countries' J.Economic Perspectives

Winter 93 Anant T., N. Kiefer 'Bayesian Analysis of the Specification of Simultaneous Equations

Models' w.p. Aug 85 Anathanarayanan A., E. Schwartz 'Retractable & Extendible Bonds:Canadian Experience'

JofF 3/80 Andel J., T. Barton 'Note on the Threshold AR(1) Model with Cauchy Innovations' J.

Time Series Analysis #1 (86) Anderlini L., H. Sabourian 'Computation & Effective Computability' Econometrica 11/95 Andersen Erling 'Diagnostics in Categorical Data Analysis' J. Royal Statistical

Society 1992 Andersen Erling, Knud Andersen 'Exploiting Parallel Hardware in Solving Optimization

Problems' SIAM 5/99 Andersen Erling, Knud Andersen 'Presolving in Linear Programming' wp Odense Univ. 95 Andersen L., K. Carlson 'Monetarists Model for Economic Stabilization' FRB S.L. 10/86

<business cycle> Andersen Leif 'A Simple Approach to the Pricing of Bermudan Swaptions in the

Multifactor LIBOR Market Model' J. Comp. Finance Spring 2000 <Term Structure> Andersen Leif 'Efficient Techniques for Simulation of Interest Rate Models Involving

Non-Linear Stochastic Differential Equations' General Re 95 <interest rates><monte carlo>

Andersen Leif 'Five Essays on the Pricing of Contingent Claims' PhD Aahus 96 Andersen Leif 'Monte Carlo Simulation of Lookback & Barrier Options' 1/97 <option-

lookback>

Andersen Leif 'Simulation of Non-Linear SDEs with an Emphasis on Interest Rate Models' 1/97 <monte carlo>

Andersen Leif, J. Jordan 'Monetary & Fiscal Actions:Test of their Relative Importance in Economic Stabilization' FRB S.L. 10/86 <business cycle>

Andersen Leif, Jesoer Andreasen,D. Eliezer 'Static Replication of Barrier Options:Some General Results' 2/2000 <option-barrier>

Andersen Leif, Jesper Andreasen 'Factor Dependence of Bermuda Swaption Prices:Fact or Fiction?' JFE 2001 ,3/2000 <Swaps>

Andersen Leif, Jesper Andreasen 'Jump-Diffusion Processes: Volatility Smile Fitting & Numerical Methods for Pricing' R. Deriv. Research 2000 <volatility>

Andersen Leif, Jesper Andreasen 'Jumping Smiles' RISK 11/99 <volatility> Andersen Leif, Jesper Andreasen 'Static Barriers' RISK 9/2000 <option-barrier> Andersen Leif, Jesper Andreasen 'Volatility Skews & Extensions of the Libor Market

Model' App.Math.Finance 3/2000 <term structure><CEV,cap,swaption,volatility> Andersen Leif, Jesper Andreasen, Rupert Brotherton-Ratcliffe 'The Passport Option' J.

Computational Finance Spring 98 <option-passport> Andersen Leif, Phelim Boyle 'Monte-Carlo Methods for the Valuation of Interest Rate

Securities' 'Advanced Fixed-Income Valuation Tools' ed. Jegadeesh,Tuckman,Wiley 2000 <term structure>

Andersen Leif, Rupert Brotherton-Ratcliffe 'Exact Exotics'<options-exotic><monte carlo,barrier,lookback> RISK 10/96

Andersen Leif, Rupert Brotherton-Ratcliffe 'The Equity Option Volatility Smile:An Implicit Finite-Difference Approach' J.Comp.Finance Winter 98 V.1#2 <volatility>

Andersen T. 'Trends in Profit Sensitivity' in MDIM Andersen Torben 'Return Volatility & Trading Volume:An Information Flow Interpretation

of Stochastic Volatility' JofF 3/96 Andersen Torben 'Stochastic Autoregressive Volatility:Framework for Volatility

Modeling' <volatility>MF 4/94 Andersen Torben, B. Sorensen 'GMM Estimation of a Stochastic Volatility Model:Monte

Carlo Study'<volatility><GARCH,APT,Ornstein-Uhlenbeck,Generalized Method of Moments> NU 3/94

Andersen Torben, J. Lund 'Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate' J. Econometrics 97

Andersen Torben, J. Lund 'Stochastic Volatility & Mean Drift in the Short Term Interest Rate Diffusion:Sources of Steepness, Level and Curvature in the Yield Curve' <volatility> NU 2/96

Andersen Torben, J. Lund 'Stochastic Volatility in the Short Term Intrest Rate Diffusion with Implications for the Yield Curve' NU 96

Andersen Torben, J. Lund 'The Short Rate Diffusion Revisited:Investigation Guided by the Efficient Method of Moments' NU 96

Andersen Torben, Luca Benzoni, J. Lund 'Estimating Jump-Diffusions for Equity Returns' 5/2000 <volatility>

Andersen Torben, Tim Bollerslev 'Deutsche Mark-Dollar Volatility:Intraday Activity Patterns, Macroeconomic Announcement & Longer Run Dependencies' JofF 2/98

Andersen Torben, Tim Bollerslev 'Hetergeneous Information Arrivals & Return Volatility Dynamics:Uncovering the Long-Run in High Frequency Returns' JofF 7/97

Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys '(Understanding, Optimizing, Using & Forecasting) Realized Volatility & Correlation' 10/99 <volatility>

Andersen Torben, Tim Bollerslev, Francis Diebold, Paul Labys 'Exchange Rate Returns Standardized by Realized Volatiltiy are (Nearly) Gaussian' 1/2000 <volatilty> NBER

Anderson D. 'Optical Gyroscopes' SA <no date> Anderson Evan, Lars Hansen 'Perurbation Methods for Risk-Sensitive Economies' 6/96

Anderson Evan, Lars Hansen, E. McGrattan,Thomas Sargent 'On the Mechanism of Forming & Estimating Dynamic Linear Economies' wp FRB Minn. 95

Anderson G. 'Nonparametric Tests of Stochastic Dominance in Income Distributions' Econometrica 9/96

Anderson J., J. Neary 'Trade Reform with Quotas,Partial Rent, Retention & Tarrifs' 1/92 Econometrica

Anderson N., F. Breedon 'Fifty Years of UK Asset Price Volatility' J. of Risk Spring 2000

Anderson R. 'Core Theory with Strongly Convex Preferences' Econometrica 11/81 Anderson R. 'Nonstandard Methods in Mathematical Economics' 6/90 U.of Cal. Berkeley

<math.econ> Anderson R. 'Strong Core Theorems with Nonconvex Preferences ' Econometrica 11/85 Anderson R. 'The Second Welfare Theorem with Nonconvex Preferences' Econometrica 3/88 Anderson R., C. Tu 'Numerical Analysis of Strategic Contingent Claims Models' 1/97

<contingent claims>,Computational Economics 4/98 Anderson R., J-P. Danthine 'Cross Hedging' JPE 12-81 <hedging> Anderson R., S. Sundaresan 'A Comparative Study of Structural Models of Corporate Bond

Yields:an Exploratory Investigation' J. Banking & Finance Jan 2000 <credit risk> Anderson R., W. Trockel, L. Zhou 'Noncovergence of the Mas-Colell & Zhou Bargaining

Sets' Econometrica 9/97 Anderson R., William Zame 'Edgeworth's Conjecture with Infinitely Many Commodities L1'

Econometrica 3/97 Anderson T., A. Takemura 'Why do Noninvertible Estimated Moving Averages Occur' J.

Time Series Analysis 86 #4 Anderson, F. Breedon, M. Deacon, A. Derry, M. Murphy 'Estimating & Interpreting the

Yield Curve' Wiley 96 Andersson Jonas 'On the Normal Inverse Gaussian Stochastic Volatility' J. Bus & Econ

Stat. Jan 2001 <volatility><GARCH> Andradottir S. 'A Method for Discrete Stochastic Optimization' <optimization>

Management Science 12/95 Andreasen Jesper 'Credit Explosives' <credit risk> 1/2001 Andreasen Jesper 'Essays on Contingent Claim Pricing' 3/97 PhD U. Aarhus Andreasen Jesper 'Implied Modeling:Stable Implementation,Hedging & Duality' Aarhus U.

96 PhD chapter Andreasen Jesper 'The Pricing of Discretely Sampled Asian and Lookback Options: A

Change of Numeraire Approach' J. Comp Finance Fall 98 <option-Asian> Andreasen Jesper, B. Gruenwald 'American Option Pricing in Jump Diffusion Model'

Aarhus 96 PhD chapter Andreasen Jesper, B. Jensen, R. Roulsen 'New Skin for the Old Ceremony:Eight Different

Derivations of the Black-Scholes Formula' 11/96 <options-euro> Andreasen Jesper, Pierre Collin-Dufresne, Wei Shi 'Applying the HJM-Approach when

Volatility is Stochastic' <interest rates> Andrew Abel 'Capital Accumlation & Uncertain Lifetimes with Adverse Selection'

Econometrica 9/86 Andrew Abel, B. Bernheim 'Fiscal Policy with Impure Intergenerational Alturism'

Econometrica 11/91 Andrew Abel, F. Mishkin 'On Econometric Testing of Rationality & Market Efficiency'

UofC June 79 Andrew Abel, J. Eberly 'A Unified Model of Investment Under Uncertainity' AER 12/94

<portfolio> Andrew Abel, L. Blanchard 'Present Value of Profits & Cyclical Movements in

Investments' Econometrica 3/86 Andrews Donald 'A Stopping Rule for the Computation of Generalized Method of Moments'

Econometrica 7/97 Andrews Donald 'Admissibility of the Likelihood Ratio Test when the Parameter Space is

Restricted under the Alternative' Econometrica 5/96 Andrews Donald 'Asymptotic Normality of Series Estimatores for Nonparametric & Semi-

parametric Regression Models' Econometrica 3/91

Andrews Donald 'Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinity' Econometrica 1/94

Andrews Donald 'Chi-Square Diagnostic Tests for Econometric Models:Theory' Econometrica 11/88

Andrews Donald 'Conditonal Kolmogorov Test' Econometrica 9/97 Andrews Donald 'Consistency in Nonlinear Econometric Models:Generic Uniforma Law of

Large Numbers' Econometrica 11/87 Andrews Donald 'Consistent Moment Selection Procedures for Generalized Method of

Moments Estimation' Econometrica 5/99 Andrews Donald 'Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit

Root Models' Econometrica 1-93 Andrews Donald 'Heteroskedasticity & Autocorrelation Consistent Covariance Matrix

Estimation' Econometrica 5/91 Andrews Donald 'Inconsistency of the Bootstrap when a Parameter is on the Boundary of

the Parameter Space' Econometrica 3/2000 Andrews Donald 'Inference in Semiparametric Models-Time Series & Cross Section' 8-88 Andrews Donald 'Large Sample Correspondence between Classical Hypothesis Tests &

Bayesian Posterior Odds Tests' Econometrica 9/94 Andrews Donald 'Power in Econometric Applications' Econometrica 9/89 Andrews Donald 'Stability Comparisons of Estimators' Econometrica 9/86 Andrews Donald 'Tests for Parameter Instability & Structural Change with Unknown

Change Points' Econometrica 7/93 Andrews Donald, J. Monahan 'Improved Hetroskedasticity & Autocorrelation Consistent

Covariance Matrix Estimator' Econometrica 7/92 Andrews Donald, M. Buchinsky 'A Three-Step Method for Choosing the Number of Bootstrap

Repititions' Econometrica 1/2000 Andrews Donald, W. Plaberger 'Optimal Tests for Regression with Restricted Parameter

Space'<regress> 2-93 Andrews Donald, W. Plaberger 'Optimal Tests of Parameter Constancy' 7-91 Andrews Donald, W. Plaberger 'Optimal Tests when a Nusiance Parameter is Present Only

Under the Alternative' Econometrica 11/94 Andrews Donald'Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood,

Robust, Adaptive & Spectral Estimators of the Linear Model' Econometrica 5/86 Andrews J.G. 'Stock Options with Absolute & Proportional Discrete Dividends:Technical

Review' BofA Quant. Finance 6/1/00 <option-pricing> Ane Thierry 'Pricing & Hedging S&P Index Options with Hermite Polynomial

Approximation:Empirical Tests of Madan & Milnes Model' JFM 10/99 <option-index> Ane Thierry, Helyette Geman 'Order Flow, Transaction Clock & Normality of Asset

Returns' JofF Oct 2000 Ane Thierry, Helyette Geman 'Stochastic Time Changes, Subordinated Processes & Asset

Price Dynamics' 95 Ane Thierry, Helyette Geman 'Stochastic Volatility & Transaction Time:an Activity-

Based Volatility Estimator' J. Risk v2 #1 1999 <volatility> Aneja Y., R. Chandra, E. Gunay 'Portfolio Approach to Estimating the Average

Correlation Model' JofF 12/89 Ang Andrew 'Financial Applications of Regime-Switching Models' Stanford 99 PhD Diss. Ang J. 'Two Faces of Bond Refunding:Reply' JofF 3/78 Ang J., D. Blackwell, W. Megginson 'Effect of Taxes on the Relative Valuation of

Dividends & Capital Gains:Evidence from Dual-Class British Investment Trusts' JofF 3/91

Ang J., D. Peterson 'Returns,Risk & Yield:Evidence Ex Ante Data' JofF 6/85 Ang J., D. Peterson, P. Peterson 'Marginal Tax Rates:Non-taxable Corp. Bonds' JofF

3/85 Ang J., J. Chua, J. McConnell 'Administrative Costs of Corporate Bankruptcy:Note' JofF

3/82 Ang J., P. Peterson 'Leasing Puzzle ' JofF 9/84 Ang J., R. Coles, J. Lin 'Agency Costs & Ownership Structure'JofF 2/2000

Ang J., T. Schwarz 'Risk Aversion & Information Structure:Experiment Study of Price Variability in Securities Markets' JofF 7/85

Ang Sharon, L. Alles, D. Allen 'Riding the Yield Curve:An Analysis of International Evidence' J. Fixed Income 12/98

Angbazo L., J. McConnell, I. Megbolugbe, T. Yang 'Mortgage Prepayments Float:Pricing & Risk Analysis' J. Fixed Income 3/98

Angel J. 'Tick Size, Share Prices & Stock Splits' JofF6/97 Angrist J. 'Estiamting the Labor Market Impact of Voluntary Militry Service Using

Social Security Data on Military Applicants'Econometrica 3/98 Angulo J., M. Ruiz-Medina 'Multi-Resolution Approximation to the Stochastic Inverse

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10/9 <option-Asian> Angus J. 'Probability Integral Transform & Related Results' SIAM Review 12/94 Anh V., C. Nguyen 'Semimartingale Representation of Fractional Riesz-Bessel Motion'

Finance & Stochastics 1/2001 <Brownian> Anh V., N. Leonenko 'Non-Gaussian Scenarios for the Heat Equation with Singular

Initial Conditions' <stochastics> <Chebysheve-Hermite, Lequerre> 99 SP&A Ankrim E., C. Hensel 'Commodities in Asset Allocation:Real-Asset Alternatives to Real

Estate' FAJ 5/93 Ankrim E., C. Hensel 'Multicurrency Performance Attribution' FAJ 3/94 Annals of Math Stat 4/66,8/65,12/65,10/65,4/65,12/64,6/65,2/66 Ansel J. 'Remarques sur le Prix de Actifs Contingent' <contingent claim> Seminaire de

Probabilities v28 1991 Ansel J., Christope Stricker 'Couverture des Actifs Contingents et Prix Maximum' 1994

Ann.Inst.Henri Poincare <complete markets> Ansel J., Christope Stricker 'Lois de Martingale,Densites et Decomposition de Follmer

Schweizer'<martingale> Ann. Inst. Henri Poincare 1992 <Heath-Jarrow-Morton,term structure>

Anshuman V., A. Kalay 'Market Making with Discrete Prices' RFS Spring 98 Ansley C., Kohn 'Filtering & Smoothing in State Space Models with Partially Diffuse

Initial Conditions'<statistics> w.p. Nov 1989 Anson M. 'Impact of the Taxpayer Relief Act of 1997 on Derivative Transactions' J.

Deriv. Summer 98 Anson M. 'Recent Corporate & Pension Plan Initatives in Derivative Risk Management' J.

Finan Engin. 12/96 Anstreicher K. 'Progress in Interior Point Algorithms Since 1984' SIAM News 3/89

<linear programming> Anthony J. 'Interrelation of Stock & Options Market Trading-Volume Data. JofF 9/88 Antl B. 'Yield Calculation Principles' <Duration> Antman S. 'The Simple Pendulum is Not So Simple' SIAM Review 12/98 Antonelli Fabio 'Backward-Forward Stochastic Differential Equations' Annals of Applied

Probability <SDE>(93) Antonelli Fabio 'Stability of Backward Stochastic Differential Equations' <SDE> SP&A

3/96 Antoniou A., A. Foster 'Short-Term & Long-Term Efficiency in Commodity & Futures

Markets' Finan.Market,Institu. & Insturm. v3 #5 1994 Antoniou A., P. Holmes 'Systematic Risk & Returns to Stock Index Futures

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RISK 11-95 Apabhai M., N. Georgikopoulos, R. Hasnip, K. Jamie, M. Kim, Paul Wilmott 'A Model for

the Value of a Business,Some Optimization Problems in it Operating Procedure & the Valuation of it Debt' IMA J. App.Math 12/97

Aparicio S., Les Clewlow 'A Comparison of Alternative Methods for Hedging Exotic Options' 7/98 <hedging>

Aparicio T., E. Pozo, D. Saura 'Investigaging Chaotic Behavior in Economic Series:Daily Time in the Grassberger Procaccia Algorithm' Inter. J. Theor. & Applied Finance 10/99

Apelfeld R., Antoine Conze 'Term Structure of Interest Rates:Case of Imperfect Information' <term structure> IEEE 30th Confer. Decision & Control 1991

Apelfeld R., M. Granito, A. Psarris 'Active Management of Taxable Assets: A Dynamic Analysis of Manager Alpha' J. Financical Engineer 6/96

Applebach R. 'Prepayment Assumptions & REMIC Tranche Pricing' J.Fixed Income 9/93 Arafa A. 'Analytical Numerical Method for Solving Nonlinear Partial Differential

Equations<diff.equa> Applied Math. Letters 96 Arak M., A. Silver 'Value of Tax Treatment of Original-Issue Deep Discount Bonds:Note'

JofF 3/84 Arak M., L. Goodman 'Treasury Bond Futures:Valuing the Delievery Options'JFM Vol 7

1987 <bonds> Arak M., L. Goodman, Steven Ross 'Cheapest to Deliver Bond on Treasure Bond Futures

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Growth Opportunities' JofF 3/78 Arditti Fred, K. John 'Spanning the State Space with Options'<option-pricing> JF&QA

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w.p. Brown U. June 90

Aronson D., J. Vazquez 'Anomalous Exponents in Nonlinear Diffusions' IMA w.p.<diffusion> 8/93

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Arsham H. 'Initialization of the Simplex Algorithm:An Artifical Free Approach' SIAM News 12/97

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MF 7/99 , 7/98 <risk> <extreme,shortfall approach> Artzner Philippe, Freddy Delbaen, J-M. Eber, David Heath 'Definition of Coherent

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12/98 <credit risk> Arvanitis Angelo, Christopher Browne, Jon Gregory, Richard Martin 'Credit Loss

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<business risk,insurance>

Arvanitis Angelo, Jean-Paul Laurent 'On the Edge of Completeness' <P&L, credit, default swap> RISK 10/99

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Atkinson Colin, Stanley Pliska, Paul Wilmott 'Portfolio Management with Transaction Costs' Proc Math,Phys.Sci.,Engin. (aka Proc.R. Soc. Lond A) (97) <portfolio>

Atkinson K., W. Han 'Theoretical Numerical Analysis' Springer 2001

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Attari M. 'Discontinuous Interest Rate Processes:An Equilibrium Model for Bond Option Prices'JF&QA 9/99 ,<term structure> 11/96

Attfield C., M. Browning 'Differential Demand System,Rational Expectations & the Life Cycle Hypothesis' Econometrica 1/85

Au K., A. Sim, D. Thurston 'Markovian Spot Rate Dynamics with Stochastic Volatility Structures' App. Math. Finance 6/97 <volatility>

Au K., D. Thurston 'Exchange Options on Bonds' U.NSW 94 Au K., D. Thurston 'Markovian Term Structure Movements'U. NSW 94 Au K., V. Frishling 'Maximum Potential Change of a Portfolio' J. of Fixed Income 6/96 Auernheimer L. 'Adaptive-Regressive Expectations & the Price Level:Reformualation' Auervach A. 'Taxation,Corporate Financial Policy & the Cost of Capital' <JEL

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Aurell Erik, S. Simdyankin 'Pricing Risky Options Simply' Int. J. Theory & App. Finance 98 <option-pricing>

Ausbuel L., R. Deneckere 'Bargaining & the Right to Remain Silent' Econometrica 5/92 Austen-Smith D. 'Strategic Transmission of Costly Information' Econometrica 7/94 Ausubel L. 'Insider Trading in a Rational Expectations Economy' AER Dec. 90 Ausubel L., R. Deneckere 'Reputation in Bargaining & Durable Goods Monopoly'

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International J. Theor. & App. Finance v1 #4 98 <asset pricing> Avellaneda Marco 'The Minimum-Entropy Algorithm & Related Methods for Calibrating

Asset-Pricing Models' <asset pricing> 7/98 <Kullback-Leibler> Avellaneda Marco, Andrea Carelli, Fabio Stella 'A Bayesian Approach to Constructing

Implied Volatility Surfaces through Neural Networks'J. Computational Finance Fall 2000

Avellaneda Marco, Antonio Paras 'Dynamic Hedging Portfolios for Derivative Securities in the Presence of Large Transaction Costs' <transaction costs> Appl.Math.Finance 12/94

Avellaneda Marco, Antonio Paras 'Managing the Volatility Risk of Portfolios of Derivative Securities:The Lagrangian Uncertain Volatility Model'Applied Math.Finance 3/96 , wp <volatility> 11/95

Avellaneda Marco, Arnon Levy, Antonio Paras 'Pricing & Hedging Derivative Securities in Markets with Uncertain Volatilities' Appl.Math.Finance <hedging> 6/95

Avellaneda Marco, Craig Friedman, Richard Holmes, Dominick Samperi 'Calibrating Volatility Surfaces via Relative-Entropy Minimization' Appl. Math Finance 3/97 <volatility> <Kullback-Leibler>

Avellaneda Marco, Joshua Newman 'Positive Interest Rates & Non-Linear Term-Structure Models' <term structure> 4/98

Avellaneda Marco, Liuren Wu 'Pricing Parisian-Style Options with a Lattice Method' Inter.J.Theor&App. Finance 1/99 ,<options-Parisian>

Avellaneda Marco, R. Gamba 'Conquering the Greeks in Monte Carlo:Efficient Calculation of the Market Sensitivities & Hedge Ratios of Financial Assets by Direct Numerical Simulation' <option-numeric> <Malliavin>

Avellaneda Marco, Robert Buff 'Combinatiorial Implications of Non-Linear Uncertain Volatility Models:the Case of Barrier Options'App. Math.Finance 3/99 <options-barrier>

Avellaneda Marco, Robert Buff, Craig Friedman, Nicolas Grandechamp, L. Kruk, J. Newman 'Weighted Monte Carlo:New Technique for Calibrating Asset Pricing Models' Inter.J. Theory & App. Fin. 2/2001 <option-numeric>

Avery C., P. Zemsky 'Multidimensional Uncertainty & Herd Behavior in Financial Markets' AER 9/98

Avesani R., P. Bertrand 'Does Volatility Jump or Just Diffuse? A Statistical Approach' in Num.Method in Finance (ed.Rogers,Talay) <volt.>

Avio K. 'On the Effects of Statutory Interest Rate Ceilings' JofF 12/74 Avram F., Dmitri Bertsimas 'On Central Limit Theorems in Geometrical Probability'

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<numeric> Operations Research M/A 96 Avramidis A., P. Hyden 'Efficiency Improvements for Pricing American Options with a

Stochastic Mesh' 99 <option-american> Avramidis Thanos, Yuriy Zinchenko, Thomas Coleman, Arun Verma 'Efficiency Improvements

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Avriel M., H. Reisman 'Optimal Option Portfolios in Markets with Position Limits & Margin Requirements' J. of Risk Summer 2000

Awh R., D. Waters 'Discriminant Analysis of Economic, Demographic & Attitudinal Characteristics of Bank Charge-Card Holders:Case Study' JofF 6/74

Azariadis C., B. Smith 'Financial Intermediation & Regime Switching in Business Cycles'AER 6/98

Azariadis C., V. Galass 'Discretion, Rules & Volatility' comment R. Becker, R. Cooper St. Louis Review 5/96

Aziz A., J. Liu 'A Weighted Least Squares Method for the Backward-Forward Heat Equation'<finite diff.> <boundary value> SIAM J. Numerical Analysis Feb 91

Aziz A., J. Liu 'Galerkin Method for the Forward-Backward Heat Equation' Math. of Computation Jan 91

Baadsgaard M., J. Nielsen, H. Madsen, M. Preisel 'Sampling Techniques in Stochastic Differential Equations' wp 96 Techm U. Denmark

Baaquie Belal 'A Path Integral Approach to Option Pricing with Stochastic Volatility:Some Exact Results' <volatility> 8/97

Baaquie Belal, L. Kwek, M. Srikant 'Simulation of Stochastic Volatility using Path Integration:Smiles & Frowns' 8/2000 <volatility>

Babbel David, C. Merrill, W. Panning 'Default Risk & the Effective Duration of Bonds' FAJ 1/97 <risk-credit>

Babbel David, Laurence Eisenberg 'Generalized Put-Call Parity'<option-pricing> J. Fin. Engin. 12/92

Babbel David, Laurence Eisenberg 'Quality-Adjusting Options & Forward Contracts' J.Fin.Engin.<options-quanity> 6/93

Babbel David, Stavros Zenios 'Pitfalls in Analysis of Option-Adjusted Spreads'<interest rates> FAJ 7/92

Babbs Simon '"Generalized Vasicek" Models of the Term Structure' <term structure> Applied Stochastic Models & Data Analysis v 1. 93

Babbs Simon 'A Family of Ito Process Models for the Term Structure of Interest Rates'<term structure> Financial Research Center,U. Warwick 91

Babbs Simon 'Binomial Valuation of Lookback Options' J. Econ. Dyn. & Control 2000 <option-lookback>

Babbs Simon 'Interest Rate Models' PhD Imperial College 89 Babbs Simon 'Rational Bounds' 1st National Chicago 97 Babbs Simon, K. Nowman 'Econometric Analysis of a Continuous Time Multi-Factor

Genralized Vasicek Term Structure Model:International Evidence'97 Babbs Simon, K. Nowman 'Kalman Filtering of Generalized Vasicek Term Structure Models'

JF&QA 3/99 <term structure> Babbs Simon, M. Selby 'Pricing by Arbitrage under Arbitrary Information' MF 4/98

<contingent claims> Babbs Simon, Nick Webber 'Term Structure Modelling Under Alternative Official Regimes'

(in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities' Babbs Simon, Nick Webber 'Theory of the Term Structure with an Official Short Rate'

Warwick 94 Babbs Simon, Nick Webber 'When We Say Jump' <term structure> <jump diffusion,

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Bank of England Quart. Review 96 Babuska I., M. Suri 'The P & H-P Version of the Finite Element Method,Basic Priciples

& Properties' SIAM Review 12/94 Baccelli F., D. McDonald 'Rare Events for Stationary Processes' <markov> SP&A 9/2000 Bachelier 'Theory of Speculation' <selections from A. James Boness translation> RISK

1/2000 <option-pricing> Bacinello A., F. Ortu 'Arbitrage Valuation & Bounds for Sinking Fund Bonds with

Multiple Sinking-Fund Dates' Applied Math. Finance 12/99 Bacinello A., F. Ortu, P. Stucchi 'Valuation of Sinking-Fund bonds in the Vasicek &

CIR Frameworks' App. Math.Finance v3 #4 12/96 Back Kerry 'Asset Pricing for General Processes' <asset pricing> J. Math. Econ. 20

(1991) Back Kerry 'Asymmetric Information & Options' Review of Finan.Stud 93 <options-

transaction cost> Back Kerry 'Continuous Trading with Asymmetric Information & Imperfect Competition'

<trading> Mathematical Finance (ed) Davis Springer 95 Back Kerry 'Yield Curve Models:Mathematical Overview' 3/97, <term structure> in

"Option Embedded Bonds" Nelken Back Kerry, C. Cao, G. Willard 'Imperfect Competition amoung Informed Traders' JofF

Oct 2000 Back Kerry, D. Brown 'Implied Probabilities in GMM Estimators' Econometrica 7/93 Back Kerry, Stanley Pliska 'On the Fundamental Theorem of Asset Pricing with an

Infinite State Space' <asset pricing> (W.p.) 3/88 & J. Math. Econ 1991 Back Kerry, Stanley Pliska 'Shadow Price of Information in Continuous Time Decision

Problems' Stochastics 87 Backstrom G. 'Curve Fitting by Lagrange Interpolation'<least squares> Computers in

Physics 3/93 Backus David, A. Gregory, Chris Telmer 'Accounting for Forward Rates in Markets for

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9/99 <term structure>

Backus David, S. Zin 'Long-Memory Inflation Uncertainity:Evidence from the Term Structure of Interest Rates' <term structure> 2/93

Backus David, S. Zin 'Reverse Engineering the Yield Curve'<term structure> 3/94 Backus David, Silverio Foresi, Chris Telmer 'Affine Models of Currency

Pricing'<foreign exchange> 4/96 Backus David, Silverio Foresi, Chris Telmer 'Affine Models of Currency

Pricing:Accounting for the Forward Premium Anomaly' 7/98 <foregin exchange> Backus David, Silverio Foresi, Chris Telmer 'Discrete-Time Models of Bond Pricing'

'Advanced Fixed-Income Valuation Tools' wp 98 <bonds>, ed. Jegadeesh, Tuckman,Wiley 2000

Backus David, Silverio Foresi, K. Li, L. Wu ' Accounting for Biases in Black-Scholes' 11/97 <volatility><skew,kurtosis,Gram-Charlier>

Backus David, Silverio Foresi, L. Wu 'Macroeconomic Foundations of Higher Moments in Bond Yields' <bonds> 1/97 '

Backus David, Silverio Foresi, S. Zin 'Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing'J. Busi & Econ Stat 1/98 <term structure> <Black-Derman-Toy>

Bacry E., J. Delour, J. Muzy 'A Multifractal Random Walk' 5/2000 <diffusion> Bacry E., S. Mallat, George Papanicolaou 'A Wavelet Based Space-Time Adaptive

Numerical Method for Partial Differential Equations' 91 <fourier> Baesel J. 'On the Assessment of Risk:Some Further Considerations' JofF 12/74 Baesel J., G. Shows, E. Thorp 'Cost of Liquidity Services in Listed Options:Note'

JofF 6/83 Baghestani H. 'On Formation of Expected Inflation under Various Conditions:Survey

Evidence' JofB 4/92 Bagley C., U. Yaari 'Financial Leverage Strategy with Transaction Costs' App. Math.

Finance 9/96 Bagnara R. 'A Unified Proof for the Convergence of Jacobi & Gauss-Seidel Methods' SIAM

Review 3/95 Bagnoli M., S. Viswanathan, C. Holden 'On the Existence of Linear Equilibria Models in

Market Making' MF V 11 #1 1/2001 Bagwell L., J. Zechner 'Influence Costs & Capital Structure' JofF 7/93 Bahr B. 'On the Convergence of Moments in the Central Limit Theorem' Annals of Math

Stat <stats> Bai J. 'Testing for Parameter Constancy in Linear Regressions:An Empirical

Distribution Function Approach' Econometrica 5/96 Bai J., P. Perron 'Estimating & Testing Linear Modes with Multiple Structured Changes'

Econometrica 1/98 Bailey W., E. Ng 'Default Premiums in Commodity Markets: Theory & Evidence' JofF 7/91 Bailey W., K. Chan 'Macroeconomic Influence & Variablility of Commodity Futures Basis'

JofF 6/93 Bailey W., P. Chung, Jun-koo Kang 'Foreign Ownership Restrictions & Equity Price

Premiums:What Drives the Demand for Cross-Border Investments' JF&QA 12/99 Bailey W., R. Stulz "Pricing of Stock Index Options in a General Equilibrium Model"

<options-index> JF&QA 3/88 Bailey W., Y. Chung 'Exchange Rate Fluctuations, Political Risk & Stock Returns:Some

Evidence from an Emerging Market' JF&QA 12/95 Baillie Richard 'Maximum Likelihood Estimation of Security Price Volatility:

Theory,Evidence & Application to Option Pricing' JB 57:1984 Baillie Richard, DeGennaro 'Stock Returns & Volatility' <volatility>JF&QA June 90 Baillie Richard, Tim Bollerslev 'Cointegration, Fractional Cointegration, & Exchange

Rate Dynamics' JofF 6/94 Baillie Richard, Tim Bollerslev 'Common Stochastic Trends in a System of Exchange

Rates' JofF 3/89 Baillie Richard, Tim Bollerslev 'Intra Day & Inter Market Volatility in Foreign

Exchange Rates' w.p. (CFSR) June 89

Baillie Richard, Tim Bollerslev 'Multivariate Generalized ARCH approach to Modeling Risk Premia in Forward Exchange Rate Markets'<foreign exchange> J. Inter. Money & Finance 1990

Baillie Richard, Tim Bollerslev 'The Message in Daily Exchange Rates:A Conditional Variance Tale' J. Bus & Econ Stats 89

Bajaj M., A. Vijh 'Trading Behavior & Unbiasedness of the Market Reaction to Dividend Announcements' JofF 3/95

Bajeux-Besnainou Isabelle, J. Rochet 'Dynamic Spanning:Are Options an Appropriate Instrument?'<options-path> MF 1/96

Bajeux-Besnainou Isabelle, Roland Portait 'Pricing Stock & Bond Derivatives with a Multi-Factor Gaussian Model' App.Math Finance 9&12/98 <term structure>

Bajeux-Besnainou Isabelle, Roland Portait 'The Numeraire Portfolio:A New Approach to Continuous Time Finance' ESSEC 96, Euro. J. Finance 97

Bak P. 'Catastrophes & Self-Organized Criticality'<Chaos> CinP Jul 91 Bak P., K. Chen 'Self-Organizing Criticality' SA 1/91 Bakaev N. 'On the Galerkin Finite Element Approximations to Multi-Dimensional

Differential & Integro-Differential Parabolic Equations' BIT <aka Nordisk tidskrift for informationsbehandling> 1997 v37,#2 <numeric>

Bakaev N. Yu, S. Larsson, V. Thomee 'Long Time Behavior of Backward Difference Type Methods for Parabolic Equations with Memory in Banach Space' <PDE> 98

Bakaev N., S. Larsson, V. Thomee 'Backward Euler Type Methods for Parabolic Integro-Differential Equations in Banach Space' <PDE> 98

Baker J. 'Policy Watch: Developments in Antitrust Economics' J. Econ. Perspectives Winter 99

Baker L 'Digital Signal Processing :Tutorial "C" Users J. 5/91<fourier> Baker M., D. Benjamin 'Role of the Family in Immigrants Labor-Market

Activity:Evaluation of Alternative Explanations' AER 9/97 Baker M., J. Wurgler 'Equity Share i New Issues & Aggregate Stock Returns' JofF Oct

2000 Bakshi Gurdip, C. Cao, Z. Chen 'Do Call Price & the Underlying Stock Always Move in

the Same Direction?' RFS Fall 2000 Bakshi Gurdip, C. Cao, Z. Chen 'Empirical Performance of Alternative Option Pricing

Models' JofF 12/97 Bakshi Gurdip, C. Cao, Z. Chen 'Pricing & Hedging Long-Term Options' <option-pricing>

<Leaps, stochastic Volt.> J. Econometrics 2000 Bakshi Gurdip, Dilip Madan 'A Simplified Approach to the Valuation of Options' 97

<probably dropped paper--no future reference> Bakshi Gurdip, Dilip Madan 'A Unified Treatment of Average-Rate Contingent Claims

'3/99 <options-average> Bakshi Gurdip, Dilip Madan 'Average-Rate Contingent Claims' 5/98 <options-average> Bakshi Gurdip, Dilip Madan 'Spanning & Derivative Security Valuation'<contingent

claim> JFE 2000 Bakshi Gurdip, N. Kapadia, Dilip Madan 'Stock Return Characteristics, Skew Laws &

Differential Pricing of Individual Equity Options' 11/2000 <risk> Bakshi Gurdip, Z. Chen 'An Alternative Valuation Equation for Contingent Claims' JFE

97 ,<contingent claims> <CIR,utility,stochastic> wp 9/95 Bakshi Gurdip, Z. Chen 'Equilibrium Valuation of Foreign Exchange Claims' JofF 6/97 Bakshi Gurdip, Z. Chen 'Inflation, Asset Prices & the Term Structure of Interest Rates

in Monetary Economies' RFS v9 #1 96 Bakshi Gurdip, Z. Chen 'Models of Currency Option Pricing' 'Advanced Fixed-Income

Valuation Tools' ed. Jegadeesh,Tuckman,Wiley 2000 Bala V., S. Goyal 'A Noncooperative Model of Network Formation' Econometrica 9/2000 Balakrishna B. 'Analytic Representations & Approximations to American Option Pricing'

<options-american> wp U.Colorado 2/96 Balasko Y., D. Cass 'Structure of Financial Equilibrium with Exogeneous Yields:Case of

Incomplete Markets' Econometrica 1-89

Baldauf B., G. Santoni 'Stock Price Volatility:Some Evidence from an ARCH Model'<ARCH>JFM Vol 11,No 2, (1991)

Baldi Paolo, Lucia Carmamellino, Maria Gabriella Iovino 'Pricing General Barrier Options:A Numerical Approach Using Sharp Large Deviations' MF 10/99 <option-barrier>

Baldursson F., Ioannis Karatzas 'Irreversible Investment & Industry Equilibrium' Finance & Stochastics 1/97

Balduzzi Pierluigi, Giuseppe Bertola, Silverio Foresi 'A Model of Target Changes & the Term Structure of Interet Rates' J. Monetary Economics 96

Balduzzi Pierluigi, Giuseppe Bertola, Silverio Foresi 'Asset Price Dynamics & Infrequent Feedback Trades' JofF 12/95

Balduzzi Pierluigi, Giusuppe Bertola, Silverio Foresi, L. Klapper 'Interest Rate Targeting & the Dynamics of Short-Term Rates' <interest rates> 8/96

Balduzzi Pierluigi, Hedi Kallal 'Risk Premia & Variance Bounds' JofF 12/97 Balduzzi Pierluigi, Sanjiu Das, Silverio Foresi 'The Central Tendency:A Second Factor

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Balduzzi Pierluigi, Sanjiu Das, Silverio Foresi, Rangarajan Sundaram 'Stochastic Mean Models of the Term Structure of Interest Rates' <term structure> 12/96,in Advanced Fixed-Income Valuation Tools ed Jegadeesh,Tuckman

Balduzzi Pierluigi, Silverio Foresi, D. Hait 'Price Barriers & the Dynamics of Asset Prices in Equilibrium'JF&QA 6/97 <asset pricing>

Baldwin C. 'Optimal Sequential Investment When Capital is Not Readily Reversible' JofF 6/82

Baldwin C., R. Ruback 'Inflation,Uncertainty & Investment' JofF 7/86 Baldwin C., S. Mason 'Resolution of Claims in Financial Distress:Case of Massey

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Bali T. 'Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate' JF&QA 6/2000 <volatility>

Bali T., A. Karagozoglu 'Implementation of the BDT Model with Different Volatility Estimators:Applications to Eurodollar Futures Options' J. Fixed Income 3/99 <term structure>

Balk B. 'On Calculating Cost of Living Index Numbers for Arbitrary Income Levels' Econometrica 1-90

Balk B. 'Second Thoughts on Walds Cost-of-Living Index & Frischs Double Expenditure Method' Econometrica 11/81

Ball Clifford 'Estimation Bias Induced by Discrete Security Prices' JofF 9/88 Ball Clifford 'Review of Stochastic Volatility Models with Applications to Option

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Ball Clifford, A. Roma 'Stochastic Volatility Option Pricing' <volatility>JF&QA 12/94 Ball Clifford, Walter Torous 'Bond Price Dynamics & Options' <term structure> JFQA

Dec 83 Ball Clifford, Walter Torous 'Futures Options & Volatility of Futures Prices' JofF

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p.175 Ball Clifford, Walter Torous 'Maximum Likelihood Estimation of Security Price

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Ball Clifford, Walter Torous 'On Jumps in Common Stock Prices & Impact on Call Pricing' JofF 3/85

Ball Clifford, Walter Torous 'The Stochastic Volatility of Short-term Interest Rates: Some International Evidence' JofF 12/99

Ball Clifford, Walter Torous 'Unit Roots & the Estimation of Interest Rate Dynamics' J. Empir.Finance 96

Ball L. 'Credible Disinflation with Staggered Price-Setting' AER 3/94 Ball R. 'Anomalies in Relationships Between Securities Yields & Yield Surrogates'

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Persp. W 98 Ballard C., D. Fullerton 'Distortionary Taxes & Provision of Public Goods'

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'Backward Stochastic Differential Equations' Bally Vlad, Denis Talay 'Euler Scheme for S.D.E.:Error Analysis with Malliavin

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JofF 9/90 Balvers R., Y. Wu, E. Gilliland 'Mean Reversion across National Stock Markets &

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9/99 Bamon R., J. Fraysse 'Existence of Cournot Equilibrium in Large Markets' Econometrica

5/85 Bams Dennis, P. Schotman 'Direct Estimation of the Risk Neutral Factor Dynamics of

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6/2000 Bangia A., Francis Diebold, T. Schuermann, J. Stroughair 'Liquidity on the Outside'

<liquidity risk> RISK 6/99 Bank Peter 'Pricing & Hedging of Forwards, Futures & Swaps by Change of Numeraire'

<swaps> <Jamshidian tech.> Humboldt 7/97 Banker R., J. Maindiratia 'Nonparametric Analysis of Technical & Allocative

Efficencies in Production' Econometrica 11/88 Banks J., J. Sobel 'Equilibrium Selection in Signaling Games' Econometrica 5/87 Banks J., R. Blundell, S. Tanner 'Is There a Retirement-Savings Puzzle?' AER 9/98 Banks J., Rangarajan Sundaram 'Denumerable Armed Bandits' Econometrica 9/92 Banks J., Rangarajan Sundaram 'Switching Costs & Gittins Index' Econometrica 5/94 Banks J., V. Dragan 'Smales Horseshoe Map via Ternary Numbers' SIAM NEWS 6/94 Banon G. 'Nonparametric Identification for Diffusion Processes'<diffusion> 5/78 SIAM

J.Control & Opt Bansal R. 'An Exploration of the Forward Premium Puzzle in Currency Markets' RFS

Summer 97 Bansal R., David Hsieh, S. Viswanathan 'New Approach to International Arbitrage

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Bansal V., M. Ellis, J. Marshall 'Pricing of Short-Dated & Forward Interest Rate Swaps' FAJ 3/93 <swap>

Bansal V., M. Ellis, J. Marshall 'Spot Swap Yield Curve:Derivation & Use' AF&OR6 Bansal W., J. Marshall, R. Yuyuenyongwantan 'Hedging Business Cycle Risk with

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Barakat R. 'Sum of Independent Lognormally Distributed Random Variables' <distributions> J. Optical Society of America 3/76

Baras J., Alain Bensoussan, Robert Elliott 'Some Results on Risk Sensitive Control with Partial Information' <SDE> IEEE Conf. Decision & Control #34 1995

Barber B., T. Odean 'Boys will be Boys:Gender, Overconfidence & Common Stock Investment' 9/99

Barber B., T. Odean 'Trading is Hazardous to Your Wealth:The Common Stock Invetment Performance of Individual Investors' JofF 4/2000

Barber J. 'A Note on Approximating Bond Price Sensitivity Using Duration & Convexity' J.Fixed Income 3/95

Barber J. 'Bond Immunization for Affine Term Strutures' Fin. Rev 5/99 Barbera S., H. Sonnenschein, L. Zhou 'Voting by Committees' Econometrica 5/91 Barbera S., P. Pattanaik 'Falmagne & the Rationalizability of Stochastic Choices in

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Semigroups of Probability Operators in Quantum Probability' SP&A 1/98 Barclay G., D. Griffiths, Desmond Higham 'Theta Method Dynamics' <PDE> <non-linear>

3/99 Barclay M., C. Smith 'Maturity Structure of Corporate Debt' JofF 6/95 Barclay M., C. Smith 'Priority Structure of Corporate Liabilities' JofF 7/95 Barclay M., W. Christie, J. Harris, E. Kandel 'The Effects of Market Reform on the

Trading Costs & Depts of Nasdaq Stocks'JofF 2/99 Bardaro C., G. Vinti 'A General Approach to the Convergence Theorems of Generalized

Sampling Series' <Orlicz spaces,Jensen's inequality> Bardhan Indrajit 'Synthetic Replication of American Contingent Claims When Portfolios

Are Constrained' <options-american>5-95 SP&A Bardhan Indrajit, X. Chao 'Martingale Analysis for Assets with Discontinuous Returns'

<utility,jump diffusio><Martingale> Math. of Operations Research 2/95 Bardhan Indrajit, X. Chao 'On Martingale Measures when Asset Returns Have

Unpredictable Jumps' <martingale> SP&A 96 Bardhan Indrajit, X. Chao 'Pricing Options on Securities with Discontinuous Returns'

SP&A v48 1993 <options-distribution> Bardina X., M. Jolis 'Weak Convergence to the Multiple Stratonovich Integral' SP&A

12/2000 <stochastic> Barenblatt G. 'Similarity, Self-Similarity & Intermediate Asymptotics' Cambridge Press

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Boston C. 4/96 Barkoulas J., C. Baum, G. Oguz 'Fractional Cointegration Analysis of Long Term

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RISK 10/95

Barle Stanko, Nusret Cakici 'How to Grow a Smiling Tree' J. Finan.Enginee. 6/98 <volatility>

Barles Guy 'Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory' in Num.Method in Finance (ed.Rogers,Talay)<options-numeric>

Barles Guy 'Critical Stock Price Near Expiration' <options-american> MF 4/95 Barles Guy, E. Lesigne 'SDE, BSDE & PDE' in El Karoui,Mazliak (ed) 'Backward

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Scholes Equation' Finance & Stochastics 8/98 <option-pricing> Barles Guy, Julien Burdeau, Marc Romano, Nicolas Samsoen 'Critical Stock Price Near

Expiration' MF 4/95 Barles Guy, Julien Burdeau, Marc Romano, Nicolas Samsoen 'Estimation de la frontiere

libre des options americaines au voisinage de l'echeance'<options-american> C.R.Acad.Sci. Paris 1993

Barlow M., M. Emery, F. Knight, S. Song, Marc Yor 'Autor D'un Theoreme de Tsirelson sur Des Filtrations Browniennes et non Browniennes' 79 <Brownian, semimartingales>

Barnaud F., J. Dabouineau 'Past Correction' <Volatility> RISK 9/92 Barndorff-Nielsen Ole 'Normal Inverse Gaussian Distributions & Stochastic Volatility

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Stochastics 1/98 , 10/97 <distribution> <Ornstein, Levy> Barndorff-Nielsen Ole, Karsten Prause 'Apparent Scaling' Finance & Stochastics 1/2001

<distributions> Barndorff-Nielsen Ole, Neil Shephard 'Econometric Analysis of Realized Volatility &

its use in Estimating Levy-Based Non-Gaussian OU Type Stochastic Volatility Models' <volatility> 11/2000

Barndorff-Nielsen Ole, Neil Shephard 'Incorporation of a Leverage Effect in a Stochastic Volatility Model' 98 <volatility>

Barndorff-Nielsen Ole, Neil Shephard 'Modelling by Levy Proceses for Financial Econometrics' 4/2000 <stochastics>

Barndorff-Nielsen Ole, Neil Shephard 'Non-Gaussian OU Based Models & Some of Their Uses in Financial Economics' 5/99 <volatility> <Ornstein-Uhlenbeck, Levy,mean-revert>

Barndorff-Nielsen Ole, Sergei Levendorskii 'Feller Processes of Normal Inverse Gaussian Type' 12/2000 <stochastics>

Barndorff-Nielsen Ole, T. Mikosch, Sidney Resnick 'Levy Processes' Birkhauser 3/2001 Barndorff-Nielsen Ole, V. Perez-Abreu 'Stationary & Self-Similar Processes Driven by

Levy Processes' 99 SP&A <stochastics> <fractal spectral density, normal inverse Gaussian>

Barnea A., D. Logue 'Effect of Risk on the Market Makers Spread' FAJ 11/75 Barnea A., R. Haugen, L. Senbert 'A Rational for Debt Maturity Structure & Call

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2000 <martingales> Barnett W., G. Zhou 'Financial Firms Production & Supply Side Monetary Aggregation

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Barnett W., M. Hinich 'Empirical Chaotic Dynamics in Economics' Wash. U. 1/91 Barnett W., M. Hinich 'Has Chaos Been Discovered with Economic Data'Wash. U. 3/91

Barnett W., Y. Lee 'Global Properties of the Minflex Laurent, Generalized Leontief U Translog Flexible Function Forms' Econometrica 11/85

Barnhard S., K. Kahl, C. Barnhart 'Empirical Analysis of the Alleged Manipulation Attempt & Forced Liquidation on the July 1989 Soybean Futures Contract' JFM 10/96

Barnhart S., A. Szakmary 'Testing the Unbiased Forward Rate Hypothesis:Evidence of Unit Roots, Co-Integration & Stochastic Coefficients' JF&QA 6/91

Barnhart S., R. McNown, M. Wallace 'Non-Informative Tests of the Unbiased Forward Exchange Rate' JF&QA 6/99

Baron D. 'Investment Policy,Optimality & Mean-Variance Model' JofF 3/79 Baron D. 'Model of the Demand for Investment Banking & Advising & Distribution

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V.20 N3 1985 Barone-Adesi Giovanni, D. Colwell 'Valuing & Hedging Risky Debt with Constant

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Barraquand Jerome 'Monte Carlo Integration, Quadratic Resampling & Asset Pricing' <asset pricing> Math & Computers in Simulation (95)

Barraquand Jerome 'Numerical Valuation of High Dimensional Multivariate European Securities' <options-european> Management Science 12/95

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Barrett C., P. Pattanaik 'Aggregation of Probability Judgements' Econometrica 9/87 Barrett J., G. Moore, Paul Wilmott 'Inelegant Efficiency'<numeric> <options-numeric>

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Barrett W., T. Gosnell ,A. Heuson 'Yield Curve Shifts & Selection of Immunization Strategies' <Term Structure> J. Fixed Income 9/95

Barro R., S. Mankiw, X. Sala-I-Martin 'Capital Mobility in Neoclassical Models of Growth' AER 3/95

Barrodale I., F. Roberts 'An Improved Algorithm for Discrete L1, Linear Approximations'<linear program> <LAD> SIAM Numer. Anal. 10/73

Barron A. 'Strong Ergodic Theorem for Densities:Generalized Shannon-McMillan-Breiman Theorem' Annals of Prob. 85

Barron D., B. Holmstrom 'Investment Banking Contract for new Issues Under Asymmetric Information:Delegation & the Incentive Problem' JofF 12/80

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Nov 89, Jan 90 Bart J. 'Nature of the Conflict Between Transactors Expectations of Capital Gain' JofF

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9/94 Barth J., P. Barholomew, M. Bradley 'Determinants of Thrift Instituion Resolution

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Winter 94 Bartlett R. 'Discovering Diversity in Introductory Economics' J.Econ.Perspec. Spring

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Learn? 12/96 Bartov E., G. Bodnar 'Firm Valuation,Earnings Expectations & Exchange Rate Exposure

Effect' JofF 12/94 Barucci Emilio, Maria Mancino 'Wiener Chaos & Hermite Polynomials Expansion for

Pricing & Hedging Contingent Claims' AFOR 99 ,<hedging> Bar-Yosef S, O. Sarig 'Dividend Surprises Inferred from Option & Stock Prices' JofF

9/92 Bar-Yosef S., J. Callen, J. Livnat 'Autoregressive Modeling of Earnings-Investment

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Basak S. 'An Intertemporal Model of Internations Capital Market Segmentation' JF&QA 6/96

Basak S. 'Dynamic Consumption-Portflio Choice & Asset Prcing with Non-Price-Taking Agents' Wharton 96

Basak S. 'General Equilibrium Continuous-Time Aseet Pricing in the Presence of Portfolio Insurers & Non-Price-Taking Investors' PhD Carnegie-Mellon 93

Basak S., B. Croitoru 'Equilibrium Mispricing in a Capital Market with Portfolio Constaints' RFS Fall 2000

Basak S., D. Cuoco 'An Equilibrium Model with Restricted Stock Market Participation' RFS Summer 98

Basak S., M. Gallmeyer 'Currency Prices, the Nominal Exchange Rate & Security Prices in a Two-Country Dynamic Monetary Equilibrium' MF 1/99

Basal R., S. Viswanathan 'No Arbitrage & Arbitrage Pricing:New Approach' JofF 9/93 Bascou P. 'Effect of Institutional Factors on the Basis Performance:Empirical Study of

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Rates' wp 271 Boston College 6/94 Bass R., D. Khoshnevisan 'Intersection Local Times & Tanaka Formulas' V29 #3 93

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Dominance Rules' Applied Math.Finance 12/97 Basu K. 'Poverty Measurement:Decomposition of the Normalization Axiom' Econometrica

11/85 Basu K. 'Travelers Dilemma:Paradoxes of Rationality in Game Theory' AER 5/94 Basu Sankarshan 'Intermediate Goods & Business Cycles:Implications for Productivity &

Welfare' AER 6/95 Basu Sankarshan 'Investment Performance of Common Stocks in Relation to Price-Earnings

Rations:Test of Efficient Markets' in RII Basu Sankarshan 'Relationship Between Earnings Yield, Market Value & Returns for NYSE

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J. Econ Perspective Spring 99 Bates C., H. White 'Efficient Estimation of Parametric Models'<maximum likelihood>

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Deutsche Mark Options' <volatility> RFS v9 #1 (96) Bates David 'Post-87 Crash Fears in S&P 500 Futures Options' J. Econometrics 2000

<option-distribution><volatility,correlation,fourier,Kalman> Bates David 'Pricing Options under Jump-Diffusion Processes' Wharton 88 <volatility> Bates David 'Skewness Premium:Option Pricing under Asymmetric Processes' AFOR v.9 97

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3/97

Battalio R., B. Hatch, R. Jennings 'SOES Trading & Market Volatility' JF&QA 6/97 Battalio R., J. Greene, R. Jennings 'Do Competing Specialits & Preferencing Deals

Affect Market Quality' RFS Winter 97 Batten D., D. Thornton 'Polynomial Distributed Lags & Estimation of the St. Louis

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Applied Prob. 5/99 <complete markets> Battig R., Robert Jarrow 'The Second Fundamental Theorem of Asset Pricing-A New

Approach' RFS Winter 99 ,2/98 <asset pricing> Battigalli P., J. Watson 'On Reputation Refinements with Heterogenous Beliefs'

Econometrica 3/97 Baubonis C., Gary Gastineau, D. Purcell 'Bankers Guide to Equity-Linked Certificates

of Deposit' J. Derivatives Winter 93 Bauer R., F. Nieuwland 'A Multiplicative Model for Volume and Volatility' Applied

Math.Finance 9/95 Baum C. 'Modeling Returns on the Term Structure of Treasury Interest Rates' <term

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JFM 10/96 Baumol W. 'Retrospectives:Says Law' J. Econ. Perspectives Winter 99 Baumol W., J. Benhabib 'Chaos:Significance,Mechanism & Economic Applications'<Chaos>

Economic Perspecitives Winter 89 Baumol W., James Tobin 'Optimal Cash Balance Proposition:Maurice Allais Priority' 9/89

JEL Baumol William, Paul Samuelson, Marishima 'Marx' Colloquia JEL 3/74 Baur R., P. Orazem 'Rationality & Price Effects of U.S. Dept. of Agriculture Forecasts

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Problems' SIAM Review 9/96 Baviera R., M. Pasquini,M. Serva,A. Vulpiana 'Optimal Strategies for Prudent

Investors' Inter. J. Theor.& Appl. Finance 10/98 Bawa V., Edwin Elton, Martin Gruber 'Simple Rules for Optimal Porfolio Selection in

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Bennett C. 'Demons, Engines & Second Law' <physics,entropy,Maxwell> SA 11/87 Bennett C., G. Brassard, A. Ekert 'Quantum Cryptography' SA Oct 92 Bennett P., J. Kelleher 'International Transmission of Stock Price:Disruption in Oct

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Benth Fred 'An Addendum to "An Introduction to Malliavin Calculus with Applications to Economics' <SDE> 97

Benth Fred, Kenneth Karlsen, Kristin Reikvam 'On Portfolio Optimization & Consumption in Markets with Jumps' <portfolio>

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Inter. J. of Theor. & Applied Finance 7/2000 Brezzi M., Tze Leung Lai 'Incomplete Learningfrom Endogenous Data in Dynamic

Allocation ' Econometrica 11/2000 Brick I., A. Ravid 'On Relevance of Debt Maturity Structures' JofF 12/85 Brick J., H. Thompson 'Time Series Analysis of Interest Rates:Some Additional

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<volatility><CIR,MLE,hedge> Insurance:Math. & Econ. 22 (1998) Brigo Damiano, B. Hanzon 'On Three Filtering Problems Arising in Mathematical Finance'

Insurance:Math & Econ <volatility><multi-factor CIR, risk> Brigo Damiano, Fabio Mercurio 'A Deterministic-Shift Extension of Analytically-

Tractable & Time-Homogenous Short-Rate Models' tobe Finance & Stochastics Brigo Damiano, Fabio Mercurio 'A Mixed-Up Smile' RISK 9/2000 <volatility>

Brigo Damiano, Fabio Mercurio 'Discrete Time vs. Continuous Time Stock-Price Dynamics & Implications for Option Pricing' <option-pricing>

Brigo Damiano, Fabio Mercurio 'Fitting Volatility Smiles with Analytically Tractable Asset Price Models' <volatility> 2001

Brigo Damiano, Fabio Mercurio 'Is Ito Calculus Oversold?:Correction' RISK 4/99 <stochastics>

Brigo Damiano, Fabio Mercurio 'On Deterministic-Shift Extensions of Short-Rate Models' <interest rate> 8/01 <longer version of Fin.& Stoch. paper>

Brigo Damiano, Fabio Mercurio 'Option Pricing Impact of Alternative Continuous-Time Dynamics for Discretely-Observed Stock Prices' Finance & Stochastics 2000 <option-pricing><density>

Brindle A. 'Calculating with Counterparties' RISK 1/2000 Britten-Jones Mark 'Sampling Error in Estimates of Mean-Variance Efficient Portfolio

Weights' JofF 4/99 Britten-Jones Mark, Anthony Neuberger 'Arbitrage Pricing with Incomplete Markets' App.

Math.Finance v3 #4 12/96 <complete markets> Britten-Jones Mark, Anthony Neuberger 'Option Prices, Implied Price Processes &

Stochastic Volatility' JofF 4/2000 , LBS 99 <volatility> Britten-Jones Mark, Steven Schaefer 'Non-Linear Value-at-Risk' Euro. Finance Review

V2,#2 99 , LBS 99 <risk> Britto R. 'Some Recent Developments in the Theory of Economic Growth:an Interpreation'

JEL 12/73 <growth> Brix A. 'Generalized Gamma Measures & Shot-Noise Cox Processes' Adv.App.Prob. v31

1999 Briys Eric 'Pricing Mother Nature' <options-weather> RISK supp. 10/98 Briys Eric, D. Pieptea 'Optimal Hedging with Futures Contracts:Case for Fixed Income

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Pricing of Fixed Income Securities' wp 97 Briys Eric, F. de Varenne 'Valuing Risky Fixed Rate Debt:An Extension' JF&QA 6/97

<bonds> Briys Eric, H. Schlesinger 'Optimal Hedging When Preferences Are State Dependent'

<hedging> JFM 8/93 Briys Eric, Michel Chouhy, R. Schobel 'Pricing of Default-free Interest Rate

Caps,Floor & Collar Agreements' JofF 12/91 Briys Eric, Michel Crouhy, D. Pieptea 'Hedging Versus Speculating with Interest Rate

Futures' R. Futures Markets V7 Supp. 88 Briys Eric, Michel Crouhy, H. Schlesinger 'An Intertemporal Model of Consumption &

Hedging' R. Futures Markets V7 Supp. 88 Briys Eric, Michel Crouhy, H. Schlesinger 'Optimal Hedging under Intertemporally

Dependent Preferences' JofF 9/90 Broaddus J., M. Goodfriend 'Foreign Exchange Operations & the Federal Reserve'

Economic Quarterly FRB Richmond Winter 96 Broadie Mark 'Low Discrepancy Lattices for Pricing Multi-Dimensional American Options'

2000 Broadie Mark, Jaksa Cvitanic, H. Mete Soner 'On the Cost of Super-Replication with

Transaction Costs' RFS 98 Broadie Mark, Jaksa Cvitanic, H. Mete Soner 'Optimal Replication of Contingent Claims

under Portfolio Constraints'<portfolio> 10/96, RFS Spring 98 <portfolio> Broadie Mark, Jerome Detemple 'American Capped Call Options on Dividend Paying Assets'

<options-american> RFS Spring 95 Broadie Mark, Jerome Detemple 'American Option Valuation:New Bounds, Approximations &

a Comparison of Existing Methods' <early exercise, cap> RFS Winter 96 <On Index)Broadie Mark, Jerome Detemple 'American Options on Dividend-Paying Assets'<options-

American> wp Cirano 3/96

Broadie Mark, Jerome Detemple 'Recent Advances in Numerical Methods for Pricing Derivative Securities' <options-numerical> <capped, Amermic.,Lookback,Barrier,Multi State> Cirano wp 5/96

Broadie Mark, Jerome Detemple 'The Valuation of American Option On Multiple Assets' <options-american> <free boundary,early exercise>> MF.7/97

Broadie Mark, Jerome Detemple, Eric Ghysels, O. Torres 'American Options with Stochastic Dividends & Volatility:Nonparametric Investigation' <options-American>

Broadie Mark, Jerome Detemple, Eric Ghysels, O. Torres 'Nonparametric Estimation of American Options Exercise Boundaies & Call Prices'J. Econ. Dym.Control 2000 ,96<options-American>

Broadie Mark, Paul Glasserman 'Estimating Security Price Derivatives Using Simulation'<option-pricing> <greeks> Management Science 2/96

Broadie Mark, Paul Glasserman 'Pricing American Style Securities Using Simulation' wp 97 <option-numeric> J.Econ.Dynam & Control 97>

Broadie Mark, Paul Glasserman 'Simulation for Option Pricing & Risk Management' Handbook of Risk Management 97

Broadie Mark, Paul Glasserman 'Stochastic Mesh Method for Pricing High-Dimensional American Options'J. Comp. Finance Summer 04 <option-numeric>

Broadie Mark, Paul Glasserman, G. Jain 'Enhanced Monte Carlo Estimates for American Option Prices' 9/96 <monte carlo> , J. Derivatives Fall 97 <options-numeric>

Broadie Mark, Paul Glasserman, Steven Kou 'Connecting Discrete & Continuous Path-Dependent Options' Finance & Stochastics 1/99 <options-path><barrier,lookback,trinomial,continuity>

Broadie Mark, Paul Glasserman, Steven Kou 'Continuity Correction for Discrete Barrier Options' MF 11/97 <options-barrier>

Brock W., David Hsieh, Blake LeBaron 'Nonlinear Dynamics,Chaos & Instability' <Review of this book>

Brock W., E. Baek 'Some Theory of Statistical Inference for Nonlinear Science' 1/91 Brock W., Josef Lakonishok, Blake LeBaron 'Simple Technical Trading Rules & Stochastic

Properties of Stock Returns' JofF 12/92 Brock W., M. Magill 'Dynamics under Uncertainity' Econometrica 79 Brock W., P. de Lima 'Nonlinear Time Series, Complexity Theory and Finance' 9/95

<regression> Brock W., S. Potter 'Diagnostic Testing for Nonlinearity, Chaos & General Dependence

in Time Series Data' w.p. U.Wisc 91 Brock W., W. Dechart, Jose Scheinkman 'Test for Independence Based on Correlation

Dimension'<chaos> U.Wisc.1-87 Brock W., W. Dechert 'Nonlinear Dynamical Systems Instability & Chaos in

Economics'<Chaos> w.p.U.Wisc. Brockett P., J. Garven 'A Reexamination of the Relationship Between Preferences &

Moment Ordering by Rational Risk Adverse Investors' wp 12/93 Brockhaus O., D. Long 'Volatility Swaps Made Simple' RISK 1/2000 <volatility

swap><variance> Brodie Ziv 'Common Stocks as Hedge Against Inflation' JofF 5-76 Broecker T. 'Credit-Worthiness Tests & Interbank Competition' Econometrica 3/90 Brogden A. 'Taming the Skew' RISK 11/2000 Brogden Andrew 'A New Approach for the Pricing & Hedging of Equity Derivatives' 7/2000

<skew,same as RISK 11/2000> <hedging> Broll U., J. Wahl 'Hedging with Synthetics, Foreign-Exchange Forwards,& Export

Decision' JFM 10/92 Bronars S. 'The Power of Nonparametric Tests of Preference Maximization' Econometrica

5/87 Bronfenbreenner M., T. Mayer 'Liquitity Funcitons in the American Economy' Brook Y., R. Hendershott, D. Lee 'The Gains from Takeover Deregulation:Evidence from

the End of Interstate Banking Restrictions'JofF 12/98 Brooks C., G. Persand 'Pitfalls of VAR Estiamtes' RISK 5/2000

Brooks C., G. Persand 'Value-at-Risk & Market Crashes' J. of Risk Summer 2000 Brooks R. 'Analyzing Portfolios with Derivative Assets: A Stochastic Dominance

Approach Using Numerical Integration' JFM Aug 91 <portfolio> Brooks R., B. Attinger 'Using Duration & Convexity in Analysis of Callable Convertible

Bonds' <duration> FAJ 7/92 Brooks R., D. Malhotra 'Components of the Bid-Ask Spread of Default-Risky Interest

Rate Swaps' AFORv7(94) Brooks R., D. Yan 'London Inter-Bank Offer Rate (LIBOR) versus Treasury Rate:Evidence

from the Parsimonious Term Structure Model' J. Fixed Income 6/99 Brooks R., H. Levy 'Portfolio Insurance:Does it Pay?' AF&OR6 Brooks R., J. Clark 'Average Inter-Security Correlation Coefficients:Implicaitons for

the Timing of Hedging Decisions' AFOR v.9 97 Brooks R., J. Corson, J. Wales 'Pricing of Index Options When the Underlying Assets

All Follow a Lognormal Diffusion'<diffusion> AFORv7(94) Brooks R., J. Hand 'Evaluating Performance of Stock Portfolios with Index Futures

Contracts'<stock price> JFM V8#1 Brooks R., S. Chiou 'A Bias in Closing Prices:The Case of the When Issued Pricing

Anomaly' JF&QA 9/95 Brooks R., T. Su 'A Simple Reduction Cost Reduction Strategy for Small Liquidity

Traders:Trade at the Opening' JF&QA 12/97 Brooks Robert 'A Lattice Approach to Interest Rate Spread Options' J.Finan.Engin.

9/95 Brooks Robert 'Multivariate Contingent Claims Analysis with Cross-Currency Options as

Illustration' J. of Financial Engin. 9/92 Brorsen B., S. Irwin 'Futures Funds & Price Volatility' R. Futures Markets V6 #2 1987 Brotherton-Ratcliffe Rupert 'Monte Carlo Monitoring' <variance reduction> RISK 12/94

<options-numeric> Brotherton-Ratcliffe Rupert, B. Iben 'Yield Curve Applications of Swap Products' in

Advanced Strageies in Finan. Manage. (ed)Schwartz & Smith<swaps><CMT,CMS> Brou P., T. Sciascia, L. Linden, J. Lettvin 'Color of Things' SA <science misc> Broughton J., Donald Chance 'Value Line Enigma Extended:Examination of Performance of

Option Recomendations' JofB 10/93 Brous P. 'Common Stock Offerings & Earnings Expetations:Test of the Release of

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Econometrica 7/89 Brown B., M. Walker 'Stochastic Specification in Random Production Models of Cost

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3/98 Brown C., C. Gilroy, A. Kohen 'Effect of Minimum Wage on Employment & Unemployment '

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Brown D., M. Ryngaert 'Mode of Acquisition in Takeover:Taxes & Asymmetric Information' JofF 6/91

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Brown D., P. DeMarzo, B. Eaves 'Computing Equilibria when Asset Markets are Incomplete' Econometrica 1/96

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Brown D., Z. Zhang 'Market Orders & Market Efficiency' JofF 3/97 Brown Gregory, Curt Randall 'If the Skew Fits' RISK 4/99 <volatility> <smile,skew> Brown Gregory, Klaus Toft 'Constructing Binomial Trees from Multiple Implied

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FAJ 9/93 Brown Roger, Steven Schaefer 'Interest Rate Volatility & Term Structure of IR' London

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<term structure> Phil.Trans.R.Soc.Lond. 6/94 Brown Roger, Steven Schaefer 'Ten Years of the Real Term Structure:1984-94' <term

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Futures Markets V. 10 #1 91 Brown S., Philip Dybvig 'Empirical Implications of the Cox,Ingersoll,Ross Theory of

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Browne Sid 'Reaching Goals by a Deadline:Digital Options & Continuous-Time Active Portfolio Management' Adv.App.Prob. v31 1999

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J. Faust,K. West St. Louis Review 5/96 Brush S. 'How Cosmology Became a Science' Scientific American 8/92 Bruss F. 'Quick Solutions for General Best Choice Problems in Continuous Time'

Stochastic Models V14 #1,2 98 Bruton H. 'A Reconsideration of Import Substitution' JEL 6/98 Bryant J. 'Nontransferable Interest-Bearing National Debt' JofF 9/80 Bryant J. 'Paradox of Thirft, Liquidity Preference & Animal Spirits' Econometrica 9/87 Bryc W., A. Dembo 'Large Deviations for Quadratic Functionals of Gaussian Processes'

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Budd A., Robert Litzenberger 'Changes in the Supply of Money, Firms Market Value & Cost of Capital' JofF 3/73

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U. Mannheim Buhler W., J. Kasler 'Konsistente Anleihenpreise und Optionum auf Anleinhen' U.

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2000 Buono M.,R. Gregory-Allen,U. Yaari 'Efficiency of Term Structure Est. Tech.:Monte

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Byron R. 'Testing Structural Specification Using the Unrestricted Reduced Form'<models> Econometrica Sept 74

Caballe J., M. Krishman 'Imperfect Competition in Multi-Security Market with Risk Neutrality' Econometrica 5/94

Caballero R., E. Engel 'Dynamic (S,s) Economies' Econometrica 11/91 Caballero R., M. Hammour 'Cleasing Effect of Recessions' AER 12/94 Cabral J., R. Guimaraes 'Are Commodity Futures Markets Really Efficient? Purchasing-

Oriented Study of Chicago Corn Futures Market' R. Futures Markets V7 Supp. 88 Cabral L., M. Riordan 'Leaning Curve, Market Dominance & Predatory Pricing'

Econometrica 9/94 Caccese M. 'Insider Trading Laws & the Role of Security Analysts' FAJ 3/97 Cadenillas A. 'Contributions to Stochastic Version of Pontryagins Maximum principle'

PhD stats Columbia 92 Cadenillas A., F. Zapatero 'Classical & Impulse Stochastic Control of the Exchange

Rate Using Interest Rates & Reserves' MF 4/2000 <foreign exchange> Cadenillas A., Ioannis Karatzas 'The Stochastic Maximum Principle for Linear, Convex

Optimal Control with Random Coefficients' SIAMS J. Control & Opt 95 Cadenillas A., Stanley Pliska 'Optimal Trading of a Security When There are Taxes &

Transaction Costs' Finance & Stochastics 2/99 ,<trans. cost> wp 5/27/96 Cadsby C. 'CAPM & Calendar:Empirical Anomalies & Risk Return Relationship' Man. Sci.

11/92 Cadsby C., M. Frank, V. Maksimovic 'Equilibrium Dominance in Experimental Financial

Markets' RFS Spring 98 Caflisch Russel, B. Moskowitz 'Modified Monte Carlo Methods Using Quasi-Random

Sequences' <monte carlo> 12/94 Caflisch Russel, William Morokoff 'Quasi-Monte Carlo Computation of a Finance Problem'

UCLA 96-16 p. 15-30 Caflisch Russel, William Morokoff 'Valuation of Mortgage Backed Securities Using the

Quasi-Monte Carlo Method' <monte carlo><Brownian Bridge> 8/96

Caflisch Russel, William Morokoff, A. Osher 'Valuation of Mortgage-Backed Securities using Brownian Bridges to Effective Dimension' J.Computational Finance v.1,#1 97

Cagen L., N. Carriero, Stavros Zenios 'Computer Network Approach to Pricing Mortgage Backed Securities' FAJ 3/93

Caginalp Gunduz, Donald Balenovich 'Asset Flow & Momentum:Deterministic & Stochastic Equations' Philo. Trans.:Math,Phy.,Engin Aug 99 v357 #1758 <markets><liquidity>

Caginalp Gunduz, Donald Balenovich 'Market Oscillations Induced by the Competition Between Value-Based and Trend-based Investment Strategies' Appl.Math.Finance 12/94

Caginalp Gunduz, G. Bard Ermentrout "A Kinetic Thermodynamics Approach to the Psychology of Futures Markets" <chaos> Applied Math. Letters V.3,N.4 1991

Caginalp Gunduz, G. Bard Ermentrout "Numerical Studies of Differential Equations Related to Theoretical Financial Markets"<chaos> Applied Math. Letters V.4,N.1 1991

Caginalp Gunduz, George Constantinides 'Statistical Inference & Modelling of Momentum in Stock Prices' App.Math.Finance 12/95

Caginalp Gunduz, H. Laurent 'Predictive Power of Price Patterns' App.Math Finance 9&12/98

Cai J., C. Chan, T. Yamada 'Performance of Japanese Mutual Funds' RFS Summer 97 Cai J., J. Garrido 'A Unified Approach to the Study of Tail Probabilities of Compound

Distributions' J. Appl. Prob. v 36 1999 Caillaud B., B. Jullien, P. Picard 'Competing Vertical Structures:Precommitment &

Renegotation' Econometrica 5/95 Cakici N., K. Topyan 'The GARCH Option Pricing Model:A Lattice Approach' J. Comp.

Finance Summer 2000 <option-numeric> Cakici N., S. Chatterjee 'Prcing Stock Index Ftures with Stochastic Interest Rates' J.

Fut Market 91 Cakici N., S. Chatterjee,A. Wolf 'Empirical Tests of Valuation Models for Options on

T-Note & T-Bond Futures' <term structure> JFM 2/93 Caks J. 'Corporate Debt Decisions:New Analytical Framework' JofF 12/78 Caldarelli G., M. Marsli, Y-C Zhang 'A Prototype Model of Stock Exchanges' <markets>

11/97 Europhysics Letters Calderini P., V. Finkelstein,B. Gelfand 'Pricing Derivatives on Risky Bonds as Applied

to Emerging Markets' in Nelken I. (ed) 'Option Embedded Bonds' Caldwell B. 'Hyaek & Socialism' JEL 12/97 <alpha> Calem P., L. Mester 'Consumer Behavior & Stickiness of Credit Card Interest Rates' AER

12/95 Callier P. 'One Way Arbitrage, Foreign Exchange & Securities Markets:Note' JofF 12/81 Callier P. 'Speculation & Forward Foreign Exchange' JofF 3/80 Calomiris C. 'Financial Factors in Great Depression' J. Economic Perspectives Spring

93 Calomiris C. 'Is the Discount Window Necessry? A Penn Central Perspective' FRB S.L.

5/94 Calomiris C., J. Mason 'Contagion & Bank Failures During the Great Depression:Jun3

1932 Chicago Banking Panic' AER 12/97 Calomiris C., R. Hubbard 'Internal Finance & Investment:Evidence from the

Undistributed Profits Tax of 1936-37' JofB 10/95 Calsamiglia X., A. Kirman 'Unique Informationally Efficient & Decentralized with Fair

Outcomes' Econometrica 9/93 Calvet L., A. Fisher 'Large Deviations & the Distribution of Price Changes' 9/97

<asset pricing> Calvin J., D. Rich 'Derivatives & Partnership Exchange Funds: Bedfellows to

Diversification & Tax Postponement' J. Deriv. Winter 95 Calvo G., L. Leiderman,C. Reinhart 'Inflows of Capital to Developing Countries in

1990s' J.Econ.Perspec. Spring 96 Calvo G., M. Obstfeld 'Optimal Time-Consistent Fiscal Policy with Finite Lifetimes'

Econometrica 3/88

Calvo G., M. Obstfeld 'Time Consistency of Fiscal & Monetary Policy:A Comment' Econometrica 9/90

Calzolari G. 'A Note on the Variance of Ex-Post Forecasts in Econometric Models' Econometrica 11/81

Calzolari G. 'Forecast Variance in Dynamic Simulation of Simultaneous Equation Models' Econometrica 11/87

Calzolari G., L. Panattoni 'Alternative Estimators of FIML Covariance Matrix:Monte Carlo Study' Econometrica 5/88

Calzolari G.,F. Sterbenz 'Control Variates to Estimate Reduced Form Variances in Econometric Models' Econometrica 11/86

Camara A. 'An Extended Set of Risk Neutral Valuation Relationship for the Pricing of Contingent Claims' R. Deriv. Research V3, #1 99 <option-pricing>

Cambell T., W. Kracaw 'Comment on Bank Funding Risks, Risk Aversion & the Choice of Futures Hedging Instruments' JofF 12/90

Camerer C., K. Weigelt 'Experimental Tests of a Sequential Equilbrium Reputation Model' Econometrica 1/88

Camerer C., K. Weigelt 'Information mirages in Experimental Asset Markets' JB Oct 91 Campa J., K. Chang 'Testing Expectations Hypothesis of Term Structure of Volatilities

in Foreign Exchange Options' JofF 6/95 Campa J., K. Chang, R. Reider 'Implied Exchange Rate Distributions:Evidence from OTC

Option Markets' NBER 97 <foreign exchange><pdf estimation> Campa J., P. Change 'Arbitrage-Based Tests of Target-Zone Credibility:Evidence from

ERM Cross-Rate Options' AER 9/96 Campbell B., J. Dufour 'Over-rejection in Rational Expectation Modes:Non-parametric

Approach to Mankiw-Shapiro Problem' May 91 U. Montreal < > Campbell C., H. Kazemi, P. Nanisetty 'Time-varying Risk and Return in the Bond Market:

a Test of a New Equilibrium Pricing Model' RFS Summer 99 Campbell C., L. Ederington, P. Vankudre 'Tax Shield, Sample Selection Bias, &

Information Content of Conversion-Forcing Bond Calls' JofF 9/91 Campbell D., J. Kelly 't or 1-t: That is the Trade-off' Econometrica 11/93 Campbell D., J. Kelly 'Trade-off Theory' AER 5/94 Campbell John ' Defense of the Traditional Hypothesis about Term Structure of Interest

Rates' JofF 3/86 Campbell John 'Does Savings Anticipate Declining Labor Income? Alternative Test of

Permanent Income Hypothesis' Econometrica 11/87 Campbell John 'Intertemporal Asset Pricing without Consumption Data' AER 6/93 Campbell John 'Some Lessons from the Yield Curve' J. Econ. Perspect. Summer 95 Campbell John 'Understanding Risk & Return' 2/93 <risk> Campbell John 'Variance Decompositon of Stock Returns' March 91 <stock return> Campbell John, J. Ammer 'What Moves the Stock & Bond Markets? Variance Decomposition

for Long-Term Asset Returns' JofF 3/93 Campbell John, J. Mei 'Where Do Betas Come From? Asset Price Dynamics & the Sources of

Systematic Risk' 2/92 <CAPM> Campbell John, John Cochrane 'Explaining the Poor Performance of Consumption-based

Asset Pricing Models' JofF 12/2000 Campbell John, L. Viceira 'Consumption & Portfolio Decisions When Expected Returns are

Time Varying' Q. J. Econ 5/99 Campbell John, Ludger Hentschel 'No News is Good News: An Asymmetric Model of Changing

Volatility in Stock Returns' <volatility> NBER 6/91 Campbell John, Robert Schiller 'Yield Spreads & Interest Rate Movements:Birds Eye View

RFS 91 Campbell John, Robert Shiller 'Stock Prices, Earnings, & Expected Dividends' JofF 7/88 Campbell John, S. LaMaster, V. Smith, M. Boening 'Off Floor Trading, Disintegration

&Bid-Ask Spread in Expirment Markets' JB Oct 91 Campbell John, Y. Hamao 'Predictable Stock Returns in US and Japan' JofF 3/92 Campbell R. 'Demand for Life Insurance:An Application of the Economics of

Uncertainity' JofF 12/80

Campbell T. 'Model of the Market for Lines of Credit' JofF 3/78 Campbell T., D. Glenn 'Deposit Insurance in Deregulated Environment' JofF 7/84 Campbell T., J. Dietrich 'Determinants of Default on Insured Conventional Residential

Mortgage Loans' JofF 12/83 Campbell T., W. Kracaw 'Corporate Risk Management & the Incentive Effects of Debt'

JofF 12/90 Campbell T., W. Kracaw 'Information Production,Market Signalling & the Theory of

Financial Intermediation' JofF 9/80 Canabarro E. 'Comparing Dynamic Accuracy of Yield Curve Based Interest Rate Contingent

Claims Pricing Models' J.Fin.Eng 12/93 Canabarro E. 'Where Do One-Factor Interest Rate Models Fail?' <Term Structure> J.

Fixed Income 9/95 Canina L., R. Michaely, R. Thaler, K. Womack 'Cavent Compounder: Warning about Using

the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns' JofF 2/98

Canina L., Steven Figlewski 'Informational Content of Implied Probability' <volatility> 4/91{also RFS 93}

Canner N., N. Mankiw, D. Weil 'An Asset Allocation Puzzle' AER 3/97 Cannerer C. 'Progress in Behavioral Game Theory' J.Econ. Persp. Fall 97 Canning D. 'Rationality, Computability & Nash Equilibrium' Econometrica 7/92 Cannizzo J., R. Kaitchuck 'Accretion Disks in Interacting Bindary Stars' SA 1/92 Cannon J. 'Initial Value Problem' in "One Dimensional Heat Equations" <Diff & Integral

Eq> 89 Canova F. 'Forecasting a Multitude of Time Series with Common Seasonal Patterns' 6/90

<seasonality> Canova F., J. Marrinan 'Reconciling the Term Structure of Interest Rates with the

Consumption-Based ICAP Model' J.Econ.Dyn.Control 96 Cantaluppi L. 'Modeling Currency Hedges in Mean/Variance Framework'<hedging> FAJ 1/94 Canter M., J. Cole, R. Sandor 'Insurance Derivatives:A New Asset Class for the Capital

Markets & a New Hedging Tool for the Insurance Industry' J. Derivatives Winter 96

Canto R., F. Packer 'Determinants & Impact of Soverign Credit Ratings' J. Fixed Income 12/96

Cantor D., S. Lippman 'Optimal Invetment Selection with a Multitude of Projects' Econometrica 9/95

Cantor R., F. Packer 'The Credit Rating Industry' J.Fixed Income 12/95 Cantor R., F. Packer, K. Cole 'Split Ratings & the Pricing of Credit Risk' J. Fixed

Income 12/97 Cao C. 'Nonlinear Time Series Models for the Volaility of Stock Returns ' <volatility

3/91 Cao C. 'Pricing Foreign Currency Options with Stochastic Volatility '<volatility>

11/92 Cao C. 'Pricing Options with Stochastic Volatility:General Equilibrium Approach

'<volatility> 10/92 Cao C., Eric Ghysels, F. Hatheway 'Price Discovery without Trading:Evidence from the

Nasdaq Pre-Opening' JofF 6/00 Cao C., H. Choe, F. Hatheway 'Does the Specialist Matter? Differential Execution Costs

& Intersecurity Subsidization on the New York Stock Exhchange' JofF 9/97 Cao C., R. Tsay 'Nonlinear Time Series Analysis of Stock Volatilities' <volatility>

3/91 Cao H. 'Effect of Derivative Assets on Information Acquisition & Price Behavior in a

Rational Expectations Equilibrium' RFS Spring 99 Cao Melanie, Jason Wei 'Pricing the Weather' RISK 5/2000 Cao Melanie, Jason Wei 'Vulnerable Options, Risky Corporate Bond and Credit Spread

1/99 <credit risk> Caperaa P., J. Lefoll 'Aversion pour le Risque Croissante Avec une Richeese Initiale

Aleatoire' Econometrica 3/85

Caplin A., B. Nalebuff 'Aggregation & Imperfect Competition:On Existence of Equilibrium' Econometrica 1/91

Caplin A., J. Leahy 'Aggreation & Optimization with State-Dependent Pricing'Econometrica 5/97

Capobainco E. 'Multi-Resolution Properties of Semi-Parameteric Volatility Models' Cappetta J. 'Swaptions' Intermarket <swaps> Caprini I., M. Neubert 'Borel Summation & Momentum-Plane Analyticity in Perterbative

QCD' 2/99 <Borel transform,Mellin,Green function><distriubtion> Carassus L., Elyes Jouini 'Investment & Arbitrage Opportunities with Short Sale

Constraints' MF 7/98 Carayannopoulos P. 'A Seasoning Process in the U.S. Treasury Bond Market:the Curious

Case of Newly Issued Ten-Year Notes' FAJ 2/96 Carayannopoulos P. 'The Mispricing of U.S. Treasury Callable Bonds' J. Futures

Markets 12/95 Cardenas J., E. Fruchard, E. Koehler, C. Michel, I. Thomazeau 'VAR:One Step Beyond'

<risk> RISK Oct. 97 Cardenas J., E. Fruchard, J. Picron, C. Reyes, K. Walters, W. Yang 'Monte Carlo within

a Day' RISK 2/99 <monte carlo> Carey J. 'Wavelets are Causing Ripples Everywhere' Bus Week 2/92 <fourier> Carey M. 'Credit Risk in Private Debt Portfolios' JofF 8/98 Carey M., M. Post, S. Sharpe 'Does Corporate Lending in Banks & Finance Companies

Differ? Evidence on Specialization in Private Debt Contracting' JofF 6/98 Cargill T., R. Meyer 'Term Structure of Inflationary Expectations & Market Efficiency'

JofF 3/80 Carhart Mark 'On Persistence in Mutual Fund Performance' JofF 3/97 Carleton W., G. Kendall, S. Tandon 'Application of the Decompostion Principle to the

Capital Problem in a Decentralized Firm' JofF 6/74 Carleton W., I. Cooper 'Estimation & Uses of the Term Structure of Interest Rates'

JofF 76 Carleton W., J. Nelson, M. Weisbach 'Influence of Institutions on Corporate Governance

through Private Negotiations:Evidence from TIAA-CREF' JofF 8/98 Carleton, Cooper 'New Approach to Estimation of Term Structure of Interest Rates'JF&QA

(84) Carmona Philippe, Frederique Petit, Marc Yor 'An Idenity in Law Involving Reflecting

Brownian Motion from Generalized Arc-Sine Laws for Perturbed Brownian Motion' SP&A 79 <Brownian>(99)

Carmona Rene 'Particle Methods in Filtering & Applications in Finance' 1/2001 <option-pricing>

Carpenter J. 'Does Option Compensation Increase Managerial Risk Appetite?' JofF Oct 2000

Carr J. 'Single Valued Duration Measure' JofF 9/78 Carr J., P. Helpern, J. McCallum 'Correcting the Yield Curuve:Re-interpreation of

Duration Problem' JofF 9-74 Carr Peter 'Bibiliography on Convertibles' <convertible bonds> 1/31/2001 Carr Peter 'Deriving Derivatives of Derivative Securities' <options-pricing> J. Comp.

Finance Winter 2000/2001 Carr Peter 'European Option Valuation When Carrying Costs are Unknown'<options-euro>

w.p. Cornell Dec 90 Carr Peter 'European Put Call Symmetry' wp Cornell 94 Carr Peter 'FAQs in Option Pricing Theory' 3/29/99 <option-pricing> Carr Peter 'Note on Pricing of Commodity-Linked Bonds' JofF 9/87 Carr Peter 'Put Call Parity for American Options & Different Strikes' wp

10/93<options-american> Carr Peter 'Randomization & the American Put' <options-American> wp 10/96,FRS Fall 98 Carr Peter 'Two Extensions to Barrier Option Valuation' Applied Math.Finance

9/95<options-barrier> Carr Peter 'Valuation of Sequential Exchange Opportunities' JofF 12/88

Carr Peter 'Vertical Static Hedging of Down-and-In Claims' <hedging> 10/11/00 Carr Peter, A. Chou 'Breaking Barriers' RISK 9/97 <options-barrier> Carr Peter, A. Chou 'Breaking Barriers:Static Hedging of Barrier Securities' <options-

barrier> 11/96 Carr Peter, A. Chou 'Hedging Complex Barrier Options' 4/1/97 <options-barrier> Carr Peter, Alexander Lipton, Dilip Madan 'An Alternative Approach for Valuing

Continuous Cash Flows' <hedging> 6/26/2000 Carr Peter, Alexander Lipton, Dilip Madan 'Going with the Flow' <hedging> <cash flow>

RISK 8/2000 Carr Peter, Alexander Lipton, Dilip Madan 'The Reduction Method for Valuing Derivative

Securities' 4/27/00 <option-numeric> formerly 'Option Pricing & Heat Transfer' Carr Peter, Dilip Madan 'Determining Volatility Surfaces & Option Values From an

Implied Volatility Smile' 10/98 <volatility> Carr Peter, Dilip Madan 'Introducing the Covariance Swap' RISK 2/99 <swap> <Volatility

Swap, Variance> Carr Peter, Dilip Madan 'Optimal Consumption & Derivative Investment Rules in

Continuous Time' 2/98 <derivatives>,<portfolio> Carr Peter, Dilip Madan 'Optimal Positioning in Derivative Securities' 1/98

<portfolio> Carr Peter, Dilip Madan 'Option Valuation Using the Fast Fourier Transform' J.

Comp.Finance Summer 99 ,12/98 <option-pricing> Carr Peter, Dilip Madan 'Towards a Theory of Volatility Trading' 12/97 <volatility> Carr Peter, Dmitri Faguet 'Fast Accurate Valuation of American Options'superceeded

w.p. 6/29/94 Carr Peter, Dmitri Faguet 'Valuing Finite-Lived Options as Perpetual' <options-

american> 6/96 Carr Peter, G. Yang 'Simulating American Bond Options in an HJM Framework'12/96 <term

structure> Carr Peter, G. Yang 'Simulating Bermuda Interest Rate Derivatives' 12/97 <term

structure> Carr Peter, Helyette Geman, Dilip Madan 'Pricing & Hedging in Incomplete Markets' &

oversheads JFE 2001 12/02 <complete markets> Carr Peter, Helyette Geman, Dilip Madan, Marc Yor 'The Fine Structure of Asset

Returns:An Empirical Investigation' J. Business 4/02 <asset pricing><variance-gamma,jump,CGMMY>

Carr Peter, J-F Picron 'Static Hedging of Timing Risk' J. Deriv.Spring 99 <risk> <first passage,barriers>

Carr Peter, K. Ellis, V. Gupta 'Static Hedging of Exotic Options' JofF 6/98 Carr Peter, M. Tari, Thaleia Zariphopoulou 'Closed Form Option Valuation with Smiles'

8/99 <volatility> Carr Peter, Marc Chesney 'American Put Call Symmetry' <options-American> 11/96 Carr Peter, R. Chen 'Valuing Bond Futures & the Quality Option' <term structure>

<CIR> w.p. 6/94 Carr Peter, Robert Jarrow 'Stop-Loss Start-Gain Paradox & Option Valuation: A New

Decomposition into Intrinsic & Time Value'<optimal stopping> RFS V.3 #3 1990 Carr Peter, Robert Jarrow, R. Myneni 'Alternative Characterizations of American Put

Options'MF 4/92 <options-american> Carr Peter, X. Jin, Dilip Madan 'Optimal Investment in Derivatives Securities' Finance

& Stochastics 1/2001 <asset pricing><Levy,completeness,variance gaama> Carriere Jacques 'A Gaussian Process of Yield Rates Calibrated with Strips' <interest

rates> Carriere Jacques 'A Generalized Ornstein-Uhlenbeck Process of Yield Rates Calibrated

with Strips' 99<term structure> <Green,numeraire> Carriere Jacques 'Greens Function in a Multi-Factor Model for Interest Rate

Derivatives' <interest rates> Carrigan R., W. Trower 'Superheavy Magnetic Monopoles' PPC Carroll C., M. Kimball 'On Concavity of Consumption Functions' Econometrica 7/96

Carroll C., P. Thistle, K. Wei 'Robustness of Risk-Return Nonlinearities to Normality Assumptions' JFQ&A 9/92

Carron A. 'Understanding CMOs, REMICs & Other Mortgage Derivatives' J. of Fixed Income 6/92 <mortgage> <prepayment>

Carson R. 'Tobit Model with a Non-Zero Censoring Threshold' 89 Cartan E. 'Les Systemes Differentiels Exterieurs et leurs Applications Geometriques'

Paris:Hermann 1945 Carter C., G. Eagleson 'Comparison of Variance Estimators in Nonparametric Regression'

J. Royal Statistical Society 1992 Carter C., R. Kohn 'Markov Chain Monte Carlo in Conditionally Gaussian State Space

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<numeric> Cartner A. 'Testing Weapons in Space' SA 7/89 Cartwright P. 'Forecasting Time Series :Comparative Analysis of Alternative Classes of

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6/94 Carverhill Andrew 'A Note on the Models of Hull & White for Pricing Options on the

Term Structure'wp 7/94; <Term Structure> J. Fixed Income 9/95 Carverhill Andrew 'A Simplified Exposition of the Heath,Jarrow & Morton Model'S&SR 95

,<term structure> 12/94 wp Carverhill Andrew 'Interest Rate Derivatives:Evolutionary Valuation & Hedging'<term

structure> (ed) S.Hodges Options:Recent Advances V.2 1992 Carverhill Andrew 'When is the Short Rate Markovian' <Term Structure> MF 11/94 Carverhill Andrew, Chris Strickland (91) 'Money Market Term Structure Dynamics & Volt

Expec.' Options Research Center, U. Warwick Carverhill Andrew, Kin Pang 'Efficient & Flexible Bond Option Valuation in the

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<optimal-control>IMA w.p. 8/93 Case A. 'Consumption Smoothing in Developing Countries' J. Econ. Perspect. Summer 95 Case A. 'On the Use of Spatial Autogression Models in Demand Analysis'87 Case A. 'Spatial Patterns in Household Demand' Econometrica 7/91 Case J. (reviewer) 'An Unexpected Union-Physics & Fisher Informtion' SIAM News

July/Aug 2000 Case J. <review> 'Computer Chess Moves to the Grandmaster Level' SIAM News 6/97 Case J. 'Fermats Last Theorem:Still Awaiting a First-Rate Exposition' <review of

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Cason T. 'The Opportunity for Conspiracy in Asset Markets Organized with Dealer Intermediaries' RFS Summer 2000

Cason T., D. Friedman 'Price Formation in a Single Call Markets' Econometrica 3/97 Cass D. 'Incomplete Financial Markets & Indeterminacy of Competitive Equilibrium' in

Advances in Econ. Theory VI v.2 Cass D., G. Chichilnisky, H. Wu 'Individual Risk & Mutual Insurance' Econometrica

3/96 Cass D., Joseph Stiglitz 'Structure of Investor Preferences & Asset Returns &

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Efficient Schemes for Solutions of Stochastic Differential Equations' <SDE> Annales de l'IHP 1996 #2

Castellani G. 'Mathematical Model on Selection of Investments in Conditions of Risk' MMinIV

Castellino O. 'On Correlation Between Yields & Coupon Rates of Randomly Redeemable Bonds' MMinIV

Castillo-Ramirez A. 'An Application of Natural Resource Evaluation using a Simulation-Dynamic Programming Approach' J. Comp. Finance Spring 2000

Cathcart Lara 'The Pricing of Floating Rate Instruments'J. Comp. Finance Summer 98 <interest rates>

Cathcart Lara, Lina El-Jabel 'Valuation of Defaultable Bonds' J. Fixed Income 6/98 Cattiaus P. 'Time Reveral of Diffusion Processes With a Boundary Condition'

<stochastics> SP&A 28(1988) Cavaglia S., W. Verschoor, C. Wolff 'On the Biasness of Forward Foreign Exchange

Rates:Irrationality or Risk Premia?'J.Business 7/94 Cave J., S. Salant 'Cartel Quotas Under Majority Rule'AER 3/95 Cavers R. 'Industrial Organization & New Findings on the Turnover & Mobility of Firms'

JEL 12/98 Cebeci T., Herb Keller 'Shooting & Parallel Shooting Methods for Solving Folkner-Skav

Boundary Layer Equation' <in NM2PBVP> Cecchetti S. 'Distinguishing Theories of the Monetary Transition Mechanism' Review FRB

S.L. May/June 95 Cecchetti S., P. Lam, N. Mark 'Testing Volatility Restrictions on Intertemporal

Marginal Rates of Substitution Implied by Euler Equations & Asset Returns'JofF 3/94

Cekanavicius V. 'On Compound Poisson Approximations under Moment Restrictions' Theory Prob. Appl v44 #1 2000 <distribution>

Celec S., R. Pettway 'Some Observations on Risk-Adjusted Discount Rates' <reply W. Lewellen>JofF 9/79

Celentani M., D. Fundenberg, G. Levine, W. Pesendorfer 'Maintaining a Reputation against a Long-Lived Opponent' Econometrica 5/96

Celia M., G. Pinder 'Generalized A.D. Colloc....'3 papers NUMERICAL METHODS FOR PARTIAL DIFF EQ. v6 #3 1990

Cerf V. 'Networks' SA 9/91 Certicom 'Current Public-Key Crpytographic Systems' 97<cryptography> Certicom 'Remarks on the Security of the Elliptic Curve Cryptosystem' 97

<cryptography> CerticomCorp 'Concepts in Information Security' <cryptography> CerticomCorp 'Elliptic Curve Groups' <cryptography> Cesari R. 'On Estimation of Stochastic Differential Equations: the Continuous-time

Maximum-likelihood Approach' <SDE>w.p. Sept 89 CFA Institute 'Practitioners Guide to Factor Models' <notes & appendix> <factor

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Chacko G. 'Continuous-Time Estimation of Affine Term Structure Models:General Approach' 3/98 <term structure>

Chacko G. 'Continuous-Time Estimation of Exponential Separable Term Structure Models:A General Approach' 8/99 <term structure>

Chacko G., S. Das 'Average Interest' 97 <options-average> Chahal M., M. Rebello, S. Smith 'Emerging Debt & Equity Markets:Exploratory

Investigation of Integration Using Daily Data' FRB Atlanta 7/96 Chaing R., P. Venkatesh 'Insider Holdings & Perceptions of Information Asymmetry'

JofF 9/88 Chaisson E. 'Early Results from the Hubble Space Telescop' SA 6/92 Chaitin G. 'Randomness inArtithmetic'<Hilbert, Godel> SA 7/88 Chakhravorly U., D. Krulce 'Heterogeneous Demand & Order of Resource Extraction'

Econometrica 11/94 Chakravarti P., M. Barrientes 'On a Fast & Accurate Method for Computing Fourier

Transforms' BIT 94<fourier> Chakravarty S. 'On Shorrocks Reinvestigation of the Sen Poverty Index' Econometrica

9/97 Chakravarty S. 'Should Actively Traded Futures Contracts Come under the Dual-Trading

Ban?' J.Fut.Markets 9/94 Chakravarty S., J. McConnell 'Does Insider Trading Really Move Stock Prices?' JF&QA

6/99 Chal Y-J. 'Weak Convergence of a Sequence of Semimartingales to a Process of Diffusion

Type with Discontinuous Coefficients' IMA 99 <martingales> Chalasani P., S. Jha 'Approximate Option Pricing' 4/97 <option-pricing> Chalasani P., S. Jha 'Martingales & Fuzzy Stopping Times in the Pricing of American

Options with Transaction Costs' 1/99 <option-American> Chalasani P., S. Jha 'Randomized Stopping Times & American Option Pricing with

Transaction Costs' MF 1/2001 ,12/2000 <options-American> Chalasani P., S. Jha, A. Varikooty 'Accurate Approximation for European Asian

Options'J. Comp. Finance Summer 98 , <option-Asian> 1/98 Chalasani P., S. Jha, F. Egriboyun, A. Varikooty 'A Refined Binomial Lattice for

Pricing American Asian Options' R. Deriv. Research V3, #1 99 ,4/98? <option-Asian>

Chaleyat-Maurel M., Nicole El Karoui, B. Marchal 'Reflexion Discontinue et Systemes Stochastiques' Ann. Probl 80

Chalmers J. 'Default Risk Cannot Explain the Muni Puzzle:Evidence from Municipal Bonds that are Secured by U.S. Treasury Obligations' RFS Summer 98

Chalmers J. 'Muni Puzzle:Explanations & Implications for Investors' 'Advanced Fixed-Income Valuation Tools' ed. Jegadeesh,Tuckman,Wiley 2000

Chalupa J. 'Discount Bond Derivatives on a Recombining Binomial Tree' <term structure>,option-bonds> 6/97 <Buhler-Kasler, hopping probab., Vasicek>

Chalupa J. 'Multifactor Generalization of "Discount Bond Derivatives on a Recombining Binomial Tree" ' 6/97 <options-bonds> <Buhler-Kasler>

Chalupa J. 'Option Valuation & the Price of Risk' 96? <risk> Chalupa J. 'Options on a Stock with Market-Dependent Volatility' 10/97 <volatility> Chamberlain Gary 'A Characterization of the Distributions That Imply Mean-Variance

Utility Functions'<CAPM> JET 29:185-201 (1983) Chamberlain Gary 'Efficiency Bounds for Semiparametric Regression ' Econometrica 5/92 Chamberlain Gary, M. Rothschild 'Arbitrage Factor Structure & Mean-Variance Analysis

of Large Asset Markets' Econometrica 9/83 <arbitrage> Chamberlain Gary. 'Asset Pricing in Multiperiod Security Markets' Econometrica 11/88 Chambers D. 'Necessary & Sufficient Condtions for a Second-order Wiener-Ito Integral

Process to be Mixing' SP&A 4-93 <Diffusion> Chambers D., W. Carelton 'Generalized Approach to Duration' <duration> Research in

Finance 88 Chambers D., W. Carleton, D. Waldman 'A New Approach to Estimation of the Term

Structure of Interest Rates' JFE 84

Chamley C. 'Optimal Taxation of Capital Income in General Equilibrium with Infinite Lives' Econometrica 5/86

Chamley C., D. Gale 'Information Revelation & Strategic Delay in a Model of Investment' Econometrica 9/94

Champsaur P., J. Rochet 'Multiproduct Duopolists' Econometrica 5/89 Chan G., A. Wood 'Simulation of Multifractional Brownian Motion' 3/98 UNSW <Brownian> Chan H. 'Poisson Formula Revisted' SIAM Review 6/98 Chan K. 'Imperfect Information & Cross-Autocorrelations among Stock Returns' JofF 9/93 Chan K., A. Hameed, W. Tong 'Profitability of Momentum Strategies in the International

Equity Markets' JF&QA 6/2000 Chan K., A. Karolyi, Francis Longstaff, A. Sanders 'Empirical Comparison of

Alternative Models of Short-term Interest Rates' JofF 7/92 <CEV, 3/2 expon.> Chan K., H. Tong 'Note on Embeddding a Discrete Parameter ARMA Model in a Continous

Parameter ARMA Model' J. Time Series Analysis (87) #3 Chan K., H. Tong 'On Estimating Tresholds in Autoregressive Models' J. Time Series

Analysis #3 (86) Chan K., N. Chen 'An Unconditional Asset-Pricing Test & the Role of Firm Size as an

Instrumental Variable for Risk' JofF 6/88 Chan K., N. Chen 'Structural & Return Characteristics of Small & Large Firms' JofF

9/91 Chan K., S. Forest, L. Lang 'Does Money Expalin Asset Returns? Theory & Empirical

Analysis' JofF 3/96 Chan K., W. Christie, P. Schultz 'Market Struture & the Intraday Pattern of Bid-Ask

Spreads for NASDAQ Securities' JofBusiness 1/95 Chan K., Y. Chung, H. Johnson 'Intraday Behavior of Bid-Ask Spreads for NYSE Stocks &

CBOE Options' JF&QA 9/95 Chan K., Y. Chung, H. Johnson 'Why Option Prices Lag Stock Prices:Trading based

Explanation' JofF 12/93 Chan L. 'Consumption,Inflation Risk & Real Interest Rates:Empirical Analysis' JofB

1/94 Chan L., J. Karcaski, Josef Lakonishok 'Risk & Return from Factors' JF&QA 6/98 Chan L., J. Karceski, Josef Lakomishok 'On Portfolio Optimization:Forecasting

Covariances & Choosing the Risk Model' RFS Winter 99 <portfolio> Chan L., Josef Lakonishok 'Are Reports of Betas Death Premature' J.Port.Manag. Summer

93 Chan L., Josef Lakonishok 'Behavior of Stock Prices around Institutional Trades' JofF

9/95 Chan L., Josef Lakonishok 'Institutional Equity Trading Costs:NYSE Versus Nasdaq'

JofF6/97 Chan L., Josef Lakonishok 'Robust Measurement of Beta Risk' JF&QA 6/92 Chan L., Narasimham Jegadeesh, Josef Lakonishok 'Momentum Strategies' JofF 12/96 Chan L., Y. Hamao, Josef Lakonishok 'Fundamentals & Stock Returns in Japan' JofF 12/91 Chan N., C. Wei 'Limiting Distributions of Least Squares Estimates of Unstable

Autoregressive Processes' Annals of Stats. 88 Chan N., W. Palma 'State Space Modeling of Long-Memory Processes' <Kalman, ARMA> 2/98 Chan S., G. Gau, K. Wang 'Stock Market Reaction to Capital Investment

Decisions:Evidence from Business Relocations' JF&QA 3/95 Chan Terrence 'Pricing Contingent Claims on Stocks Driven by a Levy Process' Annal.

Applied Prob. 5/99 <contingent claims> Chan U., K. Mak 'Depositors Welfare, Deposit Insurance & Deregulation' JofF 7/85 Chan V. 'Banking without Deposit Insurance or Bank Panics:Lessons from a Model of US

National Banking System' FRB Minn Summer 89 <banking> Chan Y. 'Information Production, Market Signalling & the Theory of Finanical

Intermediation:Comment' JofF 9/82 Chan Y. 'On the Positive Role of Financial Intermediation in Allocation of Venture

Capital in a Market with Imperfect Information' JofF 12/83

Chan Y. 'Term Structure as a Second-Order Dynamical System & pricing of Derivative Securities' Bear Stearns 92

Chan Y., Anjan Thakor 'Collateral & Competitive Equilibria with Moral Hazard & Private Information' JofF 6/87

Chan Y., Stewart Greenbaum, Anjan Thakor 'Is Fairly Priced Deposit Insurance Possible?' JofF 3/92

Chan Y-K 'Term Structure as a Second Order Dynamical System & pricing of Derivative Securities' Bear Stearns 1992

Chance Donald 'A Derivatives Alternative as Executive Compensation' FAJ 3/97 Chance Donald 'An Immunized-Hedge Procedure for Bond Futures' J.Fut. Market 82 <bond> Chance Donald 'Default Risk & the Duration of Zero Coupon Bonds' JofF 3/90 Chance Donald 'Futures Contracts & Immunization' R. Futures Markets v5,#2 86 Chance Donald 'Futures Pricing & Cost of Carry under Price Limits' J.Fut. Mark. 10/94 Chance Donald 'Leap into the Unknown'<volatility-implied> RISK 5/93 Chance Donald 'Parity Tests of Index Options'<stock price> AFOR V.2 Chance Donald 'Pricing & Hedging of Limited Exercise Caps & Spreads' JFR Winter 94

<caps> Chance Donald 'Translating the Greek:The Real Meaning of Call Option Derivatives' FAJ

7/94<option-pricing> Chance Donald, D. Rich 'Asset Swaps with Asian-Style Payoffs' J.of Derivatives Summer

96 Chance Donald, D. Rich 'Pricing of Equity Swaps & Swaptions' J. Deriv. Summer 98

<swaps> Chance Donald, J. Jordan 'Duration,Convexity & Time as Components of Bond

Returns'<term structure> J. Fixed-Income 9/96 Chance Donald, M. Hemler 'Impact of Delivery Options on Futures Prices:Survey' J. Fut.

Market 4-93 Chanda K.'Asymptotic Expansions for the Distribution of Serial Correlations' J. Time

Series Analysis (87) #3 Chander R. 'Dynamic Procedures & Incentives in Public Good Economies' Econometrica

11/93 Chandler A. 'Organization Capabilities & Economic History of Industrial Enterprise'

J.Econ.Persp. Summer 92 Chandra R., B. Balachandran 'More Powerful Portfolio Approaches to Regressing Abnormal

Returns on Firm Specific Variables for Cross Sectional Studies' JofF 12/92 Chandrakantha M., J. Mehta, P.Swamy 'On the Use of Ratios in the Analysis of Non-

stationary Time Series' FRB Washington Nov 89 Chandrasekhar S. 'Stochastic Problems in Physics & Astron.' SPinN&SP Chaney P., T. Devinney,R. Winer 'Impact of New Product Intro. on Market Value of

Firms' JB Oct 91 Chang C. 'A No-Arbitrage Martingale Analysis for Jump-Diffusion Valuation' JFR Fall 95

<options-distribution><american> Chang C. 'Captial Structure as an Optimal Contract Between Employees & Investors'

JofF 7/92 Chang C., J. Chang 'Forward & Futures Prices:Evidence from the Foreign Exchange

Markets' JofF 9/90 Chang C., J. Chang 'Option Pricing with Stochastic Volatility:Information-time in

Calendar-Time' <volatility> <stochastic clock> MS 7/96 Chang C., J. Chang, H. Fang 'Optimum Futures Hedges with Jump Risk & Stochastic

Basis'<hedging> J.Futures Markets 6/96 Chang E. 'Returns to Speculators & Theory of Normal Backwardation' JofF 3/85 Chang E., J. Pinegar 'Fundamental Study of the Seasonal Risk-Return Relationship' JofF

9/88 Chang E., J. Pinegar 'Stock Market Seasonals & Prespecified Multifactor Pricing

Relations' JF&QA Dec 90 <stock price> Chang E., J. Pinegar,R. Ravichandran 'International Evidence on Robustness of Day-of-

Week Effect' JF&QA 12/93

Chang E., P. Jain, P. Locke 'Standards & Poors 500 Index Futures Changes around the New York Stock Exchange Close' JofBusiness 1/95

Chang E., P. Locke, S. Mann 'Effect of CME Rule 552 on Dual Traders' J. Fut. Mark. 6/94

Chang F. 'Inverse Optimal Problem: Dynamic Programming Approach' Econometrica 1/88 Chang Issac, Andreas Weigend 'Nonlinear Prediction of Conditional Percentiles for

Value-at-Risk' 3/99 <risk> Chang J., H. Fang 'Intertemporal Measure of Hedging Effectivenss' JFM 90 <hedging> Chang J., L. Shanker 'Hedging Effectiveness of Currency Options & Currency Futures'

JFM v6 #2 <foreign exchange> Chang J., Shanker 'Option Pricing & the Arbitrage Pricing Theory' <CAPM> J. of

Financial Research Spring 87 Chang R. 'Credible Monetary Policy with Long-Lived Agents:Recursive Approaches'

<alpha> 11/96 FRB Atlanta wp Chang R. 'Financial Integration with & without International Policy Coordination' FRB

Atlanta 10/93 w.p. Chang R. 'Income Inequality & Economic Growth:Evidence & Recent Theories' FRB Atlanta

94 Review FRB Atlanta 7/94 Chang R. 'Is a Weak Dollar Inflationary?' Economic Review FRB Atlanta 9/95 Chang R. 'Is Low Unemployment Inflationary? Econ. Review FRB Atlanta Chang R. 'Policy Credibitlity & Design of Central Banks' FRB Atlanta Econ.Review 1Q 98 Chang R. 'Political Party Negotations, Income Distribution & Endogenous Growth' FRB

Atlanta wp 6/95<alphabetic> Chang R., A. Velasco 'Financial Fragility & the Exchange Rate Regime' FRB Atlanta wp

11/97 Chang Roberto 'Private Investment & Sovereign Debt Negotiations' FRB Atlanta w.p.

6/93 Chang S. 'Takeovers of Privately Held Targets, Methods of Payment & Bidder Returns'

JofF 4/98 Chang,I., C. Hallahan, P. Swamy 'Efficient Computation of Stochastic Coefficients

Models' <stochastics> FRB Washington Aug 90 Chanian L., A. Stockman 'Short Run Effects of Money When Some Prices are Sticky' Econ.

Quarterly FRB Richmond Summer 94

Chanrong A. 'A Semiparametric Maximum Likelihood Estimator' Econometrica 7/97 Chant P. 'On Predictability of Corporate Earnings per Share Behavior' JofF 3/80 Chapko R., R. Kress, J-R Yoon 'On the Numerical Solution of an Inverse Boundary Value

Problem for the Heat Equation' Inverse Problems 8/98 <numeric> Chaplin G., S. Saoullis 'Carrying on as Normal' <option-bonds> <GARCH,one

factor,government bond> RISK 6/97 Chaplinsky S., G. Niehaus 'Role of ESOPs in Takerover Contests' JofF 9/94 Chapman D. 'Approximating the Asset Pricing Kernel' JofF 9/97 Chapman D. 'The Cyclical Behavior of the Real Term Structure & Consumption Growth'

10/95 Chapman D., J. Long, Neil Pearson 'Using Proxies for the Short Rate: When are Three

Months Like an Instant?' RFS Fall 99 Chapman D., Neil Pearson 'Is the Short Rate Drift Actually Nonlinear?' JofF 2/2000 Chapman S., Sam Howison, John Ockendon 'Macroscopic Models for Superconductivity'

SIAM Review 12/92 Chappell D., K.Dury 'On Optimal Depletion of Nonrenewable Natural Resources Under

Conditions of Increasing Marginal Extraction Costs' SIAM Review 3/94 Chappell H., D. Cheng 'Expectations, Tobins q & Investment:Note' JofF 3/82 Charalambous C., Robert Elliott, V. Krishnamurthy 'Conditional Moment Generating

Functions for Integrals & Stochastic Integrals' <SDE> Proc. 36 Conf. Decision & Control 97

Charest G. 'Dividend Information, Stock Returns & Market Efficiency' 78 JFE

Chari V. 'Nobel Laureate Robert Lucas:Architect of Modern Macroeconomics' J. Econ. Persp. W 98

Chari V. 'Time Consistency & Optional Policy Design' FRB Minn Fall 88 <budget> Chari V., L. Jones, R. Manwelli 'Growth Effects of Monetary Policy' Quarterly Review

FRB Minn. Fall 95 Chari V., P. Kehoe, E. McGrattan 'Sticky Price Models of the Business Cycle: Can the

Contract Multiplier Solve the Persistence Problem?' Econometrica 9/2000 Chari V., R. Weber 'How the US Treasury Should Auction its Debt' Quarterly Review FRB

Minneapolis Fall 92 Chari V., Ravi Jagannathan 'Banking Panics, Information & Rational Expectations

Equilibrium' JofF 7/88 Charrier P., G. Troianello 'On Strong Solutions of Parabolic Unilateral Problems with

Obstacle Dependent Time' J. Math. Anal. App 78 Chassing P. 'Slow Diffusion for a Brownian Motion with Random Reflecting Barriers'

<<Brownian motion> SP&A 1/96 Chateau O. 'Quelques remarques sure les processus a accroissements independants

stationnaries et la subordination au sens de Bochner' these de l'Universite Paris VI 90

Chatelain M., Christope Stricker ' A Characterization of Complete Security Markets on a Brownian Filtration' 92

Chatelain M., Christope Stricker 'Componentwise & Vector Stochastic Integration with Respect to Certain Multi-Dimensional Continuous Local Martingales' <martingales> Progress in Probability v36 95<Seminar on Stochastic Analysis,Random Fields & Apps>

Chatelain M., Christope Stricker 'On Componentwise & Vector Stochastic Integration' <martingale> MF 1/94

Chateuneuf A., R. Kast, A. Lapied 'Choquet Pricing for Financial Markets with Frictions'<arbitrage> MF 7/96

Chatrath A., S. Ramchander, F. Song 'Does Option Trading Lead to Greater Cash Market Volatility?' J. Futures Markets 10/95

Chatrath A., S. Ramchander, F. Song 'Note on Modified Lattice Approaches to Option Pricing' J.Futures Markets 8/96

Chatrath Arjun,M. Chaudhry, R. Christie-David 'Price Discovery in Strategically Linked Markets:TED Spread & its Constituents' J. Derivatives Summer 99

Chatterjea A., Robert Jarrow 'Market Manipulaiton, Price Bubbles & a Model of the U.S. Treasury Securities Auction Market' JF&QA 6/98

Chatterjee K., Hamid Sabourian 'Multiperson Bargaining and Strategic Complexity' Econometrica 11/2000

Chatterjee S., W. Jacques 'An Outlier-Resistant Approach to Risk Estimation' FAJ 9/94 Chaudhari P. 'Electronic & Magnetic Materials' SA <unlabeled> Chaudhry M., R. Christie-David 'Long-Tem Structural Price Relationships in Futures

Markets' J. of Derivatives Spring 98 Chaudhury M. 'Some Easy-to-Implement Methods of Calculating American Futures Option

Prices'<options-American> JFM 5/95 Chaudhury M., J. Wei 'Upper Bounds for American Futures Options:A Note'<options-

American> JFM 2/94 Chaum D. 'Achieving Electronic Privacy <encryption>' Scientific American 8/92 Chaumeton L., G. Connor, R. Curds 'A Global Stock & Bond Model' FAJ 11/96 Chee K. 'Optimal Hedging with Financial Futures' <hedging> Chem A., K. Chen 'An Anatomy of ELKS' <interest rate products> <equity linked> J.

Financial Engineering 12/95 Chemmanur T. 'Pricing of Initial Public Offers:Dynamic Model with Information

Production' JofF 3/93 Chemmanur T., P. Fulghieri 'Investment Bank Reputation,Information Production &

Financial Intermediation' JofF 3/94 Chemmanur T., P. Fulghieri 'Theory of the Going-Public Decision' RFS Summer 99

Chemmanur T., P. Fulghieri 'Why Include Warrants in New Equity Issues? Theory of Unit IPOs' JF&QA 3/97

Chen A. 'Recent Developments in the Cost of Debt Capital' JofF 6/78 Chen A., F. Jen, S. Zionts 'Joint Determination of Portfolio & Transaction Demands for

Money' JofF 3/74 Chen A., H. Park, K. Wei 'Stochastic Duration & Dynamic Measure of Risk in Financial

Futures'<risk> AFOR V.1B Chen A., M. Chaudhury 'Market Value & Dynamic Interest Rate Risk of Swaps' 96-44

<swaps> Chen A., M. Cornett, P. Nabar 'Empirical Examination of Interest Rate Futures Prices'

JFM Oct.93 Chen A., S. Mazundar 'Loan Sales & Bank Liquidity Mangement' Inter. J. Theor.&Applied

Finance 4/99 Chen A., W. Reichenstein 'Taxes & Pension Fund Asset Allocation' J.Portfolio

Mangagement Summer 92 Chen Andrew, John Kensinger, Hangsong Pu 'An Analysis of PERCS<Preferred Equity

Redemption Cumulative Stocks>' J. Fin. Engin. 6/94 Chen Andrew, K. Chen, Barry Laiss 'Pricing Contingent Value Rights:Theory & Practice'

J.FinEng V2,#2 93 Chen C., A. Chan, N. Mohan 'Asset Allocation Managers Investment Performance' J. Fixed

Income 12/93 Chen C., J. Williams 'Triple-Witching Hour,Change in Expiration Timing & Stock Market

Reaction' J.Futures Markets 5/94 Chen C., R. McCullich, R. Tsay 'A Unified Approach to Estimating & Modeling Linear &

Nonlinear Time Series'<regression> UofChicago 1/96 Chen David, Robert Welch 'Relative Mispricing of American Calls Under Alternative

Dividend Models' AF&OR6 Chen H-C., J. Ritter 'The Seven Percent Solution' JofF 6/00 Chen J. 'When the Bubble is Going to Burst...' Inter. J. Theor. & Applied Finance

7/99 Chen L. 'A Bond Pricing Formula under a Non-trival, Three Factor Model of Interest

Rates' <term structure> Exonomic Letters 96 Chen L. 'A Three-Factor Model of the Term Structure of Interest Rates' FRB Board 95 Chen L. 'Interest Rate Dynamics, Derivatives Pricing & Risk Management' v435 Lecture

Notes Econ & Math Systems Springer 96 Chen L. 'Stochastic Mean & Stochastic Volatility:Three Factor Model of the Term

Structure of Interest Rates & Application to Pricing of Interest Rate Derivatives Part I' <volatility>wp 9/94

Chen L. 'Stochastic Mean & Stochastic Volatility-Three Factor Model of Term Structure of Interest Rates & its Application to Derivative Pricing & Risk Management' 96 <term structure>

Chen N. 'Empirical Test of Theory of Aribtrage Pricing' JofF 12/87 Chen N. 'Financial Investment Opportunities & the Macroeconomy' JofF 6/91 Chen N. 'Some Empirical Tests of Theory of Arbitrage Pricing' JofF 12-83 Chen N., C. Cuny,R. Haugen 'Stock Volatility & Levels of the Basis & Open Interest in

Futures Contracts' JofF 3/95 Chen N., Jonathan Ingersoll 'Exacting Pricing in Linear Factor Models with Finitely

Many Assets:Note' JofF 6/83 Chen N., R. Kan, Merton Miller 'Are the Discounts on Closed-End Funds a Sentiment

Index?'JofF 6/93 Chen N., Richard Roll, Steven Ross 'Economic Forces & the Stock Market ' JofB 86

<stock market> Chen Nai-Fu 'Some Empirical Tests of the Theory of Arbitrage Pricing' w.p. UofC April

82 Chen 'New Look at Interest Rate Futures Contracts' JFM 10/92 Chen 'Nonlinear Adaptive ARX Model' 9/93 JASA v88 #421 3-93

Chen R. 'A Two-Factor, Preference-Free Model for Interest Rate Sensitive Claims'<term structure> JFM 5/95

Chen R. 'Bounds for Treasury Bond Futures Prices & Embedded Delivery Options:Theory & Empirical Analysis' <4/97 <options-bonds>

Chen R. 'Exact Solutions for Futures & European Futures Options on Pure Discount Bonds'<Term Structure> JF&QA 3/92

Chen R. 'Pricing Bond Futures & Quality Option: Empiricial Study'<term structure> <CIR> 9/92 w.p. CBT

Chen R. 'Pricing Interest Rate Futures Options with Futures-Style Margining' JFM 2/93 Chen R., L. Scott 'Interest Rate Options in Multi-Factor Cox-Ingersoll-Ross Models of

the Term Structure'<term structure> wp 5/95 {also J. Driv. Winter 95} Chen R., L. Scott 'Maximum Likelihood Estimation for a Multi-Factor Equilibrium Model

of the Term Structure of Interest Rates'<Term Structure> <CIR> wp 5/92 &J. Fixed Income 12/93

Chen R., L. Scott 'Multifactor CIR Model of Term Structure:Estimates & Tests from a State Space Model Using Kalman Filter' Rutgers & U. Georgia 93

Chen R., L. Scott 'Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of Term Structure'<Term Structure> wp 7/91

Chen R-R., T. Yang 'An Integrated Model for the Term and Volatility Structures of Interest Rates' <term structure> wp 3/96

Chen R-R., T. Yang 'Relevancy of Interest Rate Processes in Pricing Mortgage-Backed Securities' J. Housing Research 95

Chen R-R., T. Yang 'Universal Lattices' R. Deriv. Research 99 . <options-numerical> Chen S., A. Keown 'Pure Residual & Market Risk:Note' JofF 12/81 Chen S., A. Keown 'Risk Decomposition & Portfolio Diversification When Beta is

Nonstationary' JofF 9/81 Chen S., S. Brown 'Estimation Risk & Simple Rules for Optimal Portfolio Selection'

JofF 9/83 Chen Y. 'An Extension to the Implementability of Reduced form Auctions' Econometrica

9/86 Chen Y. 'Equilibrium Product Bundling' JofB 1/97 Chen Y., D. Jain 'Dynamic Monopoly Pricing under a Poisson Type Uncertain Demand''J.

of Business 10/92 Chen Z. 'A Property of Basward Stochastic Differential Equatons' Comptes Re. 2/98 Chen Z., A. Giovannini 'Estimating Expected Exchange Rates under Target Zone Regimes'

Int. J. Theo & Appl Finance 1/98 Chen Z., Larry Epstein 'Ambiguity, Risk, & Asset Returns in Continuous Time' 10/99

<<utility><Ellsberg Paradox> Chen Z., Peter Knez 'A Pricing Operator-Based Testing Foundation for a Class of Factor

Pricing Models'<CAPM> MF 4/94 Chen Z., Peter Knez 'Portfolio Performance Measurement Theory & Applications' RFS

Summer 96 Chen Z., T. Shin, X. Yue 'Numerical Methods for Stefan Problems with Prescribed

Convection & Nonlinear Flux' <quadrature> IMA J. Num. Analysis (2000) 20 <numeric>

Chenal F., A. Millet 'Uniform Large Deviations to Parabolic SPDEs & Applications' SP&A 12/97

Cheng B., Svetlozar Rachev 'Mutivariate Stable Futures Prices' <stock returns> MF 4/95 Cheng H. 'Asset Market Equilibrium in Infinite Dimensional Complete Markets' <asset

pricing> J. Math. Econ 20 (1991) Cheng R., B. Evans, T. Iles 'Embedded Models in Non-linear Regression' J. Royal

Statistical Society 1992 Cheng S. 'On Feasiblility of Arbitrage-Based Option Pricing When Stochastic Bond Price

Processes are Involved'<interest rates> JET 1991

Cheng S., L.de Haan 'Penultimate Approximation for Hill's Estimator 9/99 <distribution>

Cheng W.-Y., Shuguang Zhang 'Analytics of Reset Options' J. Derivatives V8 #1 Fall 2000 <option-reset>

Cherian J., Robert Jarrow 'Options Markets, Self-Fulfilling Prophecies & Implied Volatilities' R. Deriv. Research 98 ,wp 10/94<volatility>

Cherian J., W. Weng 'An Empirical Analysis of Directional & Volatility Trading in Options Markets' J. Derivatives Winter 99

Cherif A. 'Evaluation d'Options sur Product de Taux' 1991 wp Caisse Autonomme de Fefinancement

Cherin A., R. Hanson 'Dividend Reinvestment Plans:Review of the Literature' Financial Markets,Instiutions & Instruments v4,#5 (95)

Chernov Mikhail, A. Ronald Gallant, Eric Ghysels, George Tauchen 'A New Class of Stochastic Volatility Models with Jumps:Theory & Estimation' 10/99 <volatility>

Cherny Alexander, Albert Shiryaev 'On Criteria for the Uniform Integrability of Brownian Stochastic Exponentials' <stochastic> 9/2000

Cherubini U. 'Fuzzy Measures & Asset Prices:Accounting for Information Ambiguity' App. Math. Finance 9/97

Cherubini U., M. Espositio 'Options in and on Interest Rate Futures Contracts:Results from Martingale Pricing Theory' Appl.Math.Finance <option-bond>3/95

Chesher A. 'A Mirror Image Invariance for M-Estimators' Econometrica 1/95 Chesher A. 'Hajek Inequalities,Measures of Leverage & Size of Heteroskedasticity

Robust Wald Tests' Econometrica 7/89 Chesher A. 'Testing for Neglected Heterogeneity' Econometrica 7-84 Chesher A., I. Jewitt 'Bias of a Heteroskedasticity Consistent Covariance Matrix

Estimator' Econometrica 9/87 Chesher A., R. Smith 'Likelihood Ratio Specification Tests' Econometrica 5/97 Chesher A., R. Spady 'Asymptotic Expansions of the Information Matrix Test Statistics'

Econometrica 5/91 Chesney Marc, Helyette Geman, Monique Jeanblanc-Picque, Marc Yor 'Some Combinations of

Asian, Parisian & Barrier Options' 1/99 <option-Asian> Chesney Marc, J. Cornwall, Monique Jeanblanc-Picque, G. Kentwell, Marc Yor 'Parisian

Pricing' <option=parisian><window> RISK 1/97 Chesney Marc, Monique Jeanblanc-Picque, Marc Yor 'Brownian Excursions & Parisian

Barrier Options' Adv. in App. Prob. 3/97 <option-parisian> Chesney Marc, R. Gibson 'State Space Symmetry & Two Factor Option Pricing Models'

<option-pricing> AFROR v8 95;Applied Stochastic Models & Data Analysis v1.1993 Chesney Marc, Robert Elliot 'Estimating the Volatility of an Exchange Rate' Applied

Stochastic Models & Data Analysis v 1. 93<volatility> Chesney Marc, Robert Elliott, Dilip Madan, H. Yang 'Diffusion Coefficient Estimation &

Asset Pricing when Risk Premia & Sensitivities Are Time Avarying'<Diffusion> MF 4/93

Chesney Marc, Robert Elliott, R. Gibson 'Analytical Solutions for Pricing of American Bond & Yield Options' <options-bond> MF 7/93

Cheuk T. 'Exotic Options' <book or publication of Tinbergen Institute> Cheuk T., Ton Vorst 'Average Interest Rate Caps' Comp. Econ 12/99 <option-average> Cheuk T., Ton Vorst 'Breaking Down Barriers' <swaptions> RISK 4/96 Cheuk T., Ton Vorst 'Complex Barrier Options'<options-barrier> J. Derivatives Fall 96 Cheuk T., Ton Vorst 'Currency Lookback Options & Observation Frequency:Binomial

Approach ' J.Inter. Money & Finance v16 #2 97 <options-lookback> Cheuk T., Ton Vorst 'Shout Floors' <options-lookback> 4/96 Cheung C., C. Kwan ,P. Yip 'Hedging Effectiveness of Options & Futures:Mea-Gini

Approach' JFM 90<hedging> Cheung C., C. Kwan 'Note on Simple Criteria for Optimal Porfolio Selection' JofF 3/88 Cheung R., J. Bencivenga, Frank Fabozzi 'Original Issue High-Yield Bonds:Hist. Return

& Default 1977-89' J. of Fixed Income 9/92 Cheung W., I. Nelken 'Costing the Converts' <convertible bonds><quadro tree> RISK 7/94

Cheung W., W. Lam 'Thai'd and Tested' <options-basket> RISK 7/96 Cheung Y., L. Ng 'Dynamics of S&P 500 Index & S&P 500 Futures Intraday Price

Volatilities' R. Futures Markets v9 #2 90 Cheung Y., L. Ng 'Stock Price Dynamics & Firm Size:Empirical Investigation' JofF

12/92 Chevalier J. 'Do LBO Supermarkets Charge More? Empirical Analysis of Effect of LBOs on

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Num.Method in Finance (ed.Rogers,Talay) <SDE> Chew H. 'Implicit-Weighted & Semi-Weighted Utility Theories, M-Estimators & Non-Demand

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Chew H., N. Nishimura 'Differentiability, Comparative Statistics & Non-Expected Utility Preferences' <utility> Tulane 10/89

Chew L. 'Backing Down' <mortgage securities> RISK 1/94 Chew L. 'Grand Mets Costly Caps' RISK 11/88 <caps> Chew L. 'Modeling the Institution'<Robert Merton,regulation> RISK 4/94 Chew L. 'Quanto Leap' RISK <options-product> Chew S., Larry Epstein 'Recursive Utility under Uncertainity' in Equilibrium Theory in

Infintie-Dimensional Spaces Springer 91 Chew S., Larry Epstein, U. Segal 'Mixture Symmetry & Quadratic Utility' Econometrica

1/91 Cheyette Oren 'Implied Prepayments' wp 95, J. Portf. Mang. Fall 96<mortgage> Cheyette Oren 'Markov Representation of the Heath-Jarrow-Morton Model'<term structure>

wp BARRA 8/96 Cheyette Oren 'OAS Analysis of CMOs' J. Port. Mang. Summer 94 <mortgage> <prepayment> Cheyette Oren 'Pricing Options on Multiple Assets' <options-min/max>Advances in

Futures & Options Research V.4 1990 Cheyette Oren 'Term Structure Dynamics & Mortgage Valuation' <term structure> J. of

Fixed Income 3/92 Cheyette Oren, S. Choi, E. Blanter 'New BARRA Fixed Rate Prepayment Model' <mortgage> Chiang R., G. Gay, R. Kolb 'Commodity Exchange Seat Prices' R. Futures Markets V6 #1

87 Chiang R., John Okunev 'Alternative Formulations on Pricing of Foreign Currency

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Chiarella Carl, Marc Craddock, Nadima El-Hassan 'The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology' 99<volatility>

Chiarella Carl, Nadima El-Hassan 'Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques' J. Finan. Engin. 6/97 <term structure>

Chiarella Carl, Nadima El-Hassan, A. Kucera 'Evaluation of American Option Prices in a Path Integral Framwork using Fourier-Hermite Series Expansions' <option-American> J. Econ. Dyn. & Control 23 (1999)

Chiarella Carl, Oh Kang Kwon 'A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility' 11/99 <term structure>

Chib S., E. Greenberg 'Markov Chain Monte Carlo Simulation Methods in Econometrics' <monte carlo>2/95

Chib Siddhartha, Federico Nardari, Neil Shephard 'Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models' 10/2000 <volatility>

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Childs P., S. Ott, T. Riddough 'Pricing of Multiclass Commercial Mortgage-Backed Securities' JF&QA 12/96

Chin D., P. Miller 'Fixed vs. Floating Exchange Rates:A Dynamic General Equilibrium Analysis' <interest rates> wp 1947/95 FRB Minn. wp report 189

Chin R., T. Manteuffel,J. Pillis 'ADI as a Preconditioning for Solving Convection-Diffusion Equations'6/84 SIAM Scientific & Stat. Comput.

Chin Y., A. Baddeley 'On Connected Component Markov Point Processes' Adv.App.Prob. v31 1999

Chirinka R. 'Business Fixed Investment Spending' JEL 12/93 Chirinko R. 'Econometric Models & Empirical Findings for Business Investment' in

Financial Inst.&Instr.v2#4 Chirinko R., H. Schaller 'Bubbles,Fundamentals & Investment A Multiple Equation

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12/87 Cho H., H. Lee 'Lattice Model for Pricing Geometric & Arithmetic Average Options' J.

Financ.Engineer. 9/97 <options-Average> Cho H., K. Lee 'An Extension of the Three-Jump Process Model for Contingent Claim

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<stochastics> SP&A 9/95 Choi C. 'Essays on the Effects of Speculation in a Futures Market upon Price

Stability' 98 Texas A&M PhD Choi D., R. Strong 'Pricing of When-Issued Common Stock:Note' JofF 9/83 Choi H., Avanidhar Subrahmanyam 'Using Intraday Data to Test for Effects of Index

Futures on Underlying Stock Markets' J.Futures Markets 5/94 Choi J., T. Hiraki, N. Takezawa 'Is Foreign Exchange Risk Priced in the Japanese Stock

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J.Fixed Income 3/96 Choi S. 'Improved Prepayment Modeling for OAS Analysis: Adding a Short-Term Component'

J.Fixed Income 12/94 Choi S., B. Smith, J. Boyd 'Inflation, Financial Markets & Capital Formation' comment

D. Labadie,S. Chatterjee St. Louis Review 5/96 Choi S., M. Schumacher 'GNMA II:30 Year Pass-Through MBS Prepayment Analysis' J. Fixed

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Choong L., G. McKenzie 'Pricing of Risky Coupon Bonds' Applied Math. Finance 12/99 <default,debt service>

Chopra N., C. Lee, Andrei Shleifer, R. Thaler 'Yes,Discounts on Closed-End Funds are a Sentiment Index' JofF 6/93

Chopra V., W. Ziemba 'Effects of Errors in Means,Variances & Covariances on Optimal Portfolio Choice'<portfolio> J. Portfolio Management Winter 92

Chordia T., Avanidhar Subrahmanyam 'Market Making,the Tick Size & Payment for Order Flow:Theory & Evidence' JofB 10/95

Chori V., L. Jones, A. Manuelli 'Inflation, Growth & Financial Intermediation'Comment G. Hansen,A. Stockman St. Louis Review 5/96

Chorida T., B. Swaminathan 'Trading Volume & Cross-Autocorrelations in Stock Returns' JofF 4/2000

Chou A., G. Georgiev 'A Uniform Approach to Static Replication' J. of Risk Fall 98 <risk>

Chou C-S, Paul Meyer 'Sur la Representation des Martingles comme Integrales Stochastiques dans les Processus Ponctuels ' in Lect Notes Math 465 Springer 75

Chou J., L. Piegl 'Data Reduction Using Cubic Rational B-splines' <numeric analysis> Computer Graphics 5/92

Chou P. 'Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio' <portfolio> 9/96

Chou T., R. McCullough, R. Piper 'Composites' SA <unlabeled> Choudhury Gagan, D. Lucantoni 'Numerical Computation of the Moments of a Probability

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Takeovers' JF&QA 3/94 Chowdhry B., V. Nanda 'Stabilization, Syndication & Pricing of IPOs' JF&QA 3/96 Chowdhry B., V. Nanda 'Strategic Role of Debt in Takeover Contests' JofF 6/93 Chowdhury Mustafa, J. Howe, J. Lin 'Relation between Aggregate Insider Transactions &

Stock Market Returns' JF&QA 9/93 Chowdhury Mustafa, Kenneth Kroner, Jahangir Sultan 'Volatility Spillover from Interest

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6/94<stock prices> Chriss Neil 'Translating Trees' <volatility><implied,smiles,American> RISK 7/96 Chriss Neil, Michael Ong 'Digital Defused' <options-digital> RISK 12/95

Chriss Neil, William Morokoff 'Market Risk of Variance Swaps' RISK 10/99 <swaps> Christ C. 'Assessing Applied Econometric Results<Monetary Policy>' <comm. D.Dickey,D.

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Quotes?' JofF 12/94 Christie W., P. Schultz 'Why do NASDAQ Market Makers Avoid Odd-Eight Quotes?' JofF

12/94 Christie W., R. Huang 'Following the Pied Piper:Do Individual Returns Herd around the

Market?' FAJ 7/95 Christie W., V. Nanda 'Free Cash Flow,Shreholder Value & Undistributed Profits Tax of

1936-7' JofF 12/94 Christofi A., K. Conforti 'Modeling Default-Free Bond Yield Curves' <Term Structure>

J.Fixed Income 3-93 Christopeit Nobert 'A Stochastic Control Model with Chance Constraints'<optimal-

control> J. Control & Opt. 78 Christopeit Nobert 'On the Approximation of Random Variables by Stochastic Integrals

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Christopeit Nobert, Marek Musiela 'On the Existence and Characterization of Arbitrage-Free Measures in Contingent Claim Valuation' bonn 214 5/92

Christopherson J., Wayne Ferson, D. Glassman 'Conditioning Manager Alphas on Economic Information:Another Look at the Persistence of Performance' RFS Spring 98

Chriswick C. 'Efficiency Wage Hypothesis : Apploying a General Model of Interaction Between Labor Quanity & Quality' 10/84 <employment>

Chriszt M. 'Are International Comparisons of Inflation & Employment Valid?' FRB Atlanta 12/93

Chrystal K., D. Thornton 'Macroeconomic Effects of Deficit Spending:Review' FRB SL 11/88 <budget>

Chrystal K., R. MacDonald 'Empirical Evidence on Recent Behavior & Usefulness of Simple-Sum & Weighted Measures of Money Stock'<comment C. Nelson> FRB Review S.L. 3/94

Chu C., M. Stinchcombe ,H. White 'Monitoring Structural Changes' Econometrica 9/96 Chu M. 'Inverse Eigenvalue Problems' SIAM Review 3/98 Chu M. 'Path-Dependent Multicurrecny Interest Rate Derivatives' 1/98 <term structure> Chu M. 'The Random Yield Curve & Interest Rate Options' 11/96 <term structure> Chu M., R. Fundertic, G. Golub 'A Rank-One Reducton Formula & its Applications to

Matrix Factorization' SIAM Review 12/95 Chu S. 'Laser Trapping of Neutral Particles' SA Feb. 92 Chu S., S. Freund 'Volatility Estimation for Stock Index Options:GARCH Approach' Q.

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Chua J. 'A Closed form Formula for Calculating Bond Duration'<duration> FAJ May 84 Chua J., R. Woodward 'J.M.Keynes Investment Performance' JofF 3/83 Chun Y., W. Thomson 'Bargaining with Uncertain Disagreement Points' Econometrica 7/90 Chung C., Arthur Goldberger 'Proportional Projections in Limited Dependent Variable

Models' Econometrica 3/84 Chung K., H. Jo 'Impact of Security Analysts Monitoring & Marketing Functions on the

Market Value of Firms' JF&QA 12/96 Chung S-L. 'American Option Valuation under Stochastic Interest Rates' R. Deriv.

Research V3 #3 99 <option-American> Chung Y. 'Transaction Data Test of Stock Index Futures Market Efficiency & Index

Arbitrage Profitability' JofF 12/91 Chuprunov A. 'On Convergence in Law of Maxima of Independent Identically Distributed

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Portfolio Management Spring 93 Churchland P., P. Churchland 'Could a Machine Think?' 1/90 SA Ciccone A., K. Matsuyama 'Efficiency & Equilibrium with Dynamic Increasing Aggregate

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Inter. J. of Theor. & Applied Finance 7/2000 Cipra Barry 'A New Proof Makes Light Work of Partial Latin Squares' Science 7/94

<alphabetic> Cipra Barry 'AAAS "94":Random Numbers,Art and Math' SIAM News 8/94 Cipra Barry 'Advances in Map Coloring:Complexity & Simplicity' SIAM News 12/96 Cipra Barry 'Applications of Optimization:Best of All Possible Worlds...' SIAM News

3/97 Cipra Barry 'Are Eigenvalues Overvalued? SIAM News 1/95 Cipra Barry 'Best of the 20th Centur:Editors Name Top 10 Algorithms' SIAM News 5/2000 Cipra Barry 'Breaking of a Mathematical Curse' <complexity><Vozniakowski> Science 1/91 Cipra Barry 'Centenary for a Cybernaut' <Norbert Wiener> SIAM 2/95 Cipra Barry 'Chaotic Walk on Wall Street' SIAM News May 92 Cipra Barry 'Coding Theorists Wring Linearity out of Nonlinear Codes' SIAM News 2/94 Cipra Barry 'Engineers Look to Kalman Filters for Guidance' SIAM News 8/93 Cipra Barry 'Feeling Flat? Good?' <differential flatness,control theory> SIAM News

8/95 Cipra Barry 'Fermat Finis? Not Yet' SIAM News 3/94 Cipra Barry 'Fermat Prover Points to Next Challenges' Science 3/96 Cipra Barry 'Fermats Last Theorem Finally Yields' Science 7/93 <number theory> Cipra Barry 'Fields Medalist Takes Applications to Heart' <Pierre-Louis Lions> SIAM

News 11/94 Cipra Barry 'Fractal Focus on the Mandelbrot Set' SIAM News 7/91 <fractals> Cipra Barry 'From the Margin:Fermat Finis' SIAM News 10/93 Cipra Barry 'Further Fermat Ferment' SIAM News 12/94 Cipra Barry 'Getting Control Theory into the Design Loop' SIAM News 7/95 Cipra Barry 'Go with the Flow' <fiber processes> SIAM News 10/94 Cipra Barry 'If You are Stumpted,Try Something Harder' Science 3/5/93 <Compbinaotoria,

{Graph>* Cipra Barry 'Knotty Problems and Real World Solutions'<graph> Science Jan 24,92 Cipra Barry 'Math Attendees Find Theres Life After Fermats Proof' Science 3/94 <number

theory> Cipra Barry 'Mathematical Modelers Look to an Uncertain Future' SIAM News 12/98 Cipra Barry 'Mathematicans Gather to Play the Number Games' Science 2/93 <math> Cipra Barry 'Mathematicans get an Online Fingerprint File'Science

7/22/94<sequences><combinatorics> Cipra Barry 'Multivariate Integration:It Ain't So Tough (on verage)' SIAM News 3/91

<numerical>

Cipra Barry 'Music of the Spheres' Science <bin packing> Cipra Barry 'Mutant Math'<control theory,immune system> SIAM News 10/94 Cipra Barry 'New Methods Astir for Turbulent Diffusion' SIAM News 3/95 Cipra Barry 'New Movement Afoot in Control Theory' SIAM News 7/93 Cipra Barry 'New Proof Makes Light Work of Partial Latin Squares'<alpha> Science

7/1/94 Cipra Barry 'New Wave in Applied Math' <wavletes> Science 8/90 Cipra Barry 'Nonlinear Codes Straighted Up--and Get to Work' Science Nov 93 <alpha> Cipra Barry 'Oh, What a Tangled Web We've Woven...' <internet> SIAM Review 3/2000 Cipra Barry 'On a Clear Day, You can Compute Forever...' <weather> SIAM News 11/94 Cipra Barry 'Pereolation Primer' SIAM News 7/96 Cipra Barry 'Quest for True Randomness Finally Appears Successful' NYT 4/88 <puzzles> Cipra Barry 'Researchers Look to Statistics in Quest to Quantify Uncertainty' SIAM

News Jan/FEb 2000 Cipra Barry 'Rocking the Boat with a New Theory of Turbulence' SIAM News 9/96 Cipra Barry 'Shocking Images from RPI' <liptotripers> SIAM News 7/94 Cipra Barry 'SIAM Annual Meeting:Traveling Salesman,Solitons' SIAM News 10/93 Cipra Barry 'Speedier Way to Decompose Polygons' Science 7/91 <graph> Cipra Barry 'Stamping Out Fraud on the Information Superhighway' {cryptograph} SIAM

News 10/95 Cipra Barry 'Superpiple:An Experimental Gauge for Computational Fluid Dynamics' SIAM

News 4/96 Cipra Barry 'The Ising Model is NP-Complete' SIAM News July/Aug 2000 Cipra Barry 'The Magic Words Are Squeamish Ossifrage'<RSA-129,Cryptrogr> SIAM News

7/94 Cipra Barry 'The Soul of Discretion' <cellular automata to solve PDEs> SIAM News

12/94 Cipra Barry 'Theoretical Computer Scientists Develop Transparent Proof Technique'

<math> Cipra Barry 'Ubiquitous Reed-Solomon Codes' SIAM News 1/93 Cipra Barry 'Using Wavelets for a 3-D Geometric Squeeze' SIAM News 9/2000 Cipra Barry 'Wavelet Applications Come to the Fore' SIAM News 11/93 Cipra Barry 'Wavelet Theory Sets Out the Welcome Mat'<fourier> SIAM News Sept.90 Cipra Barry 'What Goes Around Comes Around' Science <topology> Cipra T., P. Tlusty 'Estimation in Multiple Autoregressive Moving Average Models using

Periodicity' J. Time Series Analysis (87) #3 Cita J., D. Lien 'Constructing Accurate Cash Settlement Indices:Index Specification'

JFM 6/92 Cita J., D. Lien 'Note on Constructing Spot Price Indices to Approximate Futures

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Returns within a Non-Gaussian One-Factor Model' 6/2000 <volatility> Claassen R., L. Girifalco 'Materials for Energy Utilitization' SA <unlabeled> Claessens S. 'Corporate Governance & Equity Prices:Evidence from the Czech & Slovak

Republics' JofF 9/97 Claessens S., G. Pennacchi 'Estimating the Likelihood of Mexican Default from the

Market Prices of Brady Bonds' JF&QA 3/96 Clapp J., J. Harding, M. LaCour-Little 'Expected Mobility:Part of the Prepayment

Puzzle' J. Fixed Income 6/2000 Clare A., M. Ioannides, F. Skinner 'Hedging Corporate Bonds with Stock Index

Futures:Word of Caution' J. Fixed Income 9/2000 Clare A., M. Oozeer, R. Priestley, S. Thomas 'Modeling the Risk Premium on Eurodollar

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Clarida R., B. Friedman 'Behavior of U.S. Short-Term Interest Rates Since October 79' JofF 7/84

Clark C. 'Greatest of a Finite Set of Random Variables' Operations Research 9 <distributions> (1961)

Clark C., P. Foster, W. Ghani 'Differential Reaction to Bond Downgrades for Small vrs. Large Firms:Evidence from Analysts Forecast Revisions' J. Fixed Income 12/97

Clark D., C. Riis 'Competition over More than One Prize' AER 3/98 Clark D., J. Thomas 'Probabilistic Voting, Campaign Contributions & Efficiency' AER

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<stochastics> Annals of Math. Stat. 1970 v41,#4,Ann. Math. Stat 70 Clark J., M. Fleming 'Advanced Materials & the Economy' SA <unlabeled> Clark K., E. Ofek 'Mergers as a Means of Restructuring Distressed Firms:Empirical

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in January' JofF 12/92 Clark S. 'Arbitrage Approximation Theory' J. Math. Fin 4/2000 <arbitrage> Clark S. 'Complementary Approach to the Stong & Weak Axioms of Revealed Preferences'

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Volatility' App. Math. Fin 5, 9/99 <option-numeric> Clarke Nigel, Kevin Parrott 'The Multigrid Solution of Two-Factor American Put

Options' Oxford 96/16 <options-American> Clarke Roger 'Stochastic Dominance Properties of Option Strategies' <distributions>

<portfolio> AF&OM 1987 Clarke Roger 'Stochastic-Dominance Tests of Portfolio Insurance Strategies'

<distributions> <portfolio> AF&OR v5 1991 Clarke Roger, S. Krase, M. Statman 'Tracking Errors, Regret & Tactical Asset

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Measurement of Esimation Risk' JF&QA 3/96 Clarkson P., Rex Thompson 'Empirical Estimates of Beta When Investors Face Estimation

Risk' JofF 6/90 Clauretie T. 'Interest Rates,Business Demand for Funds & Residential Mortgage

Market:Sectoral Econometric Study' JofF 12/73 Clayman M. 'Excellence Revisted' <companies investment record> FAJ 5/94 Clayman M. 'One-Time Charges: Never having to Say Your Sorry?' FAJ 10/95 Clayman M., R. Schwartz 'Falling in Love Again--Analysts' Estimates & Reality' FAJ

9/94 Cleary S. 'The Relationship between Firm Investment & Financial Status' JofF 4/99 Clement E., Christian Gourieroux, Alain Monfort ' Prediction of Contingent Pricing

Measures' CREST U. Paris IX 93 <gamma distrib.> Clements M., D. Hendry 'Forecasting Non-Stationary Economic Time Series' MIP Press 99 Cleveland William 'ATS Method... Non Gaussian Data' 9/93 JASA v88 #421 3-93 Cleveland William 'Robust Locally Weighted Regression & Smoothing Scatterplots'

<statistics> JASA Dec.79 Cleveland William, George Tiao 'Decomposition of Seasonal Time Series' Census X-11

JASA 1976

Cleveland William, S. Devlin 'Locally Weighted Regression:An Approach to Regression Analysis by Local Fitting'<statistics> JASA 9/88

Clewlow Les 'Finite Difference Techniques for One & Two Dimension Option Valuation Problems' FORC U.Warwick 1990

Clewlow Les, Andrew Carverhill 'On the Simulation of Contingent Claims'<options-COD> J.Derivatives Winter 94

Clewlow Les, Andrew Carverhill 'Quicker on the Curves' <Monte Carolo><computers> RISK 5/94

Clewlow Les, Chris Strickland 'Monte Carlo Pricing of American Options in the Gaussian Heath, Jarrow,Morton Model' U. Warwick 96 <think is 'Pricing... Gaussian I.R.' paper>

Clewlow Les, Chris Strickland 'Monte Carlo Valuation of Interest Rate Derivatives under Stochastic Volatility' J. Fixed Income 12/97 <term structure>

Clewlow Les, Chris Strickland 'Note on Parameter Estimation in Two Factor Longstaff & Schwartz Interest Rate Model'<Term Structure> J. Fixed Income 3/94

Clewlow Les, Chris Strickland 'Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models' 6/98 <interest rates>

Clewlow Les, Chris Strickland 'Valuing Energy Options in a One Factor Model Fitted to Forward Prices' <options-energy> 3/99

Clewlow Les, K. Pang, Chris Strickland 'Efficient Pricing of Caps & Swaptions in a Multi Factor Gaussian Interest Rate Model' 12/96 <caps>

Clewlow Les, K. Pang, Chris Strickland 'Numerical Procedures for Pricing Interest Rates Exotics Using Markovian Models of the Short Rate' FORC 97

Clewlow Les, R. Grimwood 'A General Computational Structure for Contingent Claim Pricing & Hedging in the Presence of Volatility Smiles' 5/97 <volatility>

Clewlow Les, Stewart Hodges, K. Pang, Chris Strickland 'Computational Aspects of Term Structure Models & Pricing Interest Rate Derivatives'<term structure> in "Option Embedded Bonds" Nelken

Clewlow Les, Stewart Hodges, Nick Webber 'Two Factor Models in Option Pricing'<Term Structure> (ed) S.Hodges Options:Recent Advances V.2 1992

Cline D. 'Beyond Truth & Beauty:Fourth Family of Particles' SA 8/88 Cline W. 'Impact of Global Warming on Agriculture:Comment' R. Mendelsohn ,W. Nordhaus

'Reply' AER 12/96 Clinebell J.,D. Kahl 'Time Series Estimation of the Bond Default Risk Premium' Q.

Review of Econ & Finance 96 Clinton K. 'Interest Rate Expectations & Demand for Money in Canada:Comment'<reply

Smith,Winder> JofF 3/73 Clotfelder C., C. Lieberman 'On the Distributional Impact of Federal Interest Rate

Restrictions' JofF 3/78 Clyde P., P. Schultz, M. Zaman 'Trading Costs & Exchange Delisting:Case of Firms that

Voluntarily Move from American Stock Exchange to the Nasdaq' JofF 12/97 Cnen X., X. Shen 'Sieve Extremum Estimates for Weakly Dependent Data' Econometrica

3/98 Coase R. 'Institutional Structure of Production' AER 9/92 Coase R. 'Problem of Social Costs' <alpha> Coastes D., P. Diggle 'Tests for Comparing Two Estimated Spectral Densities' J. Time

Series Analysis #1 (86) Coate S. 'Altruism,Samaritan Dilemma & Government Transfer Policy' AER 3/95 Coate S., G.Loury 'Will Affirmative-Action Policies Eliminate Negative Stereotypes?'

AER 12/93 Coats W. 'Regulation D & Vault Cash Game' JofF 6/73 Coats W. 'Weekend Eurodollar Game' JofF 6/81 Cochrane John 'A Cross-Sectional Test of an Investment Based Asset Pricing Model'

6/95 Cochrane John 'Critique of the Application of Unit Root Tests'<cointegration> (1991)

J.Economic Dynamics & Control Cochrane John 'Explaining the Variance of Price Dividend Rations' 89<stock price>

Cochrane John 'Portfolio Advice for a Multifactor World' <portfolio> 6/99 Cochrane John 'Production Based Asset Pricing & the Link Between Stock Returns &

Economic Fluctuations' JofF 3/91 Cochrane John 'Volatiliity Tests & Efficient Market' J. Mont Econ 91 <volt> Cochrane John, Jesus Saa-Requejo 'Beyond Arbitrage:"Good-Deal" Asset Price Bounds in

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Markov Process & Applications to Reliability'et Quasi Cody M. 'A Wavelet Analyzer'<fourier> Dr. Dobbs 4/93 Cody M. 'Fast Wavelet Transform' <fourier> Dr. Dobbs Journal 4/92 Cody M. 'Wavelet Packet Transform' Dr.Dobbs<fourier> 4/94 Coggins T., F. Fabozzi, S. Rahman 'Investment Performance of U.S. Equity Pension Fund

Managers' JofF 7/93 Cogley T. 'Adapting to Instability in Money Demand:Forecasting Money Growth with a

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SF #3 1997 Cogley T., J. Nason 'Output Dynamics in Real-Business Cycle Models' AER 6/95 Cohen A., R. Masson 'Wavelet Adaptive Method for Second Order Elliptic

Problems:Boundary Conditions & Domain Decomposition' Numerische Mathematik 2000 <wavelet>

Cohen D. 'Low Investment & Large LDC Debt in 1980s' AER 6/93 Cohen G. 'Review of G. Yagos--Junk Bonds:How High Yield Securities Restructed America'

FRB Atlanta 7/93 Cohen H. 'Beyond Duration:Measuring Interest Rate Exposure' <duration> Economic

Review FRB Atlanta 3/93 Cohen H. 'Data Aggregation & the Problem of Measuring a Banks Interest Rate Exposure'

w.p. FRB Atlanta 8/94 Cohen H. 'Evaluating Embedded Options' FRB Atlanta 12/91 <option-pricing> Cohen H. 'Isolating the Wild Card Option' MF 4/95 Cohen H. 'Wild Card Option in T-Bond Futures is Relatively Worthless' <bonds> FRB

Atlanta w.p. 11/91 Cohen H., D. McBeth 'The Effect of Tick Size on Treasury Auctions' w.p. FRB Atlan.

9/94<alphabetic> Cohen H., David Heath 'New Method of Testing Pricing Models as Applied to Forward

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Atlanta wp 10/93 Cohen I. 'Newtons Discovery of Gravity' SA <physics> Cohen K., F. Hammer 'Linear Programming Models for Dynamic Balance Sheet Management'

MMinIV Cohen K., J. Pogue 'Empirical Evaluation of Alternative Portfolio-Selection Models'

in MDIM ,in RII Cohen K., S. Maier, R. Schwart, D. Whitcomb 'Returns Generations Process, Returs

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J. Fixed Income 3/97 Cohn R., D. Lessard 'Effect of Inflation on Stock Prices:International Evidence' JofF

5/81 Cohn R., J. Pringle 'Imperfections in International Financial Markets:Implications for

Risk premia & Cost of Capital to Firms' JofF 3/73 Cohne K., S. Maier, R. Schwartz, D. Whitcomp 'Limit Order,Market Structure & Returns

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Colander D. 'Stories We Tell:Reconciliation of AS/AD Analysis' J. Econ. Perspect. Summer 95

Cole C., W. Reichenstein 'Forecasting Interest Rates with Eurodollar Futures Rates' J.Futures Markets 2/94

Cole H. 'Macroeconomic Effects of World Trade in Financial Assets' Quarterly Review FRB Minn. Summer 93

Cole H., G. Mailath,A. Postlewaite 'Incorporating Concern for Relative Wealth into Economic Models' Quarterly Review FRB MINN Summer 95

Cole H., N. Kochertakota 'Zero Nominal Interest Rates:Why They're Good & How to Get Them' Quart. R FRB Minn. Spring 98

Cole K., J. Helwege, D. Laster 'Stock market Valuation Indicators:Is this Time Different?' FAJ 5/96

Coleman T., Andrew Fisher, R. Ibbotson 'Estimating Term Structure of Interest Rates from Data that Included Prices of Coupon Bonds'<Term Structure> J. of Fixed Income 9/92

Coleman T., Andrew Fisher, R. Ibbotson 'Note on Interest Rate Volatility' J.Fixed Income 3-93

Coleman T., Y. Kim, Y. Li, A. Verma 'Dynamic Hedging in a Volatile Market' 5/99 <volatility>

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Coleman W. 'Equilbrium in a Production Economy with an Income Tax' Econometrica 7/91 Coleman W. 'Money & Output:A Test of Reverse Causation' AER 3/96 Coles J., J. Suay, D. Woodbury 'Fund Advisor Compensation in Closed-End Funds' JofF

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Tender Offers & Open-Market Share Repurchases' JofF 9/91 Compte O. 'Communications in Repeated Games with Imperfect Private Monitoring'

Econometrica 3/98 Compte R., R. Smith 'Changes in the Cost of Intermediation:Case of Savings & Loans'

JofF 9/90 Compton W., N. Gjostein 'Materials for Aerospace' SA <unlabeled> Comte F., Eric Renault 'Long Memory in Continuous-Time Stochastic Volatility Models'

MF 10/98 <volatility><smile> Conely T., Lars Harsen, Erzo Luttmer, Jose Sceinkman 'Short-Term Interest Rates as

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Conine T. 'Corporate Debt & Corporate Taxes:An Extension' JofF 9/80 Conine T., M. Tamarkin 'On Diversification Given Asymmetry in Returns' JofF 12/81,

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May/June 95 Connor G., B. Dillon 'Organized Exchanges in Small Economies:Case of Irish Futures

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9/90 Conroy R., Y. Fukuda, R. Harris 'Securities Houses & Earnings Forecasts in Japan:What

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1/98 <transaction costs>

Constantinides George 'Transaction Costs and the Implied Volatility Smile' <volatility> 12/96

Constantinides George, Darrell Duffie 'Asset Pricing with Heterogeneous Consumers' <asset pricing> JPE (96) v104 #2

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Constantinides George, Jonathan Ingersoll 'Optimal Bond Trading with Personal Taxes' TVI

Constantinides George, Thaleia Zariphopoulou 'Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs & Multiple Securities' MF 7/01 ,7/99 <term structure>

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Cont Rama 'Beyond Implied Volatility'<volatility> 10/98 Cont Rama 'Extracting Information from Option Prices:Beyond Implied Volatility' 4/98

<volatility> Cont Rama 'Modeling Term Structure Dynamics:an Infinite Dimensional Approach' 1/99

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Conze Antoine, M. Viswanathan 'Path Dependent Options:Case of Looback Options' JofF 12/91

Cook D., J. Easterwood 'Poison Put Bonds:An Analysis of Their Economic Role' JofF 12/94

Cook D., L. Spellman 'Firm & Guarantor Risk,Risk Contagion & the Interfirm Spread among Insured Deposits' JF&QA 6/96

Cook P., C. Clotfelter 'Peculiar Scale Economies of Lotto' AER 6/93 Cook T., P. Hendershott 'Impact of Taxes,Risk & Relative Security Supplies on Interest

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RFS Fall 99 Cooper R. 'Efficient Capital Markets & the Quantity Theory of Money' JofF 6/74 Cooper R. 'Risk Premia in Futures & Forward Markets'<futures> JFM 6/93 Cooper R., D. DeJong, R. Forsythe, T. Ross 'Forward Induction Battle of the Sexes

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Cooper R., J. Haltiwanger 'Aggregate Implications of Machine Replacement:Theory & Evidence' AER 6/93

Cooper R., J. Shulman 'Year-End Effect in Junk Bond Prices' FAJ 9/94 Cooper T. 'Signal Facilitation:Policy Reponse to Aysmmetric Information' JB 7/92 Cooperman E., W. Lee, G. Wolfe '1985 Ohio Thrift Crisis, the FSLICs Solvency & the

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4/92 Copeland Thomas, Daniel Friedman 'Partial Revelation of Information in Expirimental

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v60 #1 1-93 Corcoran E. '<Data> Storage Space' <Santa Fe Institue> SA Oct 92 Corcoran E. 'Diminishing Dimensions' SA 11/90 Corcoran E. 'Edge of Chaos' <Santa Fe Institue> SA Oct 92 Corcoran E. 'Kicking Chaos Out of Lasers' SA 11/92 Corcoran E. 'Ordering Chaos' SA 8/91 Corcoran E. 'Picture Perfect'<TV,video,HDTV> SA Feb. 92 Corcoran E. 'Racing Light <computer networks> SA 12/92 Corcoran E. 'Rethinking Research:A. Penzias' SA 12/91 Corcoran P. 'Double-B Private Placement Market' J.Fixed Income 6/94 Cordes J., S. Sheffrin 'Estimating Tax Advantage of Corporate Debt' JofF 3/83 Coreaoran E. 'Calculating Reality' <supercomputers> SA 1/91 Corey J. 'Wavelets Are Causing Ripples Everywhere' Business Week 2/3/92 Corhay A., G. Hawawini, P. Michel 'Seasonality in the Risk-Return Relationship: Some

International Evidence' JofF 3/87 Cornell Bradford 'Adverse Selection,Squeezes, & Bid-Ask Spread on Treasury Securities'

J. Fixed Income 6/93 Cornell Bradford 'Monetary Policy, Inflation Forecasting & the Term Structure of

Interest Rates' JofF 3/78 Cornell Bradford 'Note on Taxes & Pricing of Treasury Bill Futures Contracts' JofF

6/81 Cornell Bradford 'Taxes & the Pricing of Treasury Bill Futures Contracts:Note' JofF

12/81 Cornell Bradford 'The Consumption-Based Asset Pricing Model' JFE 81 Cornell Bradford 'The Term Structure, the CAPM & Market Risk Premium:An Interesting

Puzzle' J. Fixed Income 12/98 Cornell Bradford 'Weekly Pattern in Stock Returns:Cash Versus Futurs' JofF 6/85 Cornell Bradford, E. Sirri 'Reaction of Investors & Stock Prices to Insider Trading'

JofF 7/92 Cornell Bradford, K. Green 'Investment Performance of Low Grade Bond Funds' JofF 3/91 Cornell Bradford, Kenneth French 'Pricing of Stock Index Futures'JFM 83 <futures>

Cornell Bradford, Kenneth French 'Taxes & Pricing of Stock Index Futures' JofF 6/83 Cornell Bradford, Marc Reinganum 'Forward & Futures Prices:Evidence from the Foreign

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Prospects of Firms that Issue Equity? Evidence from Voluntary versus Involuntary Equity Issuances by Banks'JofF 12/98

Cornett M., H. Tehranain 'Examination of the Impact of the Garn-St. Germain Depoository Institutions Act of 1982 on Commerical Banks & Saving & Loans' JofF 3/90

Cornett M., N. Travlos 'Information Effects Associated with Debt-for-Equit & Equity for Debt Exchange Offers' JofF 6/89

Cornett M., T. Schwrtz,A. Szakmary 'Seasonality & Intraday Return Patterns in the Foreign Currrency Futures Market' 6/92 <seasonality>

Corns A., A. Schotter 'Can Affirative Action Be Cost Effective? An Experimental Examination of Price-Preference Auctions' AER 3/99

Cornwall J., J. Price 'The Wise, for Cure, on Exercise Depend' RISK Oct 89 <options-numeric><american>

Cornwell J., G. Kentwell 'Quasi-Analytic Approach to the Occupation Time Barrier' Banker Trust Austrialia 95

Cornwell J., G. Kentwell, S. McDonald 'Computational & Discrete Time Results of the Occupational Time Barrier Options' Banker Trust Austrialia 95

Corradi C., C. Scarani 'Improving the Computational Efficiency of the Bayesian Decompostion of a Time Series:Comment' J.Time Series Analysis #2 (87)

Corrado C. 'General Purpose, Semi-Parametric Option Pricing Formulas' <option-pricing><skew,kurtosis,Lambda distribution> 5/99

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Corrado C., J. Mattey 'Capacity Utilization' J. Econ Perspec Winter 97 Corrado C., S. Ferris 'Journal Influcence on the Design of Finance Doctoral Education'

JofF 12/97 Corrado C., T. Miller 'Efficient Option-Implied Volatility Estimators'<volatility>

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by S&P Index Option Prices' J.of Derivatives Summer 97 <volatility> Corrado C., T. Su 'Implied Volatility Skews & Stock Return Skewness & Kurtosis Implied

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AER 5/94 Cosslett S. 'Efficiency Bounds for Distribution-free Estimators of the Binary Choice &

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Costantini C., B. Pacchiarotti, F. Sartoretto 'Numerical Approximation for Functionals of Reflecting Diffusion Processes' <SDE,Monte Carlo> SIAM J. App. Math 2/98

Costrell R. 'A Simple Model of Educational Standards' AER 9/94 Cotner J. 'Index Option Pricing: Do Investors Pay for Skewness'<distribution> JFM

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Integral Eq> Cotter K. 'Commuication Equilibria with Large State Spaces' NU 10/89 Cotterman R. 'A Note on the Consistency of the GLS Estimator in Triangular Structural

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Review FRB S.L. 7/96 Coulibaly I., C. Lecot 'Simulation of Diffusion Using Quasi-Random Walk Methods' 8/98

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<interest rate> Courtadon George 'Pricing Options on Default Free Bonds'<Term Structure> JFQA Mar 82 Courtadon George 'Valuation of Options & Corp. Liabilites with Interest Rate

Uncertainity' PhD N.U. 1980 Courtault J-M., Yuri Kabanov, B. Bru, P. Crepel, I. Lebon, A. Le Marcharnd 'Louis

Bachelier-On the Centenary of Theorie de la Speculation' MF 7/2000 Courteau L. 'Under-Diversification & Retention Commitments in IPOs' JF&QA 12/95 Courtney M. 'A Cublic Spline Extrema Algorithm'<numerics> Dr.Dobbs 4/96 Coval J., T. Shumway 'Expected Option Returns' U. Michigan 10/99 <option-

pricing><Fama-McBeth> Coval J., Tobias Moskowitz 'Home Bias at Home: Local Equity Preference in Domestic

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Inform Theory 84 Cover T. 'Universal Portfolios' MF Jan 91 Cowan A., Nayar Singh "Stock Returns before & after Calls of Convertible Bonds" JF&QA

Dec 90 Coward M., L. Thomas 'When Average Can be Good' RISK Jul 88 <options-average>

Cowell D., Robert Elliott, P. Ekkehard Kopp 'Martingale Reperesention & Hedging Policies'SP&A 91 <hedging>

Cowell F. 'Cheating the Government:Economics of Evasion' (a review of) FRB Atlanta 3/92

Cowell F., M. Vicotria-Feser 'Robustness Properties of Inequality Measures' Econometrica 1/96

Cowell P., K. Gunterman, C. Sirmans 'Discount Points & Housing Prices:Comment' JofF 9/79

Cowrvcisier T., E. Robson 'Quasar 3C 273' SA 6/91 Cox D. 'Introduction to Fermats Last Theorem'<number theory> Amer. Math. Month.1/94 Cox D., D. Peterson 'Stock Returns following Large One-Day Declines:Evidence on Short-

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Economic Dynamics & Control 1992 Cox John, C. Huang 'Optimal Consumption & Portfolio Policies when Asset Prices Follow

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JME 20 (1991) Cox John, Jonathan Ingersoll, Steven Ross 'Duration & Measurement of Basis Risk'

<bonds> JB Sept 79 Cox John, Jonathan Ingersoll, Steven Ross 'Intertemporal General Equilibrium Model for

Asset Prices' Econometrica 3/85 Cox John, Jonathan Ingersoll, Steven Ross 'Reexamination of Traditional Hypothese

About Term Structure of Interest Rates' JofF 8/91 Cox John, Jonathan Ingersoll, Steven Ross 'Relation Between Forward Prices & Futures

Prices' IAFO&FOM Cox John, Jonathan Ingersoll, Steven Ross 'Theory of the Term Structure of Interest

Rates'Econometrica 3/85 also in TVI Cox John, Steven Ross 'Valuation of Options for Alternative Stochastic Processes'

<CEV> IAFO&FOM Cox John, Steven Ross, Mark Rubinstein 'Option Pricing:Simplified Approach'

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Dembo R., I. Nelken 'Share the Load' <computer science><algorithms for finance> RISK April 91

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Dempster Michael, A. Eswaran, D. Richards 'Wavelet based PDE Valuation of Derivatives' <presentation 3/16/01> <option-numeric>

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Dempster Michael, D. Richards 'Pricing Exotic American Options Fitting the Volatility Smile' 3/99 <option-American>

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Derman Emmanuel, Deniz Ergener, Iraj Kani 'Static Options Replication'<hedging> wp 5/94 and overlays;J. Derivatives Summer 95

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Deshmukh S., S. Chikte 'Optimal Delays in Decision & Control' IEEE Trans on Automatic Control 74 <optimal control>

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Detemple Jerome, S. Murthy 'Intertemporal Asset Pricing with Heterogenous Beliefs' JET 94

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11/98 Dewdney Alexander '2-D Truing Machine' SA 9/89 Dewdney Alexander 'After MAD:Computer Game of Nuclear Strategy Ends in Prisoners

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Solution' SA<puzzles> Dewdney Alexander 'Ancient Rope & Pully Computer Unearthed in Apraplul' <April Fools>

SA 4/88 Dewdney Alexander 'Beauty & Produndity Mandelbrot...Julia' SA 11/87 Dewdney Alexander 'Biomophs on Trucket Tiles' SA 7/89 Dewdney Alexander 'Blind Watchmaker Surveys Long of Biomorphs. SA 2/88 Dewdney Alexander 'Braitenbery Memoirs:Vehicles for Probing Dark Plain of Lights' SA

<no date> Dewdney Alexander 'Building Computers in One Dimensional Shreds of Light ...' Amer Sci

5/85 <computer science> Dewdney Alexander 'Cellular Universe of Debris,Droplets, Defects & Demons' <Banach-

Taraksi> SA 8/89 Dewdney Alexander 'Compendium of Math Abuse' SA 11/90 Dewdney Alexander 'Computer Microscope Zooms in for Look at Most Complex Objects in

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Dewdney Alexander 'Games of Life Acquires Successors in 3-D' SA<puzzles> Dewdney Alexander 'Hodgepodge Machines Makes Waves' SA 8/88 Dewdney Alexander 'Home Computer Laboratory in Which Balls Becom Gaes, Liquids &

Critical Mass' SA <partical physics> Dewdney Alexander 'How a Pair of Dull Witted Programs...Geniuse or IQ Tests'

SA<puzzles> Dewdney Alexander 'How to Pan for Primes in Numerical Gravel' SA 7/88 Dewdney Alexander 'How to Ressuret a Cat from it Grin' SA 9/90 Dewdney Alexander 'Imaginaiton Meets Geometry in Crystalline Realms of Latticeworks'

SA 6/88 Dewdney Alexander 'Insectoids Invade a Field of Robots' SA 7/91 Dewdney Alexander 'Invisible Professor Holds Chalk-talk on Display Monitor' SA 5/88 Dewdney Alexander 'Journey Along Golygon City' <graph> SA 7/90 Dewdney Alexander 'King (chess Program) is Dead, Long Live the King (Chess Machine)'

SA<puzzles> Dewdney Alexander 'Leaping into Lyapunov Space' SA 9/91 Dewdney Alexander 'Leaping into Lyapunov Space'<chaos> SA 9/91 Dewdney Alexander 'Lunar Infants, Lotteries & Methories Expose Danger of Math Abuse'

SA 3/90 Dewdney Alexander 'Matter of Fabrication Provides Matter for Thought'<Banach=Tarski>

SA 4/89 Dewdney Alexander 'Menu of Mathematical Morsels, Topology and Puzzle' SA 3/91 Dewdney Alexander 'MICE Nibbles in Way to 1st Core War' SA <unlabeled> Dewdney Alexander 'Microgolf Game...' SA 11/89 Dewdney Alexander 'Of Worms,Virsus & Core War' SA 5/89 Dewdney Alexander 'Of Fractal Mountains' SA <fractals> Dewdney Alexander 'Old & New 3D Mazes' SA 9/88 Dewdney Alexander 'On Making & Breaking Codes II' <cryptography> SA 11/88 Dewdney Alexander 'Pandox Box of Mind, Machine, Metaphysics' SA 12/89 Dewdney Alexander 'People Puzzels' SA <no date> Dewdney Alexander 'Program for Rotating Hypercubes Induces 4-D Dementia' SA <no date> Dewdney Alexander 'Program Mice Nibbles Way to Core War Tournament' SA <puzzles> Dewdney Alexander 'Random Walks Lead to Fractal Crowds' SA 12/88 Dewdney Alexander 'Simple Effects Illustrate Art of Converting Algorithms into

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Math.Finan. Dewynne Jeff, Paul Wilmott 1992 'Average Strike Options-Euro & Amer' tobe J.Fin.Engin

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distribution> JFQ&A 6/92 Duan Jin-Chuan, Genevieve Gauthier ,Jean-Guy Simonato 'An Analytical Approximation for

the GARCH Option Pricing Model' J. Comp Finance Summer 99 ,10/97 <option-pricing>

Duan Jin-Chuan, Genevieve Gauthier, Jean-Guy Simonato 'Fast Valuation of Derivative Contracts by Simulation' 5/99 <option-numeric>

Duan Jin-Chuan, Ivilina Popova, Peter Ritchken 'Option Pricing under Regime Switching'10/99 <option-pricing>

Duan Jin-Chuan, J. Wei 'Pricing Foreign Currency & Cross-Currency Options under GARCH' J. Deriv. Fall 99 <foreign exchange>

Duan Jin-Chuan, Jean-Guy Simonato 'American Option Pricing under GARCH by a Markov Chain Approximation' JED&C 2001 <option-american>

Duan Jin-Chuan, Jean-Guy Simonato 'Empirical Martingale Simulation for Asset Prices' <martingale> <EMS> CIRANO wp 5/97

Duan Jin-Chuan, Jean-Guy Simonato 'Estimating & Testing Exponential-Affine Term Structure Models by Kalman Filter'<term structure> 10/95

Duan Jin-Chuan, Stanley Pliska 'Option Valuation with Co-Integrated Asset Prices' 9/2000 <option-pricing>

Duanmu Zhenyu 'First Passage Time Density Approach to Pricing Barrier Options & Monte Carlo Simulation of the HJM Interest Rate Model' Cornell 94 PhD thesis

Duarte Antonio 'Fast Computation of Efficient Portfolios' J.of Risk V.1 #4 99 Duarte Antonio, B. Mendes 'Robust Hedging Using Futures Contracts with an Application

to Emerging Markets' J.of Derivatives Fall 98 Dubey P., A. Neyman 'Payoffs in NonAtomic Economies:Axiomatic Approach' Econometrica

9/84 Dubins Lester, D. Freedman 'A Sharper Form of the Borel-Cantelli Lemma & the Strong

Law' Annals of Math Stat <stochastics> Dubins Lester, Larry Shepp, Albert Shiryaev 'Optimal Stopping Rules & Maximal

Inequalities for Bessel Processes' Theory Prob & App. 93 <optimal stopping> Dubofsky D. 'Options & Financial Futures:Valuation & Uses' McGraw-Hill 92 Dubofsky D. 'Volatility Increase Subsequent to NYSE & AMEX Stock Splits' JofF 3/91 Dubourg N., R. Douady 'Energy Minimization & Optimal Hedging of European Contingent

Claims under Proporational Transaction Costs' 5/95 <transaction cost> Dubovy E. 'The Determinants of Interest Rates on High yield Bonds' 98 City U NY PhD Ducker M. 'Strengthing the Core for the Yield Curve as a Predictor of U.S. Recessions'

Review FRB S. L. 97 Ducker M., A. Fischer'FOMC in 1996:Watchful Waiting' Review FRB S.L. 7/97 Ducker M., A. Serletis 'Sensitivity of Empirical Studies of Alternate Measures of the

Monetary Base & Reserves' St. Louis Review 11/96 Dudenhausen Antje, Erik Schlogl, L. Schlogl 'Robustness of Gaussian Hedges & the

Hedging of Fixed Income Derivatives' 4/99 U. Bonn & UNSW 4/99 <hedging> Dudley R. 'Wiener Functionals as Ito Integrals' Ann Probl. 77 Dueker M. 'Can Nominal GDP Targeting Rules Stabilize the Economy?' FRB S.L. May/June

93 Dueker M. 'Hypothesis Testing with Near-Unit Roots:Case of Long-Run Purchasing Power

Parity' Fed St.Louis 7/94 Dueker M. 'Indicators of Monetary Policy:View from Implicit Feedback Rules' FRB

St.Louis 9/93 Dueker M. 'Narrow Vs. Broad Measures of Money as Intermediate Target' St.Louis Review

Jan/Feb 95 Dueker M. 'Response of Market Interest Rates to Discount Rate Changes' FRB St. Louis

7/92 Dueker M., A. Fischer 'Are Federal Funds Rate Changes Consistent with Price Stability?

Results from an Indicator Model' Review FRB St.Louis 1/96 Duff I. 'Survey of Sparce Matrix Research' Proc. IEEE 1977 Duff M.J. 'A Layman's Guide to M-Theory' Texas A&M 98 <physics><string theory> Duffee Gregory 'Estimating the Price of Default Risk'RFS Spring 99 , FRB 7/96 <risk-

credit> Duffee Gregory 'Idiosyncratic Variation of Treasury Bill Yields' JofF 6/96 Duffee Gregory 'Relation between Treasury Yields, and Corporate Bond Yield

Spreads'JofF 12/98 Duffie Darrell 'Credit Swap Valuation' <credit> 9/10/98 Duffie Darrell 'Defaultable Term Structure Models with Fractional Recovery of Par'

<affine,HJM> 8/98 <credit> Duffie Darrell 'Extension of Black-Scholes Model of Security Valuation'<options-euro>

JET 46 (1988) Duffie Darrell 'First-to-Default Valuation' 5/98 <credit> Duffie Darrell 'Incomplete Security Markets with Infinitely Many States:An

Introduction' J. Math. Econ. (96) Duffie Darrell 'Martingale, Arbitrage & Portfolio Choice' <arbitrage> 1st Euro.

Congress Math V.2 (92)

Duffie Darrell 'Predictable Representation of Martingale Spaces & Changes of Probability Measure' <martingales> Seminaire de Probabilities #1123 v19 83/84

Duffie Darrell 'Price Operators:Extensions, Potentials, & the Markov Valuation of Securities' <arbitrage> wp 813 4/96

Duffie Darrell 'Risk Neutral Value of the Early Arbitrage Option:Note' <option-pricing> AD&OR v4.1990

Duffie Darrell 'Special Repo Rates' JofF 6/96 Duffie Darrell 'State-Space Models of the Term Structure of Interest Rates' Progress

in Probability<term structure> (Stoch. analysis & Related Topic 5th workshop Silivri 94> 96

Duffie Darrell 'Stochastic Equilibria with Incomplete Financial Markets' <complete Markets>JET 41 (1987)

Duffie Darrell 'Stochastic Equilibria:Existence,Spanning Number & the No Expected Financial Gain from Trade" Hypothesis' Econometrica 9/86

Duffie Darrell 'The Nature of Incomplete Security Markets' in Advances in Econ. Theory VI v.2

Duffie Darrell 'Theory of Value in Security Markets'<complete markets> w.p. Stanford Jan 90

Duffie Darrell, Chi-Fu Huang 'Implementing Arrow-Debreu Equilibria by Continuous Trading of a Few Long Lived Securities' Econometrica 11/85 & TVI

Duffie Darrell, Chi-Fu Huang 'Multiperiod Security Markets with Differential Information' <martingale> JME 15 (1986)

Duffie Darrell, Chi-Fu Huang 'Stochastic Production-Exchange Equilibria' 87 Duffie Darrell, Costis Skiadas 'Continuous Time Security Pricing:A Utility Gradient

Approach'<asset pricing> wp 4/91 & J. Math Econ. 3/94<asset pricing> Duffie Darrell, David Lando 'Term Structures of Credit Spreads with Incomplete

Accounting Information' Econometrica 5/2001 Duffie Darrell, Wendall Fleming, Thaleia Zariphopoulou 'Hedging in Incomplete Markets

with HARA Utility' <hedging> J. Eco.Dyam & Control 97 Duffie Darrell, H. Sonnenschein 'Arrow & General Equilibrium Theory'<equilibrium

pricing> JEL June 89 Duffie Darrell, J. Geanakoplos, Andreu Mas-Colell, A. McLennan 'Stationary Markov

Equilibria' Econometrica 7/94 Duffie Darrell, J. Liu 'Floating-Fixed Credit Spreads' 11/97 <credit> Duffie Darrell, J. Michael Harrison 'Arbitrage Pricing of Russian Options & Perpetual

Lookback Options' Annals of Applied Prob.<options-Russian> 9/93 Duffie Darrell, Jin Ma, J. Yong 'Blacks Consol Rate Conjecture'<term structure>

<Brennan & Schwartz> IMA w.p. 7/93 Duffie Darrell, Jun Pan 'An Overview of Value at Risk' J. Derivatives Spring 97 Duffie Darrell, Jun Pan 'Analytical Value-At-Risk with Jump-Diffusions' 2/3/99

superceeded Duffie Darrell, Jun Pan, Kenneth Singleton 'Transform Analysis and Asset Pricing for

Affine Jump-Diffusions' Econometrica 11/2000 Duffie Darrell, Kenneth Singleton 'An Econometric Model of the Term Structure of

Interest-Rate Swap Yields'JofF 9/97 Duffie Darrell, Kenneth Singleton 'Modeling Term Structures of Defaultable Bonds' RFS

#4,99 , <term structure> 6/96 Duffie Darrell, Kenneth Singleton 'Simulated Moments Estimation of Markov Models for

Asset Prices' Econometrica 7/93 Duffie Darrell, Kenneth Singleton 'Simulating Correlated Defaults' <credit> 9/98 Duffie Darrell, Larry Epstein 'Asset Pricing with Stochastic Differential Utility'

<asset pricing> RFS v.5,#3 1992 Duffie Darrell, Larry Epstein 'Stochastic Differential Utility & Asset Pricing'

superceeded <CIR,Term Struct.,factors> w.p. 8/90 Duffie Darrell, Larry Epstein, Costis Skiadas 'Infinite Horizon Stochastic

Differential Utility' <asset pricing> Stanford 7/90

Duffie Darrell, Larry Epstein, Costis Skiadas 'Stochastic Differential Utility' <asset pricing> Econometrica 3/92

Duffie Darrell, M. Huang 'Swap Rates & Credit Quality' JofF 7/96 Duffie Darrell, Mark Garman 'Intertemporal Arbitrage & the Markov Valuation of

Securities' <arbitrage> <z-transform, semigroup,contingent claim>Cuadernos Economicos de ICE 1991 , wp 975 (85)

Duffie Darrell, Mark Schroder, Costis Skiadas 'A Term Structure Model with Preferences for the Timing of Resolution of Uncertainity'Economic Theory 1/97 <term structure>

Duffie Darrell, Mark Schroder, Costis Skiadas 'Recursive Valuation of Defaultable Securities & the Timing of Resoluation of Uncertainty' Annal App Prob 1996 V.6 #4 <asset pricing>

Duffie Darrell, Mark Schroder, Costis Skiadas 'Two Models of Price Dependence on the Timing of Resolution of Uncertainty' 11/93 NU wp <contingent claims>

Duffie Darrell, Matt Jackson (90) 'Optimal Hedging & Equilibrium in a Dynamic Futures Market' <hedging> J. Economic Dynamics & Control 14:21

Duffie Darrell, Matthew Richardson 'Mean-Variance Hedging in Continuous Time' <hedging> Annals of Applied Probability 1991

Duffie Darrell, Peter Glynn 'Efficient Monte Carlo Simulation of Security Prices' <monte carlo> Ann App. Prob 95

Duffie Darrell, Phillip Protter 'From Discrete to Continuous-Time Finance: Weak Convergence of the Financial Gain Process' <continuous time> MF 1/92

Duffie Darrell, Pierre-Louis Lions 'PDE Solutions of Stochastic Differential Utility' <SDE> <asset pricing>wp 7/90 & 1992 J. Math. Econ.

Duffie Darrell, Pierre-Yves Geoffard, Costis Skiadas 'Efficient & Equilibrium Allocation with Stochastic Differential Utility' <SDE> J. Math Econ. 3/94<stochastic pde>

Duffie Darrell, Richard Stanton 'Pricing Continuously Resettled Contingent Claims' J. Economic Dynamics & Control 1992<contingent claims>

Duffie Darrell, Rui Kan 'A Yield Factor Model of Interest Rates' <term structure> 8/95 also MF 10/96

Duffie Darrell, Rui Kan 'Multi-factor Term Structure Models' <term structure> Phil.Trans.R.Soc.Lond. 6/94

Duffie Darrell, T. Sun 'Transaction Costs & Portfolio Choice in a Discrete-Continuous Time Setting'<transaction> J.Econ.Dym & Control (90) <? JF&QA 6/86 ?>

Duffie Darrell, Thaleia Zariphopoulou 'Optimal Investment with Undiversifable Income Risk' <consumption> MF 4/93

Duffie Darrell, W. Shafer 'Equilibrium in Incomplete Markets I:Basic Models of Generic Existence' J. Math Econ 85 ,'...II:Generic Existence in Stochastic Economies' J. Math Econ 86

Duffie Darrell, William Zame 'The Consumption-Based Capital Asset Pricing Model' Econometrica 11/89

Dufour F., Robert Elliott,A. Tsoi 'Asymptotic Study of Estimation in Filtering for Linear Systems with Jump Parameters' IEEE Conf. Decision & Control #34 1995

Dufour J. 'Nonlinear Hypothesis,Inequality Restrictions & Non-Nested Hypothesis:Exact Simultaneous Tests in Linear Regression' 10/86 U. Montreal

Dufour J. 'Exact Tests & Confidence Sets in Linear Regression with Autocorrelated Errors' Econometrica 3/90

Dufour J. 'Non-linear Hypotheses,Inequatlity Restrictions & Non-Nested Hypotheses:Exact Simulations Tests in Linear Regressions' Econometrica 3/89

Dufour J. 'On Estimatiors of Disturbance Variance in Econometric Models:...Bias...Moments' 11/85 U. Montreal

Dufour J. 'Unbiasedness of Predictions from Estimated AR when True Order is Unknown' Econometrica 1-84

Dufour J., J. Kiviet 'Exact Inference Methods for First Order Autoregressive Distributed Lag Models' Econometrica 1/98

Dufour J., M. Hallin 'Expoential Bound for Permutational Distribution of 1st Order Autocorrelation Coefficient' May 91 U. Montreal

Dufour J., M. Hallin 'Tests non parametriques optimaux pour une autoregression d'ordre un' 11/86 U. Montreal

Dufresne Daniel 'Algebraic Properties of Beta & Gamma Distributions & Application' Adv. App. Math 4/98 <SDE,time series,error,Gaussian>

Dufresne Daniel 'Laguerre Series for Asian & Other Options' MF 10/2000 <option-Asian> Dufresne Daniel 'The Distribution of a Perpetuity with Applications to Risk Theory &

Pension Funding' Scan. Act. Journal 90 Duggan J. 'Viritual Bayesian Implementaiton' Econometrica 9/97 Dukes W.,C. Frohlich,C. Ma 'Risk Arbitrage in Tender Offers' J.Portfolio Mangagement

Summer 92 Dumas B. 'Theory of the Trading Firm Revisited' JofF 6/78 Dumas B. 'Two Person Dynamic Equilibrium in the Capital Market' RFS 89 Dumas B., Bruno Solnik 'World price of Foreign Exchange Risk' JofF 6/95 Dumas B., E. Luciano 'An Exact Solution to a Dynamic Portolio Choice Problem Under

Transactions Costs' JofF 6/91 Dumas B., Jeff Fleming, Robert Whaley 'Implied Volatility Functions:Empirical

Tests'JofF 12/98 Dumas B., L. Jennergren, B. Naslund 'Siegels Paradox & Pricing of Currency

Options'<Poisson,jump><options-currency> J. Intern. Money & Finance (95) Dumas B., Raman Uppal, T. Wang 'Efficient Intertemporal Allocation with Recursive

Utility' 97 Duncan T., B. Pasik-Duncan, Omar Zane 'Numerical Methods for a Stochastic Adaptive

Control of an Investment & Consumption Model with Transaction Fees'<SDE> IEEE Conf. Decision & Control #34 1995

Duncan T., M. Duncan, Omar Zane 'Computational Methods for the Stochastic Adaptive Control for an Investment Model with Transaction Fees'<transaction cost> Confer.on Decision & Control (33rd) 1994

Dunetz M., J. Mahoney 'Using Duration & Convexity in the Analysis of Callable Bonds' 5/88 <duration> FAJ

Dunford N., J. Schwartz 'Nonlinera Operators Part I:General Theory' Wiley 5 Dunker K., B. Rabbat 'Why Americas Bridges are Crumbling' SA 3/93 Dunn K., C. Spatt 'Analysis of Mortgage Contracting Prepayment Penalties & Due on Sale

Clause' JofF 3/85 Dunn K., C. Spatt 'Call Options, Points and Dominance Restrictions on Debt Contracts'

JofF 12/99 Dunn K., J. McConnell 'Comparison of Alternatie Models for Pricing:GNMA Mortgage

Backed Securities' JofF 5/81 Dunn K., J. McConnell 'Valuation of GNMA Mortgage-Backed Securities' JofF 6/81 Dunn K., Kenneth Singleton 'Empirical Analysis of Pricing of Mortgage Backed

Securities' JofF 5/83 Dunn K., Kenneth Singleton 'Modeling the Term Structure of Interest Rates under

Nonseparable Utility & Durability of goods' JFE 86 Dupacova J. 'Portfolio Optimizaton via Stochastic Programming:Methods of Output

Analysis' Math. Method of OR V50 #2 99 <portfolio> Dupire Bruno 'A Unified Theory of Volatility' (in Dempster M.,S. Pliska (ed) 'Math. of

Derivative Securities' Dupire Bruno 'Model Art'<volatility-stochastic> <Black-Scholes,

Term.Struct.,preference free,exotic>RISK 9/93 Dupire Bruno 'Pricing & Hedging with Smiles'4/93 <volatility> Dupire Bruno 'Pricing with a Smile' <Volatility> RISK 1/94 Dupire Bruno, A. Savine 'Dimension Reduction & other ways of Speeding Monte Carlo

Simulation' Risk Handbook 98 Dupuis P., J. Oliensis 'An Optimal Control Formulation & Related Numerical Methods for

a Problem in Shape Reconstruction ' Ann Appl Prob 94

Duque J., D. Paxson 'Implied Volatility & Dynamic Hedging 12/93 <volatility> <smiles> Review of Futures Markets v13 #2

Durand D. 'Growth Stocks & the Petersburg Paradox' in MDIM Durarte J. 'Non-Linear Term Structure Model' 11/97 <term structure> Durbin J. 'First-Passage Density of a Continuous Gaussian Process to a General

Boundary' 85 J.App.Prob. <Brownian> Durbin J. 'Testing for Serial Correlation in Least-Squares Regression When Some of the

Regressors are Lagged Dependent Variables' <AR>Econometrica May 70 Durbin J., D. McFadden 'An Econometric Analysis of Residential Electric Appliance

Holdings & Consumption' Econometrica 3/84 Durfour J. 'Some Impossibility Theorems in Econometrics with Applications to

Structural & Dynamic Models' Econometrica 11/97 Duris C. 'Fundamental Approach for Forecasting Interest Rates with Application to

Deutsche Mark Yield Curve' in Nelken I. (ed) 'Option Embedded Bonds' Durlauf S. 'Spectral based testing of Martingale Hypothesis' <martingale> J.of

Econometrics 1991 Durlauf S., P. Phillips 'Trends vrs. Random Walks in Time Series Analysis'

Econometrica 11/88 Dusak K. 'Futures Trading & Investor Returns:An Investigation of Commodity Market Risk

Premium' JFE 73 <Futures> Dusansky R., C. Vernon 'Rankings of U.S. Economics Departments' J. Econ. Persp. W 98 Dusenberry J., B. Bosworth 'Flow of Funds & Interest Rates-I: U.S. Financial Models'

JofF 5/74 Dutkowsky D. 'Demand for Borrowed Reserves:Swithcing Regression Model' JofF 6/84 Dutta B. 'Effectivity Functions & Acceptable Game Forms' Econometrica 9/84 Dutta B., D.Ray 'A Concept of Egalitarianism uder Participation Constraints'

Econometrica 5/89 Dutta J., H. Leon 'Testing for Instrinsic Homogeneity'<heterosdacity> W.P. 1st Boston

July 85 Dutta P., A. Madhavan 'Competition & Collusion in Dealer Markets' JofF 3/97 Dutta P., A. Madhavan 'Price Continuity Rules & Insider Trading' JF&QA 6/95 Dwass M. 'Extremal Processes' Ann. Math Stat. <extreme value> Dwyer G. 'Rules & Discretion in Monetary Policy' FRB S.L. May/June 93 Dwyer G. 'Wildcat Banking, Banking Panics & Free Banking in the United States' FRB

Atlanta 12/96 <alpha> Dwyer G., I. Hasan 'Suspension of Payments,Bank Failures, and the Nonbank Publics

Losses <alphabetic> wp FRB Atlanta 5/96 Dwyer G., P. Locke, W. Yu 'Index Arbitrage & Nonlinear Dynamics Between the S&P 500

Futures & Cash' RFS v9 #1 (96) ,<arbitrage> Dybivg Philip 'Occasional Ratcheting:Optimal Dynamic Consumption & Investment Given

Intolerance for any Decline in Standard of Living' 93 Dybvig Philip 'An Explicit Bound on Individual Asset Deviations from APT pricing in a

Finite Economy' <asset> JFE 83 Dybvig Philip 'Bond & Bond Option Pricing Based on the Current Term Structure'wp 3/96

<term structure>, (in Dempster M., S. Pliska (ed) 'Math. of Derivative Securities'

Dybvig Philip 'Hedging Non-Traded Wealth:When is There Separation of Hedging & Investment'<hedging> (ed) S.Hodges Options:Recent Advances V.2 1992

Dybvig Philip 'Kinks on Mean-Variance Frontier' JofF 3/85 Dybvig Philip 'Remarks on Banking & Deposit Insurance' Review FRB S.L. 1/93 Dybvig Philip 'Short Sales Restrictions & Kinks of Mean Variance Frontier' JofF 3/84 Dybvig Philip, C. Huang 'Nonnegative Wealth, Absence of Arbitrage & Feasible

Consumption Plans' FRS 88 Dybvig Philip, Jonathan Ingersoll 'Mean Variance Theory in Complete Markets' J.

Business 1982 <complete markets> Dybvig Philip, Jonathan Ingersoll, Steven Ross 'Long Forward and Zero-Coupon Rates Can

Never Fall' <term strucutre> In J.of Business 1/96

Dybvig Philip, L.C.G. Rogers 'Recovery of Preferences from Observed Wealth in a Single Realization' RFS Spring 97 , wp 12/95 <alphabetic>

Dybvig Philip, L.C.G. Rogers, Kerry Back 'Portfolio Turnpikes:Synthesis & Critique'RFS Spring 99 , <portfolio> 4/95

Dybvig Philip, Steven Ross 'Analysis of Performance Measurement Using a Security Market Line' JofF 6/85

Dybvig Philip, Steven Ross 'Arbitrage' in 'New Palgrave Finance' 1989<arbitrage> Dybvig Philip, Steven Ross 'Performance Measurement Using Differential Information & a

Security Market Line' JofF 6/85 Dybvig Philip, Steven Ross 'Portfolio Efficient Sets' Econometrica 82 Dybvig Philip, Steven Ross 'Tax Clienteles & Asset Pricing' JofF 7/86 Dybvig Philip, Steven Ross 'Yes, the APT is Testable' JofF 9/85 Dybvig Philip, W. Marchall 'New Risk Management:Good,Bad & Ugly' Review FRB St. Louis

11/97 Dybvig Philip, W. Marshall 'Pricing Long Bonds: Pitfalls & Opportunities' <term

structure> FAJ 2/96 Dyck I. 'Privatization in Eastern Germany:Managemnt Selection & Economic Transition'

AER 9/97 Dye J. 'Eletroides' SA <no date> Dyer A. 'Hypothesis Testing Proce. for Separate Families of Hypothesis'ASAJ 1974 Dyl E. 'Shorting Selling & Capital Gains Tax' 3/78 FAJ <accounting> Dyl E., E. Maberly 'Odd-Lot Transactions around Turn of Year & January Effect' JFQ&A

12/92 Dyl E., E. Marerly 'Anomaly That Isn't There:Comment on Friday the Thirteenth' JofF

12/88 Dyl E., M. Joehnk 'Sinking Funds & Cost of Corporate Debt' JofF 9/79 Dyl E., S. Martin 'Weekend Effects on Stock Returns' JofF 3/85 Dym H. 'A Note on Limit Theorems for the Entropy of Markov Chains' Ann. Math Stat.

<markov> Dym S. 'Identifying & Measuring Risk of Developing Country Bonds' J.Port.Manage.

Winter 94 Benabou R. 'Optimal Price Dynamics & Speculation with Storable Good' Econometrica 1-89

Dynkin L., J. Hyman, V. Konstantinovsky, N. Roth 'MBS Index Returns:A Detailed Look' J. Fixed Income 3/99

Dynkin L., J. Hyman, V. Konstantinovsky, R. Mattu 'Constant-Duration Mortgage Index' J. Fixed Income 6/2000

Dzhaparidze K., P.Spreij 'On Correlation Calculus for Multivariate Martingales'<martingale> SP&A(46) 1993

Eades K., P. Hess, E. Kim 'Time-Series Variation in Dividend Pricing' JofF 12/94 Eaker M. 'Numeraire Problem & Foreign Exchange Risk' JofF 5/81 Eaker M., D. Grant, N. Woodard 'Multinational Examination of International Equity &

Bond Investment with Currency Hedging' JFM 5/93 JFM 8/92 Eames K. 'Regression Lines' Derive Newsletter 6/93 Easley D., A. Rustichini 'Choice without Beliefs' Econometrica 9/99 Easley D., M. O'Hara 'Adverse Selection & Large Trade Valume:Implications for Market

Efficiency' JF&QA 6/92 Easley D., M. O'Hara 'Order Form & Informtion in Security Markets' JofF 7/91 Easley D., M. O'Hara 'Time & Process of Security Price Adjustment' JofF 6/92 Easley D., M. O'Hara, P. Srinvas 'Option Volume & Stock Prices:Evidence on Where

Informed Traders Trade' JofF 4/98 Easley D., N. Kiefer 'Controlling a Stochastic Process with Unknown Parameters'

Econometrica 9/88 Easley D., N. Kiefer, M. O'Hara 'Cream-Skimming or Profit Sharing? Curious Role of

Purchase Order Share' JofF 7/96 Easley D., N. Kiefer, M. O'Hara 'One Day in the Life of a Very Common Stock' RFS Fall

97

Easley D., N. Kiefer, M. O'Hara, J. Paperman 'Liquidity, Information & Infrequently Traded Stocks' JofF 9/96

Easley D., Robert Jarrow 'Consensus Beliefs Equilibrium & Market Efficiency' JofF 6/83

Easterwood J., S. Nutt 'Ineffiency in Analysts Earning Forecasts:Systematic Misreaction or Systematic Optimism?' JofF 10/99

Easton M. 'Binary Tree Interest Rate Models with Risk Premiums' J. Fixed Income 9/98 Eastwood B., A. Ronald Gallant 'Adaptive Trucncation Rules for Seminonparametric

Normality' 11-82 Eaton B., N. Schmitt 'Flexible Manufacturing & Market Structure' AER 9/94 Eaton J., H. Rosen 'Agency, Delayed Compensation, and the Structure of Executive

Remuneration' JofF 12/83 Eaton J., M. Engess 'Intertemporal Price Competition' Econometrica 5/90 Eberhart A., E. Altman, R. Aggarwal 'Equity Performance of Firms Emerging from

Bankruptcy' JofF 10/99 Eberhart A., R. Sweeney 'Does the Bond Market Prdict Bankruptcy Settlements?' JofF

7/92 Eberhart A., W. Moore, R. Roenfeldt 'Security Pricing & Deviations from the Absolute

Priority Rule in Bankruptcy Proceedings' JofF 12/90 Eberlein Ernst 'Application of Generalized Hyperbolic Levy Motion to Finance' 12/99

<option-pricing> Eberlein Ernst 'Hyperbolic Model' 2/98 <option-pricing> Eberlein Ernst 'Market & Credit Risk under Generalized Hyperbolic Model' Eberlein Ernst 'On Modeling Questions in Security Valuation' <option-pricing> MF 1/92 Eberlein Ernst, Jean Jacod 'On the Range of Option Prices' Finance & Stochastics 97

<options-pricing> Eberlein Ernst, Sebastian Raible 'Term Structure Models Driven by General Levy

Processes' MF 1/99 , 10/98 <term structure> Eberlein Ernst, Ulrich Keller 'Hyperbolic Distributions in Finance' Bernolli 95 ,4/95

U. Freiburg <distributions> Eberlein Ernst, Ulrich Keller, Karsten Prause 'New Insights into Smile, Mispricing &

Value at Risk:Hyperbolic Model> JofB 98 , 1/98 <option-pricing> Ebrahimi N., M. Habibullah,E.Soofi 'Testing Exponentiality Based on Kullback-Leibler

Information' J. Royal Statistical Society 1992 Eckbo B. 'Mergers & the Value of Antitrust Deterrence' JofF 7/92 Eckbo B., D. Smith 'Conditional Performance of Insider Trades' JofF 4/98 Eckbo B., K. Thorburn 'Gains to Bidder Firms Revisited:Domestic & Foreign Acquistions

in Canada' JF&QA 3/2000 Eckbo E., J. Liu 'Temporary Components of Stock Prices:New Univariate Results' JF&QA

6/93 Eckhaus W. 'Fundamental Concepts of Matching' SIAM Review 9/94 Eckstein J. 'Implementing & Running the Alternating Step Method on the Connection

Machine CM-2'<linear program> <ADI> w.p. Harvard Aug. 90 Eckstein J. 'Parallel Branch-and-Bound for Mixed Integer Programming' SIAM News 1/94 Eckstein J., Dmitri Bertsekas 'An Alternating Direction Method for Linear

Programming'<linear program> <ADI> w.p. Harvard Apr. 90 Eckstein Z., K. Wolpin 'Estimating a Market Equilbrium Search Model from Panel Data on

Individuals' Econometrica 7/90 Eckstein Z., T. Kollintzas 'An Exact Log-linear Endongenous Economic Growth Model'

w.p. U. Pittsburgh Dec. 88 Eckwert B. 'Optimality of Stationary Asset Equilibria under a Stochastic Inflation

Tax' MF 1/92 Econo. Econometrica Economides N. 'Demand for Life Insurance: Application of the Economics of

Undertainty:Comment' JofF 12/82 Economides N., R. Schwartz 'Equity Trading Practices & Market Structure:Assessing

Asset Managers Demand for Immediacy' Stern Bus. School 1995

Eddy A. 'Interest Rate Risk & Systematic Risk:an Interpretation' JofF 5/78 Edelen D. 'Applied Exterior Calculus' Wiley 85 Edelman D., T. Gillespie 'Stochastically Subordinated Log Normal Process Applied to

Financial Time Series and Option Pricing' <distribution> <smile> Edelstein R. 'Value of Information & Optimal Government Guarantee of its Agencies

Issues' JofF 5/74 Eden B., Zvi Griliches 'Productivity,Market Power & Capacity Utilitzation When Spot

Markets are Complete' AER May 93 Ederington L. 'Hedging Performance of New Futures Markets' JofF 3/79 Ederington L. 'Yield Spread on New Issues of Corporate Bonds' JofF 12/74 Ederington L., J. Goh 'Bond Rating Agencies & Stock Analysis:Who Knows What When?'

JF&QA 12/98 Ederington L., J. Lee 'Creation & Resolution of Market Uncertainity:Impact of

Information Releases on Implied Volatility' JF&QA 12/96 Ederington L., J. Lee 'How Markets Process Information:News Releases & Volatility'

JofF 9/93 Ederington L., J. Lee 'Short-Run Dynamics of the Price Adjustment to New Informtion'

JF&QA 3/95 Edirisinghe C., Vasant Naik, Raman Uppal 'Optimal Replication of Options with

Transaction Costs & Trading Restrictions' JF&QA 3/93 <options-transaction> Edlefsen L. 'The Comparative Statics of Hedonic Price Functions & Other Nonlinear

Constraints' Econometrica 11/81 Edlin A. 'Is College Financial Aid Equitable & Efficient' J. Economic Perspectives

Spring 93 Edlin A., C. Shannon 'Strict Single Crossing & the Strick Spence-Mirrlees

Condition:Comment on Monotone Comparative Statics' Econometrica 9/98 Edlin A., Joseph Stiglitz 'Discouraging Rivals:Managerial Rent-Seeking & Economic

Inefficiencies' AER 12/95 Edlin A., M. Epelbaum,W. Heller 'Is Perfect Price Descrimination Really Efficient?

Welfare & Existence in General Equilibrium' Econometrica 7/98 Edlin A., S. Reichesstein 'Holdups,Standard Breach Remedies & Optimal Investment' AER

6/96 Edmister Robert 'Capped-Index Deposits' J. Financial Engin 6/92 Edmister Robert 'Commission Cost Structure:Shifts & Scale Economies' JofF 5/78 Edmister Robert, Dilip Madan 'Informational Content in Intrest Rate Term Structures'

R. Econ.& Stats 93 Edmister Robert, N. Subramanian 'Determinants of Brokerage Commission Rates for

Institutional Investors:Note' JofF 9/82 Edsparr P. 'Swedish Interest Rate Process--Estimation of the Cox, Ingersoll & Ross

Model' 92 Stockholm School of Economics EdVaro J., J. Lacker 'Errors in Variables & Lending Discrimination' Economic

Quarterly FRB Richmond Summer 95 Edwards C., S. Stansell et al 'Inter-Temporal Approach to Optimization of Dividend

Policy with Predtermined Invesments' JofF 3/74 Edwards D. 'An Alternative Example of the Method of Multiple Scales' SIAM Review

6/2000 Edwards F. 'Hedge Funds & the Collapse of Long-Term Capital Management' J. Econ

Perspective Spring 99 Edwards F., C. Ma 'Futures & Options' 92 McGraw-Hill Edwards F., J. Liew 'Hedge Funds versus Managed Futures as Asset Classes' J.

Derivatives Summer 99 Edwards F., J. Park 'Do Managed Futures Make Good Investments?' J.Futures Markets

8/96 Edwards F., M. Canter 'Collapse of Metallgesellschaft:Unhedgeable Risks,Poor Hedging

Strategy or Just Bad Luck?' JFM 5/95 Edwards F., Salih Neftci 'Extreme Price Movements & Margin Levels in Futures

Markets'<volatility> JFM v8#6

Edwards H. 'Fermats Last Theorem' SA<number theory> Edwards S. 'Openness,Trade Liberalization & Growth in Developing Countries' JEL 9/93 Eeckhoudt L., C. Gollier 'Demand for Risky Assets & Stochastic Dominance: A

Note'<asset pricing> wp 8/94 Eeckhoudt L., C. Gollier 'Demand for Risky Assets & the Monotone Probability Ration

Order' <portfolio> J. Risk & Uncertainity 95 Eeckhoudt L., C. Gollier, H. Schlesinger 'Changes in Background Risk & Risk Taking

Behavior' Econometrica 5/96 Eeckhoudt L., C. Gollier,T. Schneider 'Risk Aversion, Prudence & Temperance:A Unified

Approach'<risk> wp 12/94 Efraty R. 'Index, Asset & Mortgage Swaps' in Nelken I. (ed) 'Option Embedded Bonds' Efraty R. 'Index,Asset & Mortgage Swaps' in 'Option Embedded Bonds' ed I. Nelken Efron B. 'Better Boostrap Confidence Intervals' JASA 81 <regression> Efron B. 'Bootstrap Methods:Another Look at the Jackknife' Annals of Stat. 1/79

<regression> Efron B.,R. Tibhirani 'Statistical Analysis in the Computer Age'<statistics> Science

Vol 253 7/26/91 Ehrhardt M. 'Mean-Variance ,Derivatives of a Multi-Factor Equilibrium Model' JF&QA

6/87 Ehrlich I. 'Crime, Punishment & Market for Offenses' J.Econ. Perspect. Winter 96 Eichberger J. 'A Note on Bankruptcy Rules & Credit Constraints in Temporary

Equilibrium' Econometrica 5/89 Eichenbaum Martin, Lars Hansen 'Estimating Models with IntertemporalSubstituion Using

Aggregate Time Series Data' wp Eichenbaum Martin, Lars Hansen, Kenneth Singleton 'Time Series Analysis of

Representative Agent Models of Consumption & Leisure Choice under Uncetainity' Q.J. Econ 88

Eichengreen B. 'European Monetary Unification' JEL 9/93 Eichholtz P. 'Does International Divesification Work Better for Real Estate than for

Stocks & Bonds?' FAJ 2/96 Eichholtz P., P. Naber, V. Petri 'Index Linked Bonds in Liability Framework' J. Fixed

Income 12/93 Einhorn S. 'Using the Dividend Discount Model for Asset Allocation' <asset pricing>

FAJ (84) Eisenbeis R. 'Bank Deposits & Credit as Sources of Systematic Risk' Econ Review FRB

Atlanta 3Q97 Eisenbeis R. 'Comment on "Multivariate Analysis of Industrial Bond Ratings & Role of

Subordination"' JofF 3/78 Eisenbeis R. 'International Settlements:A New Source of Systematic Risk?' Econ.

Review FRB Atlanta 2Q 97 Eisenbeis R., R. Harris, Josef Lakonishok 'Benefits of Bank Diversification: Evidence

from Shareholder Returns' JofF 7/84 Eisenberg Laurence 'One Step Beyond' <hedging><foreign exchange> RISK 11/93 Eisenberg Laurence, Robert Jarrow 'Option Pricing with Random Volatilities in Complete

Markets'FRB Atlanta 11/91 , RQF&A (44) <volatility> Eizenstat S. 'Economists & White House Decisions' J.Econ.Persp. Summer 92 Ekblom H. 'Lp Methods for Robust Regression'<linear program> <LAD> Bit 1973 Ekern S. 'Time Dominance Efficiency Analysis' JofF 12/81 Ekman P. 'Intraday Patterns in the S&P 500 Index Futures Market' Ekolin G. 'Finite Difference Methods for a Nonlocal Boundary Value Problem for the

Heat Equation' BIT 31<finite Diff.> (1991)<options-numeric> Ekvall N. 'Experiences in the Pricing of Trivariate Contingent Claims with Finite

Difference Methods on a Massively Parallel Computer' <options-numeric> Computational Economics 94

Ekvall N., L. Jennergren,B. Naslund 'Currency Option Pricing in a Family of Exchange Rate Regimes'<options-foreign exchange> AFOR v8 95

El Babsiri M., G. Noel 'Simulating Path-Dependent Options:A New Approach' <option-path> J. Deriv Winter 98

El Karoui Nicole 'A Propos de la Formule d'Azema-Yor' Semin. de Prob. 13 Lecture 721 Springer 79

El Karoui Nicole 'Backward Stochastic Differential Equations:General Introduction' in El Karoui,Mazliak (ed) 'Backward Stochastic Differential Equations'

El Karoui Nicole 'Existence of an Optimal Markovian Filter for the Control Under Partial Observations' J.Control & Opt (88)

El Karoui Nicole 'Les Aspect Prob....' Lecture Notes in Math 876 p.72-238 Springer 81 El Karoui Nicole 'Les Aspects Probailistes du Controle Stochastique' Lecture Notes in

Math 79 El Karoui Nicole 'Nonlinear Evolution Equations & Functionals of Measure-Valued

Branching Processes' Stoch. Diff.Systems Lecture 69 Springer 85 El Karoui Nicole 'Theorie du Potentiel et Controle Stochastique' Lecture Note 1096

Springer 84 El Karoui Nicole 'Une Propriete de Domination de l'Enveloppe de Snell des

Semimartingales Fortes' Seminar on Prob. 16, Lecutre 920 Springer 82 El Karoui Nicole, Antoine Frachot, Helyette Geman 'On the Behavior of Long Zero Coupon

Rates in a No Arbitrage Framework' R. Deriv. Research V.1 #4 2/98 <factor> <term structure>

El Karoui Nicole, C. Kapoudjian, Etienne Pardoux, S. Peng, Maire-Claire Quenez 'Reflected Solutions of Backward SDEs & Related Obstacle Problems for PDEs' Ann. Prob. 25 (97) <SDE>

El Karoui Nicole, C. Lepage, R. Myneni, N. Roseau, R. Viswanathan 'Arbitrage Pricing & Hedging of Interest Rate Claims with State Variables: 1 Theory' w.p. U. Paris 12/93 <term structure>

El Karoui Nicole, C. Lepage, R. Myneni, N. Roseau, R. Viswanathan 'Arbitrage Pricing & Hedging of Interest Rate Claims with State Variables: 2 Applications' w.p. U. Paris 3/92 <term structure>

El Karoui Nicole, C. Lepage, R. Myneni, N. Roseau, R. Viswanathan 'Valuation & Hedging of Contingent Claims with Markovian Interes Rates' w.p. U. Paris 3/91 <term structure>

El Karoui Nicole, Etienne Pardoux, Maire-Claire Quenez 'Reflected Backward SDEs & American Options' in Num.Method in Finance (ed.Rogers,Talay) <SDE>

El Karoui Nicole, Helyette Geman 'A Probabilistic Approach to the Valuation of General Floating Rate Notes with an Application to Interest Rate Swaps' AFORv7(94)<term structure>

El Karoui Nicole, Helyette Geman 'Note Worthy' RISK (?Mar) 91 floaters <term structure>

El Karoui Nicole, Helyette Geman, Vincent Lacoste 'On the Role of State Variables in Interest Rate Models' 5/95 <term structure>

El Karoui Nicole, Ioanis Karatzas 'Dynamic Allocation Problems in Continuous Time' Annals of Applied Probability 94<optimal control>

El Karoui Nicole, Ioanis Karatzas 'General Gittins Index Process in Discrete Time'<optimal stopping> Proc. Nation Acad. Science 3/93

El Karoui Nicole, Ioanis Karatzas 'Integration of Optimal Risk in a Stopping Problem with Absorbtion' Semi. de Prob. 23, Lect 1372 89

El Karoui Nicole, Ioanis Karatzas 'New Approach to the Skorohod Problem and Its Applications'<SDE> S&SR 1991

El Karoui Nicole, Ioanis Karatzas 'The Optimal Stopping Problem for a General American Put-Option' <Options-American> Mathematical Finance (ed) Davis Springer <options-american> 95

El Karoui Nicole, J.C. Rochet 'A Pricing Formula for Options on Coupon Bonds'<option-bond> 1989

El Karoui Nicole, J-P. Lepeltier, B. Marchal 'Optimal Stopping of Controlled Markov Processes'<optimal stopping> Advances in Filtering & Optimal Stochastic Control Springer 1982

El Karoui Nicole, J-P. Lepeltier, B. Nisio 'Semigroup Associated to the Control Markov Processes' Stochastic Differential Systems/ 82 Lecutre in Control & Opt. 43 Springer 82

El Karoui Nicole, Maire-Claire Quenez 'Dynamic Programming & Pricing of Contingent Claims in an Incomplete Market' <complete markets> SIAM J. Control & Optim. 1995

El Karoui Nicole, Maire-Claire Quenez 'Imperfect Markets and Backward Stochastic Differential Equations' in Num.Method in Finance (ed.Rogers,Talay)<SDE>

El Karoui Nicole, Maire-Claire Quenez 'Nonlinear Pricing Theory & Backward Stochastic Differential Equations' in 'Financial Mathematics:Bressanone 96' Springer-Verlag <SDE>

El Karoui Nicole, Monique Jeanblanc 'Options Exotiques' <option-exotic> 4/19/00 El Karoui Nicole, Monique Jeanblanc-Picque 'Martingale Measures and Partially

Observable Diffusions' <martingale> Stochastic Analysis and Applications 91 El Karoui Nicole, Monique Jeanblanc-Picque 'Optimization of Consumption with Labor

Income' Finance & Stochastics 8/98 El Karoui Nicole, Monique Jeanblanc-Picque, Steven Shreve 'Robustness of the Black &

Scholes Formula' MF 4/98 <option-pricing> El Karoui Nicole, R. Myneni, R. Viswanathan 'Arbitrage Pricing & Hedging of Interest

Rate Claims with State Variables' w.p. U. Paris 12/93 <term structure> El Karoui Nicole, S. Melerard 'Martingale Measures & Stochastic Calculus' <SDE> Prob.

Theory & Related Fields 1990 El Karoui Nicole, S. Peng, Maire-Claire Quenez 'Backward Stochastic Differential

Equations in Finance' MF 1/97 <options-numeric> El Karoui Nicole, S. Roelly 'Proprietes de Martingales, Explosion et Representation de

Levy-Khintchine d'une Classe de Processus de Branchement a Valeurs Mesure' <SDPE> SP&A 1991

El Karoui Nicole, S-J Huang 'General Result of Existence & Uniquness of Backward Stochastic Differential Equations' in El Karoui,Mazliak (ed) 'Backward Stochastic Differential Equations'

El Karoui Nicole, T. Cherif (92) 'Pricing d'Options de Taux Applications aux Options sur la Contrat Notionnel ' wp Caisse Autonome de Refinancement

El Karoui Nicole, Vincent Lacoste 'Multifactor Models of the Term Structure of Interest Rates' w.p. U. Paris 4/95<term structure>

Elandt R. 'Folded Normal Distribution:Two Methods of Estimating Parameters from Moments'<distributions> Technometics 11-61

El-Bakry A., R. Tapia,Y. Zhang 'Study of Indicators for Identifying Zero Variables in Interior Point Methods' SIAM Review 3/94

Elden L., F. Bernstsson, T. Reginska 'Wavelet & Fourier Methods for Solving the Sideways Heat Equation' SIMA J. Sci. Comp 2000 <wavelet><inverse>

Elder J., M. Finn 'Creating Optimally Complex Models for Forecasting' FAJ Jan91 <models>

Eldridge R., C. Bernhardt, I. Mulvey 'Evidence of Chaos in S&P 500 Cash Index' AF&OR6 Eleswarapu V. 'Cost of Transacting & Expected Returns in the Nasdaq Market' JofF 12/97 Elgers P., J. Hltiner, W. Hawthorne 'Beta Regression Tendencies:Statistical & Real

Causes' JofF 3/79 Eliakim K., E. Prisman 'Arbitrage,Clientele Effects & Term Structure of Interest

Rates' JF&QA 12/91 El-Jabel Lina, Lindberg H., M. Orszag & W. Perraudin 'Yield Curves with Jumps in Short

Rates' (in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities' El-Jabel Lina, W. Perraudin,P. Sellin 'Value at Risk for Derivatives' J. of

Derivatives Spring 99 <VAR><Heston, Stochastic Volatility, characteristic function>

Ellickson B., B. Grodal , S. Schotchmer, William Zame 'Clubs & the Market' Econometrica 9/99

Elliot G., T. Rothenberg, J. Stock 'Efficient Tests for Autoregressive Unit Root' Econometrica 7/96

Elliott G. 'On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots' Econometrica 1/98

Elliott J. 'The Cost of Capital & US Capital Investment:A Test of Alternative Concepts' JofF 9/80

Elliott J., J. Baier 'Econometric Models & Current Interest Rates:...Predict Future' JofF 9/79

Elliott J., J. Baier 'Econometric Models & Current Interest Rates:How Well Do They Predict Future Rates-A Reply' JofF 9/80

Elliott Robert 'A Discrete Time Equivalent Martingale Measure' <martingale> Elliott Robert 'Stochastic Calculus and Applications' Applications in Math #18

Springer NY 1982 Elliott Robert, A. Al-Hussaini 'Two Parameter Filtering Equations for Jump Process

Semimartingales'<martingale> Advances in Filtering & Optimal Stochastic Control Springer 1982

Elliott Robert, A. Cadenillas 'Pricing Swing Options' Elliott Robert, A. Tsoi 'Martingale Representation in Continuous Trading' Confer.on

Decision & Control (33rd) 1994<martingale> Elliott Robert, A. Tsoi, S. Lui 'Short Rate Analysis & Marked Point Processes'

<interest rates> Math. Methods of O.R. 99 Elliott Robert, C. Lahaie , Dilip Madan 'Filtering Derivative Security Valuations from

Market Prices'<martingale> Elliott Robert, C.H. Lahaie , Dilip Madan 'Filtering Derivative Security Valuations

from Market Prices' (in Dempster M.,S. Pliska (ed) 'Math. of Derivative Securities'

Elliott Robert, Dilip Madan 'A Discrete Time Equivalent Martingale Measure'MF 4/98 , <martingale>

Elliott Robert, Helyette Geman,B. Kobkie 'Portfolio Optimization & Contingent Claim Pricing iwth Differential Information' Stochastics 97

Elliott Robert, J. van der Hoek 'An Application of Hidden Markov Models to Asset Allocation Problems' Finance & Stochastics 97 <asset pricing>

Elliott Robert, J. van der Hoek 'Stochastic Flows and Forward Measure' Finance & Stochastics 10/01 <term structure><Gaussian, affine>

Elliott Robert, Michael Kohlmann 'Short Proof of a Martingale Representation Result'<martingale> Statistics & Probability Letters 6(1988)

Elliott Robert, Michael Kohlmann 'Integration by Parts, Homogeneous Chaos Expansions & Smooth Densities' Annals of Probability 1989 <finite Diff.>

Elliott Robert, Monique Jeanblac 'Incomplete Markets with Jumps & Informed Agents' <Complete Markets> Math. Metho. OR 99

Elliott Robert, Monique Jeanblanc-Picque, Marc Yor 'On Models of Default Risk' MF 4/2000 , 5/99 <credit risk>

Elliott Robert, P. Ekkehard Kopp 'Direct Solution of Kolmogorov's Equations by Stochastic Flows' J. of Mathematical Analysis & Applications 142 (1989)<SDE><Backward/Forward>

Elliott Robert, P. Fischer, Eckhard Platen 'Filtering & Parameter Estimation for a Mean Reverting Interest Rate Model' 98 <term structure>

Elliott Robert, P. Myneni, R. Viswanathan 'Theorem of El Karoui & Karatzas Applied to American Options' U. Alberta 90

Elliott Robert, R. Rishel 'Estimating the Implicit Interest Rate of a Risky Asset'<term structure> SP&A 1994

Elliott Robert, William Hunter, P. Ekkehard Kopp, Dilip Madan 'Pricing via Multiplicative Price Decomposition' J. Finan.Engin. 9/95

Ellis D. 'Different Sides of the Same Story:Investors & Issuers Views of Rating Agencies' J. Fixed Income 3/98

Ellis K., R. Michaely, M. O'Hara 'Accuracy of Trade Classification Rules:Evidence from Nasdaq' JFA&QA 12/2000

Ellis K., R. Michaely, M. O'Hara 'When the Underwriter is the Market Maker:An Examination of Trading in the IPO Aftermarket' JofF 6/00

Ellis R., T. McGuire 'Supply-Side & Demand Side Cost Sharing in Health Care' J.Econ.Persp. Fall 93

Ellison G. 'Learning,Local Integration & Coordination' Econometrica 9/93 Elmer P., A. Haidorfer 'Preypayments of Mutifamiliy Mortgage-Backed Securities' J.

Fixed Income 3/97 Elms D. 'Rationale of Rations' <Options-Exotic-Share Ratios> RISK 8/95 Elster J. 'Emotions & Economic Theory' JEL 3/98 Elton Edwin 'Expected Return, Realized Return, Asset Pricing Tests' JofF 8/99 Elton Edwin, Martin Gruber 'Estimation of Dependent Structure of Share Prices' JofF

12/73 Elton Edwin, Martin Gruber 'Non-Standard CAPMs & the Market Portfolio' JofF 7/84 Elton Edwin, Martin Gruber 'Portfolio Theory when Investment Relatives are Lognormally

Distributed' JofF 9-74 Elton Edwin, Martin Gruber 'Rationality of Asset Allocation Recommendations' JF&QA

3/2000 Elton Edwin, Martin Gruber, C. Blake 'Fundamental Economic Variables,Expected Returns

& Bond Fund Performance' JofF 9/95 Elton Edwin, Martin Gruber, C. Blake 'Peristence of Risk-Adjusted Mutual Fund

Performance' JofBusiness 4/96 Elton Edwin, Martin Gruber, C. Blake 'Survivorship Bias & Mutual Fund Performance' RFS

Winter 96 Elton Edwin, Martin Gruber, J. Mei 'Cost of Capital Using Arbitrage Pricing

Theory:Case Study of Nine N.Y. Utilities' Financial Markets,Insti.& Instrum. V3#3#94

Elton Edwin, Martin Gruber, J. Rentzler 'Arbitrage Pricing Model & Returns on Assets Under Uncertain Inflation' JofF 5/83

Elton Edwin, Martin Gruber, J. Rentzler 'Ex-Dividend Day Behavior of Stock Prices:Re-exam. of Clientele Effect:Comment' JofF 6/84

Elton Edwin, Martin Gruber, M. Padberg 'Simple Criteria for Optimal Portfolio Selection:Tracing out the Efficient Frountier' JofF 3/78

Elton Edwin, Martin Gruber, R. Michaely 'Structure of Spot Rates & Immunization' JofF 6/90

Elton Edwin, Martin Gruber, Sanford Grossman 'Discrete Expectational Data & Portfolio Performance' JofF 7/86

Elton Edwin, Martin Gruber, T. Urich 'Are Betas Best?' JofF 12/78 Elworthy K., X-M. Li, Marc Yor 'Importance of Strictly Local Martingale:Applications

of Radial Ornstein-Uhlembeck Processes' Prob. Theory Related Field 99 <SDE> Elworthy K., X-M. Li, Marc Yor 'The Importance of Strickly Local

Martingales:Applicaitons to Radial Ornstein-Uhlenbeck Processes' <martingales> Prob. Theory & Related Fields 99

Emanuel D. 'Theoretical Model for Valuing Preferred Stock' JofF 9/83 Emanuelli J., R. Pearson 'Using Earnings Estimates for Global Asset Allocation' FAJ

3/94 Embrechts Paul 'Survival Kit on Quantile Estimation' 97 <risk> Embrechts Paul 'The End of the Curve' Insurance RISK 7/99 <risk> <extreme value> Embrechts Paul, A. McNeil, Daniel Straumann 'Correlation & Dependency in Risk

Management:Properties & Pitfalls' 11/98 <risk> <copula,VaR,insurance> Embrechts Paul, A. McNeil, Daniel Straumann 'Correlation:Pitfalls & Alternatives' RISK

5/99 , 3/99 <risk> <copula,VaR,insurance> Embrechts Paul, Claudia Kluppelberg, P. Mikosch 'Modeling Extemal Events' Springer 97 Embrechts Paul, L.C.G. Rogers, Marc Yor 'A Proof of Dassios Representation of the

Alpha-Quantile of Brownian Motion with Drift' Ann Applied Prob 95 <brownian> Embrechts Paul, Makoto Maejima 'An Introduction to the Theory of Selfsimilar

Stochastic Processes' 2000 <stochastic> Embrechts Paul, Michel Dacorogna, G. Samorodnitsky, Ulrich Muller 'How Heavy are the

Tails of a Stationary HARCH(k) Process?:Study of the Moments'9/96 <returns>

Embrechts Paul, Sideny Resnick, G. Samorodnitsky 'Living on the Edge' RISK 1/98 ,<capital adequacy> 97 <risk>

Embrechts Paul, Sidney Resnick, G. Samorodnitsky 'Extreme Value Theory as a Risk Mangement Tool' 98 <risk>

Emery M. 'Une Topolgie sur l'Espace des Semimartingales' Seminaire de Prob. XIII Lecture Notes 721 79

Emmanuel D., J. MacBeth 'Further Results on the Constant Elasticity of Variance Call Option Pricing Model' JF&QA 82 <CEV>

Emmons W. 'Price Stability & the Efficiency of the Retail Payments System' Review S.L. FRB v 78 #5

Emmons W. 'Recent Developments in Wholesale Payment Systems' Review FRB St. Louis 11/97

Enchev O., J. Stoyanov 'Stochastic Integrals for Gaussian Random Functions' <stochastics> Stochastics v3. 1980

Enders W. 'Applied Econometric Time Series' Wiley 95 Engel J.,M. Gizycki 'Conservatism, Accuracy & Efficiency:Comparing Value-At-Risk

Models' 2/99 <risk>

Engelmann B., P. Schwendner 'The Pricing of Multi-Asset Options Using a Fourier Grid Method' J. Comp. Finance Summer 98 <options-rainbow>

Engen E., W. Gales,J. Scholz 'Illusory Effects of Saving Incentives on Savings' J. Econ. Per. Fall 96

Engers M. 'Signalling with Many Signals' Econometrica 5/87 Engers M., L. Fernandez 'Market Equilibrium with Hidden Knowledge & Self-Selection'

Econometrica 3/87 Engle C., J. Rogers 'How Wide is the Border?' AER 12/96 Engle Robert 'Autoregressive Conditional Heteroscedasticity with Estimates of the

Variance of U.K. Inflation'<econometrics> Econ July 82 Engle Robert 'Econometrics of Ultra-High Frequency Data' Econometrica 1/2000 Engle Robert 'Statistical Models for Financial Volatility' FAJ 1/93 Engle Robert 'Testing the Super Exogeneity & Invariance in Regression

Models'<regression>w.p. June 90 Engle Robert, A. Kane, J. Noh 'Index-Option Pricing with Stochastic Volatility & the

Value of Accurate Variance Forecasts' R. Derivatives Research V1 #2 96 , 10/93 <volatility>

Engle Robert, B. Yoo 'Forecasting & Testing in Co-integrated systems' 4-86 U. Cal. San Diego

Engle Robert, C. Hong, A. Kane, J. Noh 'Arbitrage Valuation of Variance Forecasts with Simulated Options' AF&OR6

Engle Robert, C. Mustafa 'Implied ARCH Models from Option Prices' J. Econometrics 92 <ARCH>

Engle Robert, Clive Granger 'Co-integration & Error Correction:Representation, Estimation & Testing' Econometrica 3/87

Engle Robert, D. Hendry, D. Trumble 'Small Sample Properties of ARCH Estimators & Tests' 85-6 <ARCH> U Cal. San Diego

Engle Robert, D. Hendry, J. Richard 'Exogeneity' Econometrica 3/83 Engle Robert, D. Lilien, R. Robins 'Estimating Time Varying Risk Premia in the Term

Structure:The Arch-M Model' Econometrica 3/87 Engle Robert, G. Gonzalez-Rivera 'Semiparametric ARCH Models'<ARCH> w.p. U Cal. San

Diego April 89 Engle Robert, G. Lee 'Estimating Diffusion Models of Stochastic Volatility' from

"Modelling Stock Market Volatility" 96 <volatility> Engle Robert, J. Mezrich 'GARCH for Groups'<ARCH> RISK 8/96 Engle Robert, J. Mezrich 'Grappling with GARCH'<volatiltiy> RISK 9/95 Engle Robert, Joshua Rosenberg 'GARCH Gamma' J. Derivatives Summer 95 Engle Robert, Joshua Rosenberg 'Testing the Volatility Term Structure using Option

Hedging Criteria' J. Deriv. Fall 2000 ,12/97 <volatility>

Engle Robert, T. Ito, W. Lin 'Metero Showers or Heat Waves? Heteroskedacity of Intra-Daily Volatility in the Foreign Exchange Market' Econometrica 5/90

Engle Robert, V. Ng 'Measuring & Testing Impact of News on Volatility' JofF 12/93 Engle Robert, V. Ng 'Time-Varying Volatility & Dynamic Behavior of Term Structure'

<term structure> NBER 4/91 Engle Robert, V. Ng, M. Rothschild 'Asset Pricing with a Factor ARCH Covariance

Structure:Empirical Esitmates for Treasury Bills' <effective markets' wp 7/87 Engle Robert, V. Ng, Michael Rothschild 'Asset Pricing with a FACTOR-ARCH Covariance

Structure:Empirical Estimates for Treasury Bills' J.Econometrics (90) Englisch H. 'Arbitrage und die Dominanzrelation bei Anleihen' <Borrowing> U. Leipzing

94 English W. 'Understanding the Costs of Soverign Default:American State Debts in the

1840s' AER 3/96 Engsted T. 'Cointegration & Cagan's Model of Hyperinflation under Rations

Expectations' J. Money,Credit & Banking 93 Engsted T. 'Does the Long Term Interest Rate Predict Future Inflation?' Aarhus 93 Ennis R. 'Structure of the Investment Management Industry:Revisting the New Paradigm'

FAJ 7/97 Enos M. 'On Dynamics & Control of Cats,Satellites & Gymnasts II' SIAM 11/92 Epple D., R. Romano 'Competition Between Private & Public Schools, Vouchers & Peer-

Group Effects' AER 3/98 Epps T. 'Finanical Risk & St. Petersburg Paradox:Comment' JofF 12/78 Epps T., M. Epps 'Stochastic Dependence of Security Price Changes & Transaction

Volumes:Mixed Distributions' <distributions> Econometrica 1976 Epps W. 'Pricing Derivative Securities' World Scientific 6/2000 Epstein D., Paul Wilmott 'A New Model for Interest Rates' Int. J. Theory & App.

Finance 98 <interest rates> Epstein D., Paul Wilmott 'A Nonlinear Non-Probabilistic Spot Interest Rate

Model'Philo. Trans.:Math,Phy.,Engin Aug 99 v357 #1758 ,<interest rates> Epstein D., Paul Wilmott 'Yield Envelope:Price Ranges for Fixed Income Products'

NetExposure 11/97 <term structure> Epstein D., R. Haber, Paul Wilmott 'Pricing & Hedging Convertible Bonds under Non-

Probabilistic Interest Rates' J. Deriv. Summer 2000 ,w.p. <interest rates> Epstein Larry 'Are Probabilites Used in Markets?' JET 3/2000 ,8/99 <complete

Markets><Ellsberg paradox> Epstein Larry 'Behavior Under Risk:Recent Developments in Theory & Applications' in

Advances in Econ. Theory VI v.2 Epstein Larry 'Global Stability of Efficient Intertemporal Allocations' Econometrica

3/87 Epstein Larry, Stanley Zin 'First Order Risk Aversion & Equity Premium Puzzle' U.

Toronto w.p.<Utility> Epstein Larry, Stanley Zin 'Substitution,Risk Aversion & Temportal Behavior of

Consumption & Asset Returns:Theoretical Framework' Econometrica 7/89 Epstein Larry, Stuart Turnbull 'Capital Asset Prices & the Temporal Resolution of

Uncertinity' JofF 6/80 Epstein Larry, T. Wang '"Beliefs about Beliefs" without Probabilities' Econometrica

11/96 Epstein Larry, T. Wang 'Intertemporal Asset Pricing Under Knightian Uncertainity'

Econometrica 3/94 Epureanu B., H. Greenside 'Fractal Basins of Attraction Associated with a Damped

Newton Method' SIAM Review 3/98 Erb C., Campbell Harvey, T. Viskanta 'Demographics & International Investments' FAJ

7/97 Erb C., Campbell Harvey, T. Viskanta 'Inflation & World Equity Selection' FAJ 11/95 Erb C., Campbell Harvey, T. Viskanta 'Influence of Political, Economic & Financial

Risk on Expected Fixed-Income Returns' J. of Fixed Income 6/96

Erb C., Campbell Harvey, T. Viskanta 'National Risk in Global Fixed-Income Allocation' J.Fixed Income 9/94

Erb C., Campbell Harvey, T. Viskanta 'Political Risk, Economic Risk & Financial Risk' FAJ 11/96

Erev I., A. Roth 'Predicting How People Play Games:Reinforcement Learning in Experimental Games with Unique,Mixed Strategy Equilibria' AER 9/98

Erickson D. 'Intutive Design' <Artifical Intel. application> SA 11/92 Erickson T. 'Proper Posteriors from Improper Priors for an Unidentified Errors in

Model' Econometrica 11/89 Erickson T. 'Restricting Regression Slopes in Errors in Variable Models by Bounding

the Error Correlation' Econometrica 7/93 Ericsson J., J. Reneby 'A Framework for Valuing Corporate Securities' App.Math

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Geman Helyette 'The Importance of the Forward Neutral Probability Measure in a Stochastic Apporach to Interest Rates' wp ESSEC 89

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Geman Helyette 'Une Analyse Generale du Risque de Taux : Une Approche Simplifie', (avec T. d'Archimbaud - R. Portait), Analyse Financière, N.80, mars 1990.

Geman Helyette 'Une Analyse par Arbitrage des Instruments à Taux Variable et à Taux R'visable', (avec T. d'Archimbaud and R. Portait), AFIR Colloquium Proceedings, 1990.

Geman Helyette, Alexander Eydeland 'Domino Effect' <options-average><closed form Asian options,Laplace transform> RISK 4/95

Geman Helyette, Dilip Madan, Marc Yor 'Asset Prices are Brownian Motion:Only in Business Time' 10/98 <brownian> <market clearing>

Geman Helyette, Dilip Madan, Marc Yor 'Investing in Skews' 6/2000 <volatility> <Variance-Gamma>

Geman Helyette, Dilip Madan, Marc Yor 'Time Changes for Levy Processes' MF 1/2001 ,<jump> <volatility> 11/99

Geman Helyette, Dilip Madan, Marc Yor 'Times Changes Hidden in Brownian Subordination' 4/2000 <Brownian>

Geman Helyette, Marc Yor 'Bessel Processes,Asian Options & Perpetuities'<Options-Average><Laplace,CIR,Brownian,Hull-White> MF 10-93

Geman Helyette, Marc Yor 'Pricing & Hedging Double-Barrier Options:Probabilistic Approach' <options-barrier> MF 10/96

Geman Helyette, Marc Yor 'Quelques Relations entre Processus de Bessel,Options Asiatiques et Fonctions Conflucentes Hypergeometriques' Comptes Reveus Acad. Sci. Serie I 92 <Options-Average><Asian,Laplace,exponential>

Geman Helyette, Marc Yor 'Stochastic Time Changes in Catastrope Option Pricing' Insurance:Math. & Econ. 97

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Geman Helyette, R. Souveton 'No Arbitrage Between Economies & Correlation Risk Managemnt'Computation Economics 97 <risk> <APT,exchange rate>

Geman Helyette, Thierry Ane 'Stochastic Subordination' <volatility> <stochastic clock> RISK 9/96

Geman Helyette, Valentine Genon-Catalot 'On the Estimation of the Diffusion Coefficient in Multidimensional Differential Equations' Ann.Inst. Poinc. v29#1 (93)

Gemmill G. 'Did Option Traders Anticipate the Crash? Evidence from Volatility Smiles in the U.K. with U.S. Comparisons' JFM 12/96

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Gerber Hans, Elias Shiu 'Actuarial Approach to Option Pricing' Istitut de Sciences Actuar. U Lausanne 95

Gerber Hans, Elias Shiu 'From Perpetual Strangles to Russian Options' 12/94 Insurance:Mathematics & Economics

Gerber Hans, Elias Shiu 'From Ruin Theory to Pricing Reset Guarrantees & Perpetual Put Options'<option-pricing><surplus,ruin,Lundberg,Laplace> Insurance:Math. & Econ. 234(1999)

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Gerber Hans, Elias Shiu 'Option Pricing by Esscher Transforms' & discussion Trans. Society of Actuaries 94 vol XLVI <option-distribution>

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Gerety M.,J. Mulherin 'Trading Halts & Market Activity:Analysis of Volume at Open & Close' JofF 12/92

Gerlach J. 'Accelerated Convergence in Newtons Method' SIAM NEWS 6/94 Gersbach H.,A. Glazer 'Politics & Choice of Durability'<Comment & Reply> AER 6/93 Gerstner E.,J. Hess,D. Holthausen 'Price Discrimination Through a Distribution

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Gertner R., D. Scharfstein 'Theory of Workouts & Effects of Reorganization Law' JofF 9/91

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Futures Markets V6 #1 87 Geske Robert, H. Johnson 'American Put Option Valued Analytically'IAFO&FOM , JofF Dec

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Ghosh A., K. Johnson 'Intertemporal Causality between GNMA & T-Bond Futures Prices'<bonds> J. Fixed Income 3/94

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Ghysels Eric 'On Stable Factor Structures in the Pricing of Risk:Do Time-Varying Betas Help or Hurt?'1/95 <risk><CAPM,APT> JofF 4/98

Ghysels Eric 'On the Economics & Econometrics of Seasonality' 90 <regression> Ghysels Eric, A. Hall 'An Extension of Quadrature-based Methods for Solving Euler

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CIRANO wp Ghysels Eric, Christian Gourieroux, J. Jasiak 'Market Time & Asset Price Movements

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FRB St. Louis 7/92 Gilbert R. 'Federal Reserve Lending to Banks That Failed:Implications for the Bank

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Gilson S., M. Vetsuypens 'CEO Compensation in Financially Distressed Firms:Empirical Anal.' JofF 6/93

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Glasserman Paul, Steven Kou 'The Term Structure of Simple Forward Rates with Jump Risk' MF 7/03 <term structure>

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Goetzmann William, Roger Ibbotson 'Do Winners Repeat?' J.Port.Manage. Winter 94 Goffe W. 'Computer Network Resources for Economists' J.Econ.Perspectives Summer 94 Goffe W., R. Parks 'The Future Information Infrastructure in Economics' J. Econ

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<Brownian> <CIR>, Ornstein-Uhlenbeck> Golay M., N. Todreas 'Advanced Ligh-Water Reactors' SA 4/90 Gold M., C. Leat , M. Perrin 'Senior Secured Floating-Rate Bank Loans for Life

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94 Hankansson N. 'Welfare Aspects of Options & Supershares' JofF 6/78

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Winter 96 Hansen Lars, J. Scheinkman 'Back to the Future:Generating Moment Implications for

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Hansen Lars, Thomas Sargent 'Dimensionality of Aliasing Problem in Models with Rational Spectral Densities' Econometrica 3/83

Hansen Lars, Thomas Sargent 'Formulating & Estimating Dynamic Linear Rational Expections Models: I' 79

Hansen P. 'Analysis of Discrete Ill-Posed Problems by Means of the L-Curve' SIAM Review 12/92

Hansen R., J. Lott 'Externatilities & Corporation Objectives in a World with Diversified Shareholder/Consumers' JF&QA 3/96

Hansen R., J. Pinkerton 'Direct Equity Financing:Resolution of a Paradox' JofF 6/82 Hansen R., N. Khanna 'Why Negotation with Single Syndicate Maybe Preferred...'

J.Business 7/94 Hansen R., P. Torregrosa 'Underwriting Compensation &^ Corporate Monitoring' JofF 9/92 Hansmann M., K. Holschuh 'Der deutsche Rentenmarkt-Struktur, Emittenten, Instrumente

und Abwicklung' Commerzbank Frankfurt 90 Hanson Floyd, J. Westman 'Optimal Consumption & Portfolio Policies for Important Jump

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Harris C.,P.Reny,A. Robson 'Existence of Subgame-Perfect Equilibrium in Continuous Games with Almost Perfect Information:Case for Public Randomization' Econometrica 5/95

Harris D. 'Some Evidence on Differential Lending Practices at Commercial Banks' JofF 12/73

Harris E. 'Why One Firm Is the Target & the other the Bidder in Single Bidder Synergistic Takeovers' JofB 4/94

Harris F.,T. McInish,G. Shoesmith,R. Wood 'Cointegration Error Correction & Price Discovery on Informationally Linked Security Markets' JF&QA 12/95

Harris J.,R. Roenfeldt,P. Cooley 'Evidence of Financial Leverage Clienteles' JofF 9/83 Harris L. "Estimation of Stock Price Variances & Serial Covariances from Discrete

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6/87 Harris L., E. Gurel 'Price & Volume Effects Associated with Changes in the S&P 500:New

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<Brownian> Harrison J. Michael, R. Pitbladdo, Steven Schaefer 'Continuous Price Processes in

Frictionless Markets Have Infinite Variation' <distributions> JofB 1984 Harrison J. Michael, Stanley Pliska 'A Stochastic Calculus Model of Continuous

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Hart O. 'On the Optimality of Equilibrium when the Market Structure is Complete' JET 75

Hart O., J. Moore 'Incomplete Contracts & Renegotiation' Econometrica 7/88 Hart S. 'An Axiomatization of Harsanyis Nontransfereable Utility Solution'

Econometrica 11/85 Hart S. 'Nontransferable Utility Games & Markets:Some Examples & the Harsanyi

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(81) Harvey Andrew, E. Ruiz, Neil Shephard 'Multivariate Stochastic Variance Models'<ARCH>

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JFE 89 <asset pricing> Harvey Campbell 'World Price of Covariance Risk' JofF 3/91 Harvey Campbell, A. Siddique 'Autoregressive Conditional Skewness' JF&QA 12/99 Harvey Campbell, A.Siddique 'Conditional Skewness in Asset Pricing Tests' JofF 6/00 Harvey Campbell, Robert Whaley 'Dividends & S&P Index Option Valuation' JFM 4/92 Harvey Campbell, Robert Whaley 'S&P 100 Index Option Volatility' JofF 9/91 Hasan I.,S. Smith 'Note on Competition, Fixed Costs & Profitability of Depository

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Hathaway N. 'Testing the Cox-Ingersoll-Ross Term Structure Model:Australian Evidence' U. Melbourne Aug 89

Hatheway F. 'Time Series Model of Futures Time & Sales Data' Research Symp Proced. CBT 5/95

Hau H. 'Competitive Entry & Endogenous Risk in the Foreign Exchange Market' RFS Winter 98

Haug A., R. Lucas 'Long-Run Neutratility & Superneutrality in an ARIMA Framework' AER 9/97

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Finance 4/2001 ,2/2000 <options-barrier> Haugen R., A. Stroyny, D. Wichern 'Rate Regulation, Capital Structure & the Sharing of

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9/73 Haugen R., D. Wichern 'Elasticity of Financial Assets'in RII & JofF 9-74 Haugen R., E. Talmor, Walter Torous 'Effect of Volatility Changes on the Level of

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Hausman Jerry 'Econometrics of Nonlinear Budget Sets' Econometrica 11/85 Hausman Jerry 'Effect of Time inEconomic Experiments' in Advances in Econometrics V.5 Hausman Jerry, B. Hall, Ziv Griliches 'Econometric Models for Count Data with

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Econometrica 9/84 Hausman Jerry, W. Taylor 'Panel Data & Unobservable Individual Effects' Econometrica

11/81 Hausman Jerry, Whitney Newey 'Nonparametric Estimation of Exact Consumer Surplus &

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He H., H. Leland 'On Equilibrium Asset Price Processes' Review of Finan.Stud 93 <asset price>

He H., Neil Pearson 'Consumption & Portfolio Policies with Incomplete Markets & Short-Sale Constraints:the Finite Dimensional Case' <consumption> MF 7/91

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4/98 He J., L. Ng, C. Zhang 'Tests of the Relationships Among Economic Forces, Fundamental

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He J., R. Kan, L. Ng, C. Zhang 'Tests of the Relations Among Marketwide Factors, Firm-Specific Variables & Stock Returns using a Conditional Asset Pricing Model' JofF 12/96

He Janet 'Empirical Tests of the Capital Asset Pricing Model & the Predictability of Business Cycles Using Financial Derivatives' SUNY Albany 97 PhD

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Heath David, Martin Schweizer 'Martingales versus PDEs in Finance:An Equivalence Result with Examples' 9/99 <martingale><Feynman-Kac>

Heath David, Robert Jarrow 'Arbitrage, Continuous Trading & Margin Requirements' JofF 12/87

Heath David, Robert Jarrow, Andrew Morton 'Bond Pricing & the Term Structure of Interest Rates' Econometrica Jan 92

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Heston Steven 'A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond & Currency Options' <volatility> <correlation, characteristic function, skew, Fourier> RFS v.6 #2 93

Heston Steven 'A Model of Discontinuous Interest Rate Behavior, Yield Curves & Volatility' <term structure> <gamma process> wp 1/95

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Heston Steven 'Yield Curves & Volatility' 93 Heston Steven, Guofu Zhou 'Exploring the Relation between Discrete-Time Jump Processes

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Heston Steven, Saikat Nandi 'A Closed-Form GARCH Option Pricing Model' RFS 7/2000 <option-pricing>

Heston Steven, Saikat Nandi 'A Discrete-Time Two-Factor Model for Pricing Bonds & Interest Rate Derivatives under Random Volatility' 12/99 FRB Atlanta <interest rates>

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Hetzel R. 'Arthur Burns & Inflation' Econ. Quart. Winter 98

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Hetzel R. 'Free Trade Debate:Illusion of Security Versus Growth' Economic Quarterly FRB Richmond Sprint 94

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Hu J. 'Information Ambiguity:Recognizing Its Role in Financial Markets' Review FRB Atlanta 7/94

Hu J. 'Market Breakdown & Price Crashes Explained by Information Ambiguity' FRB 11/94 <alpha>

Hu J., T. Noe 'Insider Trading Debate' Review FRB Atlanta 4Q 97 Hu J., T. Noe 'Insider Trading, Costly Monitoring & Managerial Incentives' FRB Atlanta

5/97 Hu J., T. Pavlidis 'Function Plotting Using Conic Splines'<interpolation> Computer

Graphics Jan 91 Hu Y. 'Stability Theorems & Homogenization of Nonlinear PDEs with Periodic Structures'

in El Karoui,Mazliak (ed) 'Backward Stochastic Differential Equations' Hu Y., David Nualart 'Continuity of Some Anticipating Integral Processes' Stats &

Prob. Letters 2/98 Hu Y., J. Yong 'Forward-Backward Stochastic Differential Equations with Nonsmooth

Coefficients' SP&A 87 2000 <SDE> <four step,Feynman-Kac,viscosity> Hu Y., O. Oksendal 'Optimal Time to Invest when the Price Prcoesses are Geometric

Brownian Motions' Finance & Stochastics #3 98 <brownian> Hu Y., Shige Peng 'Adapted Solut.Backward ..Stoch. Equation' STOCHAST.ANAL. APPL 91 Hu Y., Shige Peng 'Adapted Solution of a Backward Semilinear Stochastic Evolution

Equation' <SDE> SP&A 91 Hu Y., Shige Peng 'Solution of Forward-Backward Stochastic Differential Equations'

Prob.Teory & Related Fields 95 Hu Y., Shige Peng 'Stability Theorem of Backward Stochastic Differential Equations &

its Application' Comptes A. 5/97 <SDE> Hu Y., Z. Shi 'Favoritie Sites of Transient Brownian Motion' SP&A 1/98 Hu Yaozhong 'Probability Structure Preserving & Absolute Continuity' U. Kansas 99

<brownian> <fractional,Girsanov> Hua P., Paul Wilmott 'Crash Courses' <hedging> <market crash> RISK 6/97 Hua P., Paul Wilmott 'Modelling Market Crashes:Worst-Case Scenario'<risk> Huag E. 'Opportunities & Perils of Using Option Sensitivities' J.Financial Engineering

9/93 Huang C. 'Intertemporal General Equilibrium Asset Pricing Model:Case of Diffusion of

Information' Econometrica 1/87 Huang C., Henri Pages 'Optimal Consumption & Portfolio Policies with an Infinite

Horizon:Existence & Convergence' <consumption> w.p. May 90 Huang C., Robert Litzenberger 'Foundations for Financial Economics' North Holland 88 Huang C., S. Wong, D. Tang 'Hong Kong Residential Mortgage Prepayment Analysis &

Modeling' J. Fixed Income 3/99 Huang C., Thaleia Zariphopoulou 'Turnpike Behavior of Long-Term Investments' Finance &

Stochastics 1/99 <portfolio> <control,viscosity> Huang C., W. Xia 'Modeling ARM Prepayments' J.Fixed Income 3/96 Huang J., J-S. Pang 'A Mathematical Programming with Equilibrium Constraints Approach

to the Implied Volatility Surface of American Options' J. Computational Finance Fall 2000 <option-American>

Huang J., J-S. Pang 'Option Pricing and Linear Complimentarity Approach' J. Comp Finance Fall 98 <option pricing><upwinding>

Huang J., Marti Subrahmanyam, G. Yu 'Pricing & Hedging American Options:A Recursive Integration Method'<options-American> RFS v9 #1 (96)

Huang K., J. Werner 'Asset Price Bubbles in Arrow-Debreu & Sequential Equilibrium' Economic Theory 2000 <asset pricing>

Huang P., H. Wu 'Competitive Equilibrium of Incomplete Markets for Securities with Smooth Payoffs' JME 1994 <complete markets>

Huang P., H. Wu 'Equilibrium of Incomplete European Option Markets' <option-pricing> Tulane Jan 90

Huang R. 'Analysis of Intertemporal Pricing for Forward Foreign Exchange Contracts' JofF 3/89

Huang R. 'Expectations of Exchange Rates & Differential Inflaction Rates: Further Evidence on Purchasing Power Parity in Efficient Markets' JofF 3/87

Huang R. 'Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market:Test Based on Volatility' JofF 3/81

Huang R., Hans Stoll 'Competitive Trading of NYSE Listed Stocks:Measurement & Interpretation of Trading Costs' FMI&I v.5 #2 1997

Huang R., Hans Stoll 'Components of the Bid-Ask Spread:General Approach' RFS Winter 97 Huang R., J. Hoje 'Transformed Security & Alternative Factor Structure' JofF 3/92 Huang R., R. Masulis 'FX Spreads & Dealer Competition across the 24-Hour Trading Day'

RFS Spring 99 Huang R., R. Masulis, Hans Stoll 'Energy Shocks & Financial Markets' J.of Futures

Markets 2/95 Huang R., W. Kracaw 'Stock Market Returns & Real Activity:Note' JofF 3/84 Huang Z-F., S. Solomon 'Power, Levy, Exponential & Gaussian Regimes in Autocatalytic

Financial Systems' 8/2000 <distribution> Hubalek F., Walter Schachermayer 'When Does Convergence of Asset Price Processes Imply

Convergence of Option Prices?' MF 10/98 98, <option-pricing> Hubbard R., D. Palia 'Reexamination of the Conglomerate Merger Wave in the

1960s:Internal Capital Markets View' JofF 6/99 Huberman Gur 'A Simple Approach to Arbitrage Pricing Theory' TVI Huberman Gur 'External Financing & Liquidity' JofF 7/84 Huberman Gur, S. Kandel 'Mean-Variance Spanning' JofF 9/87 Huberman Gur, S. Kandel, Robert Stambaugh 'Mimicking Portfolios & Exact Arbitrage

Pricing' JofF 3/87 Huberman Gur, Steven Ross 'Portfolio Turnpike Theorems, Risk Aversion & Regularity

Varying Utility Functions' Econ 9/83 <portfolio> Hubert L., J. Meulman, W. Heiser 'Two Purposes for Matrix Factorization:Historical

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9/92 Huestis S. 'Smallest Nonnegative Solution to Linear Inverse Problems' SIAM Review

12/92 Huestis S. 'Use of Linear Programming in the Construction of Extremal Solutions to

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Model' 8/98 <credit> Huggins Douglas 'Estimation of a Diffusion Process for the US Short Interest Rate

Using a Semigroup Pseudo Likelihood' 8/97 <diffusion> Hughston Lane 'Financial Geometry:A New Angle on Risk'<risk> IDR (95?) Hughston Lane 'Financial Observables' <interest rates> <term structure,volatility>

International Derivatives Review 12/94 Hughston Lane 'Stochastic Differential Geometry, Financial Modeling and Arbitrage-Free

Pricing' wp 94 Merrill Lynch Hughston Lane, Stuart Turnbull 'Credit Derivatives Made Simple' RISK 10/00 <credit

risk> Hugonnier Julien 'The Feynman-Kac Formula & Pricing Occupation Time Derivatives'

Inter. J. Theore.& Applied Finance V2,#2 99 <SDE><path, Laplace>

Huh C. 'Forecasting Industrial Production Using Models with Business Cycle Asymmetry' Econ. Review FRB SF 98 #1

Huh C., B. Treban 'Modeling the Time Series Behavior of the Aggregate Wage Rate' Economic Review FRB S.F. 1995 #1

Huh C., K. Lansing 'Federal Reserve Credibility & Inflation Scares' Econ. Review FRB SF 98 #2

Hui C. 'Modeling Forward Credit Risk-an Option Approach' J. Fixed Income 9/99 Hui C. 'One-Touch Double Barrier Binary Option Values' Applied Financial Economics

8/96 V.6 #4 <options-barrier> Hui C. 'Time-Dependent Barrier Option Values' JFM 97 <option-barrier> Hui C., C. Lo 'A Note on Risky Bond Valuation' Inter. J. of Theor. & Applied Finance

7/2000 ,7/2000 <bonds> Hui C., C. Lo, P. Yuen 'Comment on Pricing Double Barrier Options using Laplace

Transforms' Finance & Stochastics (4)2000 <option-barrier> Hui C., C. Lo, S. Tsang 'Pricing Corporate Bonds with Risk Adjustable Default Barrier'

<bond> 7/2000 Huisman R., K. Koedijk, C. Kool, F. Palm 'The Fat-Tailedness of FX Returns' wp Linburg

Inst. Maastricht U. 98 Huizinga J., F. Mishkin 'Inflation & Real Interest Rates on Assets with Different Risk

Characteristics' NBER 4-84,JofF 7/84 Hull John 'Interest Rate Volatility'<term structure> IIR Volt. Analysis Conference

Jan 92 Hull John, Alan White 'A Note on the Models of Hull & White for Pricing Options on the

Term Structure:Response' <Term Structure> J. Fixed Income 9/95 Hull John, Alan White 'An Analysis of the Bias in Option Pricing Caused by Stochastic

Volatility' <volatility> AF&OR Vol 3 Hull John, Alan White 'Bond Option Pricing Based on Model for Evolution of Bond

Prices'<bonds> AF&OR6 Hull John, Alan White 'Branching Out'<term structure> <numeric,trinomial lattice>

RISK 7/94 Hull John, Alan White 'Coming to Terms'<term structure> RISK 12/89 <interest rate

depend.,caps,floors,collars> Hull John, Alan White 'Efficient Procedures for Valuing European & American Path-

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9/93 Hull John, Alan White 'Forward Rate Volatilities, Swap Rate Volatilities, & the

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Hull John, Alan White 'Hedging Risks from Writing Foreign Currency Options'<foreign exchange> J. Inter. Money & Finance 1987

Hull John, Alan White 'Impact of Default Risk on the Prices of Options & Other Derivative Securities' J. Banking & Finance 95 <Credit Risk>

Hull John, Alan White 'In the Common Interest'<term structure> <interest rate options> Risk 3/92

Hull John, Alan White 'Incorporating Volatility Up-Dating into the Historical Simulation Method for VaR' J. of Risk Fall 98

Hull John, Alan White 'New Ways with the Yield Curve'<term structure> RISK 10/90 Hull John, Alan White 'Numerical Procedures for Implementing Term Structure Models

I:Single-Factor Models'<term structure> J. of Derivatives Fall 94 Hull John, Alan White 'Numerical Procedures for Implementing Term Structure Models

II:Two-Factor Models'<term structure> wp 9/94;J.Derivatives Winter 94 Hull John, Alan White 'One-Factor Interest Rate Models & Valuation of Interest Rate

Derivative Securities'<term structure> wp,91,JF&QA 6/93 Hull John, Alan White 'Price of Default' <credit risk> RISK 9/92 <credit risk> Hull John, Alan White 'Pricing Interest Rate Derivative Securities' (ed) S.Hodges

Options:Recent Advances V.2 1992 ,<term structure> RFS 1990 V.3 No. 4

Hull John, Alan White 'Pricing of Options on Assets with Stochastic Volatilities' JofF 6/87

Hull John, Alan White 'Pricing of Options on Interest Rate Caps & Floors Using the Hull-White Model'<caps> J.Financial Engineering 9/93

Hull John, Alan White 'Root and Branch'<options-numeric><binomial,trinomial> RISK 9/90

Hull John, Alan White 'Use of the Control Variate Technique in Option Pricing' JF&QA Sept 88 <options-numeric>

Hull John, Alan White 'Using Hull-White Interest Rate Trees' <term structure> J.of Derivatives Spring 96

Hull John, Alan White 'Value at Risk When Daily Changes in Market Variables are Not Normally Distributed' J. of Derivatives Spring 98

Hull John, Alan White 'Valuing Credit Default Swaps I:No Counterparty Default Risk' J. Derivatives V8 #1 Fall 2000 ,wp 4/2000 <credit risk>

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Hummels D., J. Levinsohn 'Products Diff. as Source of Comparative Advantage AER May 93 Humphrey D. 'Delivering Deposit Services:ATM Versus Branches' Economic Quarterly FRB

Richmond Sprint 94 Humphrey D. 'Economics of Electronic Benefit Transfer Payments' Economic Quarterly FRB

Richmond Spring 96 Humphrey D. 'Why Do Estimates of Bank Scale Economies Differ' Economic Reivew FRB

Richmond 9/90 <alphabetic> Humphrey T. 'Algebraic Production Functions & their Uses before Cobb-Douglas' FRB

Richmond Econ. Quarterly Humphrey T. 'Early History of the Box Diagram' Economic Quarterly FRB Richmond Winter

96 Humphrey T. 'Evolution & Policy Implications of Phillips Curve Analysis' FRB Rich.

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97 Humphrey T. 'John Wheatleys Theory of International Monetary Adjustment' Econ.

Quarterly FRB Richmond Summer 94 Humphrey T. 'Marshallian Cross Diagrams & Uses before Alfred Marshall:Origins of

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Review Richmond FRB 11/92 Humphrey T. 'When Geometry Emerged:Some Neglected Early Contributions to Offer-Curve

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JofF 3/94 Hung M., H. Zhang 'Price Movements & Price Discovery in the Municipal Bond Index & the

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Stochastics #3 98 , 3/98 <interest rates> Hunt Philip, Joanne Kennedy 'On Convexity Corrections' 3/98 <term structure>

Hunt Philip, Joanne Kennedy 'On Multi-Currency Interest Rate Models' 2/98 <interest rates>

Hunt Philip, Joanne Kennedy, Antoon Pelsser 'Fit & Run' RISK 3/98 <Markov term structure>

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Hunt Philip, Joanne Kennedy, E. Scott 'Terminal Swap-Rate Models' 3/98 <swaps> Hunter W. 'Banking Reform & Transition to Market Economy in Bulgaria' Economic Review

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Exchange Forecasts' w.p. Atlanta Fed Jul 91 Hunter W., S. Timme 'Core Deposits & Physical Capital:Reexam. Bank Scale Economies &

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Premarket:Stochastic Frontier Approach' RFS Winter 96 Hunton D. 'Shuttle Glow' SA 11/89 Huntzinger R. 'Market Analysis with Rational Expections:Theory & Estimation' 78 Hunziker J., P. Koch-Medina 'Interest Rates & Life Insurance' in Nelken I. (ed)

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Husemoller D. 'Fibre Bundles' 85 Springer Hussain A. 'Social Security in Present Day China & Its Reform' AER 5/94 Hut P., G. Sussman 'Advanced Computing for Sciences' SA <no date> Hutchinson J., A. Lo, T. Poggio 'A Nonparametric Approach to Pricing & Hedging

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Richmond Winter 93 Ireland P. 'Two Perspectives on Growth & Taxes' Economic Quart. FRB Richmond 1Q 94 Ireland P. 'Using the Permanent Income Hypothesis for Forecasting' Economic Quarterly

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Pairwise Bargaining' Econometrica 9/98 Jackson Nicolas, Endre Suli 'Adaptive Finite Element Solution of 1D European Option

Pricing Problems' 8/98 <option-pricing><posterior error analysis> Jackson Nicolas, Endre Suli, Sam Howison 'Computation of Deterministic Volatility

Surfaces' J. Computational Finance Winter 98/99 <volatility> Jackwerth Jens 'Generalized Binomial Trees',J.of Deriv. Winter 97 , <options-numeric>

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<volatility>8/96 Jackwerth Jens 'Option Implied Risk-Neutral Distributions & Implied Binomial

Trees:Literature Review' J. Deriv. Winter 99<volatility>,<option-pricing> 5/99 Jackwerth Jens 'Recovering Risk Aversion from Option Prices & Realized Returns' RFS

Summer <volatility> Jackwerth Jens, Mark Rubinstein 'Implied Binomial Trees:Empirical Analysis'Research

Symp Proced. CBT 5/95 (volatility) Jackwerth Jens, Mark Rubinstein 'Recovering Probability Distributions from

Contemporaneous Security Prices' <volatility> 10/95 Jackwerth Jens, Mark Rubinstein 'Recovering Probability Distributions from Option

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Derivatives, Representation of Martingales' Z. Wahrsch. & Verw Gebiete 75 Jacod Jean 'Random Sampling in Estimation Problems for Continuous Gaussian Processes

with Independent Increments'SP&A 1993 <Diffusion> Jacod Jean 'Rates of Convergence to the Local Time of a Diffusion' Ann. IHP 7/98

<diffusion> Jacod Jean 'Un Theoreme de Representaiton pour les Martingales Discontinues' Z.

Wahrasc. & Verw. Gebiete 76 Jacod Jean 'Weak & Strong Solution of Stochastic Differential Equations' <SDE>

Stochastics v3. 1980 Jacod Jean, Albert Shiryaev 'Limit Theorems for Stochastic Processes' Jacod Jean, Albert Shiryaev 'Local Martingales & the Fundaemental Asset Pricing

Theorems in the Discrete Time Case' Finance & Stochastics #3 98 <martingale>

Jacod Jean, Anatolii Shorokhod 'Jumping Markov Processes' <Markov> Annales de l'IHP 1996 #1

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Using Cross-Sectional Regression' JofF 8/98 Jaillet Patrick, Damien Lamberton, Bernard Lapeyre 'Inequations Variationnelles et

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Jaillet Patrick, Damien Lamberton, Bernard Lapeyre 'Variational Inequalities & Pricing of American Options' <options-american> Acta Appli. Math. 1990

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Jaimez G., R. Roman, T. Ruiz 'Inference on Univariate Lognormal Diffusion Process via First-Passage Times' App. Stochastic Models & Data Analysis v 1. 93 <diffusion>

Jain B., C. Kini 'Post-Issue Operating Performance of IPO Firms' JofF 12/94 Jain P. 'Effect of Voluntary Sell-off Announcements on Shareholder Wealth' JofF 3/85

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12/92 James C., Robert Edmister 'Relation Between Common Stock Returns Trading Activity &

Market Value' JofF 9/83 James C., S. Koreisha, M. Parten 'VARMA Analysis of Causal Relations Amoung Stock

Returns,Real Output & Nominal Interest Rates' JofF 12/85 James Christopher 'RAROC Based Capital Budgeting & Performance Evaluation:A Case Study

of Bank Capital Allocation' 1/97 U. Florida James J. 'Total Return Swaps' 3/98 NetExposure <swaps> James J., M. Thomas 'A Timely Exit' RISK 11/98 <trading><stop loss,trade exit> James Jessica 'Risk Management Examples' UofC seminar 2/2000 <risk> Jameson L. 'A Wavelet-Optimized Very High Order Adaptive Grid & Order Numerical Method

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Method' SIAM J. Scie. Comp 98 <wavelet> Jameson M., W. Wilhelm 'Market Making in Options Markets & Costs of Discrete Hedge

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Model'<bonds> Research in Finance 1991 Jamshidian Farshid 'Bond,Futures & Option Evaluation in the Quadratic Interest Rate

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Model' <term structure> R. Fut.Market 92 Jamshidian Farshid 'Corralling Quantos' <hedging> <options-product>RISK 3/94 Jamshidian Farshid 'Formulas for American Options' Merrill Lynch Capital Markets w.p.

1989 Jamshidian Farshid 'Forward Induction & Construction of Yield Curve Diffusion

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9/97 <swaps> <Bermuda Swaptions,swaps,path independent,path dependent> Jamshidian Farshid 'LIBOR & Swap Market Models & Measures II' Sakura 96

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Theory' JF&QA 6/94<derivative> Jarrow Robert 'Heterogeneous Expectations, Restrictions on Short Sales and Equilibrium

Asset Prices' JofF 12/80 Jarrow Robert 'Market Manipulation, Bubbles,Corners & Short Squeezes' JFQ&A 9/92 Jarrow Robert 'Preferences,Continuity & Arbitrage Pricing Theory' (88) #2 RFS

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1997 <term structure> Jarrow Robert, Andrew Rudd "Approximate Option Valuation for Aribrary Stochastic

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Jarrow Robert, D. van Deventer 'Arbitrage Free Valuation & Hedging of Demand Deposits & Credit Card Loans' J. Banking & Finance 3/98

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Credit Risk Spreads' <Risk-Credit> 8/95,RFS Summer 97 Jarrow Robert, Dilip Madan 'Characterization of Complete Security Markets on a

Brownian Filtration' <stochastics> MF July 91 Jarrow Robert, Dilip Madan 'Hedging Contingent Claims on Semimartingales' Finance &

Stochastics 1/99 <martingale> Jarrow Robert, Dilip Madan 'Is Mean-Variance Analysis Vacuous or Was Beta Still

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12/89 Jarrow Robert, Stuart Turnbull 'An Integrated Approach to the Hedging & Pricing of

Eurodollar Derivatives' J. Risk & Insurance 7/97 , wp Wharton 96-25 <eurodollarse>

Jarrow Robert, Stuart Turnbull 'Delta,Gamma and Bucket Hedging of Interest Rate Derivatives' <hedging> <replication> App.Math.Finance V1,#1 9/94 <On Index>

Jarrow Robert, Stuart Turnbull 'Drawing the Analogy'<interest rates> <Credit Risk on Derivatives> RISK 10/92

Jarrow Robert, Stuart Turnbull 'Interest Rate Risk Management in the Presence of Default Risk' <credit risk> w.p. 6/92

Jarrow Robert, Stuart Turnbull 'Pricing & Hedging of Options on Financial Securities Subject to Credit Risk:Discrete Time Case' <credit risk> w.p. 6/92

Jarrow Robert, Stuart Turnbull 'Pricing Derivatives on Financial Securities Subject to Credit Risk' JofF 3/95

Jarrow Robert, Stuart Turnbull 'Pricing Options on Financial Securities Subject to Credit Risk' <credit risk> w.p. 6/92

Jarrow Robert, Stuart Turnbull 'The Interesection of market & Credit Risk' J. Banking & Finance Jan 2000 <credit risk>

Jarrow Robert, Stuart Turnbull 'Unified Approach for Pricing Contingent Claims on Multiple Term Structures' <term structure> w.p. 4/92

Jarrow Robert, Stuart Turnbull 'When Swaps are Dropped' RISK 5/97 <swaps> <default risk, foreign currency>

Jarrow Robert, X. Jin, Dilip Madan 'The Second Fundamental Theorem of Asset Pricing' MF 7/99 ,<asset pricing><complete market,Artzner, Heath> 9/98

Jarvis Dennis, Harold Kushner 'Codes for Optimal Stochastic Control:Documentation & Users Guide' 5/96

Jaschke Stefan 'A Note on Present Value Principle in Markets with Transaction Costs' 96 <transaction>

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Jaschke Stefan 'Arbitrage Bounds for the Term Structure of Interest Rates' 6/95<term structure>, Finance & Stochastics 1/98 <arbitrage>

Jaschke Stefan 'Discounting Stochastic Cash Flows & Modeling the Term Structure Dynamics' 5/93 <term structure>

Jaschke Stefan 'Exploratory Data Analysis of Short-Term Interest Rates' <term structure> wp 11/94

Jaschke Stefan 'Higher Order Forward Rate Agreements & the Smoothness of the Term Structure' 7/98 <term structure>

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Jaschke Stefan 'Zu Stochastischen Modellen in der Finanzmathematik' 6/92 <Duffie's Security Markets> <finance>

Jaschke Stefan, U. Kuchler 'Coherent Risk Measures, Valuation Bounds & (mu,rho)-Portfolio Optimization' 9/99 <superceeded>

Jaschke Stefan,R. Stehle,S. Wernicke 'Arbitrage am Deutschen Rentenmarkt und die Bestimmung der Zinsstruktur' 96

Jawerth B.,W. Sweidens 'An Overview of Wavelet Based Multiresolution Analyses' SIAM Review 9/94 <wavelet>

Jean W. 'Geometric Mean & Stochastic Dominance' JofF 3/80 Jean W. 'Harmonic Mean & Other Necessary Conditions for Stochastic Dominance' JofF

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Market Model with Discontinuous Prices' <portfolio> App.Math & Optim. 1990 Jeanloz R., T. Lay 'Core-Mantle Boundary' SA 5/93 Jeantheau T. 'Strong Consistency of Estimators for Multivariate ARCH Models' <ARCH> Jeffrey Andrew 'An Empirical Examination of a Path-Dependent Term Structure Model '

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Structure Models:A Note' 9/97 Yale <term structure> Jeffrey Andrew 'Construction of a Single Factor Heath-Jarrow-Morton Term Structure

Model' <term structure> 8/94 w.p. Jeffrey Andrew 'Single Factor Heath-Jarrow-Morton Term Structure Models Based on

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Jeffrey R., R. Arnott 'Is Your Alpha Big Enough to Cover its Taxes?' J. Portfolio Management Spring 93

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Econometrica 9/90 Jorian Philippe 'Risk^2: Measuring the Risk in Value at Risk' FAJ 11/96 Jorion Philippe 'In Defense of VAR' <hedging> Jorion Philippe 'Lessons from the Orange County Bankruptcy' J. of Derivatives Summer

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Jorion Philippe 'Mean/Variance Analysis of Currency Overlays' FAJ 5/94<foreign exchange>

Jorion Philippe 'On Jump Processes in the Foreign Exchange & Stock Markets' RFS Winter/88

Jorion Philippe 'Predicting Volatility in Foreign Exchange Markets' JofF 6/95 Jorion Philippe 'Pricing of Exchange Rate Risk in the Stock Market' <foreign exchange>

JF&QA Sept 90 Jorion Philippe, E. Schwartz 'Integration Vs. Segmentation in the Canadian Stock

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1656 97 Jouini Elyes, C. Napp 'Arbitrage & Investment Opportunities' tobe Finance &

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J. of Risk V1. #2 98 Judd J., B. Motley 'Controling Inflation with an Interest Rate Adjustment' Economic

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Economic Review FRB S.F. #3 93 Judd J., J. Beebe 'Output-Inflation Trade-off in the U.S. Has it Changed Since the

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Judd J., J. Scadding 'Liability Management, Bank Loans & Deposit Market Diequilibrium' SF Review Summer 81 <alpha>

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Judd K. 'Minimum Weighted Residual Methods for Solving Aggregate Growth Models'w.p. Fed Minn. April 91

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Kabanov Yuri, Safarian 'On Lelands Strategy of Option Pricing with Transaction Costs' Finance & Stochastics 97 ,<options-transaction> wp Humboldt U.

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Kadapakkam P-R., S. Seth 'Trading Profits in Dutch Auction Self-Tender Offers' JofF 3/94

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Kadlec G., D. Patterson 'A Transactions Data Analysis of Nonsynchronous Trading' RFS Summer 99

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Kahn C., G. Pennacchi, B. Sopranzetti 'Bank Deposit Rate Clustering: Theory and Empirical Evidence' JofF 12/99

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Method of OR V50 #2 99 <complete markets> Kallsen Jan 'Optimal Portfolios for Exponential Levy Processes' <portfolio> Math.

Methods Operations Research V51 #3 2000 Kallsen Jan 'Semimartingale Modelling in Finance' PhD 98 <martingales>

Kallsen Jan 'Utility-Based Derivative Pricing in Incomplete Markets' 12/2000 <option-pricing>

Kallsen Jan, Albert Shiryaev 'Cumulant Process & Esscher's Change of Measure'FS 2002, 12/2000 <martingale>

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Kandori M., G. Mailath, R. Rob 'Learning, Mutation & Long-run Equilibrium in Games' Econometrica 1-93

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Kane A., A. Marcus 'Valuation & Optimal Exercise of the Wild Card Option in Treasury Bond Futures' JofF 3/86

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Karatzas Ioannis 'Optimization Problems in the Theory of Continuous Trading'<option-pricing> SIAM J. Control & Optimization Nov 89

Karatzas Ioannis, Daniel Ocone 'Extension of Clark's Formula'<Brownian motion> S&SR 1991

Karatzas Ioannis, Daniel Ocone, H. Wang, M. Zervos 'Finite-Fuel Singular Control with Discretionary Sopping' <optimal stopping> 4/2000

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Karatzas Ioannis, John Lehoczky, Steven Shreve 'Existence & Uniqueness of Mult-agent Equilibrium in a Stochastic Dynamic Consumption/Investment Model'<consumption> Math of O.R. 2/90

Karatzas Ioannis, John Lehoczky, Steven Shreve 'Optimal Portfolio & Consumption Decisions for a Small Investor on a Finite Horizon'<portfolio> SIAM J. Control & Optimization Nov 87

Karatzas Ioannis, John Lehoczky, Steven Shreve 'Explicit Solution of a General Consumption/Investment Problem' <consumption> Math. of Operation Research v11,#2 1986

Karatzas Ioannis, John Lehoczky, Steven Shreve, G. Xu 'Martingale & Duality Methods for Utility Maximization in Incomplete Market' <martingale> SIAM J. Control 5/91

Karatzas Ioannis, John Lehoczyk, Steven Shreve 'Equilibrium Models with Singular Asset Prices' <asset prices> Mathematical Finance 7/91

Karatzas Ioannis, Martin Shubik, William Sudderth 'A Strategic Market Game with Secured Lending' J. Math Econ 97

Karatzas Ioannis, Martin Shubik, William Sudderth 'Construction of Stationary Markov Equilibria in a Strategic Market Game' Math OR 94

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Karatzas Ioannis, Steven Kou ' On the Pricing of Contingent Claims under Constraints' <asset pricing> Ann App. Prob 96

Karatzas Ioannis, Steven Kou 'Hedging American Contingent Claims with Constrained Portfolios' Finance & Stochastics #3 98 <hedging>

Karatzas Ioannis, Steven Shreve 'Connections Between Optimal Stopping & Singular Stochastic Control I.:Monotone Follower Problem' J. Control & Optimization May 84

Karatzas Ioannis, Steven Shreve 'Connections Between Optimal Stopping & Singular Stochastic Control II. Reflected Follower Problems' J. Control & Optimization May 85

Karatzas Ioannis, Steven Shreve 'Decomposition of Brownian Path'<Brownian motion> Statistics & Prob. Letters 5(1987)

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Karatzas Ioannis, W. Sudderth 'Control & Stopping of a Diffusion Process on an Interval' 9/98 <diffusion>

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Karatzas Ioannis, X. Zhao 'Bayesian Adaptive Portfolio Optimization' preprint 98 Kariya T., H. Tsuda 'New Bond Pricing Models with Applications to Japanese Data' 94 Kariya T., Y. Tsukuda, J. Maru, Y. Matsue, K. Omaki 'An Extensive Analysis on the

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Karni E. 'Definition of Subjective Probabilities with State Dependent Preferences' Econometrica 1-93

Karni E., Z. Safra '"Preference Reversal" & the Observability of Prefences by Experimental Methods' Econometrica 5/87

Karolyi G. 'Bayesian Approach to Modeling Stock Return Volatility for Option Valuation'<volatility> JF&QA 12/93

Karolyi G. 'Stock Market Volatility around Expiration Days in Japan' J. Derivatives Winter 96

Karolyi G., Rene Stulz 'Why do markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements' JofF 7/96

Karpoff J. 'Relation Between Price Changes & Trading Volume:Survey' JF&QA 87 Karsenty F., J. Sikorav 'Installment Plan' <option-chooser> RISK 11/93 Karuppaih J., Cornelius Los 'Multiresolution Wavelet Analysis of High Frequency Asian

FX Rates,Summer 97 Kasahara Y., N. Kono, T. Ogawa 'On Tail Probabilities of Local Times of Gaussian

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Kau J., D. Keenan, Walter Muller, J. Epperson 'Valuation and Securitization of Commerical & Multifamily Mortgages' J. Banking & Finance 87

Kauffmann R. 'Implementing Uniform Trigonometric Spline Curves' Dr.Dobbs 5/97 <numeric>

Kaufman George 'Rankings of Finance Departments by Faculty Representations on Editorical Boards on Professional Journals:Note' JofF 9/84

Kaufman George 'Some Shortcomings of Analyzing Deposit Insurance as a Put Option' J. Fin. Engin. 12/92

Kaufman George, Larry Mote, Harvey Rosenblum 'Consequences of Deregulation for Commericial Banking' JofF 7/84

Kaufman H. 'Supervision of Financial Derivatives' J. of Derivatives Fall 94

Kaul A., V. Mehrotra, R. Morck 'Demand Curves for Stocks Do Slope Down:New Evidence from an Index Weights Adjustment' JofF 4/2000

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Processes' 10/99 <term structure> Kazziha S., Riccardo Rebonato 'Unconditional Variance, Mean Reversion & Short Rate

Volatility in the Calibration of the Black-Derman & Toy Model & of Two-Dimensional Log Normal Short Rate Models' 11/97 NetExposure <interest rate>

Kean M., David Runkle 'Testing the Rationality of Price Forecasts' AER 3/95 Keane M. 'A New Idea for Welfare Reform' Quarterly Review Minn Spring 95 Keane M. 'Computationally Practical Simulation Estimator for Panel Data' Econometrica

1/94 Keane M., David Runkle 'Are Economic Foreccast Rationsl ? ' FRB Minn Spring 89

<rational expectations> Kear B. 'Advanced Metals ' <alpha> Kearns P. 'Pricing Interest Rate Derivative Securities When Volatility is Stochastic'

11/92 NU<volatility> <Stochastic Inter.> Kearsley A. 'Fictitious Domain Methods & Shape Optimization' SIAM News 10/94 Keating J. 'Structural Approaches to Vector Autoregressions' <VAR> Review (FRB S.

Louis) 9/92 Kedem B. 'Detection of Periodicities by Higher order Crossings' J. Time Series

Analysis #1 (87) Keehn R. Note on the Cost of Trade Credit & the Discriminatory Effects of Monetary

Policy' JofF 12/74

Keeley M. 'Cycical Unemployment & Employment:Effects of Labor Force Entry & Exit' Revew SF Summer 84 <employment>

Keenan D. 'Competion,Collusio,Chaos';Vaccaro 'Solution to Posit. Problem State Space' J.ECON.DYN & CONTROL 5-93

Keenan D., T. Raer 'Market Dynamics & the Law of Demand' Econometrica 3/85 Keener J. 'Perron-Frobenius Theorem & Ranking of Football Games' SIAM Review 3/93 Keffer T. 'Object Oriented Numerics II' 'C' Journal 92 <computer science> Kehoe P., T. Kehoe 'A Primer on Static Applied General Equilibrium Models' Quarterly

Review FRB Minn. Spring 94 Kehoe P., T. Kehoe 'Capturing NAFTAs Impact With Applied General Equilibrium Models'

Quarterly Review FRB Minn. Spring 94 Kehoe T., D. Levine 'Comparative Statics & Perfect Foresight in Infinite Horizon

Economies' Econometrica 3/85 Keister B. 'Multidemsional Quadrature Algorithms' <intergrals> Computers in Physics

3/96 Kellard N., et al 'Relative Efficiency of Commodity Futures Markets' J. Futures

markets 6/99 Keller Herb 'Accurate Difference Methods for Linear Ordinary Differential Systems

Subject to Linear Constraints' <in NM2PBVP> Keller Herb 'Accurate Differnce Methods for Two Point Boundary Value Problems' <in

NM2PBVP> Keller Herb 'Approximation Methods for Non-linear Problems with Applications of Two

Point Boundary Value Problems' <in NM2PBVP> Keller Herb 'Newtons Method Under Mild Difference Condtions' <in NM2PBVP> Keller Herb 'Numerical Solution of Bifurcation Value Problems' <in NM2PBVP> Keller Herb 'Numerical Solution of Two Point Boundary Value Problems' <in book

NM2PBVP> Keller Herb, A. White 'Difference Methods for Boundary Value Problems in Ordinary

Differential Equations' <in NM2PBVP> Keller Joseph 'How Many Shuffles to Mix a Deck?' SIAM Review 3/95 Keller Ulrich, A. Schlatter 'Telescopic Sums: A New Method for Performance Analysis of

Bond Portfolios' J. Fixed Income 9/99 Kelley C. 'A Fast Multilevel Algoritm for Integral Equations' SIAM J. Num.Anal

4/9<diff & integral><hedging> Kelley C., C. Miller, M. Tocci 'Termination of Newton/Chord Iternations & the Method

of Lines' SIAM J. Sci. Comp. 1/98 <PDE>Kelly D. 'Valuing & Hedging American Put Options Using Neural Networks' wp

12/94<options-american> Kelly T., M. Kupferschmid 'Numerical Verification of Second-Order Sufficient

Conditions for Nonlinear Programming' SIAM Review 6/98 Kelsey D. 'Economics of Chaos or Chaos of Economics' Oxford Econ. Parers 88 <chaos> Kelsey D. 'Maxmin Expected Utility & Weight of Evidence'<Utility> w.p. Australian

Nation U. 4/90 Kemna Angelien 'Options in Real & Financial Markets' Kemna Angelien, Ton Vorst 'A Futures Contract on an Index of Existing Bonds:A

Reasonable Alternative?' <term structure> R. Futures Markets V7 Supp. 88 Kemna Angelien, Ton Vorst 'A Pricing Method for Options Based on Average Asset

Values'J. of Banking & Finance 14 (1990) <options-average> Kemna Angelien, Ton Vorst 'Value of an Option Based on an Average Security Value'

Stoch. Processes in Physics & Engin (88) <options-average> Kendal M. 'Analysis of Economic Time-Series Part I:Prices ' J. Royal Stat 53 Kenen P. 'Balance of Payments & Policy Mix:Simulations Based on a U.S. Model' JofF

5/74 Kennan J. 'An Econometric Analysis of Fluctualtions in Aggregate Labor Supply &

Demand' Econometrica 3/88 Kennan J. 'Elusive Effects of Minimum Wage'<alpha> JEL 12/95 Kennan J., R. Wilson 'Bargaining with Private Information' JEL 3/93

Kennedy D. 'Characterizing & Filtering Gaussian Models of the Term Structure of Interest Rates' MF 4/97 <term structure>

Kennedy D. 'Exact Ruin Probabilities & Evaluation of Program Trading on Financial Markets'<Diffusion> MF 1/93

Kennedy D. 'The Term Structure of Interest Rates as a Gaussian Random Field'<term structure> MF 7/94

Kennedy Joanne 'The Effect of Bayesian Priors on the Moving Average Representation of Vecotr Autoregression' FRB-Washington June 89

Kepner J., S. Parker, V. Decyk 'Simulating Plasma Turbulence in Tokamaks' SIAM News 5/97

Keppo J., S. Peura 'Optimal Portfolio Hedging with Nonlinear Derivatives & Transaction Costs' Comp. Econ 4/99

Kerkvliet J., M. Moffett 'Hedging of Uncertain Future Foreign Currency Cash Flow' JF&QA 12/91

Kerr W., R. King 'Limits on Interest Rate Rules in the I.S. Model' Economic Quarterly FRB Richmond Spring 96

Kesavan S. 'Comparison Results via Schwarz Symmetrization-a Survey ' Sympos Math Cambridge Press 94

Kesten H., Brent Stigum 'Additional Limit Theorems for Indecomposible Multi-Dimensional Galton-Watson Processes' Annal of Math. Stat 12/66

Keynes J. 'General Theory of Employment' Q.J. Econ 2/37 <employment> Khandani B. 'Measuring Herstatt Risk in Forex Transactions' <settlement risk> 2000

<risk> Khandekar 'Feynman Path Integrals' Physics Reprots v137 116-229 Khanna A., M. Kulldorff F. 'A Genalzation of the Mutual Fund Theorem' Finance &

Stochastics 2-99 Khanna N. 'Optimal Contracting with Moral Hazard & Cascading' RFS Fall 98 Khanna N., A. Poulsen 'Managers of Financially Distressed Firms:Villians or

Scapegoats' JofF 7/95 Khanna T., K. Palepu 'Is Group Affilation Profitable in Emerging Markets? An Analysis

of Diversified Indian Business Group' JofF 4/2000 Kholodngi V. 'Beliefs-Preferences Gauge Symmetry Group & Replication of Contingent

Claims in a General Market Enviornment' IES Press 98 Khorana A., H. Servaes 'Determinants of Mutual Funds Starts' RFS Winter 99 Khoung-Huu P. 'The Price of Credit' <credit risk> <credit term structure> RISK 12/99 Khoury N., P. Yourougou 'Determinates of Agri. Futures Price Volatilites:Winnipeg'

JFM 6/93 Khuong-Huu P. 'Swaption with a Smile' <volatility> RISK 8/99 Khushnevisan D. 'Deviation Inequalities for Continious Martingales' <martingale> SP&A

12/96 Kichenassamy S. 'The Blow-up Problem for Exponential Nonlinearities' IMA Kichian M., R. Garcia, Eric Ghysels 'On the Dynamic Specification of International

Asset Pricing Models' <asset pricing> 9/95 Kidwell D., C. Trzcinka 'Municipal Bond Pricing & the New York City Fiscal Crisis'

JofF 12/82 Kidwell D., T. Koch 'Behavior of the Interest Rate Differential Between Tax-Exempt

Revenue & General Obligation Bonds:Test of Risk Preferences & Market Segmentation'JofF 3/82

Kiefer N., G. Skoog 'Local Asymptotic Specification Error Analysis' Econometrica 7-84 Kiefer N., T. Vogelsang ,H. Bunzel 'Simple Robust Testing of Regression Hypothesis'

Econometrica 5/2000 Kiesel Rudiger, W. Perraadin, A. Taylor 'Credit & Interest Rate Risk' Birbeck 99 Kiesel Rudiger, W. Perraadin, A. Taylor 'The Structure of Credit Risk' Birbeck 99 Kieu K., M. Mora 'Estimating the Reduced Moments of a Random Measure' Adv.App.Prob.

v31 1999 Kifer Yuri 'Game Options' <option-game><optimal stopping,Israeli option> Finance &

Stochastics V4 #4 2000

Kihlstrom R. 'Term Premia in a Simple Structure Model' <term structure>J. Economic Dynamics & Control 16 (92)

Kihn J. 'Effect of Embedded Options on the Financial Performance of Convertible Bond Funds' FAJ 2/96

Kihn J. 'To Load or Not to Load? Study of the Marketing & Distribution Charges of Mutual Funds' FAJ 5/96

Kihn J. 'Unravelling the Low-Grade Bond Risk/Reward Puzzle' FAJ 7/94 Kijima Masaaki 'Monotonicities in a Markov Chain Model for Valuing Corporate Bonds

Subject to Credit Risk' MF 7/98 Kijima Masaaki 'Numerical Calculation of Ruin Probabilities for Skip-Free Markov

Chains' SIAM Review 12/93 Kijima Masaaki, I. Nagayama 'A Numerical Procedure for the General One-Factor Interest

Rate Model' J. Finan Engin. 12/96 <term structure> Kijima Masaaki, I. Nagayama 'Efficient Numerical Procedures for the Hull-White

Extended Vasicek Model'<term structure> J. Fin.Engin Sept/Dec 94 Kijima Masaaki, K. Komoribayashi 'A Markov Chain Model for Valuing Credit Risk

Derivatives' J.of Derivatives Fall 98 <credit risk> Kijima Masaaki, M. Ohnishi M. 'Portfolio Selection Problems via the Bivariate

Characterization of Stochastic Dominance Relations' <portfolio> MF 7/96 Kijima Masaaki, M. Ohnishi 'Stochastic Orders & Their Application in Financial

Optimization' Math. Method of OR V50 #2 99 <portfolio> Kijima Masaaki, Y. Muromachi 'Credit Events & the Valuation of Credit Derivatives of

Basket Type' R. Deriv Research v4 2000 Kijma Masaaki 'Valuation of a Credit Swap of the Basket Type' R. Deriv. Research v4 #

2000 Kikugawa T., Kenneth Singleton 'Modeling the Term Structure of Interest Rates in

Japan' J.Fixed Income 9/94 Kilcollin T. 'Difference Systems in Financial Futures Markets' JofF 12/82 Kim Byung Chun, Nam Sik Moon, Sang Bin Lee 'Fitting the Term Structure of Interest

Rates with a Modfied Cubic Smoothing Spline' J. Financical Engineer 6/96 Kim C. 'Stochastic Dominance,Pareto Optimality & Equilibrium Asset Pricing' wp 9/94 Kim C., D. Mauer, A. Sherman 'Determinants of Corporate Liquidity:Theory & Evidence'

JF&QA 9/98 Kim C., J. Park 'Holiday Effects & Stock Returns:Further Evidence' JF&QA 3/94 Kim D. 'Reexamination of Firm Size,Book-to-Market & Earnings Price in the Cross-

Section of Expected Stock Returns' JF&QA 12/97 Kim D. 'The Errors in Variables Problem in the Cross-Section of Expected Stock

Returns' JofF 12/95 Kim D., A. Santomero 'Risk in Banking & Capital Regulation' JofF 12/88 Kim D., S. Kon 'Alternative Models for Conditional Heteroscedasticity of Stock

Returns' J.of Business 10/94 Kim E. 'Mean-Variance Theory of Optimal Capital Structure & Corporate Debt Capacity'

JofF 3/78 Kim I. 'Alternative Approach to Dividend Adjustments in Option Pricing Models'

<options-pricing> J. Financial Engineering 12/95 Kim I. 'Analytic Approximation of Optimal Exercise Boundaries for American Futures

Options' J.Futures Markets<options-american> 2/94 Kim I. 'Analytic Valuation of American Options on Futures Contracts' <options-

american> RFS 90 Kim I. 'Analytic Valuation of American Puts' 3/89 <options-american> wp Kim I., G. Yu 'An Alternative Approach to the Valuation of American Options &

Applications' R. Deriv. Research v1 #1 96<options-American> Kim I., G. Yu 'Simplified Approach to Valuation of American Options & Its

Applications' <options-american><absol diffus.,aborb.,barrier> 4/93 w.p. NYU Salomon Center

Kim I., Krishna Ramaswamy, Suresh Sundaresan 'The Valuation of Corporate Fixed Income Securities' Finanical Management 93

Kim In Joon, Suk Joon Byun 'Optimal Exercise Boundary in a Binomial Option Pricing Model' J. Fin. Engin. 6/94

Kim J. 'Large Sample Properties of Posterior Densities,Bayesian Information Criteria & Likelihood Priniple in Nonstationary Time Series Models' Econometrica 3/98

Kim J., C. Finger 'A Stress Test to Incorporate Correlation Breakdowns' J. of Risk Spring 2000

Kim Joan 'Analytic Valuation of American Options' <options-american>w.p. Solomon Brothers May 1990(also in RFS 3 (1990))

Kim K. 'Theoretical Relationship Between Systematic Risk & Financial(Accounting) Variables' JofF 6/81

Kim K., S. Rhee 'Price Limit Performance:Evidence from the Tokyo Stock Exchange' JofF6/97

Kim M. 'Inflationary Effects in the Capital Investment Process:An Empirical Examination' JofF 9/79

Kim M., V. Maksimovic 'Debt & Input Misallocation' JofF 7/90 Kim M., Y. Oh, R. Brooks 'Are Jumps in Stock Returns Diversifiable? Evidence &

Implications for Option Pricing' JF&QA 12/94 Kim O. 'Disagreements among Shareholders over Firms Disclosure Policy' JofF 6/93 Kim S. 'Do Capital Controls Affect the Response to Investment to Savings? Evidence

from Pacific Basin' Economic Review S.F. #1 1993 Kim S. 'Efficiency of an Information System in an Agency Model' Econometrica 1/95 Kim S., J. Lin, M. Slovin 'Market Structure, Informed Trading & Analysts

Recommendations' JF&QA 12/97 Kim S., Joseph Ogden 'Incorporating Price-Relevant Information Between Quotes &

Trades:New Measure of the Effective Bid-Ask Spread' Inter. J. Theor.&Applied Finance 4/99

Kim S., Neil Shephard, S. Chib 'Stochastic Volatility:Likelihood Inference & Comparison with ARCH Models' <volatility> wp 10/96

Kim S., R. Moreno 'Stock Prices & Bank Lending Behavior in Japan' Economic Review FRB S.F. V.4,#1

Kim T. 'Intransitive Indifference & Revealed Preference' Econometrica 1/87 Kim T., Ed Omberg 'Dynamic Nonmyopic Portfolio Behavior'<portfolio> <HARA,utility> RFS

96 v9 #1 <On Index> Kim Y. 'Are Prices Countercyclical? Evidence from East Asian Countries' Review S.L.

FRB v 78 #5 Kim Y., J. Atkins 'Evaluating Investments in Accounts Receivable:Maximizing Framework'

JofF 5/78 Kim Y., J. Sobel 'An Evolutionary Approach to Pre-Play Communications' Econometrica

9/95 Kimball M. 'Standard Risk Aversion' Econometrica 5/93 Kimbrough K. 'Commerical Policy & Aggregate Employment under Rational Expectations' 81 Kinateder K., P. McDonald 'Variational Principles for Average Exit Time Moments for

Diffuions in Euclidean Space' Proc. Amer. Math. Soc. 99 Kind P., R. Liptser, Wolfgang Runggaldier 'Diffusion Approximations in Past Dependent

Models & Applications to Option Pricing' <options-path> Annals of Applied Prob. 91 <American>

King M. 'The Durbin-Watson Test for Serial Correlation:Bounds for Regressions with Trend and/or Seasonal Dummy Variables' Econometrica 11/81

King M., E. Sentana, S. Wadhwani 'Volatility & Links Between National Markets' Econometrica 7/94

King M., P. Wu 'Locally Optimal One-Sided Tests for Multiparameter Hypotheses'Econometirc Reviews 97

King R. 'Quantitative Theory & Econometircs' Economic Quarterly FRB Richmond Summer 95

King R. 'Will the New Keynesian Macoreconimcs Resurrect the IS-LM Model?' J.Economic Perspectives Winter 93

King R., A. Wolfman 'Inflation Targeting in a St. Louis Model of the 21st Centrury'commnet J. Rotemberg, Edward Prescott St. Louis Review 5/96

King R., M. Watson 'Testing Long-Run Neutrality' Econ. Quarterly FRB Richmond King R., S. Rebelo 'Transitional Dynamics & Economic Growth in Neoclassical Model'

AER 9/93 King 'Stochastic Trends & Economic Fluctuations' <Business Cycle> w.p. King T. 'Force-Based Simulations' Dr. Dobb 9/89> <planetary motions> <numeric> Kingdon J., K. Feldman 'Genetic Algorithms & Applications to Finance' Appl. Math.

Finance 6/95 Kinger B. 'Numerical Integration of Singular Integrands using Low-Discrpany Sequences'

v59#3 Computing 97 Kingsman B. 'Relationship Between European & U.S. Prices for Soyabeans & Corn 1966-

68'R. Futures Markets V7 Supp. 88 Kirby C. 'Measuring the Predicatable Variation in Stock & Bond Returns' RFS Fall 97 Kirby C. 'Restrictions on Predictability Implied by Rational Asset Pricing Models' RFS

Summer 98 Kiriakopoulos K., Christofides, N. and Salkin, G. A tree-based algorithm for risk

management of interest rate derivatives portfolios Centre for Qualitative Finance, Imperial Collete of Science, Technology and Medicine' <term structure> 11/95

Kirikos G., D. Novak 'Convexity Conundrums' <term structure> <eurodollar strips, Hull-White> RISK 3/97

Kirkpatrick S., C. Gelatt, M. Vecchi 'Optimization by Simulated Annealing' Science 5-83 <statistics>

Kirman A., C. Oddou,S. Weber 'Stochastic Communications & Coalition Formation' Econometrica 1/86

Kirova M., R. Lipsey 'Measuring Real Investment:Trends in the United States & International Comparison' FRB SL 1/98

Kirzner I. 'Entrepreneurial Discovery & the Competitive Market Process:An Austrian Approach' JEL 3/97

Kishimoto N. 'Duration & Convexity of Coupon Bond Futures' J. Fixed Income 6/98 Kishimoto N. 'Pricing Contingent Claims under Interest Rate & Asset Price Risk' JofF

7/89 Kitagawa G. 'Non-Gaussian State-Space Modeling of Nonstationary Time Series' J. Amer.

Stat. Ass. 87 Kitamuro Y., M. Stutzer 'An Information Theoretic Alternative to Generalized Method of

Moments Estimation' Econometrica 7/97 Klaassen P. 'Discretized Reality & Spurious Profits in Stochastic Programming Models

for Asset/Liability Management' 7/96 <portfolio> Klaassen P. 'Financial Asset-Pricing Theory & Stochastic Programming Models for

Asset/Liability Management:Synthesis' 4/96 <portfolio> Klaassen P., E. van Leeuwen, B. Schreurs 'One-Factor Fallacies' RISK 12/98 <term

structure> Klaffky T., Y. Ma, A. Nozari 'Managing Yield Curve Exposure:Introducing Reshaping

Durations'<term structure> J. Fixed Income 12/92 Klebanov L., Svetlozar Rachev, M. Safarian 'Local Prelimit Theorems' App. Math.

Letters 13 (2000) <random variables,Levy flight,stable laws> <option-distribution>

Kleidon A. 'Arbitrage, Non-trading & Stale Prices:Oct 87' J. of Business 10/92 Kleidon A., Robert Whaley 'One Market? Stocks,Futures & Options During October 1987'

JofF 7/92 Klein A. 'Timing & Substance of Divestiture Announcements:Individual,Simultaneous &

Cumulative Effects' JofF 7/86 Klein I. 'A Fundamental Theorem of Asset Pricing for Large Financial Markets' MF

10/2000 <asset pricing> Klein I., Walter Schachermayer 'A Quantitative & Dual Version of the Halmos-Savage

Theorem with Applications to Mathematical Finance' Annalws of Prob 96

Klein I., Walter Schachermayer 'Asympotic Arbitrage in Noncomplete Large Financial Markets' <arbitrage> Theory Prob & App. V41 #4 96

Klein L. 'Irving Kravis:Memoir of a Distinguished Fellow' J. Economic Persp. Summer 93 Klein M. 'Economics of Security Divisibility & Financial Intermediation' JofF 9/73 Klein P., M. Inglis 'Valuation of European Options Subject to Financial Distress &

Interest Rate Risk' J. of Derivatives Spring 99 Klein R., R. Spady 'Efficient Semiparametric Estimator for Binary Response Models'

Econometrica 3/93 Klein R., Robert Eisner 'Econometric Studies of Investment' Colloquia JEL 3/74 Klein R., S. Brown 'Model Selection when There is "Minimal" Prior Information'

Econometrica 9/84 Kleinman N., J. Spall, D. Naiman 'Simulation-Based Optimization with Stochastic

Approximations Using Common Random Numbers' MS 11/99 <Monte Carlo> Klemkosky R., B. Resnick 'Put Call Parity & Market Efficiency' JofF 12/79 Klemkosky R., T. Maness 'Predictability of Real Portfolio Risk Levels' JofF 5/78 Klemperer P., M. Meyer 'Supply Function Equilibria in Oligopoly under Uncertainity'

Econometrica 11/89 Klepper S., E. Leamer 'Consistent Sets of Estimates for Regressions with Errors in All

Variables' Econometrica 1/84 Kliesen K., J. Tatom 'Recent Credit Crunch:Neglected Dimensions' Review (FRB S.

Louis) 9/92 Kliger D., O. Sarig 'Information Value of Bond Ratings' JofF 12/2000 Klinkhammer G., R. Mavin, B. Ryan 'Calculating Average Life for Bonds with Embedded

Options' in Nelken I. (ed) 'Option Embedded Bonds' Kloeden Peter 'Relations Between Multiple Ito and Stratonvich Integrals' <stochastics>

Stochastic Analysis and Applications 91 Kloeden Peter, Eckhard Platen 'Higher Order Implicit Stong Numerical Schemes for

Stochastic Differ. Equations' <SDE> J. Stat. Physics 92 Kloeden Peter, Eckhard Platen 'Numerical Solution of Stochastic Differential

Equations' Springer 95 Kloeden Peter, Eckhard Platen 'Stratonovich & Ito Stochastic Taylor Expansions' <SDE>

Mathematische Nachrichten 91 Kloeden Peter, Eckhard Platen, I. Wright 'The Approximation of Multiple Stochastic

Integrals' <stochastics> Stochastic Analysis and Applications 91 Klugman R., Paul Wilmott 'A Class of One-Factor Interest Rate Models'<term structure>

w.p. 7/93 Kluppelberg Claudia, T. Mikosch 'Large Deviations of Heavy-Tailed Random Sums with

Applications to Insurance & Finance' J. App. Prob 97 <random><poisson> Knaster B., K. Kuratowski, S. Mazurkiewicz 'Ein Beweis des Fixpunktsatzes fur n-

Dimensionale Simplexe' Fundmenta Mathematica 29 Knauss K. 'Poor Mans Solution to Traveling Salesman Problem'<bin packing> C-Users J.

Aug89 Knaust Helmut 'Orlicz Sequence Spaces of Banach-Saks Type' <math> Knessi C., C. Peters 'Exact & Asymptotic Solution for the Time Dependent Problem of

Collective Ruin I' SIAM App.Math 12-94 Knetter M. 'International Comparisons of Pricing-to-Market Behavior' AER 6/93 Knez Peter, Mark Ready 'Estimating the Profits from Trading Strategies' RFS Winter 96 Knez Peter, Mark Ready 'On the Robustness of Size & Book-to-Market in Cross-Sectional

Regressions' JofF 9/97 Knez Peter, Robert Litterman, Jose Scheinkman 'Explorations into Factors Explaining

Money Market Returns' JofF 12/94 Knight John 'Asymptotic Distribution of Dynamic Multiplier in Dynamic AR Models'

Econometrica 1-84 Knight John, Stephen Satchell 'Asymptotic Expansions for Random Walks with Normal

Errors' w.p. U. London 11/92<distributions>

Knight John, Stephen Satchell 'Exact Critical Regions & Confidence Intervals for ML Estimators in Negative Exponential Regression Model'<maximum likelihood> w.p. U. London 11/92<*MLE>

Knight John, Stephen Satchell 'Pricing Derivatives Written on Assets with Arbitrary Skewness & Kurtosis' Trinity College Cambridge 11/97

Knight John, Stephen Satchell, K. Tran 'Statistical Modelling of Asymmetric Risk in Asset Returns' Applied Math.Finance 9/95 <asset pricing><double sided gamma distribution>

Knight K. 'Rate of Convergence of Centred Estimates of Autoregressive Parameters for Infinite Variance Autoregressions' J. Time Series Analysis #1 (87)

Knoerr A. 'A Dynamical Proof of the Method of Lagrange' SIAM Review 12/98 Knoll A. 'End of Proterogic Econ' SA 10/91 Knoll M. 'Tax Induced Clientele for Index Linked Bonds:Comment' JofF 12/91 Knudsen T., B. Meister,M. Zervols 'Valuation of Investment in Real Assets with

Implications for the Stock Prices'SIAM J. Control & Opt. 11/98 Knupp P., S. Steinberg' 'Fundamentals of Grid Generation' CRC Press 93 Kobayashi M. 'Benchmarks for Image Marking' SIAM News 3/97 Kobayashi M. 'Testing for Autocorrelated Disturbances in Nonlinear Regression

Analysis' Econometrica 7/91 Kobayashi M. 'The "Ueburetto-Boom": Wavelets in Japan' SIAM NEWS 11/95 Kobayashi M., S. Misono, K. Iwana 'The Traveling Salesman Problem:PCBs,Punch

Presses...& Pachinko' SIAM News 12/94 Kobayashi M., S. Uno 'Hooked on Computer Graphics' SIAM News 10/94 Kobila T. 'A Class of Solvable Stochastic Investment Problems Involving Singular

Stochastic Contol' S&SR 93 v43 #1-2 Kochard Lawrence 'Option Pricing & Higher Order Moments of the Risk Neutral Denistiy

Function' 99 U. Virginia PhD Diss. Kocherlakota Narayana 'Disentangling the Coefficient of Relative Risk Aversion from

the Elasticity of Intertemporal Substituion: An Irrelevance Result' JofF 3/90 Kocherlakota Narayana 'Equity Premium:Its Still a Puzzel' JEL 3/96 Kochin L., R. Parks 'Was the Tax-Exempt Bond Market Inefficient or Were Future

Expected Tax Rates Negative' JofF 9/88 Kocic A. 'Numeraire Invariance & Generalized Risk Neutral Valuation' AFOR v.9 97

<option-pricing> Kocic A., C. Quintos, F. Yared 'Indentifying the Benchmark Security in a Multifactor

Spread Environment' 9/26 Lehman Brothers <term structure> Koddo D., F. Palm 'Wald Criteria for Jointly Testing Equality & Inequality

Restrictions' Econometrica 9/86 Kodres L. 'Tests of Unbias. in Foreign Exchange Futures..Price Limits & Conditional

Heteroscedasticity' JofB 7/93 Kodres L. 'Tests of Unbiasedness in Foreign Exchange Futures Markets:Effects of Price

Limits' R. Futures Markets' V7 #1 88 Kodres L., D. O'Brien 'The Existence of Pareto-Superior Price Levels' AER 9/94 Koedijk D., R. Huisman, R. Pownall 'VAR-x:Fat Tails in Financial Risk Management' J.

of Risk Fall 98 Koedijk K., C. Kool 'Tail Estimates of East European Exchange Rates' J. Bus.& Econ.

Stats 92 Koedijk K., F. Nissen, P. Schotman, C. Wolff 'Dynamics of Short Term Interest Rate

Volatility Reconsidered' <volatility><GARCH> Limburg U. 94 Koedijk K., M. Schafgans, C. de Vries 'Tail Index of Exchange Rate Returns' J. Inter.

Economics 90 Koeduk K., F. Nissen, P. Schotman, C. Wolff 'Dynamics of Short-Term Interest Rate

Volatility Reconsidered' Euro. Finance Review V1 #1 97 <interest rate> Koehl P-F., Huyen Pham, Nizar Touzi 'Hedging in Discrete-Time under Transaction Costs

& Continuous-Time Limit' J. App. Prob. v36 #1 99 <hedging> Koehl P-F., Huyen Pham, Nizar Touzi 'On Super-Replication in Discrete Time under

Transaction Costs' 2/98 <hedging>

Koehn M., A. Santomero 'Regulation of Bank Capital & Portfolio Risk' JofF 12/80 Koenig E. 'Capacity Utilization as a Real Time Predictor of Manufacturing Output'

Economic Review FRB Dallas 3Q/96 Koenigsberg Mark 'Delievery Option for Treasury Bond Futures' J. Fixed Income 91 Koenigsberg Mark, J. Showers, J. Streit 'Term Structure of Volatility & Bond Option

Valuation' J. Fixed Income Sept 91<term structure> Koenigsberg Mark, Y. Bourtzos 'Basis & Choice Between Futures & Cash'<futures> J. of

Fixed Income 9/92 Kofman F., J. Lawarree 'Collusion in Hierarchical Agency' Econometrica 5/93 Kofman P. 'Optimizing Futures Margins with Distribution Tails' AF&OR6 Kofman P., C. de Vries 'Potato Futures Returns:A Tail Investigation' R. Futures

Markets V8 #2 89 <volatility> Kogelman S., L. Bader 'Statistical Duration:Spread Model of Rate Sensitivity Across

Fixed-Income Sectors' J. Fixed Income 3/94 Koh I. 'Computation on European & American Options' <option-pricing> Kohatsu-Higa Arturo 'Weak Approximations. A Malliavin Calculus Approach' 2/99

<stochastics> Kohatsu-Higa Arturo, D. Marquez-Carreras, Marta Sanz-Sole 'Asymptotic Behavior of the

Density in a Parabolic SPDE' <SDE> Kohatsu-Higa Arturo, Jorge Leon 'Anticipating Stochastic Differential Equations of

Stratonovich Type' <SDE> Kohlberg E., J. Mertens 'On the Strategic Stability of Equilibria' Econometrica 9/86 Kohlmann Michael, Shan-Jian Tang 'Multi-Dimensional Backward Stochastic Riccati

Equations and Applications'<mean-variance hedging, variance-optimal martingale> 9/2000 <SDE>

Kohlmann Michael, X. Zhou 'Relationship Between Backward Stochastic Differential Equations & Stochastic Controls:Linear Quadratic Approach' <SDE><Riccati,Black Scholes>SIAM J. Control & Opt. V 38,#5 2000

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Math. Method of OR V50 #2 99 Kool C., J. Tatom 'The P-Start Model in Five Small Economies' FRB S.L. 5/94 Koop G., E. Ley, J. Osiewalski, M. Steel 'Bayesian Analysis of Long Memory &

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Korn Ralf 'Some Applications of Impulse Control in Mathematical Finance'<portfolio><exchange rate,viscosity> Math. Metho. OR 99

Korn Ralf 'Some Applications of L2-Hedging with a Non-Negative Wealth Process' Appl. Math Finance 3/97 <hedging>

Korn Ralf 'Value Preserving Portfolio Strategies & the Minimal Martingale Measure' ZOR 98 <portfolio>

Korn Ralf 'Value Preserving Portfolio Strategies in Continous Time Models'ZOR ( Math.Method OR) 97 <portfolio>

Korn Ralf 'Value Preserving Strategies & a General Framework for Local Approaches to Optimal Portfolios' MF 4/2000 <portfolio>

Korn Ralf, E. Korn 'Options Pricing & Portfolio Optimization:Modern Methods of Financial Mathematics' AMS 2000

Korn Ralf, M. Dreer, M. Lenssen 'Pricing of European Options when the Underlysing Stock Follows a Linear Birth-Death Process' Comm.Stat-Stochastic Models 98 <option-pricing>

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Kovacic W., D. Smallwood 'Competition Policy Rivalries & Defense Industry Consolidation' J.Econ.Persp. Fall 94

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Koyluoglu H., A. Hickman 'Reconcilable Differences' RISK 10/98 <credit risk> Kracaw W., M. Zenner 'Wealth Effects of Bank Financing Annoucements in Highly

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Kramkov Dmitri, A. Vishnyakov 'Closed Form Representation for the Minimal Hedging Portfolios of American Type Contingent Claims' 3/94 <options American><Snell Envelope,path depend.,optimal stopping,McKean,Shepp,Mordecki>

Kramkov Dmitri, Albert Shiryaev 'On the Rational Pricing of the "Russian Option" for the Symmetrical Binomial Model of a (B,S)-Market' <binomial> <options-Russian><lookback>SIAM Theory of Prob. & Its Applic. 3/94

Kramkov Dmitri, Ernesto Mordecki 'Integral Options' <options-average><Kac process,stopping> SIAM Theory of Prob. & Its Applic. 3/94

Kramkov Dmitri, Walter Schachermayer 'Asymptotic Elasticity of Utility Functions & Optimal Investment in Incomplete Markets' <complete markets>

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Kranakis Evangelos 'Primality & Cryptography' Stuttgart Publ. 86 Kranich L. 'Equal Division,Efficiency & Soverign Supply of Labor' AER 3/94 Kranton R. 'Reciprocal Exchange:Self-Sustaning System'AER 9/96 Krasa S., A. Villamil 'Optimal Contracts when Enforcement is a Decision Variable'

Econometrica 1/2000 Krasa S., N. Yannelis 'The Value Allocation of an Economy with Differnetial

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Kraus Alan, Robert Litzenberger 'Distribution Condition for Consumption Oriented 3 Moment CAPM' JofF 12/83

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Kraus Alan, Steven Ross 'Determination of Fair Profits for the Property-Liability Insurance Firm' JofF 9/82

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Econometrica 78 Kreps David, G. Ramey 'Structural Consistency,Consistency & Sequential Rationality'

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Krueger A. 'Trade Policy & Economic Development:How We Learn' AER 3/97 Krueger A. 'Whither the World Bank & the IMF?' JEL 12/98 Krueger A., Larry Summers 'Efficiency Wages and the Inter-Industry Wage Structure'

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Kuan Grace, Nick Webber 'The Term Structure of Interest Rates & Economic Fundamentals:Mexican Peso Crisis' Warwick 97

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Kunitomo Naoto, Akoihiko Takahashi 'The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims'MF 1/2001 <contingent claim> <Watanabe-Yoshida, Malliavin calculus>

Kunitomo Naoto, M. Ikeda 'Pricing Options with Curved Boundaries'<options-barrier> <time window,lookback> MF 10/92

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JofF 6/91 Kupper K., J. Walter 'Note on Alternative Solution of Kamien-Schwartz Limit Pricing

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Kuprianov Anatoli 'Derivatives Debacles:Case Studies of Large Losses in the Derivatives Markets' <Barings,Metallgesellshaft>Economic Quarterly FRB Richmond Fall 95 <finance>

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<bonds> Kuprianov Anatoli 'Over the Counter Interest Rate Derivatives' Economic Quarterly FRB

Richmond Summer 93 Kuprianov Anatoli 'Role of Interest Rate Swaps in Corporate Finance' Econ. Quarterly

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Kurtz T., Etienne Pardoux, Phillip Protter 'Stratonovich Stochastic Differential Equations Driven by General Semimartingales' V31 #2 95 Annales De L IH Poincare

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Lewis C., J. Schalheim 'Are Debt & Leases Substitutes?' JFQ&A 12/92 Lewis K. 'Are Foreign Exchange Intervention & Monetary Policy Related & Does It Really

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<numeric> (program) Press William, Saul Teukolsky 'Biconjugate Gradient Method for Sparse Linear Systems'

<numeric> Computers in Physics 7/92

Press William, Saul Teukolsky 'Computing Accurate Integrals with the FFT' CinP Jan 89 (program)

Press William, Saul Teukolsky 'Elliptic Integrals' CinP Jan 90 <numeric> (program) Press William, Saul Teukolsky 'Evaluating Continued Fractions & Computing Exponential

Integrals' CinP Sept 88 (program) <numeric> Press William, Saul Teukolsky 'Fitting Straight Line Data with Errors in Both

Coordinates' <numeric> CinP 5/92 (program) Press William, Saul Teukolsky 'Fourier Transforms of Real Data in Two & Three

Dimensions' CinP Sept 89<fourier> (program) Press William, Saul Teukolsky 'Fredholm & Volterra Integral Equations Of the Second

Kind' CinP Sept 90 <numeric> (program) Press William, Saul Teukolsky 'Hypergeometric Functions By Direct Path Integration'

CinP May 90 <numeric> (program) Press William, Saul Teukolsky 'Integrating Stiff Ordinary Differential Equations' CinP

May 89 (program) <numeric> Press William, Saul Teukolsky 'Kolmogorov-Smirnov Test for Two Dimensional Data'

<numeric> CinP Jul 88 (program) Press William, Saul Teukolsky 'Modified Bessel Functions of Fractional Order'

<numeric> CinP May 1991 (program) Press William, Saul Teukolsky 'Multigrid Methods for Boundary Value Problems I' 9/91,

'... II' 11/91 <numeric> Computers in Physics Sept/Oct 91 Press William, Saul Teukolsky 'Numerical Calculation of Derivatives' CinP Jan 1991

<numeric> (program) Press William, Saul Teukolsky 'Orthogonal Polynomials & Gaussian Quadrature With Non-

classical Weight Functions' <numeric> CinP Jul 90 (program) Press William, Saul Teukolsky 'Pade Approximations'' CinP Jan 92 <numeric> (program) Press William, Saul Teukolsky 'Portable Random Number Generators' Computers in

Physics Sept 92<numeric> Press William, Saul Teukolsky 'Quasi- <that is, Sub-> Random Numbers' CinP Sept 88

<monte carlo><Sobol,Faure> Press William, Saul Teukolsky 'Savitzky-Golay Smoothing Filters' CinP Nov 90

<numeric> (program) Press William, Saul Teukolsky 'Search Algorithm for Weak Periodic Signals in Unevenly

Spaced Data' CinP Nov 88 (program) <numeric> Press William, Saul Teukolsky 'Simulated Annealing Optimization Over Continuous

Spaces' CinP July 88 (program) <numeric> Preston A. 'Why Have all the Women Gone? A Study of Exit of Women from the Sciences &

Engineering Professions' AER 12/94 Price David 'Calculation of the Double-Sided Gamma Distribution' 1/28/98

<distribution> Price David 'Stock Option Calculations' 1/15/98 <option-pricing> Price David 'Two-Sided Barrier Options'<options-barrier> 3/18/96 Price David 'Weighted Average Options' <options-average> 9/95 Price K., B. Price, T. Nantell 'Variance & Lower Partial Moment Measures of Systematic

Risk:Some Analytical & Empirical Results' JofF 6/82 Price R., K. Thorne 'Membrance Paradigm for Black Holes' SA 4/88 Prieto M., I. Llorente,F. Tirado 'A Review of Regular Domain Partitioning' SIAM News

Jan/FEb 2000 Prigent Jean-Luc 'Incomplete Markets:Convergence of Option Values under the Minimal

Martingale Measure' Adv.App. Prob. forthcoming Pringle J. 'Capital Decision in Commerical Banks' JofF 6/74 Prisman E. 'Pricing Deriviatve Securities' Academic Press Prisman E. 'Unified Approach to Tem Structure Estimation:Methodology for Estimating

the Term Structure in a Market with Frictions' JF&QA 90 Prisman E. 'Valuation of Risky Assets in Arbitrage Free Economies with Frictions' JofF

7/86

Prisman E., Yisong Tian 'Immunization in Markets with Tax-Clientele Effects:Evidence from the Canadian Market' JF&QA 6/94

Pritchard W. 'Mathematical Models of Running' SIAM Review 9/93 Pritchott L. 'Divergence, Big Time'<world income> J. Econ Persp. Summer 97 Pritsker M. 'Nonparametric Density Estimation & Test of Continuous Time Interest Rate

Models' RFS Fall 98 , <term structure> 4/97 Privault Nicolas 'An Extension of Stochastic Calculus to Certain Non-Markovian

Processes' <stochastics> Privault Nicolas 'Analytic Approach to Stochastic Calculus' Comptes Re. 2/98 Privault Nicolas 'Multiple Stochastic Integral Expansions of Arbitrary Poisson Jump

Times Functionals' <stochastics> Privault Nicolas 'On the Independence of Multiple Stochastic Integrals with Respect to

a Class of Martingales> 96 <stochastics> C.R. Acad Sci. Ser #1 Privault Nicolas 'Stochastic Calculus of Variations for Martingales' <stochastics> Prodinger H. 'Finite Sum of Products of Binomial Coefficients' SIAM Review 12/93 Propper W. 'Von der Binomial-zur Normalverteilung' Derive Newsletter 6/93 Protopapodakis A., Hans Stoll 'Spot & Futures Prices & Law of One Price' JofF 12-83 Protter Phillip 'A Book Review of Seven Books on Probability Finance Theory' SIAM

Review 3/99 Protter Phillip 'A Partial Introduction to Finance' <stocks> 10/99 Protter Phillip 'An Overview of Stock Market Models' <finance> 10/99 Protter Phillip, Jean Jacod, Sylvie Meleard 'Hedging in Incomplete Markets' 2/26/99

<hedging> Prowse S. 'Corporate Finance in International Perspective:Legal & Regulation' Economic

Review FRB Dallas 3Q/96 Prowse S. 'Structure of Corporate Ownership in Japan' JofF 7/92 Prucha I. 'On Asymptotic Efficiency of Feasible Aitken Estimators for SUR Models with

Error Components' Econometrica 1-84 Prucha I. 'Variance-Covariance Matrix of the Maximum Likelihood Estimator in

Triangular Structural Systems:Consistent Estimation' Econometrica 7/87 Prucha I., H. Kelejian 'Structure of Simultaneous Equation Estimators:Generalization

Towards Nonnormal Distrubances' Econometrica 5/84 Pruitt S., K. Wei 'Institutional Ownership & Changes in the S&P 500' JofF 6/89 Prusa J., P. Smolarkiewicz, A. Wyszogrodzki 'Parallel Computation of Gravity Wave

Turbulence in the Earths Atmosphere' SIAM News 9/99 Pruscha H. 'Estimating a Parametric Trend Component in a Continous-Time Jump Process'

<stochastics> SP&A 24:1988 Przeworski A., F. Limongi 'Political Regimes & Economic Growth' J. Economic Persp.

Summer 93 Puckett R. 'Monetary Policy Effectiveness:Case of a Positively Sloped I-S

Curve:Comment' JofF 12/73 Puckett R., S. Vroman 'Rules versus Discretion:Simulation Study' JofF 9/73 Puelz Amy 'A Stochastic Convergence Model for Portfolio Selection' SMU 1/99

<portfolio> Pugachevsky D. 'Generalising with HJM' <term structure><credit,default,correlation>

RISK 8/99 Pugachevsky D. 'Modelling Credit Risk with HJM Framework' Pulley L. 'Comment on Mean-Variance versus Direct Utility Maximization' JofF 6/85 Pulley L., D. Humphrey 'Role of Fixed Costs & Cost Complementarities in

Determ. ..Banking Proposals'JofB 7/93 Pulvino T. 'Do Asset Fire Sales Exist? An Empirical Investigation of Commercial

Aircraft Transactions' JofF 6/98 Punjabi Sanjeev 'Many Happy Returns' RISK 6/98 <RAROC> <risk> Puri T., G. Philippatos 'Equilibrium Pricing Functions of Foreign Exchange

Forward,Futures & Option Contracts' AF&OR6 Putterman L., J. Roemer, J. Silvestre 'Does Egalitarianism Have a Future?' JEL 6/98

Puttonen V. 'Boundary Conditions for Index Options:Evidence form the Finnish Market' JFM 8/93

Puttonen V. 'Short Sales Restrictions & Temporal Relationship between Stock Index Cash & Derivatives Markets' J. Futures Markets 9/93

Putyatin Vladislav, Jeff Dewynne 'Market Liquidity & its Effect on Option Valuation & Hedging' Philo. Trans.:Math,Phy.,Engin Aug 99 v357 #1758 <markets><transaction>

Putyatin Vladislav, Jeff Dewynne 'The Mean-Variance Approach to Hedging of European Option in the Presence of Transaction Costs' 98 <hedging>

Pyatski Michael 'Applications of Real Options Valuation' 99 American U. PhD Diss. Pye G. 'Lifetime Portfolio Selection with Age Dependent Risk Aversion' MMinIV Pyke R., R. Schaufele 'Limit Theorems for Markov Renewal Proceses' <markov> Ann. Math

Stat Qian S., J. Weiss 'Wavelets & Numerical Solution of Boundary Value Problems' Appl.

Math Lett. V.6 #1,1993 <Fourier> Qian Y. 'Theory of Shortage in Socialist Economies Based on "Soft Budget

Constrain"'AER 3/94 Qian Y., B. Weingast 'Federalism as a Commitment to Preserving Market Incentives'

J.Econ. Persp. Fall 97 Qian Y., G. Roland 'Federalism & the Soft Budget Constraint' AER 12/98 Qin C., S. Wu 'Pricing Derived Securities Under an Edgeworth Process' <asset pricing>

1/96 Quadrin V., J. Rios-Rull 'Understanding the U.S. Distribution of Wealth' Q. Review FRB

Minn. Spring 97 Quah D. 'Estimation & Hypothesis Testing with Restricted Spectral Density

Matrices:Uncovered Interest Parity' NBER 8-85 Quah D. 'Relative Importance of Permanent & Transitory Components' Econometrica Jan

92 Quah D., T. Ito 'Estimation & Hypothesis Testing with Restricted Rational Spectral

Density Matrix'12/84 Quah S. 'Law of Demand when Income is Price Dependent' Econometrica 11/97 Quan J. 'Two-Step Testing Procedure for Price Discovery Role of Futures Prices' JFM

4/92 Quandt R., R. Portes, D. Winter, S. Yeo 'Macroeconomic Planning &

Disequilibrium:Estimates for Poland' Econometrica 1/87 Quenez Maire-Claire 'Stochastic Control and BSDEs' in El Karoui,Mazliak (ed) 'Backward

Stochastic Differential Equations' Queruel M. 'Caution to the Wind' Weather Risk Special Report 8/2000 Quigg L. 'Empirical Testing of Real Option-Pricing Models' JofF 6/93 Quigley J. 'The Homeless' JEL 12/96 Quinzh M., J. Thisse 'On the Optimality of Central Places' Econometrica 9/90 Quyen N. 'Optimal Depletion & Exploration of a Nonrenewalbe Resource' Econometrica

11/88 Raab M., R. Schwager 'Spanning with Short-Selling Restrictions' JofF 6/93 Rabin M. 'Incorating Fairness into Game Theory & Economics' AER 12/93 Rabin M. 'Psychology & Economics' JEL 3/98 Rabin M. 'Risk Aversion & Expected-Utility Theory:A Calibration Theorem' Econometrica

9/2000 Rabinovitch R. 'Pricing Stock & Bond Options when the Default-free Rate is Stochastic'

<term structure> JF&QA Dec 89 Rabinovitch R., J. Owen 'Non-Homogeneous Expectations & Information in the Capital

Asset Market' JofF 5/78 Rachev Svetlozar, L. Ruschendorf 'Models for Option Prices' <option-pricing><binomial>

SIAM Theory of Prob. & Its Applic. <options-pricing>3/94 Rachev Svetlozar, S. Mittnik 'Stable Paretian Models in Finance' Wiley 2000 Rachey Svetlozar, G. Samaradinitsky (91) 'Option Pricing Formulae for Speculative

Processes Modelled by Suboridinated Stochastic Processes' Dept. Math Cornell (tech report 172)

Radhakrishnan A. 'An Empirical Study of the Convergence Properties of the Non-Recombining HJM Forward Rate Tree in Pricing Interest Rate Derivatives' <term structure>

Radhakrishnan A. 'Does Correlation Matter in Pricing Caps & Swaptions?' 9/98 <term structure>

Radhakrishnan A. 'Mispricing of Discount Bond Options in the Black-Derman-Toy Model Calibrated to Term Structure & Cap Volatilities:Empirical Study' 9/98<term structure>

Radner R. 'Existence of Equilibrium of Plans, Prices & Price Expectations in a Seqence of Markets ' Econometric 72

Radner R. 'Origination of Decentralized Information Processing' Econometrica 9/93 Radner R. 'Repeated Principal-Agent Games with Discounting' Econometrica 9/85 Radner R. 'Role of Private Information in Markets & Other Organizations' in Advances

in Economic Theory V.5 Radner R., Larry Shepp 'Risk vs Profit-Potential:A Model for Corporate Strategy'

<risk> 9/97 J. Econ Dyn & Control 8/98 Rady Sven 'Option Pricing in the Presence of Natural Boundaries & a Quadratic

Diffusion Term' Finance & Stochastics 9/97 <option pricing> Rady Sven 'Option Pricing with a Qaudratic Diffusion Term' 11/95 <option pricing> Rady Sven 'State Prices Implicit in Valuation Formulae for Derivative

Securities:Martingale Approach' 10/95 <option pricing> Rady Sven, Klaus Sandmann 'The Direct Approach to Debt Option Pricing' <Bond Price> wp

212 1994 U.Bonn Rae D. 'Using Distinct Magnitude to Regulate Potential Pary Competition' J.

Econ.Persp. Winter 95 Raghavendran Satish 'Tree Essays on Random Matching Models & Asset Markets' SMU 98 PhD

Diss. Rahman H., M. Najand 'Optimal Futures Positions for Life Insurance Companies' JFM Feb

92 Raj M.,A. Sim,D. Thuston 'A Generalized Method of Moments Comparison of Cox Ingersol

Ross and Heath Jarrow Morton Models' J. Econ & Buses. 3/97 Rajan A. ' A Note on Incomplete Markets' J. Math Econ. 3/99 Rajan R. 'Insiders & Outsiders:Choice between Informed & Arms Length Debt' JofF

9/92 Rajan R., A. Winton 'Convenants & Collateral as Incentives to Monitor' JofF 9/95 Rajan R., H. Servaes 'Analyst Following of Initial Public Offerings' JofF 6/97 Rajan R., H. Servaes, L. Zingales 'Cost of Diversity:Diversification Discount &

Inefficient Investment' JofF 2/2000 Rajan R., L. Zingales 'What Do We Know about Capital Structure? Some Evidence from

International Data' JofF 12/95 Rajasingham I. 'Differential option strategies' U. of California, Berkeley Rajeev B., Marc Yor 'Local Times & Almost Sure Convergence of Semimartingals'

<martingale> Ann.Inst.Henri Poincare Prob & Stat 95, Annales de L'IHP v31 #4,96 <martingale>

Ram R. 'Government Size & Economic Growht:Erratum' AER 3/93 Ramachandam V. 'Perceiving Shape from Shading' SA 8/88 Ramachandran M. 'Note on Integral Equation Method to Diffusion Diffusion-Reaction

Problem' Appl. Math Lett. v.6 #1 1993 <Diffusion> Ramachandran V., S. Angtis 'Preception of Apparent Motion' SA <no date> Ramage C. 'El Nino' SA <unlabeled> Ramakrishnan R., Anjan Thakor 'Valuation of Assets Under Moral Hazard' JofF 3/84 Ramamurtie B., M. Rebello 'Price Reactions to Public Announcements' 11/96 FRB Atlanta

wp Ramamurtie B., S. Ulman 'MLE is Alive & Well in the Financial Markets' <interest

rates> <FX> 11/96 FRB Atlanta wp Ramamurtie B.,S. Ulman 'Specifying a Consistent Joint Maximum-Likelihood (JMLE)

Approach to Testing Bond Models' <interest rates> > 11/96 FRB Atlanta wp

Ramanlal P. 'Which Warrant' <option-pricing> RISK 1/97 Ramaswami M. 'Hedging Equity Risk of High Yield Bonds' FAJ Sept/Oct 91 Ramaswamy Krishna, Susresh Sundaresan 'Valuation of Options on Futures Contracts'

JofF 12/85 Ramb B-T. 'General Problems of Reform in Socialist Countries' Review Futures Markets

v9 #3 90 Ramberg J., E. Dudewicz, P. Tadikamalla, E. Mykytka 'A Probability Distribution and

Its Uses in Fitting Data' Technometrics 5/79 <distributions> <skew,kurtois> Ramey G., V. Ramey 'Cross Country Evidence on the Link Between Volatility & Growth'

AER 12/95 Ramirez C. 'Did J.P. Morgans Men Add Liquidity? Corporate Investment,Cash Flow, &

Financial Structure at the Turn of the Century' JofF 6/95 Rand D. 'Global Phase Space Universality ,Smooth Conjugacies & Renormalization'

Nonlinearity V.1 #1 1988 Randall Curt, Elaine Kant 'Numerical Options Models without Programming' <option-

pricing> Randall Curt, Elaine Kant, A. Chhabra 'Using Program Synthesis to Price Derivatives'

J.Comp.Finance Winter 98 V.1#2 <option-pricing> Randall Curt, Elaine Kant, S. Kostek 'Automatic Synthesis of Financial Modeling

Codes' <option-pricing> Randolph W. 'Relative Pricing of Options on Futures & Options on the Spot' R. Research

in Futures Markets' V5 #3 86 Randolph W., M. Najand 'A Test of Two Models in Forecasting Stock Index Futures Price

Volatility' <volatility> J. of Futures Markets Vol 11,No 2, (1991) Rankine G., E. Stice 'Market Reaction to the Choice of Accounting Method for Stock

Splits & Large Stock Dividends' JF&QA 6/97 Rannacher R. 'Finite Element Solution of Diffusion Processes' Numerische Mathematik 84 Ransom M. 'Seniroity & Monopsony in Academic Labor Markets' AER 3/93 Rao A., K. Monroe 'Causes & Consequences of Price Premiums' JofBuss 10/96 Rao D., I. Kaminow 'Selective Credit Controls & the Real Investment Mix:General

Equilibrium Approach' JofF 12/73 Rapaczynski A. 'Role of the state & the Market in Extablishing Property Rights'

<transitions from Socialism> J.Econ.Perspec. Spring 96 Rapoport A., D. Budesen 'Genertion of Random Series in Two-Person Strictly Competitive

Games' 11/91 Rapoport A., R. Boebel 'Mixed Strategies in Strictly Competive Games:Further Test of

the Minimax Hypothesis' Games & Econ. Behavior 92 <games> Rappaport C. 'Apparent Wage Discrimination When Wages Are Determined by

Nondiscriminatory Contracts' AER 12/95 Rappoport P., E. White 'Was the Crash of 1929 Expected?' AER 3/94 Rasche R. 'Interest Rate Volatility & Alternative Monetary Control Procedures' FRB SF

85 <Interest Rate> Rasche R. 'Monetary Aggregates,Monetary Policy & Economic Activity'<comm. J.

Rotemberg> Review Fed S.L. 3/93 Rashes Michael 'Essays on Arbitrage' Harvard 99 PhD Diss. Rathen R. 'Waves on Waves' SA 8/91 Rauch B. 'A Divisible Search Model of Fiat Money:Comment' Econometrica 1/2000 Rauch J. 'Bureaucracy,Infrastructure, & Economic Growth:Evidence from U.S. Cities

During the Progressive Era' AER 9/95 Rausser G. 'Predatory Versus Productive Government:Case of U.S. Agricultural Policies'

J.Econ.Persp. Summer 92 Ravallien M., S. Chauthuri 'Risk & Insurance in Village India:Comment' Econometrica

1/97 Ravallion M. 'Famines & Economics' JEL 9/97 <alpha> Ravallion M. 'Measuring Social Welfare With & Without Poverty Lines' AER 5/94 Ravid S., M. Spiegel 'Optimal Financial Contracts for a Start-Up with Unlimited

Operating Discretion' JF&QA 9/97

Ravikumar B., S. Ray, N. Savin 'Roubst Wald Tests in SUR Systems iwth Adding-Up Restrictions' Econometrica 5/2000

Ravindran K. 'Exotic Options:The Basic Building Blocks & Their Applications' in Handbook of Exotic Options

Ravindran K. 'Low-Fat Spreads' <spread options> RISK 10/93 Rawski T. 'Chinese Industrial Reform: Accomplishments,Prospects & Implications' AER

5/94 Ray S., E. Desli 'Productivity Growth, Technical Progress & Efficiency Change in

Industrial Countries' AER 12/97 Raymar S., A. Sheikh 'Valuation of Compound Options & American Calls on Dividend

Paying Stocks with Time-Varying Volatility'<options-compound> J. Fina. Engin 9/96

Raymar S., M. Zwecher 'Monte Carlo Estimation of American Call Options on the Maximum of Several Stocks' J. Derivatives Fall 97 <monte carlo>

Read Oliver 'Delta-Normal-Methode' <VAR> 12/97 <have binary> Read Oliver 'Der Informationsgehalt von Forward-und Futures-Preisen' 11/97 <forwards> Read Oliver 'Der Informationsgehalt von Optionspreisen' 12/97 <risk reversal,volt.> Read Oliver 'Hedging von Ausfallrisiken mit Kreditderivaten' 11/97 <credit risk> Read Oliver 'Historische Simulation und Monte Carlo Simulation' 12/97 Read Oliver 'Interne Risikomodelle und Bankenaufsicht' 11/97 <have binary> Read Oliver 'Parametrishche Modelle zur Ermittlung des Value-at-Risk' PhD 12/98 Ready Mark 'Specialists Discretion:Stopped Orders & Price Improvement' RFS Winter 99 Rebitzer J. 'Radical Political Economy & Economics of Labor Markets' JEL 9/93 Rebonato Riccardo 'A Class of Aribtrage-Free Log-Normal Short Rate Two Factor Models'

Applied Math.Finance 12/97 <term structure> Rebonato Riccardo 'Calibrating the BGM Model' <term structure><Brace-Gatarek-Musiela,

forward rate,correlation> RISK 3/99 Rebonato Riccardo 'On the Pricing Implication of the Joint Lognormal Assumption for

the Swaption & Cap Markets' J. Computational Finance Spring 99 <swaps> Rebonato Riccardo 'On the Simultaneous Calibration of Multifactor Lognormal Interest

Rate Models to Black Volatilities & to the Correlation Matrix' J. Comp. Finance Summer 99 <term structure><BGM>

Rebonato Riccardo, I. Cooper 'Coupling Backward Induction with Monte Carlo Simulations:A Fast Fourier Transform(FFT) Approach'App. Math. Finance 6/98 , IFA 236-1996 <monte carlo><american, compound,binary>

Rebonato Riccardo, I. Cooper 'The Limitations of Simple Two-Factor Interest Rate Models' <term structure> J.Fin.Engin 3/96

Rebonato Riccardo, Peter Jackel 'The Most General Methodology for Creating a Valid Correlation Matrix for Risk Management & Option Pricing Purposes' J. of Risk Winter 12/2000 <risk>

Rechner D., G. Poitras 'Putting on the Crush:Day Trading Soybean Complex Spread' JFM 2/93

Reddy A., J. Goldenberg 'Energy for the Developing World' SA 9/90 Redner R., H. Walker 'Mixture Densities, Maximum Likelihood & the EM Algorithm'

<numeric method> SIAM Review April 84 Reece W., K. Zieschang 'Consistent Estimation of the Impact of Tax Deductibility on

the Level of Charitable Contributions' Econometrica 3/85 Reed M. 'Mainstreaming Calculus Reform' SIAM News 8/94 Reed M. 'Quantum Dots' SA 1/93 Reed N. 'If the Cap Fits...' <caps><term structure,tractable model for interest

rates;HJM> RISK 8/95 Reed N. 'Square Deal' <volatility><Power Straddle option trading strategy> RISK 12/94 Rees A., 'Salaries of PhDs in Academe & Elsewhere'J.Economic Perspectives Winter 93 Rees J. 'Stanford Linear Collider' SA 10/89 Rees M. 'Black Holes in Galactic Center' SA 11/90 Reese W. 'Capital Gains Taxation & Stock Market Activity:Evidence from IPOs' JofF

10/98

Regan P. 'Public Pension Funds:Less Than Meets the Eye?' FAJ 5/94 Reich R. 'Quiet Path to Technology Preeminence' SA 10/89 Reichelstein S., S. Reiter 'Game Forms with Minimal Message Spaces' Econometrica 5/88 Reichenstein W., S. Rich 'Market Risk Premium & Long Term Stock Returns' J.Port.Manag.

Summer 93 Reichenstein W., S. Rich 'Predicting Long-Horizon Stock Returns:Evidence &

Implications' FAJ 1/94 Reid C., T. Passin 'Simple Formula for Digital Filtering'<fourier> C Users Journal

5/92 Reid M., S. Schreft 'Credit Aggregates from Flow of Funds Accounts' Economic Quarterly

FRB Richmond Summer 93 Reilly F., D. Wright 'Analysis of High-Yield Bond Benchmarks' J. Fixed Income 3/94 Reilly F., D. Wright, E. Altman 'Including Defaulted Bonds in the Capital Market Asset

Spectrum' J. Fixed Income 12/98 Reilly F., R. Sidhu 'Many Uses of Bond Duration'<duration> FAJ July 80 Reimer M., E. Sandmann 'A Discrete Time Approach for European & American Barrier

Options' <options-barrier> Bonn 272 3/95 Reimer M., Klaus Sandmann 'Down-and Out Call Bewertungstheorie, Numerische Verfahren

und Simulationsstudie'<option-barrier> <Arbitrage;Path dependent payoff> Bonn 239 1993

Reiner Eric 'Convolution Methods for Exotic Options' 1/11/2001 <option-exotic> Reiner Eric 'Exact Solutions in Continuous Time' <options-numeric> wp 9/94 Reiner Eric 'Quanto Mechanics' <options-product> RISK 3/92 Reiner Eric 'Understanding Skew & Smile Behavior in the Context of Jump Processes &

Applying these Results to the Pricing & Hedging of Exotic Options' 98 Reiner Eric 'Volatility Rules & Implied Processes' 4/99 <volatility> Reinganum Marc 'Abnormal Returns in Small Firm Portfolio' FADJ 3/81 Reinganum Marc 'Arbitrage Pricing Theory:Some Empirical Results' JofF 5/81 Reinganum Marc 'Direct Test of Rolls Conjecture on the Firm Size Effect' JofF 3/82 Reinganum Marc 'Misspecification of CAPM' 81 <Anomalies> JFE <CAPM> Reinhardt U. 'Break-Even Analysis for Lockheeds Tri Star:Application of Financial

Theory' JofF 9/73 Reinsdorf M. 'New Evidence on Relation Between In Inflation & Price Dispersion' AER

6/94 Reisman H. 'A General Approach to the Arbitrage Pricing Theory (APT)' Econometrica

3/88 Reisman H. 'Binomial Tree for the Hull & White Model with Probabilities Independent

of the Initial Term Structure' J. Fixed Income 12/96 <term structure> Reisman H. 'Intertemporal Arbitrage Pricing Theory' (92)<arbitrage> RFS Reisman H. 'Reference Variables,Factor Structure & Appropriate MultiBeta

Representation' JofF 9/92 Reiss Ariane 'Discrete Time & Continuous Time Dynamic Mean-Variance Analysis'

<portfolio> 5/99 Reiss O., Uwe Wystup 'Efficient Computation of Option Price Sensitivities Using

Homogeneity & other Tricks' J.of Deriv. Winter 02 ,<option-pricing> <greeks,rainbow,Heston stochastic volatility> 5/2000

Reiss P., I. Werner 'Does Risk Sharing Motivate Interdealer Trading' JofF 10/98 Reiss Peter 'Further Distribution Results for Correlation Coefficients & F-Tests in

Normal Samples' w.p. April 88 Reitano R. 'Non-Parallet Yield Curve Shifts & Stochastic Immunization' J. Port.

Management Winter 96 Reiter M. 'Solving Higher-Dimensional Continuous-Time Stochastic Control Problems by

Value Function Regression' J. Econ. Dyn & Control 23 (1999) <stochastic> <control>

Reitman D. 'Stock Options & Strategic Use of Managerial Incentives' AER 6/93

Rejman A., A. Weron, R. Weron 'Option Pricing Proposals Under the Generalized Hyperbolic Model' <option-pricing> <CRR,randomization> Stochastic Models 13(4) 1997

Remaley W. 'Suboptimization in Mean-Variance Efficient Set Analysis' JofF 5/73 Renault Eric 'Econometric Models of Option Pricing Errors' in Adva. in Econometircs

9th World 97 v.3 Renault Eric, Nizar Touzi 'Option Hedging & Implied Volatilities in a Stochastic

Volatility Model'<volatility> MF 7/96 Rendleman Richard 'An LP Aproach to Option Portfolio Selection' <portfolio>AFOR v8 95 Rendleman Richard 'Commentary o the Effects of Stock Index Futures Trading on the

Market for Underlying Stocks' R. Research in Futures Markets' V5 #3 86 Rendleman Richard 'Duration-Based Hedging with Treasury Bond Futures' J. Fixed Income

6/99 Rendleman Richard 'First Derivatives National Bank:Case Problem in the Management of

Interest Rate Risk' J. of Risk V1. #3 98 Rendleman Richard 'Reconciliation of Potentially Conflicting Approaches to Hedging

with Futures' AF&OR6 Rendleman Richard 'Share & Share Unlike' <Swap risk> Risk 2/93 Rendleman Richard, B. Barter 'Pricing of Options on Debt Securities'<term structure>

JFQA Mar 80 Rendleman Richard, B. Barter 'Two State Option Pricing' JofF 12/79 Rendleman Richard, C. Carabini 'Efficiency of T-Bill Futures Market' JofF 9/79 Renner C., J. Peinke, R. Friedrich 'Markov Properties of High Frequency Exchange Rate

Data' Inter. J. of Theor. & Applied Finance 7/2000 Rennie E. 'The Behavior & Market Responsiveness of Synthetic GICs' FAJ 9/94 Renshaw E. 'Interest Rates, Investment and Economic Recessions' J. Fixed Income 12/96 Renshaw E. 'Is the Stock market More Stable Than it Used to Be?" FAJ 11/95 Renshaw E. 'Labor Cost per Unit of Output in Manufacturing:Noteworthy Inflation

Indicator' J.Fixed Income 6/94 Renshaw E. 'Modeling Stock Market for Forecasting Purposes' J. Port. Management Fall

93 Renshaw E. 'The Feds Preemptive Strike Against Accelerting Inflation' J.Fixed Income

6/95 Renshaw E. 'Will Stocks Continue to Outperform Bonds in the Future' FAJ 3/97 Reny P. 'Backward Induction,Normal Form Perfection & Explicable Equilibria'

Econometrica 5/92 Reny P. 'On the Existence of Pure & Mixed Stregy Nash Equilibria in Discontinous

Games' Econometrica 9/99 Repullo R., J. Suarez 'Monitoring Liquidation & Security Design' RFS Spring 98 Resnick B., A. Sheikh, Y. Song 'Time Varying Volatilities & Calculation of Weighted

Implied Standard Deviations' <volatility>JF&QA 9/93 Restoy F., G. Rockinger 'On Stock Market Returns & Returns on Investment' JofF 6/94 Revankar N. 'Exact Equivalence of Instrumental Variable Estimators in an Error

Component Structural Systems' SUNY/Buffalo Feb. 91 Review St.Louis 'Inflation & Real Growth' <various articles> 5/97 Rey P., B. Salanie 'Longterm, Short-term and Rengotiona:On Value of Committment in

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Richtmeyer R., K. Morton 'Difference Methods for Initial-Value Problems' Interscience 67

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Roberts G., C. Shortland 'Pricing Barrier Options with Time-Dependent Coefficients' MF 1/97 <options-barrier>

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of Electric Utility Firms' JofF 5/73 Robins R., Barry Schachter 'An Analysis of the Risk in Discretely Rebalanced Option

Hedges & Delta-based Techniques' Manag.Sci. 6/94 <Hedging> Robins R., Barry Schachter 'Optimal Hedging of Discretely Rebalanced Option

Portfolios: Why Investors Should not use Delta Neutral Hedging' Tulane6/90 Robins R., R. Sanders, Barry Schachter 'An Empirical Investigation of Variance

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Fall 98 Robinson F. 'Poynting's Vector:Comments on a Recent Paper by Clark Jeffries' SIAM

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Robinson P. 'The Normal Approximation for Semiparametric Average Derivatives' Econometrica 5/95

Robinson P. 'Time Series Residuals with Application to Probability Density Estimation' J. Time Series Analysis (87) #3

Robison L., P. Barry 'Risk Efficiency Using Stochastic Dominance & Expected Gain-Confidence Limits' JofF 9/78

Robson A. 'Status , the Distribution of Wealth,Private & Social Attituedes to Risk' Econometrica 7/92

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J. of Risk Spring 2000 ,wp 11/99 <risk> Rockett A., J. Stevenson 'Karmarkars Algorithm' Byte 9/87 <linear program> Rodrik, Obstfeld, Feenstra, Williamson (various articles) 'Globalization' J Econ

Persp. Fall 98 Rodriquez R. 'Corporate Exchange Risk Management:Theme & Aberrations' JofF 5/81 Roehrig C. 'Condtions for Identification in Nonparametric and Parametric Models'

Econometrica 3/88 Roemer J. 'Rationalizing Revolutionary Ideology' Econometrica 1/85 Roemer J. 'The Democratic Political Economy of Progressive Income Taxation'

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RISK 3/97 ,also WP Rogers L.C.G. 'Stochastic Calculus & Markov Methods' (in Dempster M.,S. Pliska (ed)

'Math. of Derivative Securities' Rogers L.C.G. 'The Joint Law of the Maximum & Terminal Value of a Martingale'

<martingale> Rogers L.C.G. 'The Potential Approach to the Term Structure of Interest Rates &

Foreign Exchange Rates'MF 4/97 ,<term structure> Rogers L.C.G. 'Volatility Estimation with Price Quanta' MF 7/98 <volatility> Rogers L.C.G. 'Which Model for Term-Structure of Interest Rates Should One Use?'<term

structure> IMA 1994 <also in Mathematical Finance (ed) Davis Springer 95> Rogers L.C.G., D. Williams 'Diffusions, Markov Processes & Martingales' Wiley 87 Rogers L.C.G., E. Stapleton 'Fast Accurate Binomial Pricing' Finance and Stochastics

1/98 ,2/97 <option-numeric> Rogers L.C.G., F. Yousaf 'Markov Chains & the Potential Approach to Modelling Interest

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Rogers L.C.G., J. Walsh 'A(t,B) is not a Semimartingale' Rogers L.C.G., Omar Zane 'A Simple Model of Liquidity Effects' 8/98 <portfolio> Rogers L.C.G., Omar Zane 'Fitting Potential Models to Interest Rate & Foreign Exchange

Data' <term structure> Rogers L.C.G., Omar Zane 'Saddle-Point Approximations to Option Prices' 11/97 <option-

pricing> Rogers L.C.G., Omar Zane 'Valuing Moving Barrier Options' 97 wp <options-barrier>,

J.Computational Finance v.1,#1 97

Rogers L.C.G., Stephen Satchell 'Does the Behavior of the Asset Tell Us Anything about the Option Price Formula? A Cautionary Tale' 6/96 <option-pricing>

Rogers L.C.G., Stephen Satchell 'Estimating Variance from High, Low & Closing Prices' Ann. App. Prob 91 <volatility>

Rogers L.C.G., Z. Shi 'Value of an Asian Option' <options-average> J. Appl.Prob. 12/95

Rogerson W. 'First-order Approach to Principal-Agent Problems' Econometrica 11/85 Rogerson W. 'Note on Existence of Single Price Equilibrium Price Distribution in

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Efficient Market' JofF 9/84 Roll Richard 'After-tax Investment Results from Long-term vs. Short-term Discount

Coupon Bonds' <portfolio> FAJ Jan 84 Roll Richard 'Ambiguity When Performance Measured by Security Market Line' JofF 9/78 Roll Richard 'Analytic Valuation Formula for Unprotected American Call Options on

Stocks with Known Dividends' <orig. JFE 77> IAFO&FOM Roll Richard 'Collaterized Mortgage Obligations' 4/86 <mortgage> Roll Richard 'Critique of Asset Pricing Theory Tests:part 1 ' JFE 77 <CAPM> Roll Richard 'Evidence on Growth Optimum Model' JofF 6/73 Roll Richard 'Industrial Structure & the Comparative Behavior of Internations Stock

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Summer 92 <portfolio> Roll Richard 'Possible Explanation of Small Firm Effect' JofF 9/81 Roll Richard 'R Squared' JofF 7/88 Roll Richard 'U.S. Treasury Inflation-Indexed Bonds' J. Fixed Income 12/96 Roll Richard, Steven Ross 'An Empirical Investigation of the Arbitrage Pricing Theory'

JofF 12/80 Roll Richard, Steven Ross 'Critical Reexamination of Empirical Evidence on Abritrage

Pricing Theory:Reply' JofF 6/84 Roll Richard, Steven Ross 'On Cross Sectional Relation Between Expected Returns &

Betas' 5/92 & JofF 3/94 <stock returns> Roll Richard, Steven Ross 'The Arbitrage Pricing Thoery Approach to Strategic

Portfolio Planning' FAJ 5/84 <CAPM> Rolnick A., B. Smith, W. Weber 'In Order to form a More Perfect Monetary Union'

Quarterly Review FRB Minn Fall 93 Rolnick A., B. Smith, W. Weber 'Lessons from a Laissez-Faire Payments System:the

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Quart. Review FRB Minn Fall 97 Rolnick A., W. Weber 'Money, Inflation & Output under Fiat & Commodity Standards'

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the Maximum of Several Bonds' 5/97 <options-bonds> Romano Marc, Nizar Touzi 'Contingent Claims & Market Completeness in a Stochastic

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Spring 99

Romer D. 'Rational Asset-Price Movements without News' AER 12/93 Romer P. 'Cake Eating, Chattering, and Jumps:Existence Results for Variational

Problems' Econometrica 7/86 Ronen T. 'Tests & Properties of Variance Rations in Macrostructure Studies' JF&QA 6/97 Rong S. 'On the Solutions of Backward Stochastic Differential Equations with Jumps &

Applications' SP&A 3/97 <SDE> Ronn Ehud 'Portfolio L.P.' JF&QA 12/87 Ronn Ehud, A. Verma 'Pricing Risk Adjusted Deposit Insurance :Option Based Model'

JofF 9/86 Ronn Ehud, C. Xuan 'Using Interest Rate options to Hedge Interest Rate-Dependent

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Contingent Claims' <term structure> AF&OR v5 1991 Ronn Ehud, Robert Bliss 'A Nonstationary Trinomial Model for the Valuation of Options

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<preferences, GARCH> Rosendorff B. 'Voluntary Export Restraints, Antidumping Procedure & Domestic Politics'

AER 6/96 Rosenfeld J. 'Effect of Common-Stock Dividend Reductions on Returns of Non-Convertible

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European Style Options' Appl. Math.Finance 6/98 Ross Steven 'Adding Risks: Samuelson's Fallacy of Large Numbers Revisited' JF&QA 9/99 Ross Steven 'Arbitrage Theory of Capital Asset Pricing' <CAPM> JET 1976 p. 341 Ross Steven 'Current Status of CAPM' JofF 6/78 Ross Steven 'Debt & Taxes & Uncertainty' JofF 7/85 Ross Steven 'Information & Volatility:No-Arbitrage Martingale Approach to Timing &

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Econometrica 1/85 Roth A. 'On Allocation of Residents to Rural Hospitals:General Property of Two Sided

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Econometrica 7-84 Rothenberg T. 'Approximate Power Functions for Some Robust Tests of Regression

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Econometrics V.5 Rothenberg T. 'Hypothesis Testing in Linear Models When Error Covariance Matrix is

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Royanma S., K. Hamada 'Substitution & Complementary in Choice of Risky Assets' <Risk> in Risk Aversion and Portfolio Choice

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Common in Natural Language' Econometrica 3/96 Rubinstein Ariel, A. Wolinsky 'Equilibrium in a Market with Sequential Bargaining'

Econometrica 9/85 Rubinstein Ariel, Z. Safra, W.Thompson 'On Interpreation of Nash Bargin. Solution &

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Markets> Rubinstein Mark 'As Simple as One, Two, Three'<volatility><Black-Scholes, arbitrary

probability> RISK 1/95 Rubinstein Mark 'Buy Now, Choose Later' <options-chooser> RISK ??/?? Rubinstein Mark 'Comparative Static Analysis of Risk Premiums' JofB 10/73 <CAPM> Rubinstein Mark 'Derivative Assets Analysis' <arbitrage>Economic Perspectives Fall

87 Rubinstein Mark 'Displaced Diffusion Option Pricing' JofF 3/83 Rubinstein Mark 'Double Trouble ' <options-compound> RISK 12/91 Rubinstein Mark 'Edgeworth Binomial Trees' <option-numeric> J. Deriv. Spring 98 Rubinstein Mark 'Exotic Options' March 1991 <Forward-Start,Compound,Chooser,

barrier,digital,lookback,average,Asian,rainbow,american exchange,product> Rubinstein Mark 'Implied Binomial Trees' <volatility Smiles> JofF 7/94 Rubinstein Mark 'Implied Binomial Trees' Research Symp Proced. CBT 5/95 Rubinstein Mark 'Latest Approach to Binomial Option Pricing Using Implied Trees -

Overcoming Limitations to Black Scholes Model '<Hedging> w.p. (5/94) Rubinstein Mark 'Mean Variance Synthesis of Corporate Financial Theory' JofF 3/73 Rubinstein Mark 'Nonparametric Tests of Alternative Option Pricing Models Using All

Reported Trades 8/23/76-8/31/78' JofF 6/85 Rubinstein Mark 'NYMEX Crack Spread Options' <options-spread> 5/19/94 NYMEX conference Rubinstein Mark 'On the Accounting Valuation of Employee Stock Options' J. of

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J. Derivatives Winter 2000 Rubinstein Mark 'One for Another' Risk July/Aug 91 <options-exchange> Rubinstein Mark 'Options for the Undecided'<options-chooser> RISK April 91 Rubinstein Mark 'Return of Oz' <options-rainbow><merican ,spread options> RISK 11/94 Rubinstein Mark' 'Somewhere over the Rainbow'<options-rainbow> RISK 11/91 Rubinstein Mark 'Strong Case for Generalized Logarithmic Utility Model as Premier

Model of Financial Markets'<Utility> JofF 6/76 Rubinstein Mark 'Two Into One ' <options-product> RISK 5/91 Rubinstein Mark 'Valuation of Uncertain Income Streams & the Pricing of Options' Bell

J. of Economics <options-numeric>,also TVI Rubinstein Mark, Eric Reiner 'Breaking Down the Barriers'<options-barrier> RISK 9/91 Rubinstein Mark, Eric Reiner 'Unscrambling the Binary Code'<options-barrier> RISK

10/91 Rubinstein Mark, H. Leland 'Replicating Options with Positions in Stock & Cash'

IAFO&FOM

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Runggaldier Wolfgang, Martin Schweizer 'Convergence of Option Values under Incompleteness'<option-pricing> Progress in Probability v36 95<Seminar on Stochastic Analysis,Random Fields & Apps>

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V9, #2 4/99 <option-pricing>

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JofF 7/85 Sheikh A. 'Behavior of Volatility Expectations & Their Effects on Expected Returns'

<volatility>JofB 1/93 Sheikh A. 'Stock Splits, Volatility Increases & Implied Volatilties' JofF 12/89 Sheikh A. 'Transaction Data Tests of S&P 100 Call Option Pricing' JF&QA 12/91 Sheikh A., Ehud Ronn 'A Characterization of Daily & Intraday Behavior of Returns on

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Fixed Income 9/99 <term structure> Shephard Neil 'From Characteristic Funciton to DistributionFunction:Simple Framework

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Russian><Stefan problem> SIAM Theory of Prob. & Its Applic. 3/94 Shepp Larry, Albert Shiryaev 'Hiring & Firing Optimally in a Large Corporation' JED&C

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Sherman R. 'Limiting Distribution of Maximum Rank Correlation Estimator' Econometrica 1-93

Sherrick B., P. Garcia, V. Tirupattur 'Recovering Probabilistic Information from Option Markets:Test of Distributional Assumptions' <option-pricing> J.Futures Markets 8/96

Sherrick B., S. Irwin, D. Forster 'Expected Soybean Futures Price Distriubtions:Option-Based Assessments' R. Futures Markets v9 #2 90

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Sherwood-Call C. 'Changing Geographical Patterns of Electronic Components Activity' Economic Review FRB S.F. #2 1992

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Shi S. 'A Divisible Search Model of Fiat Model' Econometrica 1/97 Shi S., Andreas Weigend 'Taking Time Seriously:Hiddent Markov Experts Applied to

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Inst. of Tech 95 ' Shigekawa I. 'Derivates of Wiener Functionals & Absolute continuity of Induced

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Econometrica 7/93 Shiller Robert 'Do Stock Prices Move Too Much to be Justified by Subsequent Changes in

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Markets:Hendonic Repeated Measures Indices & Perpetual Futures' JofF 7/93 Shiller Robert 'Use of Volatility Measures in Assessing Market Efficiency' <comment J.

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RISK 9/94 Shimko David 'Bounds of Probability'<volatility><Skew,Vega,Distributions,option price

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JofF 12/89 Shimko David 'Optimal Probability Trading Strategies' JP Morgan 4/94 <volatility> Shimko David 'Options on Futures Spreads:Hedging Speculation & Valuation'<Hedging>

JFM 4/94 Shimko David 'Options or Insurance' <options-insurance> RISK 7/95 Shimko David 'Room for a View' <derivatives><best portfolio> RISK 8/95 Shimko David 'Taking all the Credit' <credit risk> 5/99 talk at UofC Shimko David 'Valuation of Multiple Claim Insurance Contracts' JF&QA 6/92 Shimko David 'When to Use Exotic Options' in Handbook of Exotic Options Shimko David, N. Tejima, D. van Deventer 'Pricing of Risky Debt when Interest Rates

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Shiryaev Albert 'Essentials of the Arbitrage Theory' 1/2001 <arbitrage> Shiryaev Albert 'On Some Basic Concepts & Some Basic Stochastic Models Used in

Finance' SIAM Theory of Prob. & Its Applic. 3/94 Shiryaev Albert 'Optimal Stopping Rules 'Springer 78 Shiryaev Albert, Alexander Cherny 'Some Distribution Properties of a Brownian Motion

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Shiryaev Albert, Alexander Cherny 'Vector Stochastic Integrals & the Fundamental Theorems of Asset Pricing' 1/2001 <asset pricing>

Shiryaev Albert, Jan Kallsen 'On the Real-Valued Cumulant Process, Exponential Martingales & Esscher's Change of Measures' 2000

Shiryaev Albert, Yuri Kabanov, O. Kramkov, A. Mei'Nikov 'Towards the Theory of Pricing of Options on Both European & American Types II:Continuous Time' SIAM Theory of Prob. & Its Applic. <options-American> 3/94

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91 Shreve Steven 'Liquidity Premium for Capital Asset Pricing with Transaction Costs'

<CAPM-Transaction Costs> Mathematical Finance (ed) Davis Springer 95 Shreve Steven 'Reflected Brownian Motion in the "Bang-Bang" Control of Brownian

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<SDE> w.p. 9/94 Shreve Steven, Dmitri Bertsekas 'Alternative Theoretic Framework for Finite Horizon

Discrete-time Stochastic Optimal Control'<optimal control> J. Control & Opt. 78 Shreve Steven, G. Xu 'A Duality Method for Optimal consumption & Investment under

Short-Selling Prohibitons:IGeneral Market Coefficients,II Constant Market Coefficients' Ann App Probl 92

Shreve Steven, H. Mete Soner 'Optimal Investment & Consumption with Transaction Costs' Annals of Applied Probability Au94 p.609-693

Shreve Steven, H. Mete Soner, G. Xu 'Optimal Investment & Consumption with Two Bonds and Transaction Costs'<transaction costs> MF 7/91

Shreve Steven, Jan Vecer 'Options on a Traded Account:Vacation Call, Vacation Puts & Passport Options' Finance & Stochastics 2000 , wp 8/99 <option-passport>

Shreve Steven, John Lehoczky 'Optimal Consumption for General Diffusions with Absorbing & Reflecting Barriers' SIAM Control & Opt 84 <optimal control>

Shreve Steven, John Lehoczky, D. Gaver 'Optimal Control for General Diffusions with Absorbing & Reflecting Barriers' 1/84 SIAM J.Control & Opt

Shrikhande M. 'Cost of Doing Business Abroad & International Capital Market Equilibrium' FRB Atlanta 7/97

Shrikhande M. 'Nonaddictive Habit Formation & the Equity Premium Puzzle' <alphabetic> wp FRB Atlanta 2/96

Shubba Rao 'Testing Linear' 1980 #1 145-158 J. Time Series Shukla R., C. Trzcinka 'Performance Measurement of Managed Portfolios' Financal

Markets,Institutions & Instruments v1 #4 Shultz G. 'Reflections on Political Economy' JofF 5/74 Shumway T. 'The Delisting Bias in CRSP Data' JofF 3/97 Shumway T., V. Warther 'The Delisting Bias in CRSP's Nasdaq Data and Its Implications

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SIAM NEWS 'Avner Friedman' SIAM 11/92 SIAM NEWS 'Image Processing Makes its Mark in Court' 12/93 SIAM Scient & Stat. Comput 12/84,6/84,3/84 Sias R., L. Starks 'Day-of-the-Week Anomaly:Role of Institutional Investors' FAJ

May/June 95 Sias R., L. Starks 'Institutions & Individuals at the Turn-of-the-Year' JofF 9/97 Sibert A. 'Risk Premium in Foreign Exchange Market'<foreign exchange> FRB Kansas

12/87 Sibulkin M. 'Note on Bathtub Vortex & the Earths Rotation' Amer Scien 7/85 <science-

misc> Sicherman N., R. Pettway 'Acquistion of Divested Assets & Shareholders Wealth' JofF

12/87 Sickles R., P. Taubman 'Analysis of Health & Retirement Status of the Elderly'

Econometrica 11/86 Siddiqi Mazhar 'Using Simulations to Price Compound Options & Calaculating Partial

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Siddique A. 'Conditional Skewness in Asset Pricing Tests' AFA papers 7/97 Sidenius Jakob 'Double Barrier Options:Valuation by Path Counting' J. Computational

Finance Spring 98 <option-barrier> Sidenius Jakob 'LIBOR Market Models in Practice' J. Comp. Finance Spring 2000

<interest rates> Sidrauski Miguel 'Growth in Monetary Economy' AER 5/67 <growth> Sidrauski Miguel 'Inflation & Economic Growth' <growth> Siebert H. 'Labor Market Rigidities:ath the Root of Unemployment in Europe' J. Econ

Persp. Summer 97 Siegel A., C. Nelson 'Long-Term Behavior of Yield Curves'<term structure> < JF&QA 3/88 Siegel J. 'Bank Reserves & Financial Stability' JofF 12/81 Siegel J. 'Equity Risk Premia,Corporate Profit Forecasts, & Investor Sentiment around

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Siklos P., Clive Granger 'Temporary Cointegration with an Application to Interest Rate Parity' <foreign exchange> 3/96

Sikorov J. 'Instalment Plan' <options in instalments> RISK 10/93 Silber W. 'Market-maker Behavior in an Auction Market:Analysis of Scalpers in Futures

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Spring94 Silk J., A. Szlay, Y. Zeldovich 'Large Scale Structure of the Universe' PPC Silva E., K. Kahl 'Reliability of Soybean & Corn Option-Based Probability Assessments'

JFM Oct.93 Silverberg S. 'Deposit Costs & Bank Portfolio Policy' JofF 9/73 Silverman B. 'Density Estimation for Statistics & Data Analysis' <distributions> Silverman D. 'Solution of the Black Scholes Equation Using the Green's Function of

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Models of the Term Structure' JFR Winter 95 <term structure> Sime R. 'Lisa Meiter & Discovery of Nuclear Fission' SA 1/98 Simon D. 'Expectations & the Treasury Bill-Federal Funds Rate Spread over Recent

Monetary Policy Regimes' JofF 6/90 Simon D. 'Implied Voltatility Asymmetries in Treasury Bond Futures Options' 12/97 JFM Simon H. 'Altruism & Economics' AER May 93 Simon L., M. Stinchcombe 'Extreme Form Games in Continous Time:Pure

Strategies'Econometrica 9/89 Simon L., William Zame 'Discontinuous Games & Endogenous Sharing Rules' Econometrica

7/90 Simon M. 'The Rise & Fall of Bank Control in the United States:1890-1939' AER 12/98 Simon S., M. Goovaerts, Jan Dhaene 'An Easy Computational Upper Bound for the Price of

an Arithmetic Asian Option' Insurance:Math. & Econ. 2000 <option-asian> Simon T. 'Support Theorem for Jump Processes' <stochastic> <Levy,Ito, Skorhohd> SP&A

9/2000 Simons H. 'Adapting Moving Averages for Changing Markets <tech. analysis> FUTURES 5/94 Simons K. 'Interest Rate Structure & the Credit Risk of Swaps' < Swaps> New England

Economic Review 7/93 Simons L., M. Stinchcombe 'Equilibrium Refinement for Infinite Normal Form Games'

Econometrica 11/95 Sims C., T. Zha 'Bayesian Methods for Dynamic Multivariate Models' FRB Atlanta 10/96 Sims C., T. Zha 'Error Bounds for Impulse Responses' Econometrica 9/99 Sims Christoper 'Are Forecasting Models Usable for Policy Analysis' FRB Minn Winter 86 Sims Christoper 'Discrete Approximations to Continuous Time Distributed Lags'<AR>

Econometrica May 71 Sims Christoper 'Least Squares Estimation of Autoregressions with some Unit Roots' 3-

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Methods' 7-76U. Minn. Sin C. 'Complications with Stochastic Volatility Models' Cornell 12/95 <volatility>

Adv. App. Prob. 98

Sin C. 'Sticky Local Martingales & Hedge Ratios on Stochastic Volatility Models' PhD Cornell 96

Sinclair-Desgagne B. 'First Order Approach to Multi-Signal Principal-Agent Problems' 3/94 Econometrica

Singal V. 'Airline Mergers & Competition:An Integration of Stock & Product Price Effects' JofBusiness 4/96

Singer B., K. Terhaar, John Zerolis 'Maintaining Consistent Global Asset Views (with a Little Help from Euclid' FAJ Jan/Feb. 98 <volatility><correlation>

Singh M. 'Estimation of Multifactor Cox,Ingersoll,and Ross Term Structure Model:Evidence on Volatility Structure & Parameter Stability' <Term Structure> J. Fixed Income 9/95

Singh M., J. McConnell 'Implementing an Option-Theoretic CMO Valuation Model with Recent Prepayment Data' J.Fixed Income 3/96 <mortgage>

Singh R. 'Lp Norm Consistencies of Non-parametric Estimation of Regression, Hetroskedasticity,and Variance of Regression Estimate when Distribution'

Singh R. 'Takeover Bidding with Toeholds:Case of the Owners Curse' RFS Winter 98 Singh S., Kenneth Ribet 'Fermats Last Stand' <number theory> SA 11/97 Singleton Kenneth 'Estimation of Affine Asset Pricing Models using the Empirical

Characteristic Function'J. Econometrics 2001 , 4/99 <asset pricing> Singleton Kenneth 'Modelling the Term Structure of Interest Rates in General

Equilibrium' TVI Singleton Kenneth 'Specification & Estimation of Intertemporal Asset Pricing Models'

Handbook of Monetary Econ 87 Singpurwalla, S. Wilson 'Warranty Problem:Statistical & Game Theoretic Aspects' SIAM

Review 3/93 Sinquefield R. 'Where Are the Gains from International Diversification?' FAJ 2/96 Siow A. 'Occupational Choice under Uncertainity' Econometrica 5/84 Sircar K. <Ronnie> 'Hedging under Stochastic Volatility' 11/98 <volatility> Sircar K. <Ronnie>, George Papanicolaou 'General Black-Scholes Models Accounting for

Increased Market Volatility from Hedging Strategies' App. Math.Finance 3/98 ,4/98 <volatility>

Sircar K. <Ronnie>, George Papanicolaou 'Stochastic Volatility, Smile & Asymptotics' App. Math. Fin. 6/99 , 5/98 <volatility>

Sirri E., Peter Tufano 'Costly Search & Mutual Fund Flows' JofF 10/98 Skelton H. 'Relative Risk in Municipal & Corporate Debt' JofF 5/83 Skiadas Costis 'Conditionary & Aggregation of Preferences' Econometrica 3/97 Skiadas Costis 'Recursive Utility & Preferences for Information' 6/97 <utility' Skiadas Costis 'Subjective Probability under Additive Aggregation of Conditional

Preferences' 3/97 <utility> Skiadopollos George, Stewart Hodges, Les Clewlow 'The Dynamics of the S&P Implied

Volatility Surface' R. Deriv. Research V3 #3 99 Skiadopoulos George, Stewart Hodges 'Simulating the Evolution of the Implied

Distribution' Euro. Financial Management J. 2001? , wp 12/2000 <option-numeric> Skinner D. 'Do the SECs Safe Harbor Provisions Encourage Forward-Looking Disclosures'

FAJ 7/95 Skinner F. 'Hedging Bonds Subject to Credit Risk' J. Banking & Finance 3/98 Skinner F. 'Trinomial Model of Bonds with Default Risk' <credit risk> FAJ 3/94 Skinner G. 'X-Ray Imaging with Coded Masks' SA 8/88 Skorohod A. 'On a Generalization of Stochastic Integral' Theory Prob App XX 75 Skorohod see also Skorokhod Skovgaard I. 'Note on Differentiation of Cumulants of Log Likelihood Derivatives' 1986

International Statistical Review <maximum likelihood> Skovgaard I. 'On Multivariate Edgeworth Expansions' <distributions> International

Statistical Review 1986 Slade G. 'Random Walks' <Brownian motion> Amer Scienc. 3/96 Slade G. 'Self-Avoiding Walks' Math.Intell. v16 #1 1994 <random> Sleijpen G., J. var der Vorst, M. van Gijzen SIAM News 9/96

Slesnick D. 'Empirical Approaches to the Measurement of Welfare' JEL 12/98 Slezak S. 'Theory of the Dynamics of Security Returns Around Market Closures' JofF

9/94 Sloan I., P. Kachoyan 'Lattice Methods for Multiple Integration:Theory, Erro Analysis

& Examples' <numerics> SIAM J. Num. Anal. 87 Sloan L., Henryk Wozniakowski 'An Intractability Result for Multiple Integration'

<integration> wp 12/95 Sloane N. 'Packing of Spheres' S.A. Jan 84 <bin packing > Slominski L. 'Some Remarks on Approximation of Solutions of SDE with Reflecting

Boundary Conditions'<SDE> Math & Computers in Simulation (95) Slominski L. 'Stability of Strong Solutions of Stochastic Differential Equations'

<SDE> SP&A 89 Slonim R., A. Roth 'Learning in High Stakes Ultimatum Games:Experiment in the Slovak

Republic' Econometrica 3/98 Slovin M. 'Financial Disintermediation in a Macroeconimc Framework:Comment' JofF 6/74 Slovin M., M. Sushka 'Implications of Equity Issuance Decisions with a Parent-

Subsidiary Governance Structure' JofF6/97 Slovin M., M. Sushka 'Model of the Commercial Loan Rate' JofF 12/83 Slovin M., M. Sushka 'Ownership Concentration,Corporate Control Activity & Firm

Value:Evid. from Death of Inside Blockholders' JofF 9/93 Slovin M., M. Sushka, E. Waller 'Is There News in the Prime Rate?' JF&QA 12/94 Slovin M., M. Sushka, J. Polonchek 'Corporate Sale & Leasebacks & Shareholder Wealth'

JofF 3/90 Slovin M., M. Sushka, Y. Bendeck 'Intra-Industry Effects of Going Private

Transactions' JofF 9/91 Slusher R., B. Yurke 'Sqeezed Light' SA 5/88 Small J. 'Testing & Estimation with Seasonal Autoregressive Mis-specification' w.p. U.

Canterbury Small K. 'A Discrete Choice Model for Ordered Alternatives' Econometrica 3/87 Smirlock M., J. Yawitz 'Asset Returns, Discount Rate Changes & Market Efficiency'

JofF 9/85 Smirlock M., W. Marshall 'Examination of the Empirical Relationship Between the

Dividend & Investment Decisions:Note' JofF 12/83 Smith B., B. Amoako-Adu 'Relative Prices of Dual Class Shares' JF&QA 6/95 Smith C. 'Corporate Risk Management:Theory & Practice' J. Derivatives Summer 95 Smith C. 'Option Pricing:A Review' in RII Smith C., J. Wakeman 'Determinants of Corporate Leasing Policy' JofF 7/85 Smith C., J. Warner 'Bankruptcy,Secured Debt & Optimal Capital Structures' JofF 3/76 Smith D. 'A Note on the Derivation of Closed-Form Formulas for Duration & Convexity

Statistics On & Between Coupon Dates' J. Finan.Enginee. 6/98 Smith D. 'A Simple Method for Pricing Interest Rate Swaptions' < Swaps> FAJ May 91 Smith D. 'Aggressive Corporate Finance:Close Look at the Procter & Gamble-Bankers

Trust Leveraged Swap' J. of Derivatives Summer 97 Smith D. 'How to Generate Chaos at Home' SA 1/92 Smith D. 'Parametric Cubic Spline Fitting Program for Open & Closed Curves' Computers

in Physics Sept 92 <numeric> Smith D. 'Pricing Interest Rate Swap Deefault Risk:Empirical Investigation' 97 U.

Oregon PhD Smith D. 'Techniques for Deriving a Zero Coupon Curve for Pricing Interest Rate

Swaps:A Simplified Approach' <term structure> Smith D. 'Theoretic Framework for the Analysis of Credit Union Decision Making' JofF

9/84 Smith D., R. Webb 'Volatility of Eurodollar Futures Prices Around Fed Time' J.Fixed

Income 3/93 Smith D., T. Cargill, R. Meyer 'An Economic Theory of a Credit Union' JofF 5/81 Smith E., R. Marsden 'Ulysses Mission' <space explorer> SA 1/98 Smith G. 'Further Evidence on Value of A Priori Information' JofF 3/80

Smith G. 'Solution to a Problem of Stochastic Process Switching' Econometrica 1/91 Smith G., W. Brainard 'Disequilibrium Model of Savings & Loan Associations' JofF 12/82 Smith J. 'Healthy Bodies & Thick Wallets:Dual Relation Between Health & Economic

Status' J. Econ Perspective Spring 99 Smith J. 'Trade Credit & Informational Asymmetry' JofF 9/87 Smith L. 'Curve Fitting with Extrapolation'<numeric analysis> C Users J. 6/93 Smith L. 'Necessary & Sufficient Conditions for the Perfect Finite Horizon Folk

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3/2000 Smith M. 'Shareholder Activism by Institutional Investors:Evidence from CalPERS' JofF

3/96 Smith P. 'Cryptography Without Exponentiation' <cryptography> Dr.Dobbs 4/94 Smith P., C. Reither 'Comprehensive Income & the Effect of Reporting It' FAJ 11/96 Smith R. 'Alternative Asymtotically Optimal Tests in Econometrics' U.Queens 11/83 Smith R. 'Choice of Issuance Procedure & the Cost of Competitive & Negotiated

Underwriting:Examination of the Impact of Rule 50' JofF 7/87 Smith R. 'Non-Nested Tests for Competing Models Estimated by Generalized Method of

Moments' Econometrica 7/92 Smith R., J. Kim 'Combined Effects of Free Cash Flow & Financial Slack on Bidder &

Target Stock Returns' JofB 4/94 Smith R., R. Blundell 'An Exogeneity Test for a Simultaneous Equation Tobit Model with

an Application to Labor Supply' Econometrica 5/86 Smith S., D. Gregory, K. Weiss 'Note on Quality Versus Price Risk & the Theory of

Financial Intermediation' JofF 12/87 Smith S., R. Harper 'Private Insurance of Public Debt:Cost & Benefits of Municipal

Insurance' 9/93 FRB Atlanta Economic Review Smith S., S. Tschinkel 'New Tools for Regulators in High-Tech World' Economic Review

FRB Atlanta 3/93 Smith T. 'Econometrics of Financial Models & Market Microstruture Effects' JF&QA 12/94 Smith T., Robert Whaley 'Estimating the Effective Bid/Ask Spread from Time & Sales

Data' J. Fut. Mark. 6/94 Smith V. 'Economics in the Laboratory' J. Economic Perspectives Winter 94 Smith V., A. Williams 'Experimental Market Economies' SA 12/92 Smith V., G. Suchanek, A. Williams 'Bubbles,Crashes & Endogenous Expectations in

Experimental Spot Asset Markets' Econometrica 9/88 Smith W. 'Sensitivity Analysis of Rates of Return:Comment' JofF 12/78 Smith W., L. Zumpano 'Default Risk Structure of Interest Rates:Case of Coupon Debt'

AF&OR6 Smithson Charles 'ABC of CMT'<interest rates> RISK 9/95 Smithson Charles 'Beyond VAR' RISK 12/2000 Smithson Charles 'Credit Derivatives' RISK 12/95 <risk-credit> Smithson Charles 'Extended Family (1)' <options-general> {family tree of option

models} RISK 10/95 Smithson Charles 'Taxonomy of Options... & Option Pricing Models' wp Chase Manh.

<options-general> Smithson Charles 'Value-at-Risk' <risk> RISK 1/96 Smithson Charles 'Wonderful Life' <option-pricing><history & variation of Black

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