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1
Book / Working Paper 		A term structure model with level factor cannot be realistic and arbitrage free
Year:                     
2012
Person:  Dubecq, S.; Gourieroux, C.
Institution:  Banque de France
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2
Book / Working Paper 		Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs.
Year:                     
2012
Person:  Lépinette-Denis, Emmanuel; Kabanov, Yuri
Institution:  Université Paris-Dauphine
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3
Article 		Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Year:                     
2012
Person:  Denis, Emmanuel; Kabanov, Yuri
Publisher:  Springer
Published in:  Finance and Stochastics
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4
Article 		Tangent Lévy market models
Year:                     
2012
Person:  Carmona, René; Nadtochiy, Sergey
Publisher:  Springer
Published in:  Finance and Stochastics
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5
Book / Working Paper 		Recent research on the economics of patents
Year:                     
2012
Person:  Hall, Bronwyn H.; Harhoff, Dietmar
Publisher:  Cambridge, Mass.
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6
Book / Working Paper 		Coherent price systems and uncertainty-neutral valuation
Year:                     
2012
Person:  Beißner, Patrick
Publisher:  Bielefeld : Inst. of Mathematical Economics, IMW
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7
Article 		Options: risk reducing or creating?
Year:                     
2012
Person:  Morozova, Marianna
Published in:  Market risk and financial markets modeling
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8
Article 		Equilibrium on the interest rate market analysis
Year:                     
2012
Person:  Kvasničková, Eva
Published in:  Market risk and financial markets modeling
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9
Article 		Asset pricing in a fractional market under transaction costs
Year:                     
2012
Person:  Gisin, Vladimir; Markov, Andrey
Published in:  Market risk and financial markets modeling
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10
Book / Working Paper 		A note on super-hedging for investor-producers
Year:                     
2011-12-20
Person:  Huu, Adrien Nguyen
Institution:  HAL
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11
Book / Working Paper 		Threshold estimation in price transmission analysis
Year:                     
2011-12-06
Person:  Greb, Friederike; Cramon-Taubadel, Stephan von; Krivobokova, Tatyana; Munk, Axel
Institution:  Courant Research Centre PEG
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12
Book / Working Paper 		Currency Momentum Strategies
Year:                     
2011-12
Person:  Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
Institution:  Bank for International Settlements (BIS)
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13
Book / Working Paper 		Time lags in processing market-sensitive information. A case study
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14
Book / Working Paper 		Is the Pricing Kernel U-Shaped?
Year:                     
2011-11-14
Person:  Schweri, Urs
Institution:  National Centre of Competence in Research - Financial Valuation and Risk Management
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15
Book / Working Paper 		On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Year:                     
2011-09-14
Person:  Chr. Framstad, Nils
Institution:  Økonomisk institutt, Universitetet i Oslo
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16
Book / Working Paper 		Juridical and financial considerations on the public recapitalisation and rescue of financial institutions during periods of financial crises (Part II)
Year:                     
2011-09-09
Person:  Ojo, Marianne
Institution:  Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
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17
Book / Working Paper 		The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia
Year:                     
2011-09
Person:  Carboni, Alessandro
Institution:  Banca d'Italia
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18
Book / Working Paper 		Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
Year:                     
2011-09
Person:  Fengler, Matthias; Hin, Lin-Yee
Institution:  School of Economics and Political Science, Universität St. Gallen
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19
Book / Working Paper 		The Effect of Quality Differentials on Integration of the Seaborne Thermal Coal Market
Year:                     
2011-08
Person:  West, Jason
Institution:  Department of Accounting, Finance and Economics, Griffith Business School
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20
Book / Working Paper 		Financial stability, new macro prudential arrangements and shadow banking: regulatory arbitrage and stringent Basel III regulations
Year:                     
2011-06-10
Person:  Ojo, Marianne
Institution:  Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität
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21
Book / Working Paper 		The Law of Indifference, Equilibrium, and Equilibration in Jevons, Walras, Edgeworth, and Negishi
Year:                     
2011-05-13
Person:  Donzelli, Franco
Institution:  Dipartimento di Scienze Economiche, Aziendali e Statistiche, Università degli Studi di Milano
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22
Book / Working Paper 		Pricing Options on Commodity Futures: The Role of Weather and Storage
Year:                     
2011-05-03
Person:  Bozic, Marin; Fortenbery, T. Randall
Institution:  Agricultural and Applied Economics Association - AAEA
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23
Other 		Pricing Options on Commodity Futures: The Role of Weather and Storage
Year:                     
2011-05-03
Person:  Bozic, Marin; Fortenbery, T. Randall
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24
Book / Working Paper 		Endogenous bourse structures
Year:                     
2011-05
Person:  Faias, Marta; Luque, Jaime
Institution:  Departamento de Economía, Universidad Carlos III de Madrid
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25
Book / Working Paper 		The Dynamics of Energy-Grain Prices with Open Interest
Year:                     
2011-05
Person:  Hammoudeh, Shawkat; Sarafrazi, Soodabeh; Chang, Chia-Lin; McAleer, Michael
Institution:  Institute of Economic Research, Kyoto University
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26
Book / Working Paper 		Idiosyncratic Return Volatility in the Cross-Section of Stocks
Year:                     
2011-04
Person:  Kang, Namho; Kondor, Péter; Sadka, Ronnie
Institution:  C.E.P.R. Discussion Papers
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27
Book / Working Paper 		Competing bimetallic ratios: Amsterdam, London and bullion arbitrage in the 18th century
Year:                     
2011-04
Person:  Nogues-Marco, Pilar
Institution:  Departamento de Historia Económica e Instituciones, Universidad Carlos III de Madrid
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28
Book / Working Paper 		Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data
Year:                     
2011-03
Person:  Rieger, Jörg; Rüchardt, Kirsten; Vogt, Bodo
Institution:  Fakultät für Wirtschaftswissenschaften, Otto-von-Guericke-Universität
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29
Book / Working Paper 		Price uncertainty and the existence of financial equilibrium.
Year:                     
2011-03
Person:  Boisdeffre, Lionel de
Institution:  Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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30
Book / Working Paper 		Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs
Year:                     
2011-02-05
Person:  Scholz, Julia
Institution:  Universität <München> / Fakultät für Betriebswirtschaft
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31
Book / Working Paper 		A COMPLETE SOLUTION TO THE FORWARD-BIAS PUZZLE
Year:                     
2011-01-24
Person:  Pippenger, John
Institution:  Department of Economics, University of California-Santa Barbara (UCSB)
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32
Book / Working Paper 		Enhanced Forecasting Methods, Fat Tails, and their Applications in Finance
Year:                     
2011-01-13
Person:  Scherrer, Christian
Publisher:  Universität Karlsruhe
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33
Article 		Transitional Dynamics of Dividend and Capital Gains Tax Cuts
Year:                     
2011
Person:  Gourio, Francois; Miao, Jianjun
Institution:  Society for Economic Dynamics - SED
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34
Book / Working Paper 		EUA and sCER Phase II Price Drivers: Unveiling the reasons for the existence of the EUA-sCER spread.
Year:                     
2011
Person:  Hervé-Mignucci, Morgan; Mansanet-Bataller, Maria; Chevallier, Julien; Alberola, Emilie
Institution:  Université Paris-Dauphine
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35
Article 		The profitability of interest arbitrage when the base currency is pegged to a basket
Year:                     
2011
Person:  Moosa, Imad
Publisher:  Springer
Published in:  Review of Quantitative Finance and Accounting
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36
Article 		Diversity and arbitrage in a regulatory breakup model
Year:                     
2011
Person:  Strong, Winslow; Fouque, Jean-Pierre
Publisher:  Springer
Published in:  Annals of Finance
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37
Article 		Arbitrage Free Price Bounds for Property Derivatives
Year:                     
2011
Person:  Syz, Juerg; Vanini, Paolo
Publisher:  Springer
Published in:  The Journal of Real Estate Finance and Economics
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38
Book / Working Paper 		No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates
Year:                     
2011
Person:  Aling, Peter; Hassan, Shakill
Institution:  Economic Research Southern Africa (ERSA)
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39
Article 		ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
Year:                     
2011
Person:  BRIGO, DAMIANO; PALLAVICINI, ANDREA; PAPATHEODOROU, VASILEIOS
Publisher:  World Scientific Publishing Co. Pte. Ltd.
Published in:  International Journal of Theoretical and Applied Finance (IJTAF)
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40
Article 		Robust pricing and hedging of double no-touch options
Year:                     
2011
Person:  Cox, Alexander; Obłój, Jan
Publisher:  Springer
Published in:  Finance and Stochastics
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41
Article 		An empirical test of 'put call parity'
Year:                     
2011
Person:  Nissim, Ben David; Tchahi, Tavor
Publisher:  Taylor and Francis Journals
Published in:  Applied Financial Economics
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42
Article 		The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books
Year:                     
2011
Person:  Challet, Damien
Publisher:  Taylor and Francis Journals
Published in:  Applied Mathematical Finance
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43
Article 		Interest Rates After the Credit Crunch: Markets and Models Evolution
Year:                     
2011
Person:  Bianchetti, Marco; Carlicchi, Mattia
Institution:  Capco Institute
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44
Article 		Institutional investors and the limits of arbitrage
Year:                     
2011
Person:  Lewellen, Jonathan
Publisher:  Elsevier
Published in:  Journal of Financial Economics
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45
Article 		SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS
Year:                     
2011
Person:  CARR, PETER
Publisher:  World Scientific Publishing Co. Pte. Ltd.
Published in:  International Journal of Theoretical and Applied Finance (IJTAF)
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46
Article 		Pricing of a reload employee stock option under severance risk
Year:                     
2011
Person:  Ma, Jun
Publisher:  Taylor and Francis Journals
Published in:  Quantitative Finance
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47
Article 		Dynamic modeling of mean-reverting spreads for statistical arbitrage
Year:                     
2011
Person:  Triantafyllopoulos, K.; Montana, G.
Publisher:  Springer
Published in:  Computational Management Science
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48
Article 		Co-monotonicity of optimal investments and the design of structured financial products
Year:                     
2011
Person:  Rieger, Marc
Publisher:  Springer
Published in:  Finance and Stochastics
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49
Article 		Arbitrage and deflators in illiquid markets
Year:                     
2011
Person:  Pennanen, Teemu
Publisher:  Springer
Published in:  Finance and Stochastics
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50
Article 		Foreign currency bubbles
Year:                     
2011
Person:  Jarrow, Robert; Protter, Philip
Publisher:  Springer
Published in:  Review of Derivatives Research
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