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Number of items at this level: 55.

A

Agrawal, Ashwini, Hacamo, Isaac and Hu, Zhongchen (2018) Employees and stock returns. . SSRN.

Ahmad, Wasim, Kutan, Ali M. and Gupta, Smarth (2021) Black swan events and COVID-19 outbreak: sector level evidence from the US, UK, and European stock markets. International Review of Economics and Finance, 75. 546 - 557. ISSN 1059-0560

Anderson, Ronald W. and Carverhill, Andrew (2011) Corporate liquidity and capital structure. Review of Financial Studies, 25 (3). pp. 797-837. ISSN 0893-9454

Axelson, Ulf (2013) A theory of the evolution of derivatives markets. Financial Markets Group Discussion Papers (723). Financial Markets Group, The London School of Economics and Political Science, London, UK.

B

Barinov, Alexander and Chabakauri, Georgy (2023) Idiosyncratic volatility, growth options, and the cross-section of returns. Review of Asset Pricing Studies, 13 (4). 653 – 690. ISSN 2045-9920

Benhamou, Eric (2000) Pricing convexity adjustment with Wiener chaos. Financial Markets Group Discussion Papers (351). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Benhamou, Eric (2000) A generalisation of Malliavin weighted scheme for fast computation of the Greeks. Financial Markets Group Discussion Papers (350). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Black, Jane and Tonks, Ian (1999) Time series of commodity futures prices. Financial Markets Group Discussion Papers (331). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Broadie, Mark, Chernov, Mikhail and Johannes, Michael (2007) Model specification and risk premia: evidence from futures options. Journal of Finance, 62 (3). pp. 1453-1490. ISSN 0022-1082

Brunnermeier, Markus (1998) Buy on rumours - sell on news: a manipulative trading strategy. Financial Markets Group Discussion Papers (309). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Buraschi, Andrea, Trojani, Fabio and Vedolin, Andrea (2011) Economic uncertainty, disagreement, and credit markets. .

Buraschi, Andrea, Trojani, Fabio and Vedolin, Andrea (2011) When uncertainty blows in the orchard: comovement and equilibrium volatility risk premia. EFA 2009 Bergen meetings paper. SSRN.

C

Campi, Luciano, Laachir, Ismail and Martini, Claude (2017) Change of numeraire in the two-marginals martingale transport problem. Finance and Stochastics, 21 (2). pp. 471-486. ISSN 0949-2984

Carvalho, Augusto and Guimaraes, Bernardo (2017) State-controlled companies and political risk: evidence from the 2014 Brazilian election. CFM discussion paper series (CFM-DP2017-02). Centre For Macroeconomics, London, UK.

Chernov, Mikhail (2003) Alternative models for stock price dynamics. Journal of Econometrics, 116 (1-2). pp. 225-257. ISSN 0304-4076

Chernov, Mikhail (2003) Empirical reverse engineering of the pricing kernel. Journal of Econometrics, 116 (1-2). pp. 329-364. ISSN 0304-4076

Chernov, Mikhail and Ghysels, Eric (2000) A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, 56 (3). pp. 407-458. ISSN 0304-405X

Chernov, Mikhail, Gorbenko, Alexander S. and Makarov, Igor (2013) CDS auctions. Review of Financial Studies, 26 (3). pp. 768-805. ISSN 0893-9454

Cho, Young-Hyun, Linton, Oliver and Whang, Yoon-Jae (2006) Are there Monday effects in stock returns: a stochastic dominance approach. Financial Markets Group Discussion Papers (568). Financial Markets Group, The London School of Economics and Political Science, London, UK.

D

Dassios, Angelos ORCID: 0000-0002-3968-2366, Jang, Jiwook and Zhao, Hongbiao (2019) A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. Risks, 7 (4). ISSN 2227-9091

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, You You (2016) The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing. Finance and Stochastics, 20. pp. 773-804. ISSN 0949-2984

Decamps, Jean-Paul and Faure-Grimaud, Antoine (2000) Excessive continuation and dynamic agency costs of debt. Financial Markets Group Discussion Papers (348). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Décamps, Jean-Paul and Faure-Grimaud, Antoine (2002) Excessive continuation and dynamic agency costs of debt. European Economic Review, 46 (9). 1623 - 1644. ISSN 0014-2921

F

Farmer, J. Doyne, Goodhart, C. A. E. and Kleinnijenhuis, Alissa M. (2020) Systemic implications of the bail-in design: a precis of our main text. SUERF Policy Notes (257). SUERF The European Money and Finance Forum, Vienna, AT.

G

Gapeev, Pavel V. (2019) Perpetual dual American barrier options for short sellers. In: 14th Workshop on Stochastic Models, Statistics and their Application, 2019-03-06 - 2019-03-08, Technical University of Dresden, Dresden, Germany, DEU.

Gapeev, Pavel V., Kort, Peter M., Lavrutich, Maria N. and Thijssen, Jacco J. J. (2022) Optimal double stopping problems for maxima and minima of geometric Brownian motions. Methodology and Computing in Applied Probability, 24 (2). 789 - 813. ISSN 1387-5841

Ghosh, Anisha, Julliard, Christian and Taylor, Alex (2011) What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models. Financial Markets Group Discussion Papers (691). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Ghosh, Anisha, Julliard, Christian and Taylor, Alex (2016) An information based one-factor asset pricing model. Financial Markets Group Discussion Papers (749). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Grüll, Georg and Taschini, Luca ORCID: 0000-0001-5355-1736 (2010) A comparison of reduced-form permit price models and their empirical performances. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment (33). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.

H

Hilscher, Jens and Nosbusch, Yves (2010) Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14 (2). pp. 235-262. ISSN 1572-3097

J

Jobst, Andreas A. (2002) Loan securitisation: default term structure and asset pricing based on loss prioritisation. Financial Markets Group Discussion Papers (422). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Jurczenko, Emmanuel, Maillet, Bertrand and Negrea, Bogdan (2002) Revisited multi-moment approximate option pricing models: a general comparison (Part 1). Financial Markets Group Discussion Papers (430). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Jurczenko, Emmanuel, Maillet, Bertrand and Negrea, Bogdan (2002) Skewness and kurtosis implied by option prices: a second comment. Financial Markets Group Discussion Papers (419). Financial Markets Group, The London School of Economics and Political Science, London, UK.

K

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Robertson, Scott (2017) Continuous-time perpetuities and time reversal of diffusions. Finance and Stochastics, 21 (1). pp. 65-110. ISSN 0949-2984

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24 (4). 871 - 901. ISSN 0949-2984

L

Leblanc, B., Renault, Olivier and Scaillet, O. (2000) A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. Finance and Stochastics, 4 (1). pp. 109-111. ISSN 0949-2984

Leiss, Matthias, Nax, Heinrich H. and Sornette, Didier (2015) Super-exponential growth expectations and the global financial crisis. Journal of Economic Dynamics and Control, 55. pp. 1-13. ISSN 0165-1889

Lotz, Christopher (1998) Locally minimizing the credit risk. Financial Markets Group Discussion Papers (281). Financial Markets Group, The London School of Economics and Political Science, London, UK.

M

Makarov, Igor and Schoar, Antoinette (2019) Price discovery in cryptocurrency markets. AEA Papers and Proceedings, 109. pp. 97-99. ISSN 2574-0768

Martin, Ian and Wagner, Christian (2016) What is the expected return on a stock? Financial Markets Group Discussion Papers (760). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Mencia, Javier, Leon, Angel and Sentana, Enrique (2007) Parametric properties of semi-nonparametric distributions, with applications to option valuation. Financial Markets Group Discussion Papers (597). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Mueller, Philippe, Vedolin, Andrea and Zhou, Hao (2011) Short run bond risk premia. Financial Markets Group Discussion Papers (686). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Mueller, Philippe, Vedolin, Andrea and Zhou, Hao (2011) Short-run bond risk premia. AFA 2013 San Diego Meetings Paper.

N

Norberg, Ragnar (2005) Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and Stochastics, 9 (4). pp. 519-537. ISSN 0949-2984

O

Oehmke, Martin ORCID: 0000-0001-9902-0711 and Zawadowski, Adam (2016) The anatomy of the CDS market. Financial Markets Group Discussion Papers (761). Financial Markets Group, The London School of Economics and Political Science, London, UK.

P

Prigent, Jean-Luc, Renault, Olivier and Scaillet, Olivier (2000) An auto-regressive conditional binomial option pricing model. Financial Markets Group Discussion Papers (364). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Q

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2023) Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74 (3). 647 - 665. ISSN 1476-9360

R

Rheinlander, Thorsten (2005) An entropy approach to the Stein and Stein model with correlation. Finance and Stochastics, 9 (3). pp. 399-413. ISSN 0949-2984

Rodosthenous, Neofytos and Zervos, Mihail ORCID: 0000-0001-5194-6881 (2017) Watermark options. Finance and Stochastics, 21 (1). pp. 157-186. ISSN 0949-2984

S

Schonbucher, Philipp (1997) Term structure modelling of defaultable bonds. Financial Markets Group Discussion Papers (272). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Soner, H. Mete, Cetin, Umut ORCID: 0000-0001-8905-853X and Touzi, Nizar (2010) Option hedging for small investors under liquidity costs. Finance and Stochastics, 14 (3). pp. 317-341. ISSN 0949-2984

T

Taschini, Luca ORCID: 0000-0001-5355-1736 (2010) Environmental economics and modeling marketable permits. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment (25). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.

Taschini, Luca ORCID: 0000-0001-5355-1736 (2020) Flexibility premium of emissions permits. Journal of Economic Dynamics and Control. ISSN 0165-1889

V

Vedolin, Andrea (2012) Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia. . Department of Finance, London School of Economics and Political Science, London, UK.

Y

Yadav, Pradeep K. and Pope, Peter (1994) Stock index futures mispricing: profit opportunities or risk premia? Journal of Banking and Finance, 18 (5). pp. 921-953. ISSN 0378-4266

This list was generated on Sat May 18 15:02:29 2024 BST.