Gabriele Susinno & Marco Rigo
(March 17th, 1999)
(March 17th, 1999)
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General Databases:
- General Databases
- Articles available on files
- Interest Rate Material
- Model Implementation
- Credit Derivatives
- Bayesian Approach
- Unfolding and Empirical Analysis & Stochastic Volatility
- Malliavin Calculus
- Option Pricing
- Implied Trees and Distributions, Smiles & Smirks
- Risk, VaR and RiskMetrics
- Levy Flights, Scaling Laws and Interacting Agents
- Numerical Methods & Stochastic Calculus
- Draft for Risk
- Energy Derivatives
- Self Organised Criticality
- Chaos
- Miscellaneous
- Documents About History
- A.O.B.
- Various Papers Collected by Authors
Note: contributions sent by finance-and-physics members are marked by 
Articles available
on files:
(Back to index)
Fixed Income Securities and the Term Structure Of Interest Rates: PartI
Part II and PartIII,Avellaneda, 1998 ,Lectures
Debt Instruments and Markets,
D.Backus
,1998 ,MBA Lectures
Phenomenologyof the Interest Rates
Curve ,Bouchaud et al. ,1997, Risk
Modeling TermStructure Dynamics
,R.Cont,
1998,INRIA proceedings
The Dynamicsof Forward Interest
Rate Curve with Stochastic Strings Shocks (Figs) ,Santa-Clara &
Sornette,1998,cond-mat/9801321
"String" Formulation of the Dynamics
of Forward Interest Rate Curve ,Sornette, 1998, cond-mat/9802136
Arrow-Debreu Prices Implicitinthe
Term Structure of Interest Rate ,Jalali & Kazemi ,1997 n.a.
Movements in the Term Structure of
Interest Rate ,Bliss ,4Q 1997, Federal Reserve of Atlanta
Testing Term Structure Estimation
Methods, R. Bliss, 1996, Advances in Futures and Options Research
The Stability of Interest Rate Processes,
R. Bliss, 1997, Federal Reserve Bank of Atlanta
The Elasticity of Interest Rate Volatility:
Chan, Karolyi, Longstaff, and Sanders Revisited, 1998, R. Bliss,
Federal Reserve Bank of Atlanta
Callable U.S. Treasury Bonds: Optimal
Calls, Anomalies, and Implied Volatilities, 1997, R. Bliss, Federal
Reserve Bank of Atlanta
Est. of Risk-NeutralFactor
Dynamics of Affine Term Structure Models ,Bams & Schotman, 1998,
Working Paper
Arbitrage Opportunities in ArbitrageFree
Models of Bond Pricing ,Backus & Foresi, 1996, Nat. Bureau of Economic
Research
Interest RateDynamics and Consistent
Forward Rate Curve, Bjork, 1997, Working paper
Collapse of Detail, Pan, 1998,
Internantional
Journal of Theoretical and Applied Finance
A New Model for Interest Rates,
Epstein, 1998, Internantional
Journal of Theoretical and Applied Finance
Dynamic of Spot, Forward and Futures
Libor Rates, Rutkowsky, 1998, Internantional Journal of Theoretical
and Applied Finance
Discrete Time Models of Bond Pricing,
Backus, 1998, Working Paper
Minimal Realisation of Interes Rate
Models, Bjork, 1997, Working paper
Term Structure of Interest Rate: A
System Theoretic Approach, Bjork, 1998, Working paper
Treasury yields and Corporate Bond
YIeld Spreads: An Empirical Analysis, Duffee, 1995, Working paper
Debt Maturity and the Use of Interest
Rate Derivatives by non Financial Firms, Fenn, 1996, Federal Reserve
Board
LIBOR rate models, related derivatives
and model Calibration, Schoenmakers, 1999, Working paper
Spline Methods for Extracting Interest
Rate Curves from Coupon Bond Prices, Waggoner, 1997, Federal Reserve
Bank of Atlanta
Martingales Restrictions on Arrow-Debreu
Securities Under Rational Expectations and Consistent Beliefs, Bossaerts,
1996, CalTch
Transform Analysis and Option Pricing
for Affine Jump-Diffusions, Duffie, 1998, Stanford University
Do Interest Rates Really Follow
Continuous-Time MArkov Diffusions?, Ait-Sahalia, 1997, Worrking paper
Modeling Term Structures of Defaultable
Bonds, Duffie, 1998, NBER
Predictable Changes in Yields and
Forward Rates, Backus, 1997, Working paper
Macroeconomic Foundations of Higher
Moments in Bond Yields, Backus, 1997, Working paper
Models of Bond Pricing, Backus,
1996, SSB Working Draft
The Surprise Element: Jumps in Interest
Rate Diffusions, Das, Harvard University
Yield Curve Models: A Mathematical Review,
Back,1997,in "Option Embedded Bonds: Price Analysis, Credit Risk and
Investment Strategies",Irwin
Markov-Functional Interest Rate Models,
Hunt, 1997, ABN-Amro
A Spectral Algorithm for Pricing
Interest Rate Options, Eydeland, 1996, Kluwer Academic Publishers
Nonparametric Modelling of U.S. Interest
Rate term Structure Dynamics and Implications on the Prices of Derivative
Securities, Jiang, 1998, Working paper
A Nonparametric Model of Term Structure
Dynamics and the Market Price of Interest Rate Risk, Stanton, 1997,
Journal of Finance
Continuous Time Term Structure Models,
Musiela, 1996, Working paper
Binomial Term Structure Models,
Benninga, 1997, Lecture notes
Exploratory Data Analysis of Short-Term
Interest Rates, Jaschke, 1994, Working paper
Mispricing of Discount Bond
Options in the Black-Derman-Toy Model Calibrated to Term Structure and
Cap Volatilities: An Empirical Study, Radharishnan, 1998
The Potential Approach to the Term
Structure of Interest Rates and Foreign Exchange Rates, Rogers, 1995,
Working paper
Which Model for the Term-Structure
of Interest Rates Should One Use?, Rogers, 1995, Working paper
Positive Interest Rates and Non-Linear
Term-Structure Models, Avellaneda,1998, Working paper
Pricing Interest Rate Contingent
Claims in MArkets with Uncertain Volatilities, Lewicki, 1996, Working
paper
Simulating American Bond Options in
an HJM Framework, Carr, 1998, Working paper
Simulating Bermudan Interest Rate Derivatives,
Carr, 1997, Working paper
Kalman Filtering of Generalised Vasicek
Term Structure Models, Babbs, 1998, Working paper
A Numerical Study of One-Factor Interest
Rate Models, Zhong Ge, 1998
The Dynamics of the Forward Interest
Rate Curve: A Formulation with State Variables, de Jong, 1998, Working
paper
Optimal Bond Refunding: Evidence
From the Municipal Bond Market, Samaresh Priyadarshi, 1997, Department
of Finance Virginia Tech
Minimal Realisations of Forward Rates,
T. Bjork, 1997, Working paper
The Potential Approach to Bond and
Currency Pricing, Markus Leippold, 1999, Swiss Institute of Banking
and Finance, University of St. Gallen.
Mispricing of Discount Bond
Options in the Black-Derman-Toy Model Calibrated to Term Structure and
Cap Volatilities: An Empirical Study, A. Radhakrishnan, 1998
Spline Methods for Extracting Interest
Rate Curves from Coupon Bond Prices, Daniel F. Waggoner, 1997, Federal
Reserve Bank of Atlanta
Real-Time Trading Models and the
Statistical Properties of Foreign Exchange Rates, G. Ballocchi, 1999,
Olsen & Associates
Pricing the strategic value of Poison
Put Bonds, A. David, 1997, Federal Reserve, board of Governors
The Entropy Theory of Bond Option Pricing,
Gulko, 1998
Is the Short Rate Drift Actually
Nonlinear?, Chapman, 1999
A Critique of the Stochastic Discount
Factor Methodology, R. Kan, 1999
Black-Derman-Toy:
a simple implementation in C, E. Bouye, 1998 financial Econometrics
Research Center City University Business School
Heat-Jarrow-Morton:
a simple implementation in C, E. Bouye, 1998 financial Econometrics
Research Center City University Business School
A Jump-Diffusion Approach to Modeling
Credit Risk and Valuing Defaultable Securities, Zhou, 1997, Federal
Reserve Board
Credit Derivatives in Banking: Useful
Tools for Loan Risk Management?, Duffee, 1997, Federal Reserve Board
Simulating Correlated Defaults,
Duffie, 1998, Stanford University
A Direct Approach to Arbitrage-Free Pricing
of Credit Derivatives, Das, 1998, NBER
Pricing Credit Derivatives, Skora,
1998, Credit Derivatives - RISK
The Credit Default Swap, Skora,
1998, Credit Derivatives - RISK
Rational Modeling of Credit Risk and
Credit Derivatives, Skora, 1998, Credit Derivatives - RISK
Default Correlation: An Analytical Result,
Zhou, 1997, Federal Reserve Board
Pricing Credit Risk Derivatives,
Schonbucher, 1997, Working paper
The Valuation of Default Risk in
Corporate Bonds and Interest Rate Swaps, Nielsen, 1997,Wharton University.
Estimating the price of default risk,
Duffee, 1996.
Credit Derivatives in Banking: Useful
Tools for Loan Risk Manaement, Duffee, 1997
Credit Swap Valuation, Duffee,
1998
First-to-default Valuation, Duffee,
1998
Defaultable Term Structure Models
with Fractionnal Recovery of Par, Duffee, 1998
Swap Rates and Credit Quality,
Duffee & Huang,1997
Floating-Fixed Credit Spreads,
Duffie & Liu, 1998
Simulating Correlated Default,
Duffie & Singleton, 1998
Modelling Term Structure of Defaultable
Bonds, Duffie & Singleton, 1999
A Comparative Anatomy for Credit Risk
Models, Gordy, 1998
Swap Pricing With Two-Sided Credit
Risk in a Rating Based Model, Huge & Lando, 1998
CREDIT RISK AND REGULATORY CAPITAL,
ISDA Note, 1998
Total Return Swaps, Jessica James,
1998, NetExposure
Some Elements in Rating Based Credit
Risk Modeling, lando, 1999
Pricing the Risks of Default,
Dilip B. Madan & Haluk Unal, 1994
Measuring
the Cost of Credit Risk, Humphreys, 1998
On Cox Process and Credit Risk
Securities, Lando, 1998
Bond Pricing with Default
Risk, Saa-Requejo & Santa-Clara, 1999
The Term Structure of Bond Prices,
Schonbucher, 1996
Pricing Credit Derivatives,
Schonbucher, 1996
Rational Modlling of Credit Risk and
Credit Derivatives, Richard K. Skora, 1998
The Credit Default Swap, Richard
K. Skora, 1998
Pricing Credit Derivatives, Richard
K. Skora, 1998
Vulnerable Options,Risky Corporate Bond
and Credit Spread, Cao & Wei, 1999
A Jump-Diffusion Approach to Modeling
Credit Risk and Valuing Defaultable Securities, Zhou, 1997
Default Correlation, An Analitic Result,
Zhou, 1997
Jaynes Book
Probability and Measurement Incertainty
in Physics, D'Agostini, 1995, DESY
How to Implement a Priori Information
a Statistichal Mechanics Approach, Lemm, 1998, cond-mat/9808039
Errori e incertezze di misura,
D'agostini, 1999, Roma Univ. La Sapienza
Robust Bayesian estimation of Autoregressive-moving
Average Models, Barnett, 1996, n.a.
Bayesian Spectrum Analysis and
Parameter Estimation, Bretthost, 1997, Lectures Notes in Statistics
no 48
Model Error in Contingent Claims
Dynamic Evolution, Jacquier, 1996, CIRANO
Models and Priors for Multivariate
Stochastic Volatility, Jacquier, 1995, CIRANO
MCMC Analysis of Diffusion Models
with Applications to Finance, Eraker, 1997, Working Paper
Bayesian Analysis of the Unobserved
ARCH Model, Giakoumatos,1998, Bayesian Statistics, Oxford University
Press
Adaptive Bayesian Wavelet Shrinkage,
Chipman, 1998, J. of the Am. Stat. Ass.
Small-Signal Analysis in High-Energy
Physics: A Bayesian Approach, Prosper, 1988, Physical Review D
An Experiment to Evaluate Bayesian Learning
of Nash Equilibrium Play, Cox, 1997, University of California
Discussion paper 97-36
Bayesian Reasoning in High Energy
Physics - Principles and Applications-, D'Agostini, 1998, Roma Univ.
La Sapienza
A Simple Bayesian Method for the Analysis
of Diffusion Processes, Jones, 1998, JEL C11
The VAR-VARCH model: A Bayesian Approach,
Polasek, 1998, Working paper
Non Parametric Bayesian Approach
to Modelling Nonliear Time Series, Denison, 1998, Imperial College
Bayesian Nonpaprametric Inference for
Nonhomogeneous Poisson Processes, Kuo, 1997, Working paper
Exchange Rate Target Zone Model: A Bayesian
Evaluation, Li, 1998, Working paper
Bayesian Methods for Intelligent
Data Analysis, M. Ramoni, 1998, KMI Publications
SVD Approach to Data Unfolding,
Hocker,1995, MC-TH-9515
Generalised Spectral Estimation,
Berkowitz, 1996, Working paper Federal Reserve Board
Detection of Abrupt Changes Theory
and Applications, Basseville, 1998, IRISA/CNRS
Time Series for Macroeconomics and
Finance, Cochran, 1997, Lecture notes
The Stochastically Subordinated Log
Normal Process Applied to Financial Time Series and Option Pricing,
Edelman, 1997, Working paper
State Prices Implicit in Valuation Formulae
for Derivative Securities, Rady, 1995, Working paper
Estimation in Financial Models,
Going, 1996, RISKLAB-ETHZ
Recovering Probabilities and Risk
Aversion from Option Prices and Realised Returns, Rubinstein, 1999,
CalTech
Recovering Risk Aversion from Option
Prices and Realised Returns, Jackwerth, 1998, Working paper
Recovering Stochastic Processes
from Option Prices, Jackwerth, 1996, Working paper
Do Option MArkets Correctly Price
the Probabilities of Movements of the Underlying Asset?, Ait-Sahalia,
1998, Working paper
Goodness-of-Fit Tests for Regression
Using Kernel Methods, Ait-Sahalia, 1998, MIT
Recovering Probability Distributions
from Contemporaneous Security Prices, Jackwerth, 1995, Working paper
Rational Expectations Equilibrium
when Priors are Inconsistent, Bossaerts, 1998, CalTech
Nonparametric Estimation of State-Prices
Densities Implicit In Financial Asset Prices + data, Ait-Sahalia, 1995,Working
paper
Variable Kernel Estimates in the
Impossibility of Tunning the Parameters, Devroye, 1996,Working paper
Volatility distribution in the S&P500
Stock Index, Cizeau, 1997, cond-mat/9708143
Using Wavelets to Obtain a Consistent
Ordinary Least Squares Estimator of the Long Memory Parameter, Jensen,
1997, Working paper
Inverse Problems and Model Selection
for Pricing and Decision Making in Finance, Sampieri, 1999, JEL G11-G12-G13
Multifractality of Deutschemark/US
Dollar Exchange Rates, Fisher, 1996, Working paper
Local polynomial estimators of the
voatility function in nonparametric autoregression, Hardle, 1996, Working
paper
On the Detection and Estimation of
Long Memory in Stochastic Volatility, Breidt, 1998, Working paper
On Periodic Autoregressive Conditional
Heteroskedasticity, Bollerslev, 1994, CIRANO
Stochastic Volatility, Hobson,
1996, Working paper
Complete Models with Stochastic Volatility,
Hobson, 1998, Working paper
Correlation of High Frequency Financial
Time Series, Lundin,1998, Olsen & Associates
A Closer Look at the Eurofutures
Market: Intraday Statistical Analysis, Piccinato, 1998, Olsen and Associates
An E-ARCH Model for the Term Structure
of Implied Volatility of FX Options, Zhu, 1997, Working paper
Minimum-Relative-Entropy Calibration
of Asset Pricing Models, Avellaneda, 1998, Int. J. Theor. and Appl.
Fin.
Regularized Unfolding for High-Energy
Physics Experiments, Blobel, 1996, OPAL Technical Note TN361
Comparison of Approximate Methods for
Handling Hyperparameters, Mackay
WienerChaos and Hermite Polynomials
Expansions for pricing and Edging ContingenClaims, Barucci et al.,
1997, DIMADEFAS
Anticipationg Stochastic Differential
Equations of Startonovich Type, Kohatsu-Higa, 1998, n.a.
Weak rate of Convergence for
an Euler Scheme of non-linear SDE's, Kohatsu-Higa, 1991, n.a.
Stochastic Differential Equations
with Random Coefficients, Kohatsu-Higa, 1991, n.a.
An Introduction to Malliavin Calculus
with Financial Applications + Exercises, Oksendall, 1997, Lecture notes
An Application of Malliavin Calculus to Monote Carlo Methods in Finance,
Fournie et al, 1997, CEREMADE
Applications of Malliavin Calculus to Monte-Carlo Methods in Finance
II, Fournie et al, 1999, CEREMADE
American Derivatives - a Review,
Aase, 1997, Working Paper
On The pricing of Options in Incomplete
Markets, Melemberg, 1998, Working paper
Pricing Risky Options Simply,
Aurell, 1998, Internantional
Journal of Theoretical and Applied Finance
Taming Large Events: Optimal Prtfolio
Theori for Strongly Fluctuating Assets, Bouchaud, 1998, Internantional
Journal of Theoretical and Applied Finance
Deriving a Closed Form Solution for
Gaussian Pricing Model a systematic Time Domain Approach, Levin, 1998,
Internantional
Journal of Theoretical and Applied Finance
Optimal Strategy for Prudent Investors,
Baviera, 1998, Internantional
Journal of Theoretical and Applied Finance
Optimal Investment Strategy for Risky
Assets, Maslov, 1998, Internantional
Journal of Theoretical and Applied Finance
An Explicit Formula for Option
Pricing in Discrete Incomplete Markets, Wolczynska, 1998, Internantional
Journal of Theoretical and Applied Finance
Constrained Optimization with
a continuous Hopfield-Lagrange Model, Van den Berg, 1993, Working paper
Local Parametric Analysis of Hedging
in Discrete Time, Bosseart, 1995, INSEAD
Accounting Biases in Black-Scholes,
Backus, 1997, Working paper
Option Pricing and Partial Edging,
Aurell, 1996, Journal of Political Economy
Asset Pricing, Cochrane, 1998,
Lectures
Pricing European Barrier Options,
Buchen, 1996, Working paper
Efficient Monte Carlo Pricing of
Basket Options, Pellizzari, 1998, Working paper (Universita di Venezia)
A Path Integral Approach to Option
Pricing with Stochastic Volatility: Some Exact Results, Baaquie, 1997,
cond-mat/9708178
Robust Hedging via Coupling, Hobson,
1997, Working paper
Robust Hedging of the Lookback Option,
Hobson, 1998, Working paper
Real World Options: Smile and Residual
Risk, Bouchaud, 1995, cond-mat/9509095
On the Minimal MArtingale Measure
and the Follmer-Schweizer Decomposition, Schweizer, 1994, Stochastic
Analysis and Applications
An Asian Option Approach to the Valuation
of Insurance Futures Contracts, Cummins, 1994, Wharton Financial Institutions
Center
On Cox Process and Credit Risky Securities,
Lando, 1994, Working paper
Numerical Option Models Without Programming,
Randall, 1997, Working paper
Path-Dependent Option Valuation when
the Underlying Path is Discontinuous, Zhou, 1997, Working paper
Pricing Derivatives the Martingale
Way, Dufresne, 1996, Working paper
Explaining Option Prices: Deterministic
vs Stochastic Models, Buraschi, 1997, LBS
Black, Merton, and Scholes: Their
Central Contribution to Economics, Duffie, 1997, n.a.
Local Parametric Analysis of Derivatives
Pricing and Hedging, Bossaerts, 1998, CalTech
Building a Consistent Pricing Model
from Observed Option Prices, Laurent, 1998, JEL C51-G13-G14
Risk-Return arguments Applied to Options
with Trading Costs, 1998, cond-mat/9803238
Small Transaction Costs Asymptotics
for the Black and Scholes Model, Albanese, 1993, Working paper
Option Pricing Models for Incomplete
Market, Fedotov, 1998, cond-mat/9807397
Option Pricing Without Completeness
and Non-Arbitrage, Shepp, 1998, Lecture Notes
Risk-Return arguments applied to Options
With Trading Costs, Aurell, 1998, Working paper
The Feynman-Kac Formula and Decomposition
of Brownian paths, Jeanblanc, 1996, Technical Report 471
Some Generalisations of Bessel Processes,
Going, 1997, Risklab Report ETHZ
Optimal Asset Rebalancing in the Presence
of Transaction Costs, Leland, 1996, BARRA
Faster Valuation of Financial Derivatives,
Paskov, 1996, Working paper
New Methodologies for Valuing Derivatives,
Paskov, 1996, Working paper
New Results on Deterministic
Pricing of Financial Derivatives, Papageorgiou, 1996, CUCS-028-96
Collectively Fluctuating Assets
in Persence of Arbitrage Opportunities and Option Pricing, Adamchuk,1997,
Physics of our days
Fast Accurate and Inelegant Valuation
of American Options, Joubert, 1995
On Leland's Startegy of Option Pricing
with Transaction Costs, Kabanov, 1988
The Value of an Asian Option,
Rogers, 1995, Working paper
Fast Accurate Binomial Pricing,
Rogers, 1997, Working paper
Valuing Moving Barrier Options,
Rogers, 1997, Working paper
Revisiting Black-Scholes Equation,
Wang, 1998, cond-mat/9805115
Combinatorial Implications of
Nonlinear Uncertain Volatility Models: the Case of Barrier Options,
Avellaneda, 1997, Working paper
Pricing and Hedging Derivative
Securities in MArkets With Uncertain Volatilities, Avellaneda,1998,
Working paper
Calibrating Volatility Surfaces
via Relative-Entropy Minimization, Avellaneda,1998, Working paper
An Introduction to Option Pricing
and the Mathematica Theory of Risk, Avellaneda,1998, Working paper
Managing the Volatility Risk of
Portfolios of Derivative Securities: The Lagrangian Uncertain Volatility
Model, Avellaneda,1998, Working paper
Minimum Entropy Calibration of
Asset Pricing Models, Avellaneda,1998, Working paper
Dynamic Hedging Portfolios for
Derivative Securities in the Presence of Large Transaction Costs, Avellaneda,1998,
Working paper
Dynamic Hedging with Transaction Costs:
From Lattice to Nonlinear Volatility and Free-Boudary Problems, Paras,
1998, Working paper
American Put Call Parity, Carr,
1996, Working paper
Breaking Barriers, Carr, 1996,
Working paper
Currency Covariance Contracting,
Carr, 1999, Working paper
Deriving Derivatives of Derivatives
Securities, Carr, 1993, Working paper
Randomization and the American Put,
Carr,1997, Morgan Stanley
Hedging Complex Barrier Options,
Carr, 1997, Working papers
Optimal Positioning in Derivatives
Securities, Carr, 1998, Working paper
Towards a Theory of Volatility Trading,
Carr, 1997 Working paper
Option Valuation Using Fast Fourier
Transforms, Carr, 1998, Working paper
The Variance Gamma Process and Option
Pricing, Carr, 1998, Working paper
Static Option Replication, E.
Derman, 1995, Goldman Sachs Research Paper
Enhanced Numerical Methods for Options
with Barriers, E. Derman, 1995, Goldman Sachs Research Paper
Trading and Hedging Local Volatility,
Kani, 1997, Goldman Sachs Research Paper
Introduction to Option Pricing
in a Securities Market I: Binary Models, K. Dzhaparidze, 1996, CWI
Volume 9 (4).
A Closed-Form GARCH Option Pricing
Model, Steven L. Heston, 1997, Federal Reserve Bank of Atlanta
Preference-Free Option Pricing with
Path-Dependent Volatility: A Closed-Form Approach, Steven L. Heston,
1998, Federal Reserve Bank of Atlanta
Partial Hedging for Options Based
on Extreme Values and Passage Times, M. Breton, 1999, HEC Montreal
Option Pricing, Arbitrage
and Martingales, T. Vorst and A. Pelsser, Working paper
Pricing Lookback and Barrier Optio
Under the CEV Process, Boyle, 1999
Stochastic Implied Trees: Arbitrage
Pricing with Stochastic term and Strike Structure of Volatility, Derman,
1998, Internantional Journal of Theoretical and Applied Finance
Beyond Implied Volatilities, Cont,
1997, Proceedings
Exponential Functionnals of Brownian
Motion and Disordered Systems, Comtet, 1996, cond-mat/9601014
Edgeworth Binomial Trees,
Rubinstein, 1998, University of California at Berkeley
Implied Volatility Functions: Empirical
Tests, Dumas, 1997, Working paper
Nonparametric Risk Management
and Implied Risk Aversion, Ait-sahalia, 1997, n.a.
Determining Volatility Surfaces and
Option Values from an Implied Volatility Smile, Carr, 1998, Working
paper
The Volatility Smile and Its Implied
Tree, E. Derman, 1994, Goldman Sachs Research Paper
Implied Trinomial Trees of the Volatility
Smile, E. Derman, 1996, Goldman Sachs Research Paper
The Local Volatility Surface,
E. Derman, 1996, Goldman Sachs Research Paper
Stochastic Implied Trees: Arbitrage
Pricing With Stochastic Term and Strike Structure of Volatility, E.
Derman, 1998, Goldman Sachs Research Paper
Option Prices, Implied Price Processes,
and Stochastic Volatility, Neuberger, 1999, LBS
Smiles and Smirks: A Term Structure Perspective,
Das and Sundaram, 1999
Introduction to Monte Carlo Methods,
Computational Science Education Project, 1995
Introduction aux simulations numeriques,
Caffarel, 1996, DEA Lecture Notes
Stochastic Calculus of Variation
for Martingales, Privault, 1998, Working paper
An Extension of Stochastic Calculus
to Certain non-Markovian Process, Privault, 1998, Working papers
Automatic Synthesis of Financial
Modeling Codes, Randall, 1996, SciComp Inc.
SciNapse: A Problem Solving Environment
for Partial Differential Equations, Akers, 1998, SciComp Inc.
The Markov Chain Approximation Approach
for Numerical Solution of Stochastic Control Problems: Experiences from
Merton's Problem, Munk, JEL C61-G11
Some Competitive Learning Methods,
Fritzke, 1997, Working paper
Discrete Wavelet Transforms in S,
Nason, 1994, J. Comp. Graph. Stat
RiskMetrics (VAR), JPMorgan,
1996, J.P. Morgan
Armonic Analysis in Value at Risk
Calculation, Albanesi, 1998, Working paper
Bayesian Value at Risk, Albanesi,
1997, Working paper
Qunatitative Measure of Diversification
Risk, Albanes1, 1998, Working paper
Minimising Volatilitty Increases
Large Risks, Sornette, !998, cond-mat/9811292
Elements for a Theory of Financial
Risks, Bouchaud, 1998, con-mat/9806101
Using Value at Risk to Control Risk Taking:
How Wrong Can You Be?, Ju, 1998, OFOR Paper No 98-08
Evaluating the Risk of Portfolios,
Sheedy, 1998, Working paper
Modeling Market Risk in a Jump-Diffusion
Setting a Generalised Hofmann-Platen-Schweizer-Model, Weisemberg, 1998,
Working paper
Forecasting Market SHares Using VAR
and BVAR Models: A Comparison of their Forecasting Performance, Ramos,
1996
Mathematics of Financial Risk
MAnagement and Exercises,
Avellaneda,1998, Lecture Notes
Static Hedging for Taming Risk,
Carr, 1997, Morgan Stanley
Model Risk, E. Derman, 1996,
Goldman Sachs Research Paper
Regimes of Volatility, E. Derman,
1999, Goldman Sachs Research Paper
Diversified Portfolios in continuous
time, T. Bjork, 1996, Working paper
Correlation and Dependency in Risk
Management: Properties and Pitfalls, 1999, P. Embrechts, Working
paper
Tempting Fallacies in The Use of
Correlation, Daniel Straumann, 1998, RISKLAB ETH Zurich
An Investigation of the Risk and
Return Relation at Long Horizons, Harrison, 1999
Prices as Aggregators of Private Information,
J.-W. Cho, 1999, Working paper
A Unified VaR Approach, E. Barone,
IMI, 1998
Non Parametric Risk Avversion
and Implied Risk Management, Aitsahalia, 1998
The Sampling Error in Estimates
of Mean-Variance Efficient Portfolio Weights, Britten-Jones, 1999
An Asymptotic Expansion
for Value-at-Risk, Quintanilla, PhD Thesis
Market Risk and Model Risk For a Financial
Institution Writing Options, Clifton Green and Stephen Figlewski, 1999
Non-Linear Value-at-Risk, Schaefer,
1997
COHERENT RISK MEASURES ON GENERAL
PROBABILITY SPACES, Delbaen, 1999
Factors at Risk, Studer, ETH
Value at Risk and Maximum Loss Optimization,
Studer, ETH
Quadratic Maximum Loss for Risk Measurement
of Portfolio, Studer, ETH
IIF REport on Risk:
Report of the Task Force on Risk Assessment (March 1999).
Horizon Problems and Extreme
Events in Financial Risk Management, Christoffersen, 1998, Wharton
Risk vs.Profit-Potential; A Model
for Corporate Strategy, Radner & Shepp, 1997
Characteristics, Coveriances, And Average
Returns: 1929 to 1997, Davis, 1999
EVALUATING FORECASTS OF CORRELATION
USING OPTION PRICING, Gibson, 1998
Regulatory Evaluation of Value-at-Risk
Models, Jose A. Lopez, 1997
Option
Pricing for truncated Levy Processes, Boyarchenko & Levendorskii
The Interplay between Economics and
Hard Sciences: The Brownian Motion in Finance, Scalas, 1998, Draft
for Risk
Standard Models Under Extreme Market
Fluctuations, Susinno, 1998, Draft for Risk
Valuing Energy Options in One-Factor Models Fitted to Forward Prices, L. Clewlow, 1999, Working paper
Price VAriations in a Stock Market with
Many Agents,Bak, 1996, cond-mat/9609144
Crashes as Critical Points,
Johansen, 1998, cond-mat/9810071
Stock Market Crasches are Outliers,
Johansen, 1997, cond-mat/9712005
A Langevin Approach to Stock Market
Fluctuations and Crashes, Bouchaud, 1998, cond-mat/9801279
Scaling and Criticality in a Stochastic
multiAgent Model of a Financial Market, Lux, 1999, Working paper
Large Financial Crashes, Sornette,
1997, cond-mat/9704127
The Paradox of the Expected Time
Until the Next Eartquake, Sornette, 1997, cond-mat/9705046
How the Financial Crashes of October
1997 Could Have Been Predicted, Vandewalle, 1998, European
Phys. J. B
Malti-Affine Analysis of Typical
Currency Exchange Rate, 1998, European Physical Journal B
Symmetries and Fixed Point Stability
of Stochastic Differential Equationd Modelling Self-Organised Criticality,
Corral,1996, cond-mat/9612100
Are Financial Crashes Predictable?,
Laloux, 1998, cond-mat/9804111
Stock Market Crashes Precursors
and Replicas, Sornette, 1995, cond-mat/9510036
Exact Results for Spatio-Temporal
Correlations in a Self-Organised Critical Model of Punctuated Equilibrium,
BOettcher, 1995, cond-mat/9505003
Mass Extinction vs. Uniformitarianism
in Biological Evolution, Bak, 1996, cond-mat/9602012
Modeling The Stock Market Prior
to Large Crashes, Johansen, 1998, cond-mat/9811066
Discrete Scale Invariance,
Johansen PhD Thesis
Probabilistic Fragmentation and Effective
Power Law, Marsili, 1996, cond-mat/9606149
Is
the reliable prediction of individual earthquakes a realistic scientific
goal?, Main, Debates in Nature 25 February 1999
Nonlinear Stochastic Differential
Equations and Self-Organized Criticality, A. Diaz-Guilera, cond-mat/9312051
Growth Cycles and Market Crashes,
David K. Levine, 1999, Working paper
A Crash Course in Stochastic Calculus
with Applications to Mathematical Finance, P. Spreij, 1998
Bifurcation in Continuous Time Macroeconomic
Systems, Barnett, 1998, SNDE
Martingales non Linearity and Chaos,
Barnett, 1998, Working paper
Deterministic Chaos in Exchange Rates,
Bask, 1996, Working paper
Efficiency in Foreign exchange Market,
Baviera et al, 1999, cond-mat/9901225
Pre-Computational Financea Survey Paper,
Buff, 1997 N.Y. University
Noise Dressing of Financial Correlation
Matrices, Laloux et al., 1998, cond-mat/9810255
Discrete Time Portofolio Management
with Transaction Costs, Irving et al., 1998, CLRC
Insider Trading in a Continuous Time
Market Model, Groud, 1998, Internantional
Journal of Theoretical and Applied Finance
Optimal Index Tracking under Transaction
Costs and Impulse Control, Buckley, 1998, Internantional
Journal of Theoretical and Applied Finance
An International Study of Efficiency
and Risk in Money Markets, Miles, 1998, Internantional
Journal of Theoretical and Applied Finance
Financial Interpretation of Probabilistic
Concepts, Carr, 1998, Working paper
Ingegneria Finanziaria: Fondamentici
Matematici e Sviluppi Applicativi, Focardi, 1997, Intertek Group
Transation Costs and non Markovian
Delta Edging, Albanese, 1995, Working paper
Conservation of energy in Value Theory,
Ortmann, 1997, Working Paper
Market Organisation, Weisbuch,
1996, Santa Fe Institute Working paper 95-11-102
Fianancial Crises in Emerging Markets:
A Canonical Model, Chang, 1998, Federal Reserve Working Paper 98-10
Stochastic Dynamics in Game Theory,
Marsili, 1998, cond-mat/9801309
Dynamical Optimization Theory of
a Diversified Portfolio, MArsili, 1998, cond-mat/9801239
Expectations and Learning in IOWA,
Bondarenko, 1998, CalTech
Generaalised Binomial Trees,
Jackwerth, 1996,Working paper
Maximum Likelihood Estimation
of Discretely Sampled Diffusions: A Closed-Form Approach, ait-Sahalia,
1998, Working paper
Artificial Stupidity: A Reply,
Jackwerth, 1997, J. of Protfolio Management 24 (1) p.120-121
Price Discovery in Financial Markets:
The Case of CAPM, Bossaert, 1998, CalTech
The Dynamics of Equity Prices:
In Fallible Markets, Bossaerts, 1995, CalTech
Notes on Corporate Finance,
Bossaerts, 1998, CalTech
Introduction to Finance, Bossaerts,
1997, Lecture notes
Affine Models of Currecy Pricing,
Backus, 1996, Working paper
On the Profit and Loss Distribution
of Dynamic Hedging Strategies, Esipov, 1998, Working paper
On the Ruin Problem for Some Adapted
Premium Rules, Asmussen, 1999, MaPhySto
Arbitrage Relaxation of Instruments
with Temporal Constraints, adamchuk, 1998, Working paper
Crowd Effects and Volatility in a
Competitive Market, Johnson, 1998, con-mat/9811227
A General Framework of Hedging and Speculationg
With Options, Korn, 1997, Working paper
Girsanov Theorem for Anticipative
Shifts on Poisson Space, Privault, 1998, Working paper
A Different Quantum Stochastic Calculus
for the Poisson Process, Privault, 1998, Working paper
The Dynamics of Money, Bak, 1998,
cond-mat/9811094
Internationally Diversified Investment
Using an Integrated Portfolio Model, Konno, 1998, Int. J. of Theor.
and Ap. Fin.
When the Bubble is Going to Burst,
Chen, 1998, Working paper
General Financial Equilibrium Modeling
with Policy Interventions and Transaction Costs, Nagurney, 1996, Computational
Economics
A Prototype of Model Stock Exchange,
Caldarelli, 1997, cond-mat/9709118
Decomposing the Branching Brownian
Motion, Jansons, 1992, Ann. Appl. Prob.
Game Theory Complexity and Simplicity,
Shubik, 1997, Tutorial part I
Game Theory Complexity and Simplicity,
Shubik, 1997, Tutorial part II
Game Theory Complexity and Simplicity,
Shubik, 1997, Tutorial part III
Modeling Market Mechanism with Evolutionary
Games, Zhang, 1998, cond-mat/9803308
Going BAck to the Basics - rethinking
Market Efficiency, Olsen, 1992, Olsen and Associates
Optimal Derivative Investment in Continuous
time, Carr, 1998, Working paper
Stochastic Calculus and Finance,
Shreve, 1997, Lecture Notes (365pp)
Quantitative Strategies, Goldman
Sachs Research Notes (1999)
Model Choice, K.Leong, December 1997,
Risk
Physicists in Finance, J. Pimbley,
January 1997, Physics Today
The Scientific Evolution
of Finance, D. Chance and P. Peterson, 1997, Draft
Noisy information and Investment
decision, L. Gauthier, 1997, Workiing paper
Efficiency in foreign exchange markets,
R. Baviera, 1999, Working paper
Residual Risk and Hedging Strategies
in Markovian Markets, N. Bouleau and D. Lamberton, 1997, CERMA-ENPC
A thermal model for adaptive Competition
in Markets, 1999, Andrea Cavagna, cond- mat/ 9903415
Growth Under Perfect Competition,
1999, D. Levine
Derivatives And Debt in Dynamic Corporate
Finance, Adam, 1999
The Folk Theorem for Repeted Games:
a Synthesis, Benoit & Krishna, 1998
A Heisenberg Bound
for Stationary Time Series, Blankmeyer, 1996, Southwest Texas State
University
Mathematical Issues in Dynamic Programming,
Bertsekas & Shreve
The Role of Learning in Dynamic
Portfolio Decision, Brennan, 1999
Portfolio Selection and Asset Pricing
Models, Pastor, 1999
Simulating the Madness of Crowds:
Price Bubbles in an Auction-Mediated Robot Market, Steiglitz &
Shapiro
Expected Returns, Realised Returns
and Asset Pricing Tests, Elton, 1999
The Case of the 10 Missing Pounds,
John Price, 1897, Derivatives Strategy
A Chronology of Derivatives, M.Chance
How I Helped to Make Fisher Black Wealthier,
J. Ritter, 1996, Financial Management
How We Came Up With the Option Formula,
F. Black, 1989, Journal of Portfolio Management
How to use the Holes In Black-Scholes,
F. Black, 1989, Journal of Applied Corporate Finance
Risk Instruments in The Medieval
and Early Modern Economy, M. Kohn, 1999, Working Paper
FINANCE BEFORE THE INDUSTRIAL REVOLUTION:
AN INTRODUCTION, Kohn, 1999
MEDIEVAL AND EARLY MODERN COINAGE
AND ITS PROBLEMS Kohn, 1999
EARLY DEPOSIT BANKING, Kohn,
1999
BILLS OF EXCHANGE AND THE MONEY MARKET
TO 1600, Kohn, 1999
THE CAPITAL MARKET BEFORE 1600,
Kohn, 1999
MERCHANT BANKING IN THE MEDIEVAL
AND EARLY MODERN ECONOMY, Kohn, 1999
RISK INSTRUMENTS IN THE MEDIEVAL
AND EARLY MODERN ECONOMY, Khon, 1999
The Dynamics of Discrete Bid and
Ask Quotes, Hasbrouck, 1998
Estimating Portfolio and Consumption
Choice: A Conditional Euler Equations Approach, Brandt, 1999
Theorie de L'integration,
J. Jacod, Lecture Notes
New Trends in Pseudo-Random Number
Generators, 1998, F. Gutbrod, Internal Letter DESY
Mersenne Twister: A 623-dimensionally
equidistributed uniform pseudorandom number generator, M. Matsumoto,
Keio University
Random Numbers, Book
Very Fast and Correctly Sized Estimation
of the BDS Statistic, L. Kanzler, 1999, Workin paper
Applications of Optimization
to Mathematical Finance, Sounders, PhD Thesis
An Introductrion to Monte Carlo Methods,
Mackay, Erice
Introduction to Gaussian Processes,
Mackay
Efficient Implementation of Gaussian
Processes, Mackay
Choice of basis for Laplace Approximation,
Mackay
Variational Gaussian Processes Classifiers,
Mackay
P. Embrechts
B. Lapeyre
S. Pliska
last update 20th May 1999
G. SUSINNO