A B C DE F G HI J K LM N O PQ R S TU V W XY Z

A

1. Aase, 1997, American derivatives - a review, Working paper
2. Adamchuk, 1997, Collectively Fluctuating Assets in Persence of Arbitrage Opportunities and Option Pricing, Physics of our days
3. Adamchuk, 1998, Arbitrage Relaxation of Instruments with Temporal Constraints, Working paper
4. Adamchuk A.N. and S.E. Esipov, 1997, Collectively fluctuating assets in the presence of arbitrage opportunities and option pricing, Physics Uspekhi.
5. Afaf N., 01/11/97, Going global: how to reduce the number of porfolio sensitivities needed to tabulate foreign exchange exposure, Risk, Market Risk, Vol 10, No 11
6. Agostini G., , Probability and Measurement Uncertainty in Physics - a Bayesian Primer, Preprint hep-phys/
7. Ahn C.M., 1992, Option Pricing When Jump Risk is Systematic, Manuscript.
8. Ait-Sahalia Y., 1995, Nonparametric Estimation of State-Prices Densities Implicit In Financial Asset Prices + data, Working paper
9. Ait-Sahalia Y., 1995, Corrected Random Walk Approximations for Contingent Claims Problems, Manuscript.
10. Ait-Sahalia Y., 1995, Testing Continuous-Time Models of the Spot Interest Rate, Preprint.
11. Ait-Sahalia Y., 1997, Do Interest Rates Really Follow Continuous-Time MArkov Diffusions?, Working paper
12. Ait-Sahalia Y., 1997, Nonparametric Risk Management and Implied Risk Aversion,
13. Ait-Sahalia Y., 1998, Do Option MArkets Correctly Price the Probabilities of Movements of the Underlying Asset?, Working paper
14. Ait-Sahalia Y., 1998, Goodness-of-Fit Tests for Regression Using Kernel Methods, MIT
15. Ait-Sahalia Y., 1998, Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach, Working paper
16. Ait-Sahalia Y., , Nonparametric Pricing of Interest Rate Derivative Securities, Preprint.
17. Akers, 1998, SciNapse: A Problem Solving Environment for Partial Differential Equations, SciComp Inc.
18. Albanese, 1993, Small Transaction Costs Asymptotics for the Black and Scholes Model, Working paper
19. Albanese, 1995, Transition Costs and non Markovian Delta Edging,, Working paper
20. Albanese, 1997, Bayesian Value at Risk, Working paper
21. Albanese, 1998, Armonic Analysis in Value at Risk Calculation, Working paper
22. Albanese, 1998, Quantitative Measure of Diversification Risk, Working paper
23. Amaral, 1995, Scaling properties of Driven Interfaces in Disordered Media, cond-mat/9506091
24. Apabhai M., K. Choe, F. Khennach and P. Wilmott, 1995, Spot-On Modelling, Risk.
25. Arneodo, 1996, Comment on Turbulent Cascades in Foreign Exchange Markets, cond-mat/9607120
26. Arneodo, 1997, Causal Cascade in the Stock Market from the infrared to the ultraviolet, cond-mat/9708012
27. Arneodo A., J-F. Muzy and D. Sornette, 1997, Causal cascade in the stock market from the infrared to the ultraviolet, Preprint cond-mat/9708012
28. Arneodo A., J-P. Bouchaud, R. Cont, J-F Muzy, M Potters and D Sornette, 1996, Comment on turbulent cascades in foreign exchange markets, preprint cond-mat/9607120
29. Asmussen, 1999, On the Ruin Problem for Some Adapted Premium Rules, MaPhySto
30. Aurell E., 1996, Option Pricing and Partial Edging, Journal of Political Economy
31. Aurell E., 1998, Pricing Risky Options Simply, Internantional Journal of Theoretical and Applied Finance
32. Aurell E., 1998, Risk-Return arguments applied to Options With Trading Costs, Working paper
33. Aurell E., 1998, Risk-Return arguments Applied to Options with Trading Costs, cond-mat/9803238
34. Avellaneda M., 1997, Combinatorial Implications of Nonlinear Uncertain Volatility Models: the Case of Barrier Options, Working paper
35. Avellaneda M., 1998, Fixed Income Securities and the Term Structure Of Interest Rates: PartI Part II and PartIII, Lectures
36. Avellaneda M., 1998, Positive Interest Rates and Non-Linear Term-Structure Models, Working paper
37. Avellaneda M., 1998, Minimum-Relative-Entropy Calibration of Asset Pricing Models, Int. J. Theor. and Appl. Fin.
38. Avellaneda M., 1998, Pricing and Hedging Derivative Securities in MArkets With Uncertain Volatilities, Working paper
39. Avellaneda M., 1998, Calibrating Volatility Surfaces via Relative-Entropy Minimization, Working paper
40. Avellaneda M., 1998, An Introduction to Option Pricing and the Mathematica Theory of Risk, Working paper
41. Avellaneda M., 1998, Managing the Volatility Risk of Portfolios of Derivative Securities: The Lagrangian Uncertain Volatility Model, Working paper
42. Avellaneda M., 1998, Minimum Entropy Calibration of Asset Pricing Models, Working paper
43. Avellaneda M., 1998, Dynamic Hedging Portfolios for Derivative Securities in the Presence of Large Transaction Costs, Working paper
44. Avellaneda M., 1998, Mathematics of Financial Risk Management, Lecture Notes
45. Avellaneda M., 1998, Minimum-Relative-Entropy Calibration of Asset-Pricing Models, International Journal of Theoretical and Applied Finance.

B

1. Baaquie, 1997, A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results, cond-mat/9708178
2. Babbs S.H., 1992, Binomial Valuation of Lookback Options, Working Paper.
3. Babbs S.H., 1995, Modelling Term Strucutres in an Official Regime, Preliminary Draft.
4. Babbs S.H., 1998, Kalman Filtering of Generalised Vasicek Term Structure Models, Working paper
5. Babbs S.H. and N.J. Webber, 1995, A Theory of the Term Structure with an Official Short Rate, Preprint..
6. Babbs S.H. and N.J. Webber, 1995, A Theory of the Term Structure with an Official Short Rate, Slides.
7. Back, 1997, Yield Curve Models: A Mathematical Review, in "Option Embedded Bonds: Price Analysis, Credit Risk and Investment Strategies",Irwin
8. Backus, 1996, Models of Bond Pricing, SSB Working Draft
9. Backus, 1996, Affine Models of Currency Pricing, Working paper
10. Backus, 1997, Predictable Changes in Yields and Forward Rates, Working paper
11. Backus, 1997, Macroeconomic Foundations of Higher Moments in Bond Yields, Working paper
12. Backus, 1997, Accounting Biases in Black-Scholes, Working paper
13. Backus, 1998, Discrete Time Models of Bond Pricing, Working Paper
14. Backus, 1998, Affine Models of Currency Pricing: Accounting for the Forward Premium Anomaly, Working paper
15. Backus & Foresi, 1996, Arbitrage Opportunities in ArbitrageFree Models of Bond Pricing, Nat. Bureau of Economic Research
16. Backus D, 1998, Debt Instruments and Markets, MBA Lectures
17. Bak, 1996, Price Variations in a Stock Market with Many Agents, cond-mat/9609144
18. Bak, 1996, Mass Extinction vs. Uniformitarianism in Biological Evolution, cond-mat/9602012
19. Bak, 1998, The Dynamics of Money, cond-mat/9811094
20. Ball C. and A. Roma, 1990, The European Monetary System Jump-Diffusion Processes and the Pricing of Options, IFA preprint.
21. Ballocchi, G., 1999, Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates, Olsen & Associates
22. Bams & Schotman, 1998, Est. of Risk-NeutralFactor Dynamics of Affine Term Structure Models, Working Paper
23. Barles G., 1995, Convergence of Numerical Schemes for Parabolic Equations Arising in Finance theory, Slides.
24. Barnett, 1996, Robust Bayesian estimation of Autoregressive-moving Average Models, n.a.
25. Barnett, 1998, Bifurcation in Continuous Time Macroeconomic Systems, SNDE
26. Barnett, 1998, Martingales non Linearity and Chaos, Working paper
27. Barrett J, G. Moore and P. Wilmott, 1992, Inelegant Efficiency, Risk.
28. Barucci E. and M.E. Mancino, , Wiener Chaos and Hermite Polynomials Expansions for Pricing and Hedging Contingent Claims, Preprint.
29. Barucci et al., 1997, Wiener Chaos and Hermite Polynomials Expansions for pricing and Edging ContingenClaims, DIMADEFAS
30. Bask, 1996, Deterministic Chaos in Exchange Rates, Working paper
31. Basseville, 1998, Detection of Abrupt Changes Theory and Applications, IRISA/CNRS
32. Baviera, 1998, Optimal Strategy for Prudent Investors, Internantional Journal of Theoretical and Applied Finance
33. Baviera R., 1999, Efficiency in Foreign exchange Market , cond-mat/9901225
34. Baviera R., 1999, Efficiency in foreign exchange markets, Working paper
35. Baviera R., M. Pasquini, M. Serva, D. Vergni and A. Vulpiani, 1999, Efficiency in foreign exchange markets, cond-mat/9901225.
36. Beltrametti L.F., 199?, Bell Inequalities in Economics, Preprint.
37. Ben Ameur H., M. Breton and P. L'Ecuyer, 1999, Partial Hedging for Options Based on Extremes Values and Passage Times, GERAD Preprint.
38. Benninga, 1997, Binomial Term Structure Models, Lecture notes
39. Benninga S. and Z. Wiener, 199?, Financial Engineering: The Binomial Option Pricing Model, Preprint.
40. Benson R. and N. Daniel, 1991, Up, Over and Out, Risk.
41. Bensoussan A., M. Crouhy amd D. Galay, 1994, Stochastic Equity Volatility Related to the Leverage Effect, Applied Mathematical Finance.
42. Bensoussan A., M. Crouhy amd D. Galay, 1994, Stochastic Volatility Related to the Leverage Effect II: Valuation of European Equity Options and Warrants, Preprint.
43. Berkowitz, 1996, Generalised Spectral Estimation, Working paper Federal Reserve Board
44. Bhagavatula R.S. and P.P. Carr, 1995, Valuing Double Barrier Options with Time-Dependent Parameters, Preprint.
45. Bhattacharyya A., 1998, A Tale of Fat Tails, Waters.
46. Bjork, 1997, Interest RateDynamics and Consistent Forward Rate Curve, Working paper
47. Bjork, 1997, Minimal Realisation of Interes Rate Models, Working paper
48. Bjork, 1998, Term Structure of Interest Rate: A System Theoretic Approach, Working paper
49. Bjork T., 1996, Diversified Portfolios in continuous time, Working paper
50. Bjork, T., 1997, Minimal Realisations of Forward Rates, Working paper
51. Black F., 1976, The Pricing of Commodity Contracts, Journal of Economics.
52. Black F., 1989, How We Came Up With the Option Formula, Journal of Portfolio Management
53. Black F., 1989, How to use the Holes In Black-Scholes, Journal of Applied Corporate Finance
54. Black F. and P. Karasinski, 1991, Bond and Option Pricing when Short Rates are Lognormal, Financial Analyst Journal.
55. Black F., E. Derman and W. Toy, 1990, A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options, Financial Analysts Journal.
56. Bliss, 1997, Movements in the Term Structure of Interest Rate, Federal Reserve of Atlanta
57. Bliss R., 1996, Testing Term Structure Estimation Methods, Advances in Futures and Options Research
58. Bliss R., 1997, The Stability of Interest Rate Processes, Federal Reserve Bank of Atlanta
59. Bliss R., 1997, Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities, Federal Reserve Bank of Atlanta
60. Bliss R., 1998, The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited, Federal Reserve Bank of Atlanta
61. Bliss R.R. and P. Ritchken, 1996, Empirical Tests of Two State-Variable Heath-Jarrow-Morton Models, Preprint.
62. Blobel, 1996, Regularized Unfolding for High-Energy Physics Experiments, OPAL Technical Note TN361
63. Boettcher, 1995, Exact Results for Spatio-Temporal Correlations in a Self-Organised Critical Model of Punctuated Equilibrium, cond-mat/9505003
64. Bollerslev, 1994, On Periodic Autoregressive Conditional Heteroskedasticity, CIRANO
65. Bondarenko, 1998, Expectations and Learning in IOWA, CalTech
66. Bossaert, 1998, Price Discovery in Financial Markets: The Case of CAPM, CalTech
67. Bossaerts, 1995, The Dynamics of Equity Prices: In Fallible Markets, CalTech
68. Bossaerts, 1996, Martingales Restrictions on Arrow-Debreu Securities Under Rational Expectations and Consistent Beliefs, CalTch
69. Bossaerts, 1997, Introduction to Finance, Lecture notes
70. Bossaerts, 1998, Rational Expectations Equilibrium when Priors are Inconsistent, CalTech
71. Bossaerts, 1998, Local Parametric Analysis of Derivatives Pricing and Hedging, CalTech
72. Bossaerts, 1998, Notes on Corporate Finance, CalTech
73. Bosseart, 1995, Local Parametric Analysis of Hedging in Discrete Time, INSEAD
74. Bouchaud, 1995, Real World Options: Smile and Residual Risk, cond-mat/9509095
75. Bouchaud, 1998, Taming Large Events: Optimal Prtfolio Theori for Strongly Fluctuating Assets, Internantional Journal of Theoretical and Applied Finance
76. Bouchaud, 1998, Elements for a Theory of Financial Risks, con-mat/9806101
77. Bouchaud, 1998, A Langevin Approach to Stock Market Fluctuations and Crashes, cond-mat/9801279
78. Bouchaud et al., 1997, Phenomenologyof the Interest Rates Curve, Risk
79. Bouchaud J-P. and M. Mezard, 35907, Surprises in Random Walk theory: options and DNA, NumeriX - Off the Wall
80. Bouchaud J-P., G. Iori and D. Sornette, 1995, Real-world options:smile and residual risk, Preprint cond-mat/9509095 (to be published in Risk Magazine)
81. Bouchaud J-P., N. Sagna, R. Cont, N. El-Karoui and M. Potters, 1997, Phenomenology of the interest rate curve, Preprint cond-mat/9712164
82. Bouleau N. and D. Lamberton, 1997, Residual Risk and Hedging Strategies in Markovian Markets, CERMA-ENPC
83. Bouye, E., 1998, Black-Derman-Toy: a simple implementation in C, financial Econometrics Research Center City University Business School
84. Bouye, E., 1998, Heat-Jarrow-Morton: a simple implementation in C, financial Econometrics Research Center City University Business
85. Bowie J. and P.P. Carr, 1994, Static Simplicity, Risk.
86. Bowie J. and P.P. Carr, 1994, Static Hedges for Barrier and Lookback Options, Preprint.
87. Boykov Y.Y., 1996, Analytic approximations of some exotic options, Preprint.
88. Boyle P., Broadie M. and Glasserman P, 199?, Monte Carlo Methods for Security Pricing, Preprint.
89. Brace A. and M. Musiela, 1994, A Multifactor Gauss Markov Implementation, Mathematical Finance.
90. Brachet, 1997, Scaling Transformation and Probability Distributions for Financial Time Series, Working paper
91. Breidt, 1998, On the Detection and Estimation of Long Memory in Stochastic Volatility, Working paper
92. Brennan M.J. and C. Her, 1993, Convertible Bonds: Test of a Financial Signalling Model, IFA Working Paper.
93. Brennan M.J. and E.S. Schwartz, 1980, Analyzing Convertible Bonds, Journal of Financial and Quantitative Analysis. (Not Available)
94. Brennan M.J. and E.S. Schwartz, 1983, Duration, Bond Pricing and Portfolio Management, Contemporary Studies in Econ and Fin Anal.
95. Brennan M.J. and E.S. Schwartz, 28460, Convertibles Bonds: Valuation and optimal strategies for call and conversion, The Journal of finance, Vol 32, No 5, p.1699-1715
96. Brenner R.J. and R.A. Jarrow, 1993, A simple Formula for Options On Discount Bonds, Advances in Futures and Options Research.
97. Bretthost, 1997, Bayesian Spectrum Analysis and Parameter Estimation, Lectures Notes in Statistics no 48
98. Broadie M. and J. Detemple, 199?, Recent Advances in Numerical Methods for Pricing Derivatives Securities, CIRANO Preprint.
99. Brotherton-Ratcliffe R., 1994, Monte Carlo Motoring, Risk.
100. Brotherton-Ratcliffe R., 199?, Effective Variance Reduction Techniques for Monte Carlo Simulations, Preprint.
101. Brown R.H. and S.M. Schaefer, 1988, Testing The Cox, Ingersoll & Ross Model of British Government Index-Linked Securities, IFA Preprint.
102. Brown R.H. and S.M. Schaefer, 1991, The Term Structure of Real Interest Rates and the Cox, Ingersoll & Ross Model, IFA Preprint.
103. Buchen, 1996, Pricing European Barrier Options, Working paper
104. Buckley, 1998, Optimal Index Tracking under Transaction Costs and Impulse Control, International Journal of Theoretical and Applied Finance
105. Buff, 1997, Pre-Computational Finance Survey Paper, N.Y. University
106. Buhlmann H., F. Delbaen and P. Embrechts, 1996, No-arbitrage, Change of Measure and Conditional Esscher Transforms, CWI-Quarterly.
107. Buhlmann H., F. Delbaen, P. Embrechts and A.N. Shiryaev, 1996, On Esscher Transforms in Discrete Finance Models, Preprint.
108. Buraschi, 1997, Explaining Option Prices: Deterministic vs Stochastic Models, LBS
109. Burghardt G. and B. Hoskins, 1995, A Question of Bias, Risk.

C

1. Caffarel, 1996, Introduction aux simulations numeriques, DEA Lecture Notes
2. Caldarelli, 1997, A Prototype of Model Stock Exchange, cond-mat/9709118
3. Caldarelli G., M. Marsili and Y-C Zhang, 1997, A prototype Model of Stock Exchange, cond-mat/9709118.
4. Calvet, 1997, Large Deviations and the Distribution of Price Changes, Cowles Foundation Discussion Paper No. 1165
5. Canter M.S., J.B. Cole and R.L. Sandor, , Insurance Derivatives: A new asset class for the capital Markets and a new hedging strategy for the insurance industry, The Journal of Derivatives.
6. Cao M, Wei J, 1999, Vulnerable options, risky corporate bond and credit spread, CME & University of Toronto
7. Carr, 1993, Deriving Derivatives of Derivatives Securities, Working paper
8. Carr, 1996, American Put Call Parity, Working paper
9. Carr, 1996, Breaking Barriers, Working paper
10. Carr, 1997, Simulating Bermudan Interest Rate Derivatives,, Working paper
11. Carr, 1997, Randomization and the American Put, Morgan Stanley
12. Carr, 1997, Hedging Complex Barrier Options, Working papers
13. Carr, 1997, Towards a Theory of Volatility Trading, Working paper
14. Carr, 1997, Static Hedging for Taming Risk, Morgan Stanley
15. Carr, 1998, Simulating American Bond Options in an HJM Framework, Working paper
16. Carr, 1998, Optimal Positioning in Derivatives Securities, Working paper
17. Carr, 1998, Option Valuation Using Fast Fourier Transforms, Working paper
18. Carr, 1998, The Variance Gamma Process and Option Pricing, Working paper
19. Carr, 1998, Determining Volatility Surfaces and Option Values from an Implied Volatility Smile, Working paper
20. Carr, 1998, Financial Interpretation of Probabilistic Concepts, Working paper
21. Carr, 1998, Optimal Derivative Investment in Continuous time, Working paper
22. Carr, 1999, Currency Covariance Contracting, Working paper
23. Carr P.P. and D. Madan, 1998, Determining Volatility Surfaces and Option Values From an Implied Volatility Smile, Preprint.
24. Carr P.P. and R.A. Jarrow, 1990, The Stop-Loss STrt-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value, The Review of Financial Studies.
25. Carverhill A.P., 1989, Valuing Interest Rate Options via a Primitive Theory of the Term Structure, FORC Preprint.
26. Carverhill A.P. and K. Pang, 1995, Efficient and Flexible Bond Option Valuation in the Heath Jarrow and Morton Framework, Preprint.
27. Cathcart L. and L. El-Jahel, 1998, Valuation of Defaultable Bonds, The Journal of Fixed Income.
28. Cavagna A., 1999, A thermal model for adaptive Competition in Markets, cond-mat/9903415
29. Chalke S.A., 1996, Demystifying Hybrid Annuities, ...
30. Chalupa J., 199?, A Recombining Binomial Tree, Preprint.
31. Chance D. and P. Peterson, 1997, The Scientific Evolution of Finance, Draft
32. Chance M. , , A Chronology of Derivatives,
33. Chang, 1998, Financial Crises in Emerging Markets: A Canonical Model, Federal Reserve Working Paper 98-10
34. Chaplin G., 199?, The Risk of Monte Carlo Simulation, Preprint.
35. Checkin, 1999, A Model for Ordinary Levy Motion , cond-mat/9901064
36. Chen, 1998, When the Bubble is Going to Burst, Working paper
37. Chen R-R., 1989, Exact Solutions for Futures and European Futures Options on Pure Discount Bonds, Journal of Financial and Quantitative Analysis.
38. Cheung W and I. Nelken, 1994, Costing the converts, Risk.
39. Chipman, 1998, Adaptive Bayesian Wavelet Shrinkage, J. of the Am. Stat. Ass.
40. Cho J.-W. , 1999, Prices as Aggregators of Private Information, Working Paper
41. Cizeau, 1997, Volatility distribution in the S&P500 Stock Index, cond-mat/9708143
42. Cizeau P., Y. Liu, M. Meyer, C-K Peng and H E Stanley, 1997, Volatility distribution in the S&P500 stock index, Preprint cond-mat/9708143
43. Clewlow L, 1996, A Model for London Metal Exchange Average Price Options Contracts, Warwick Preprint.
44. Clewlow L and A. Carverhill, 1994, Quicker on the Curves, Risk.
45. Clewlow L and A. Carverhill, 1994, On the Simulation of Contingent Claims, The Journal of Derivatives.
46. Clewlow L., 1999, Valuing Energy Options in One-Factor Models Fitted to Forward Prices , Working paper
47. Cochran, 1997, Time Series for Macroeconomics and Finance, Lecture notes
48. Cochrane, 1998, Asset Pricing, Lectures
49. Computational Science Education Project, 1995, Introduction to Monte Carlo Methods , Computational Science Education Project
50. Computational Science Education Project, 1995, Random Numbers, Computational Science Education Project
51. Comtet, 1996, Exponential Functionnals of Brownian Motion and Disordered Systems, cond-mat/9601014
52. Comtet, 1996, Exponential Functionnals of Brownian Motion and Disordered Systems, cond-mat/9601014
53. Comtet A., C. Monthus and M. Yor, 1996, Exponential functionals of Brownian motion and disordered systems, Preprint cond-mat/9601014
54. Cont, 1997, Beyond Implied Volatilities, Proceedings
55. Cont, 1997, Beyond Implied Volatilities, Proceedings
56. Cont, 1997, Scaling and Correlations in Financial data, cond-mat/9705075
57. Cont, 1997, Scaling in Stock Market Data: Stable Laws and Beyond, cond-mat/9705087
58. Cont, 1997, Hard behaviour and Aggregate Fluctuations in Financial Markets, cond-mat/9712318
59. Cont R., , Extracting information from options prices, beyond implied volatility, Preprint
60. Cont, R., 1998, Modeling TermStructure Dynamics, INRIA proceedings
61. Conze A. and Viswanathan, 1991, Path Dependent Options: The Case of Lookback Options, Journal of Finance.
62. Cooper I., 1988, The Relationship Between two Methods of Valuing Convertible Bonds, IFA-Preprint.
63. Cooper I., 1992, Financial Innovations: New Market Instruments, IFA Preprint.
64. Cooper I. and A. Mello, 1990, The Default Risk of Swaps, IFA-Preprint.
65. Corral, 1996, Symmetries and Fixed Point Stability of Stochastic Differential Equations Modeling Self-Organised Criticality, cond-mat/9612100
66. Cox, 1997, An Experiment to Evaluate Bayesian Learning of Nash  Equilibrium Play, University of California Discussion paper 97-36
67. Cox J.C., J.E. Ingersoll and M. Rubinstein, 1981, The Relation Between Forward Prices and Futures Prices, Journal of Financial Economics.
68. Cox J.C., S.A. Ross and M. Rubinstein, 1979, Option Pricing: A Simplified Approach, Journal of Financial Economics.
69. Crouhy M., 1994, Extensions of the Black-Scholes Model to the Case of Stochastic VOlatility, Preprint.
70. Cummins, 1994, An Asian Option Approach to the Valuation of Insurance Futures Contracts, Wharton Financial Institutions Center
71. Curran M., 1998, Willow Power, Preprint.
72. Cutland N.J., P. Ekkehard Kopp and W. Willinger, 1994, Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model, Preprint.

D

1. Dacorogna, 1995, The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets, Olsen and Associates
2. Dacorogna, 1996, Moment Condition for HARCH(k) Models, Olsen and Associates
3. Dacorogna, 1998, Predicting the Occurrence of Rare Events, Newton Intitute Proceeding
4. D'Agostini, 1995, Probability and Measurement Incertainty in Physics, DESY
5. D'Agostini, 1998, Bayesian Reasoning in High Energy Physics - Principles and Applications-, Roma Univ. La Sapienza
6. D'agostini, 1999, Errori e incertezze di misura, Roma Univ. La Sapienza
7. Daigler R.T., 1997, Usefulness of the Web in Obtaining Derivatives Information, Derivatives Qurterly.
8. Daniel F. Waggoner, 1997, Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices, Federal Reserve Bank of Atlanta
9. Das, 1998, A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives, NBER
10. Das, 1999, The Surprise Element: Jumps in Interest Rate Diffusions, Harvard University
11. Das S, Sundaram R, 1998, A direct approach to arbitrage-free pricing of credit derivatives, Harvard & NY University
12. Das S.R. and P. Tufano, 1995, Pricing Credit-Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic, Preprint.
13. David A, 1997, Pricing the strategic value of Poison put bonds, Board of Governors of the FED
14. De Boor C., 1970, A Practical Guide to Cubic Splines, Applied Mathematical Sciences 27.
15. de Jong, 1998, The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables, Working paper
16. De Munnik J.F.J., 1994, The Construction of a path-independent interest rate tree: The model of Heath, Jarrow and Morton, Advances in Futures and Options Research.
17. Delbaen F. and W. Schachermayer, 1991, The Banach Space of Workable Contingent Claims in Arbitrage Theory, Preprint.
18. Delianedis G. and R. Geske, 1998, Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults, UCLA Preprint.
19. Dempster M.A.H., 1994, Fast Numerical Valuation of Amarican, Exotic and Complex Options, Preprint.
20. Denison, 1998, Non Parametric Bayesian Approach to Modelling Nonliear Time Series, Imperial College
21. Derman, 1998, Stochastic Implied Trees: Arbitrage Pricing with Stochastic term and Strike Structure of Volatility , Internantional Journal of Theoretical and Applied Finance
22. Derman E., 1994, The Volatility Smile and Its Implied Tree, Goldman Sachs Research Paper
23. Derman E., 1996, Implied Trinomial Trees of the Volatility Smile, Goldman Sachs Research Paper
24. Derman E., 1996, The Local Volatility Surface, Goldman Sachs Research Paper
25. Derman E., 1996, Model Risk, Goldman Sachs Research Paper
26. Derman E., 1998, Stochastic Implied Trees: Arbitrage Pricing With Stochastic Term and Strike Structure of Volatility, Goldman Sachs Research Paper
27. Derman E., 1999, Regimes of Volatility, Goldman Sachs Research Paper
28. Derman E., 1999, Quantitative Strategies, Goldman Sachs Research Notes
29. Derman E., 199?, The Volatility Smile & The implied Tree, Goldman Sachs Transparencies.
30. Derman E. and I. Kani, 1994, Riding a Smile, Risk.
31. Derman E. and I. Kani, 35827, Riding a smile: The construction of a simple binomial tree model consistent with the observed volatility smile and its use to consistently value and hedge both standard and exotic option, Risk, Vol 7, No 2
32. Derman E., I. Kani, D. Ergener and I. Bardhan, 1995, Enhanced Numerical Mathods for Options with Barriers, Financial Analyst Journal.
33. Derman, E., 1995, Static Option Replication, Goldman Sachs Research Paper
34. Derman, E., 1995, Enhanced Numerical Methods for Options with Barriers, Goldman Sachs Research Paper
35. Devroye, 1996, Variable Kernel Estimates in the Impossibility of Tunning the Parameters, Working paper
36. Dewynne J.and P. Wilmott, 1993, Partial to the Exotic, Risk.
37. Diaz-Guilera, 1993, Nonlinear Stochastic Differential Equations and Self-Organized Criticality, cond-mat/9312051
38. DIBE , 1998, I Seminario di Ingegneria Finanziaria, Genova University
39. Diebold F.X., T. Schuermann and J.D. Stroughair, 1998, Pitfalls and opportunities in the Use of Extreme Value Theory in Risk Management, Wharton Paper Series.
40. Duanmu Z., 1994, First Passage Time Density Approach to Pricing Barrier Options and Monte Carlo Simulation of the HJM Interest Rate Model, Draft of PhD thesis.
41. Duffee, 1995, Treasury yields and Corporate Bond YIeld Spreads: An Empirical Analysis, Working paper
42. Duffee, 1997, Credit Derivatives in Banking: Useful Tools for Loan Risk Management?, Federal Reserve Board
43. Duffee G, 1996, Estimating the price of default risk, Fed Reserve Board
44. Duffee G, Zhou C, 1997, Credit derivatives in Banking : useful tools for loan risk management ?, Fed Reserve Board
45. Duffie, 1997, Black, Merton, and Scholes: Their Central Contribution to Economics, n.a.
46. Duffie, 1998, Transform Analysis and Option Pricing for Affine Jump-Diffusions, Stanford University
47. Duffie, 1998, Modeling Term Structures of Defaultable Bonds, NBER
48. Duffie, 1998, Simulating Correlated Defaults, Stanford University
49. Duffie D, 1998, Credit swap valuation, Stanford University
50. Duffie D, 1998, First to default valuation, Stanford University
51. Duffie D, 1998, Defaultable term structure models with fractional recovery of Par, Stanford University
52. Duffie D, Huang M, 1995, Swap rates and credit quality, Stanford University
53. Duffie D, Liu J, 1998, Floating-fixed credit spreads, Stanford University
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16. Grinblatt M., 1995, An analytic Solution for Interest Rate Swap Spreads, UCLA Preprint.
17. Groud, 1998, Insider Trading in a Continuous Time Market Model, International Journal of Theoretical and Applied Finance
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38. Johansen , 1997, Discrete Scale Invariance, PhD Thesis
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