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Aıt-Sahalia Y and Duarte J (2003), "Nonparametric Option Pricing under Shape Restrictions", Journal of Econometrics. Vol. 116(1-2), pp. 9-47. Elsevier.
BibTeX:
@article{AitSahaliaDuarte2003nonparametric,
  author = {Aıt-Sahalia, Y. and Duarte, J.},
  title = {Nonparametric Option Pricing under Shape Restrictions},
  journal = {Journal of Econometrics},
  publisher = {Elsevier},
  year = {2003},
  volume = {116},
  number = {1-2},
  pages = {9--47}
}
Agullo E, Augonnet C, Dongarra J, Faverge M, Ltaief H, Thibault S and Tomov S (2011), "QR factorization on a multicore node enhanced with multiple GPU accelerators", In Parallel & Distributed Processing Symposium (IPDPS), 2011 IEEE International. , pp. 932-943.
BibTeX:
@inproceedings{agullo2011qr,
  author = {Agullo, E. and Augonnet, C. and Dongarra, J. and Faverge, M. and Ltaief, H. and Thibault, S. and Tomov, S.},
  title = {QR factorization on a multicore node enhanced with multiple GPU accelerators},
  booktitle = {Parallel & Distributed Processing Symposium (IPDPS), 2011 IEEE International},
  year = {2011},
  pages = {932--943}
}
Ait-Sahalia Y and Duarte J (2003), "Nonparametric option pricing under shape restrictions", Journal of Econometrics. Vol. 116(1-2), pp. 9-47. Elsevier.
BibTeX:
@article{ait2003nonparametric,
  author = {Ait-Sahalia, Y. and Duarte, J.},
  title = {Nonparametric option pricing under shape restrictions},
  journal = {Journal of Econometrics},
  publisher = {Elsevier},
  year = {2003},
  volume = {116},
  number = {1-2},
  pages = {9--47}
}
Amin K and Ng V (1993), "ARCH processes and option valuation", Manuscript, University of Michigan.
BibTeX:
@article{amin1993arch,
  author = {Amin, K. and Ng, V.},
  title = {ARCH processes and option valuation},
  journal = {Manuscript, University of Michigan},
  year = {1993}
}
Anderson RM (2011), "Time-varying risk premia", Journal of Mathematical Economics. Vol. 47(3), pp. 253 - 259.
Abstract: Time-varying risk premia (TVRP) is one of the four sources of stock return autocorrelation. TVRP arises in a securities market equilibrium when the equilibrium expected returns of the available investments vary over time; in particular, the presence of TVRP does not indicate pricing inefficiency. This paper provides equilibrium upper bounds on TVRP, as a function of the return period, the time horizon over which the autocorrelations are calculated, and the variability of risk premia. These bounds on TVRP, in combination with the methods of Anderson et al. (2010), allow one to establish lower bounds on the contribution of partial price adjustment, and thus pricing inefficiency, to stock return autocorrelation.
BibTeX:
@article{Anderson2011,
  author = {Robert M. Anderson},
  title = {Time-varying risk premia},
  journal = {Journal of Mathematical Economics},
  year = {2011},
  volume = {47},
  number = {3},
  pages = {253 - 259},
  note = {Mathematical Economics II : Special Issue in honour of Andreu Mas-Colell},
  url = {http://www.sciencedirect.com/science/article/pii/S0304406811000152},
  doi = {10.1016/j.jmateco.2010.12.010}
}
Areal N, Rodrigues A and Armada MR (2008), "On improving the least squares Monte Carlo option valuation method", Review of Derivatives Research. Boston, Netherlands, Boston Vol. 11(1-2), pp. 119-151. Springer Science & Business Media.
Abstract: This paper studies various possible approaches to improving the least squares Monte Carlo option valuation method. We test different regression algorithms and suggest a variation to estimating the option continuation value, which can reduce the execution time of the algorithm by one third. We test the choice of varying polynomial families with different number of basis functions. We compare several variance reduction techniques, and find that using low discrepancy sequences can improve the accuracy up to four times. We also extend our analysis to compound and mutually exclusive options. For the latter, we propose an improved algorithm which is faster and more accurate. [PUBLICATION ABSTRACT]
BibTeX:
@article{Areal2008,
  author = {Areal, Nelson and Rodrigues, Artur and Armada, Manuel R},
  title = {On improving the least squares Monte Carlo option valuation method},
  journal = {Review of Derivatives Research},
  publisher = {Springer Science & Business Media},
  year = {2008},
  volume = {11},
  number = {1-2},
  pages = {119--151},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/208734126?accountid=11357}
}
Bacinello AR, Biffis E and Millossovich P (2010), "Regression-based Algorithms for Life Insurance Contracts with Surrender Guarantees", Quantitative Finance. Vol. 10(9), pp. 1077-1090.
BibTeX:
@article{BacBifMil10,
  author = {Bacinello, Anna Rita and Biffis, Enrico and Millossovich, Pietro},
  title = {Regression-based Algorithms for Life Insurance Contracts with Surrender Guarantees},
  journal = {Quantitative Finance},
  year = {2010},
  volume = {10},
  number = {9},
  pages = {1077-1090}
}
Bakshi G, Cao C and Chen Z (1997), "Empirical performance of alternative option pricing models", The Journal of Finance. Cambridge, United States, Cambridge Vol. 52(5), pp. 2003-2049.
Abstract: Substantial progress has been made in developing more realistic option pricing models. Empirically, however, it is not known whether and by how much each generalization improves option pricing and hedging. This gap is filled by first deriving an option model that allows volatility, interest rates, and jumps to be stochastic. Using S&P 500 options, several alternative models are examined from 3 perspectives: 1. internal consistency of implied parameters/volatility with relevant time-series data, 2. out-of-sample pricing, and 3. hedging. Overall, incorporating stochastic volatility and jumps is important for pricing and internal consistency. But for hedging, modeling stochastic volatility alone yields the best performance.
BibTeX:
@article{Bakshi1997,
  author = {Bakshi, Gurdip and Cao, Charles and Chen, Zhiwu},
  title = {Empirical performance of alternative option pricing models},
  journal = {The Journal of Finance},
  year = {1997},
  volume = {52},
  number = {5},
  pages = {2003--2049},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194714120?accountid=11357}
}
Bansal R and Yaron A (2004), "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles", The Journal of Finance. Vol. 59(4), pp. pp. 1481-1509. Wiley-Blackwell for the American Finance Association.
Abstract: We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price-dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying.
BibTeX:
@article{BansalYaron2004,
  author = {Bansal, Ravi and Yaron, Amir},
  title = {Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles},
  journal = {The Journal of Finance},
  publisher = {Wiley-Blackwell for the American Finance Association},
  year = {2004},
  volume = {59},
  number = {4},
  pages = {pp. 1481-1509},
  url = {http://www.jstor.org/stable/3694869}
}
Barraquand J and Martineau D (1995), "Numerical Valuation of High Dimensional Multivariate American Securities", Journal of Financial and Quantitative Analysis. Vol. 30(3), pp. 383-405.
BibTeX:
@article{BarraquandMartineau1995,
  author = {Barraquand, J. and D. Martineau},
  title = {Numerical Valuation of High Dimensional Multivariate American Securities},
  journal = {Journal of Financial and Quantitative Analysis},
  year = {1995},
  volume = {30},
  number = {3},
  pages = {383-405}
}
Bates DS (2000), "Post-'87 crash fears in the S&P 500 futures option market", Journal of Econometrics. Amsterdam, Switzerland, Amsterdam Vol. 94(1/2), pp. 181-238.
Abstract: Post-crash distributions inferred from S&P 500 future option prices have been strongly negatively skewed. Two alternate explanations are examined: 1. stochastic volatility, and 2. jumps. The two option pricing models are nested, and are fitted to S&P 500 futures options data over 1988-1993. The stochastic volatility model requires extreme parameters (e.g., high volatility of volatility) that are implausible given the time series properties of option prices. The stochastic volatility/jump-diffusion model fits option prices better, and generates more plausible volatility process parameters. Its implicit distributions, however, are inconsistent with the absence of large stock index moves over 1988-1993.
BibTeX:
@article{Bates2000,
  author = {Bates, David S},
  title = {Post-'87 crash fears in the S&P 500 futures option market},
  journal = {Journal of Econometrics},
  year = {2000},
  volume = {94},
  number = {1/2},
  pages = {181--238},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/196657531?accountid=11357}
}
Beare B (2010), "Optimal Measure Preserving Derivatives"
BibTeX:
@article{beare2010optimal,
  author = {Beare, B.K.},
  title = {Optimal Measure Preserving Derivatives},
  year = {2010},
  note = {Working paper}
}
Bekaert G, Engstrom E and Xing Y (2009), "Risk, uncertainty, and asset prices", Journal of Financial Economics. Vol. 91(1), pp. 59 - 82.
Abstract: We identify the relative importance of changes in the conditional variance of fundamentals (which we call “uncertainty�) and changes in risk aversion in the determination of the term structure, equity prices, and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in price–dividend ratios and the equity risk premium is primarily driven by risk aversion, uncertainty plays a large role in the term structure and is the driver of countercyclical volatility of asset returns.
BibTeX:
@article{Bekaert2009,
  author = {Geert Bekaert and Eric Engstrom and Yuhang Xing},
  title = {Risk, uncertainty, and asset prices},
  journal = {Journal of Financial Economics},
  year = {2009},
  volume = {91},
  number = {1},
  pages = {59 - 82},
  url = {http://www.sciencedirect.com/science/article/pii/S0304405X08001670},
  doi = {10.1016/j.jfineco.2008.01.005}
}
Bensoussan A (1984), "On the theory of option pricing", Acta Applicandae Mathematicae: An International Survey Journal on Applying Mathematics and Mathematical Applications. Vol. 2(2), pp. 139-158. Springer.
BibTeX:
@article{bensoussan1984theory,
  author = {Bensoussan, A.},
  title = {On the theory of option pricing},
  journal = {Acta Applicandae Mathematicae: An International Survey Journal on Applying Mathematics and Mathematical Applications},
  publisher = {Springer},
  year = {1984},
  volume = {2},
  number = {2},
  pages = {139--158}
}
Beresteanu A (2007), "Nonparametric Estimation of Regression Functions under Restrictions on Partial Derivatives", Working Paper, Duke University.
BibTeX:
@article{Beresteanu2007,
  author = {Beresteanu, A.},
  title = {Nonparametric Estimation of Regression Functions under Restrictions on Partial Derivatives},
  journal = {Working Paper, Duke University},
  year = {2007}
}
Black F (1976), "The pricing of commodity contracts", Journal of financial economics. Vol. 3(1-2), pp. 167-179. Elsevier.
BibTeX:
@article{black1976pricing,
  author = {Black, F.},
  title = {The pricing of commodity contracts},
  journal = {Journal of financial economics},
  publisher = {Elsevier},
  year = {1976},
  volume = {3},
  number = {1-2},
  pages = {167--179}
}
Black F and Scholes M (1973), "THE PRICING OF OPTIONS AND CORPORATE LIABILITIES", The Journal of Political Economy. Chicago, Chicago Vol. 81(3), pp. 637-637.
Abstract: IF OPTIONS ARE CORRECTLY PRICED IN THE MARKET, IT SHOULD NOT BE POSSIBLE TO MAKE SURE PROFITS BY CREATING PORTFOLIOS OF LONG AND SHORT POSITIONS IN OPTIONS AND THEIR UNDERLYING STOCKS. USING THIS PRINCIPLE, A THEORETICAL VALUATION FORMULA FOR OPTIONS IS DERIVED. SINCE ALMOST ALL CORPORATE LIABILITIES CAN BE VIEWED AS COMBINATIONS OF OPTIONS, THE FORMULA AND THE ANALYSIS THAT LED TO IT ARE ALSO APPLICABLE TO CORPORATE LIABILITIES SUCH AS COMMON-STOCK, CORPORATE BONDS, AND WARRANTS. IN PARTICULAR, THE FORMULA CAN BE USED TO DERIVE THE DISCOUNT THAT SHOULD BE APPLIED TO A CORPORATE BOND BECAUSE OF THE POSSIBILITY OF DEFAULT.
BibTeX:
@article{Black1973,
  author = {Black, Fischer and Scholes, Myron},
  title = {THE PRICING OF OPTIONS AND CORPORATE LIABILITIES},
  journal = {The Journal of Political Economy},
  year = {1973},
  volume = {81},
  number = {3},
  pages = {637--637},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/195408552?accountid=11357}
}
Bollen NPB and Whaley RE (2004), "Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?", The Journal of Finance. Cambridge, United States, Cambridge Vol. 59(2), pp. 711-753.
Abstract: This paper examines the relation between net buying pressure and the shape of the implied volatility function (IVF) for index and individual stock options. We find that changes in implied volatility are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S&P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demand. Simulated delta-neutral option-writing trading strategies generate abnormal returns that match the deviations of the IVFs above realized historical return volatilities. [PUBLICATION ABSTRACT]
BibTeX:
@article{Bollen2004,
  author = {Bollen, Nicolas P B and Whaley, Robert E},
  title = {Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?},
  journal = {The Journal of Finance},
  year = {2004},
  volume = {59},
  number = {2},
  pages = {711--753},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194719208?accountid=11357}
}
Bollerslev T (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics. Amsterdam, Switzerland, Amsterdam Vol. 31(3), pp. 307-307.
Abstract: A natural generalization of the Autoregressive Conditional Heteroskedastic (ARCH) process presented in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are deduced. Maximum likelihood estimation and testing also are examined. Finally, an empirical example relating to the uncertainty of the inflation rate is presented, using quarterly data from 1948.2-1983.4. The 1960s and early 1970s were characterized by a stable and predictable inflation rate. Starting with the 2nd oil crisis in 1974, there is a slight rise in the uncertainty of the inflation rate, although it does not compare in magnitude to the uncertainty at the beginning of the sample period, that is, the 2nd quarter of 1948.
BibTeX:
@article{Bollerslev1986,
  author = {Bollerslev, Tim},
  title = {Generalized Autoregressive Conditional Heteroskedasticity},
  journal = {Journal of Econometrics},
  year = {1986},
  volume = {31},
  number = {3},
  pages = {307--307},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/196704069?accountid=11357}
}
Bollerslev T, Engle RF and Wooldridge JM (1988), "A Capital Asset Pricing Model with Time-Varying Covariances", Journal of Political Economy. Vol. 96(1), pp. pp. 116-131. The University of Chicago Press.
Abstract: The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induce risk-averse investors to bear risk is proportional to the nondiversifiable risk, which is measured by the covariance of the asset return with the market portfolio return. In this paper a multivariate generalized autoregressive conditional heteroscedastic process is estimated for returns to bills, bonds, and stock where the expected return is proportional to the conditional convariance of each return with that of a fully diversified or market portfolio. It is found that the conditional covariances are quite variable over time and are a significant determinant of time-varying risk premia. The implied betas are also time-varying and forecastable. However, there is evidence that other variables including innovations in consumption should also be considered in the investor's information set when estimating the conditional distribution of returns.
BibTeX:
@article{Bollerslev1988,
  author = {Bollerslev, Tim and Engle, Robert F. and Wooldridge, Jeffrey M.},
  title = {A Capital Asset Pricing Model with Time-Varying Covariances},
  journal = {Journal of Political Economy},
  publisher = {The University of Chicago Press},
  year = {1988},
  volume = {96},
  number = {1},
  pages = {pp. 116-131},
  url = {http://www.jstor.org/stable/1830713}
}
Boudjellaba H, Dufour J-M and Roy R (1994), "Simplified conditions for noncausality between vectors in multivariate ARMA models", Journal of Econometrics. Vol. 63(1), pp. 271 - 287.
Abstract: This article derives necessary and sufficient conditions for noncausality between two vectors of variables in stationary invertible ARMA processes. Earlier conditions proposed by Boudjellaba, Dufour, and Roy (1992a) are shown to hold under weaker regularity assumptions and then generalized to cover the important case where the two vectors do not necessarily embody all the variables considered in the analysis. The conditions so obtained can be considerably simpler and easier to implement than earlier ones. Testing of the conditions derived is also discussed and the results are applied to a model of Canadian money, income, and interest rates.
BibTeX:
@article{Boudjellaba1994271,
  author = {Hafida Boudjellaba and Jean-Marie Dufour and Roch Roy},
  title = {Simplified conditions for noncausality between vectors in multivariate ARMA models},
  journal = {Journal of Econometrics},
  year = {1994},
  volume = {63},
  number = {1},
  pages = {271 - 287},
  url = {http://www.sciencedirect.com/science/article/pii/0304407693015687},
  doi = {10.1016/0304-4076(93)01568-7}
}
Bowman A and Azzalini A (1997), "Applied smoothing techniques for data analysis: the kernel approach with S-Plus illustrations" Oxford University Press, USA.
BibTeX:
@book{bowman1997applied,
  author = {Bowman, AW and Azzalini, A.},
  title = {Applied smoothing techniques for data analysis: the kernel approach with S-Plus illustrations},
  publisher = {Oxford University Press, USA},
  year = {1997}
}
Boyle P, Broadie M and Glasserman P (1997), "Monte Carlo Methods for Security Pricing", Journal of Economic Dynamics and Control. Vol. 21(8-9), pp. 1267-1321. Elsevier.
BibTeX:
@article{boyle1997monte,
  author = {Boyle, P. and Broadie, M. and Glasserman, P.},
  title = {Monte Carlo Methods for Security Pricing},
  journal = {Journal of Economic Dynamics and Control},
  publisher = {Elsevier},
  year = {1997},
  volume = {21},
  number = {8-9},
  pages = {1267--1321}
}
Boyle PP (1977), "Options: A Monte Carlo Approach", Journal of Financial Economics. Vol. 4, pp. 323-338.
BibTeX:
@article{Boyle77,
  author = {Boyle, Phelim P.},
  title = {Options: A Monte Carlo Approach},
  journal = {Journal of Financial Economics},
  year = {1977},
  volume = {4},
  pages = {323-338}
}
Breeden DT and Litzenberger RH (1978), "Prices of State-Contingent Claims Implicit in Option Prices", The Journal of Business. Chicago, Chicago Vol. 51(4), pp. 621-621.
Abstract: The most general framework available for the theory of finance under uncertainty is the time-state preference approach to general equilibrium in an economy. The call-option pricing equation is used to derive the value of a security that returns one dollar if the portfolio is between 2 stated levels. The relation between the future cash flow and the underlying portfolio is not necessarily linear or jointly normal. Not all cash flows can be assessed by arbitrage relationships. Questions arise as to the pricing of underlying assets and streams of cash flows that are not functions of an asset's future value. When the Black-Scholes formula is used correctly to value options on aggregate consumption, the present value of a stream of cash flows can be derived. The use of the Black-Scholes formula is appropriate only when individuals' preferences show constant relative risk aversion in aggregate.
BibTeX:
@article{Breeden1978,
  author = {Breeden, Douglas T and Litzenberger, Robert H},
  title = {Prices of State-Contingent Claims Implicit in Option Prices},
  journal = {The Journal of Business},
  year = {1978},
  volume = {51},
  number = {4},
  pages = {621--621},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/236368508?accountid=11357}
}
Brigo D, Dalessandro A, Neugebauer M and Triki F (2008), "A Stochastic Processes Toolkit for Risk Management", Risk Management. , pp. 1-43.
BibTeX:
@article{brigostochastic,
  author = {Brigo, D. and Dalessandro, A. and Neugebauer, M. and Triki, F.},
  title = {A Stochastic Processes Toolkit for Risk Management},
  journal = {Risk Management},
  year = {2008},
  pages = {1--43}
}
Brigo D and Mercurio F (2006), "Interest rate models: theory and practice: with smile, inflation, and credit" Springer Verlag.
BibTeX:
@book{brigo2006interest,
  author = {Brigo, D. and Mercurio, F.},
  title = {Interest rate models: theory and practice: with smile, inflation, and credit},
  publisher = {Springer Verlag},
  year = {2006}
}
Broadie M and Glasserman P (2004), "A Stochastic Mesh Method for Pricing High-Dimensional American Options", Journal of Computational Finance. Vol. 7(4), pp. 35-72.
BibTeX:
@article{BroadieGlasserman04,
  author = {Broadie, M. and Glasserman, P.},
  title = {A Stochastic Mesh Method for Pricing High-Dimensional American Options},
  journal = {Journal of Computational Finance},
  year = {2004},
  volume = {7},
  number = {4},
  pages = {35-72}
}
Broadie M and Glasserman P (1997), "Pricing American-style Securities using Simulation", Journal of Economic Dynamics and Control. Vol. 21(8-9), pp. 1323-1352. Elsevier.
BibTeX:
@article{broadie1997pricing,
  author = {Broadie, M. and Glasserman, P.},
  title = {Pricing American-style Securities using Simulation},
  journal = {Journal of Economic Dynamics and Control},
  publisher = {Elsevier},
  year = {1997},
  volume = {21},
  number = {8-9},
  pages = {1323--1352}
}
Carriere J (1996), "Valuation of the Early-exercise Price for Options using Simulations and Nonparametric Regression", Insurance: Mathematics and Economics. Vol. 19(1), pp. 19-30. Elsevier.
BibTeX:
@article{Carriere1996valuation,
  author = {Carriere, J.F.},
  title = {Valuation of the Early-exercise Price for Options using Simulations and Nonparametric Regression},
  journal = {Insurance: Mathematics and Economics},
  publisher = {Elsevier},
  year = {1996},
  volume = {19},
  number = {1},
  pages = {19--30}
}
Casassus J, Collin-Dufresne P and Goldstein B (2005), "Unspanned stochastic volatility and fixed income derivatives pricing", Journal of Banking & Finance. Switzerland, Amsterdam Vol. 29(11), pp. 2723-2749. Elsevier Sequoia S.A..
Abstract: We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its long-term mean and variance) which follow a joint Markov (vector) process. Yet, bond prices are exponential affine functions of only two state variables, independent of the current interest rate volatility level. Because this result holds for an arbitrary volatility process, such a process can be calibrated to match fixed income derivative prices. Furthermore, this model can be 'extended' (by relaxing the time-homogeneity) to fit any arbitrary term structure. In its 'HJM' form, this model nests the analogous stochastic equity volatility model of Heston (1993) [Heston, S.L., 1993. A closed form solution for options with stochastic volatility. Review of Financial Studies 6, 327-343]. In particular, if the volatility process is specified to be affine, closed-form solutions for interest rate options obtain. We propose an efficient algorithm to compute these prices. An application using data on caps and floors shows that the model can capture very well the implied Black spot volatility surface, while simultaneously fitting the observed term structure. [PUBLICATION ABSTRACT]
BibTeX:
@article{Casassus2005,
  author = {Casassus, Jaime and Collin-Dufresne, Pierre and Goldstein, Bob},
  title = {Unspanned stochastic volatility and fixed income derivatives pricing},
  journal = {Journal of Banking & Finance},
  publisher = {Elsevier Sequoia S.A.},
  year = {2005},
  volume = {29},
  number = {11},
  pages = {2723--2749},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194883971?accountid=11357}
}
Chan KC, Cheng LTW and Lung PP (2004), "Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options", The Journal of Futures Markets. Hoboken, United States, Hoboken Vol. 24(12), pp. 1165-1194.
Abstract: We use the net buying pressure hypothesis of N. P. B. Bollen and R. Whaley (2004) to examine the implied volatilities, options premiums, and options trading profits at various time-intervals across five different moneyness categories of Hong Kong Hang Seng Index (HSI) options. The results show that the hypothesis can well describe the newly developed Hong Kong index options markets. The abnormal trading profits by selling out-of-the-money puts with delta hedge are statistically and economically significant across all options maturities. The findings are robust with or without outlier adjustment. Moreover, we provide two insights about the hypothesis. First, net buying pressure is attributed to hedging activities. Second, the net buying pressure on calls is much weaker than that on put options. [PUBLICATION ABSTRACT]
BibTeX:
@article{Chan2004,
  author = {Chan, Kam C and Cheng, Louis T W and Lung, Peter P},
  title = {Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options},
  journal = {The Journal of Futures Markets},
  year = {2004},
  volume = {24},
  number = {12},
  pages = {1165--1194},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/211216468?accountid=11357}
}
Charalambous C, Christofides N, Constantinide ED and Martzoukos SH (2007), "Implied non-recombining trees and calibration for the volatility smile", Quantitative Finance. Bristol, United Kingdom, Bristol Vol. 7(4), pp. 459-.
Abstract: In this paper we capture the implied distribution from option market data using a non-recombining (binary) tree, allowing the local volatility to be a function of the underlying asset and of time. The problem under consideration is a non-convex optimization problem with linear constraints. We elaborate on the initial guess for the volatility term structure and use nonlinear constrained optimization to minimize the least squares error function on market prices. The proposed model can accommodate European options with single maturities and, with minor modifications, options with multiple maturities. It can provide a market-consistent tree for option replication with transaction costs (often this requires a non-recombining tree) and can help pricing of exotic and Over The Counter (OTC) options. We test our model using options data for the FTSE 100 index obtained from LIFFE. The results strongly support our modelling approach. [PUBLICATION ABSTRACT]
BibTeX:
@article{Charalambous2007,
  author = {Charalambous, Chris and Christofides, Nicos and Constantinide, Eleni D and Martzoukos, Spiros H},
  title = {Implied non-recombining trees and calibration for the volatility smile},
  journal = {Quantitative Finance},
  year = {2007},
  volume = {7},
  number = {4},
  pages = {459--},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/214482940?accountid=11357}
}
Chen S-N (1982), "An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas", Journal of Financial and Quantitative Analysis. Seattle, United States, Seattle Vol. 17(2), pp. 265-265.
Abstract: Using previous studies of influences on security betas by bear and bull markets, later investigations by Kim and Zumwalt (1979) found that risk premiums are related to the upside and downside portions of returns variation. Investors expect a risk premium for assuming downside risk, and expect to pay a premium for the upside variation of returns. These findings, though they offered an improvement in measuring portfolio risk over the single beta market model, are inconsistent because of multicollinearity and heteroscedasticity problems. By using the time-varying beta approach, the problems of inconsistency can be avoided. With this done, the decomposition of systematic risk into upside and downside responses is appropiate even under conditions of changing betas. Generally, the results show that the down-market beta, where investors require a premium for assuming risk, is a better measure of portfolio risk than the standard single beta.
BibTeX:
@article{Chen1982,
  author = {Chen, Son-Nan},
  title = {An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas},
  journal = {Journal of Financial and Quantitative Analysis},
  year = {1982},
  volume = {17},
  number = {2},
  pages = {265--265},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/211970679?accountid=11357}
}
Christensen J, Diebold F and Rudebusch G (2007), "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models", NBER Working Paper Series. Vol. 13611 NATIONAL BUREAU OF ECONOMIC RESEARCH INC.
BibTeX:
@article{christensen2007affine,
  author = {Christensen, J.H.E. and Diebold, F.X. and Rudebusch, G.D.},
  title = {The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models},
  journal = {NBER Working Paper Series},
  publisher = {NATIONAL BUREAU OF ECONOMIC RESEARCH INC},
  year = {2007},
  volume = {13611}
}
Christoffersen P, Elkamhi R, Feunou B and Jacobs K (2010), "Option Valuation with Conditional Heteroskedasticity and Nonnormality", Review of Financial Studies., May, 2010. Vol. 23(23), pp. 2139-2183.
Abstract: We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martin-gale measure. Our approach allows for general forms of heteroskedasticity in returns, and valuation results for homoskedastic processes can be obtained as a special case. It also allows for conditional non-normal return innovations, which is critically important because heteroskedasticity alone does not suffice to capture the option smirk. We analyze a class of equivalent martingale measures for which the resulting risk-neutral return dynamics are from the same family of distributions as the physical return dynamics. In this case, our framework nests the valuation results obtained by Duan (1995) and Heston and Nandi (2000) by allowing for a time-varying price of risk and non-normal innovations. We provide extensions of these results to more general equivalent martingale measures and to discrete time stochastic volatility models, and we analyze the relation between our results and those obtained for continuous time models.
BibTeX:
@article{PricingKernels2010,
  author = {Christoffersen, Peter and Elkamhi, Redouane and Feunou, Bruno and Jacobs, Kris},
  title = {Option Valuation with Conditional Heteroskedasticity and Nonnormality},
  journal = {Review of Financial Studies},
  year = {2010},
  volume = {23},
  number = {23},
  pages = {2139-2183},
  url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1447325},
  doi = {10.1093/rfs/hhp078}
}
Christoffersen P and Jacobs K (2004), "Which GARCH model for option valuation?", Management Science. , pp. 1204-1221. JSTOR.
BibTeX:
@article{christoffersen2004garch,
  author = {Christoffersen, P. and Jacobs, K.},
  title = {Which GARCH model for option valuation?},
  journal = {Management Science},
  publisher = {JSTOR},
  year = {2004},
  pages = {1204--1221}
}
Christoffersen P, Jacobs K and Heston S (2010), "Option Anomalies and the Pricing Kernel"
BibTeX:
@article{christoffersen-option,
  author = {Christoffersen, P.F. and Jacobs, K. and Heston, S.L.},
  title = {Option Anomalies and the Pricing Kernel},
  year = {2010},
  note = {, Working paper}
}
Christoffersen P, Jacobs K and Mimouni K (2005), "Comparing Discrete-Time and Continuous-Time Option Valuation Models" Faculty of Management, McGill University.
BibTeX:
@unpublished{christoffersen2005comparing,
  author = {Christoffersen, P. and Jacobs, K. and Mimouni, K.},
  title = {Comparing Discrete-Time and Continuous-Time Option Valuation Models},
  publisher = {Faculty of Management, McGill University},
  year = {2005}
}
Clément E, Lamberton D and Protter P (2002), "An analysis of a Least Squares Regression Method for American Option Pricing", Finance and Stochastics. Vol. 6(4), pp. 449-471. Springer.
BibTeX:
@article{clement2002analysis,
  author = {Clément, E. and Lamberton, D. and Protter, P.},
  title = {An analysis of a Least Squares Regression Method for American Option Pricing},
  journal = {Finance and Stochastics},
  publisher = {Springer},
  year = {2002},
  volume = {6},
  number = {4},
  pages = {449--471}
}
Collin-Dufresne P and Goldstein R (2002), "Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility", The Journal of Finance. United States, Cambridge Vol. 57(4), pp. 1685-1730. Blackwell Publishers Inc..
Abstract: Most term structure models assume bond markets are complete, that is, that all fixed income derivatives can be perfectly replicated using solely bonds. However, this study finds that, in practice, swap rates have limited explanatory power for returns on at-the-money straddles - portfolios mainly exposed to volatility risk. This empirical feature is termed "unspanned stochastic volatility" (USV). While USV can be captured within an HJM framework, it is demonstrated that bivariate models cannot exhibit USV. Necessary and sufficient conditions for trivariate Markov affine systems to exhibit USV are determined. For such USV models, bonds alone may not be sufficient to identify all parameters. Rather, derivatives are needed.
BibTeX:
@article{Collin-Dufresne2002,
  author = {Collin-Dufresne, Pierre and Goldstein, Robert},
  title = {Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility},
  journal = {The Journal of Finance},
  publisher = {Blackwell Publishers Inc.},
  year = {2002},
  volume = {57},
  number = {4},
  pages = {1685--1730}
}
Collin-Dufresne P, Goldstein R and Jones C (2009), "Can interest rate volatility be extracted from the cross section of bond yields?", Journal of Financial Economics. Switzerland, Amsterdam Vol. 94(1), pp. 47-. Elsevier Sequoia S.A..
Abstract: Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine three-factor model results in a variance state variable that, while instrumental in explaining the shape of the yield curve, is essentially unrelated to GARCH estimates of the quadratic variation of the spot rate process or to implied variances from options. We then investigate four-factor affine models. Of the models tested, only the model that exhibits 'unspanned stochastic volatility' (USV) generates both realistic short rate volatility estimates and a good cross-sectional fit. Our findings suggest that short rate volatility cannot be extracted from the cross-section of bond prices. In particular, short rate volatility and convexity are only weakly correlated. [PUBLICATION ABSTRACT]
BibTeX:
@article{Collin-Dufresne2009,
  author = {Collin-Dufresne, Pierre and Goldstein, Robert and Jones, Christopher},
  title = {Can interest rate volatility be extracted from the cross section of bond yields?},
  journal = {Journal of Financial Economics},
  publisher = {Elsevier Sequoia S.A.},
  year = {2009},
  volume = {94},
  number = {1},
  pages = {47--}
}
Connor G and Korajczyk R (1993), "A test for the number of factors in an approximate factor model", Journal of Finance. , pp. 1263-1291. JSTOR.
BibTeX:
@article{connor1993test,
  author = {Connor, G. and Korajczyk, R.A.},
  title = {A test for the number of factors in an approximate factor model},
  journal = {Journal of Finance},
  publisher = {JSTOR},
  year = {1993},
  pages = {1263--1291}
}
Cont R and Da Fonseca J (2002), "Dynamics of implied volatility surfaces", Quantitative finance. Vol. 2(1), pp. 45-60. Taylor & Francis.
BibTeX:
@article{cont2002dynamics,
  author = {Cont, R. and Da Fonseca, J.},
  title = {Dynamics of implied volatility surfaces},
  journal = {Quantitative finance},
  publisher = {Taylor & Francis},
  year = {2002},
  volume = {2},
  number = {1},
  pages = {45--60}
}
Dai Q and Singleton K (2002), "Expectation puzzles, time-varying risk premia, and affine models of the term structure", Journal of Financial Economics. Vol. 63(3), pp. 415-441. Elsevier.
BibTeX:
@article{dai2002expectation,
  author = {Dai, Q. and Singleton, K.J.},
  title = {Expectation puzzles, time-varying risk premia, and affine models of the term structure},
  journal = {Journal of Financial Economics},
  publisher = {Elsevier},
  year = {2002},
  volume = {63},
  number = {3},
  pages = {415--441}
}
Deuskar P, Gupta A and Subrahmanyam M (2008), "The economic determinants of interest rate option smiles", Journal of Banking & Finance. Vol. 32(5), pp. 714-728. Elsevier.
BibTeX:
@article{Deuskar2008,
  author = {Deuskar, P. and Gupta, A. and Subrahmanyam, M.G.},
  title = {The economic determinants of interest rate option smiles},
  journal = {Journal of Banking & Finance},
  publisher = {Elsevier},
  year = {2008},
  volume = {32},
  number = {5},
  pages = {714--728}
}
Driessen J, Klaassen P and Melenberg B (2009), "The performance of multi-factor term structure models for pricing and hedging caps and swaptions", Journal of Financial and Quantitative Analysis. Vol. 38(03), pp. 635-672. Cambridge Univ Press.
BibTeX:
@article{Driessen2009,
  author = {Driessen, J. and Klaassen, P. and Melenberg, B.},
  title = {The performance of multi-factor term structure models for pricing and hedging caps and swaptions},
  journal = {Journal of Financial and Quantitative Analysis},
  publisher = {Cambridge Univ Press},
  year = {2009},
  volume = {38},
  number = {03},
  pages = {635--672}
}
Duan J (1996), "A Unified Theory of Option Pricing Under Stochastic Volatility: From GARCH to Diffusion" Citeseer.
BibTeX:
@unpublished{duan1996unified,
  author = {Duan, J.C.},
  title = {A Unified Theory of Option Pricing Under Stochastic Volatility: From GARCH to Diffusion},
  publisher = {Citeseer},
  year = {1996}
}
Duan J-C (1997), "Augmented GARCH(p,q) process and its diffusion limit", Journal of Econometrics. Amsterdam, Switzerland, Amsterdam Vol. 79(1), pp. 97-127.
Abstract: A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the augmented GARCH process, is proposed. The strict stationarity of the augmented GARCH process is characterized and this process is shown to contain many existing parametric GARCH models. The augmented GARCH process can serve as a general alternative for Lagrange Multiplier test of many existing GARCH specifications. The diffusion limit of the augmented GARCH process is shown to contain many bivariate diffusion processes that are commonly used for modeling stochastic volatility in the finance literature. This convergence result generalizes that of Nelson (1990) to cover a substantially larger class of GARCH (1,1) models and also extends to the GARCH (p,q) specification. The augmented GARCH process can be used as a direct approximation to the stochastic volatility models, or as the score generator in the efficient method of moments estimation of these models.
BibTeX:
@article{Duan1997,
  author = {Duan, Jin-Chuan},
  title = {Augmented GARCH(p,q) process and its diffusion limit},
  journal = {Journal of Econometrics},
  year = {1997},
  volume = {79},
  number = {1},
  pages = {97--127},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/196659596?accountid=11357}
}
Duan J-C (1995), "The Garch option pricing model", Mathematical Finance. Oxford, United Kingdom, Oxford Vol. 5(1), pp. 13-13.
Abstract: An option pricing model and its corresponding delta formula are developed in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. The development utilizes the locally risk neutral valuation relationship (LRNVR). The LRNVR is shown to hold under certain combinations of preference and distribution assumptions. The GARCH option pricing model is capable of reflecting the changes in the conditional volatility of the underlying asset in a parsimonious manner. Numerical analyses suggest that the GARCH model may be able to explain some well-documented systematic biases associated with the Black-Scholes (1973) model.
BibTeX:
@article{Duan1995,
  author = {Duan, Jin-Chuan},
  title = {The Garch option pricing model},
  journal = {Mathematical Finance},
  year = {1995},
  volume = {5},
  number = {1},
  pages = {13--13},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/230059612?accountid=11357}
}
Duffie D (1996), "Dynamic Asset Pricing Theory" Princeton, New Jersey Princeton University Press.
BibTeX:
@book{Duffie96,
  author = {Duffie, D.},
  title = {Dynamic Asset Pricing Theory},
  publisher = {Princeton University Press},
  year = {1996}
}
Dufour J and Jouini T (2008), "Simplified order selection and efficient linear estimation for VARMA models with a macroeconomic application" Université de Montréal.
BibTeX:
@unpublished{dufour2008simplified,
  author = {Dufour, J.M. and Jouini, T.},
  title = {Simplified order selection and efficient linear estimation for VARMA models with a macroeconomic application},
  publisher = {Université de Montréal},
  year = {2008},
  note = {, Working paper}
}
Dufour J and Jouini T (2005), "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form", Statistical modeling and analysis for complex data problems. , pp. 209-240. Springer.
BibTeX:
@article{dufour2005asymptotic,
  author = {Dufour, J.M. and Jouini, T.},
  title = {Asymptotic distribution of a simple linear estimator for VARMA models in echelon form},
  journal = {Statistical modeling and analysis for complex data problems},
  publisher = {Springer},
  year = {2005},
  pages = {209--240}
}
Dufour J and Pelletier D (2008), "Practical methods for modelling weak VARMA processes: identification, estimation and specification with a macroeconomic application"
BibTeX:
@unpublished{dufour2008practical,
  author = {Dufour, J.M. and Pelletier, D.},
  title = {Practical methods for modelling weak VARMA processes: identification, estimation and specification with a macroeconomic application},
  year = {2008},
  note = {, Working paper}
}
Elmroth E and Gustavson F (2001), "High-performance library software for QR factorization", Applied Parallel Computing. New Paradigms for HPC in Industry and Academia. , pp. 53-63. Springer.
BibTeX:
@article{elmroth2001high,
  author = {Elmroth, E. and Gustavson, F.},
  title = {High-performance library software for QR factorization},
  journal = {Applied Parallel Computing. New Paradigms for HPC in Industry and Academia},
  publisher = {Springer},
  year = {2001},
  pages = {53--63}
}
Elmroth E and Gustavson F (2000), "Applying recursion to serial and parallel QR factorization leads to better performance", IBM Journal of Research and Development. Vol. 44(4), pp. 605-624. IBM.
BibTeX:
@article{elmroth2000applying,
  author = {Elmroth, E. and Gustavson, F.},
  title = {Applying recursion to serial and parallel QR factorization leads to better performance},
  journal = {IBM Journal of Research and Development},
  publisher = {IBM},
  year = {2000},
  volume = {44},
  number = {4},
  pages = {605--624}
}
Elmroth E and Gustavson F (1998), "New serial and parallel recursive QR factorization algorithms for SMP systems", Applied Parallel Computing Large Scale Scientific and Industrial Problems. , pp. 120-128. Springer.
BibTeX:
@article{elmroth1998new,
  author = {Elmroth, E. and Gustavson, F.},
  title = {New serial and parallel recursive QR factorization algorithms for SMP systems},
  journal = {Applied Parallel Computing Large Scale Scientific and Industrial Problems},
  publisher = {Springer},
  year = {1998},
  pages = {120--128}
}
Engle RF (1982), "AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED KINGDOM INFLATION", Econometrica (pre-1986). Evanston, United Kingdom, Evanston Vol. 50(4), pp. 987-987.
Abstract: Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autore-gressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances. For such processes, the recent past gives information about the one-period forecast variance.A regression model is then introduced with disturbances following an ARCH process. Maximum likelihood estimators are described and a simple scoring iteration formulated. Ordinary least squares maintains its optimality properties in this set-up, but maximum likelihood is more efficient. The relative efficiency is calculated and can be infinite. To test whether the disturbances follow an ARCH process, the Lagrange multiplier procedure is employed. The test is based simply on the autocorrelation of the squared OLS residuals.This model is used to estimate the means and variances of inflation in the U.K. The ARCH effect is found to be significant and the estimated variances increase substantially during the chaotic seventies.
BibTeX:
@article{Engle1982,
  author = {Engle, Robert F},
  title = {AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED KINGDOM INFLATION},
  journal = {Econometrica (pre-1986)},
  year = {1982},
  volume = {50},
  number = {4},
  pages = {987--987},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/214655190?accountid=11357}
}
Engle RF and Ng VK (1993), "Measuring and testing the impact of news on volatility", The Journal of Finance. Cambridge, United States, Cambridge Vol. 48(5), pp. 1749-1749.
Abstract: The news impact curve is recommended as a standard measure of how news is incorporated into volatility estimates. In order to better estimate and match news impact curves to the data, several new candidates for modeling time-varying volatility are introduced and contrasted. Furthermore, some new diagnostic tests are presented that are designed to determine whether the volatiltiy estimates adequately represent the data. Finally, a nonparametric model is suggested that allows the data to determine the news impact directly. These models are fitted with daily Japanese stock returns from 1980 to 1988. All the models find that negative shocks introduce more volatility than positve shocks, with this effect particularly apparent for the largest stocks. The diagnostic tests, however, indicate that in many cases the modeled asymmetry is not adequate. The best model is one proposed by Glosten, Jagannathan, and Runkle (1989). The EGARCH also can capture most of the asymmetry; however, there is evidence that the variability of the conditional variance implied by the EGARCH is too high.
BibTeX:
@article{Engle1993,
  author = {Engle, Robert F and Ng, Victor K},
  title = {Measuring and testing the impact of news on volatility},
  journal = {The Journal of Finance},
  year = {1993},
  volume = {48},
  number = {5},
  pages = {1749--1749},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194707752?accountid=11357}
}
EPSTEIN LG and ZIN SE (1989), "SUBSTITUTION, RISK AVERSION, AND THE TEMPORAL BEHAVIOR OF CONSUMPTION AND ASSET RETURNS: A THEORETICAL FRAMEWORK", Econometrica (1986-1998). Evanston, United Kingdom, Evanston Vol. 57(4), pp. 937-.
Abstract: This paper develops a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries. An important feature of these general preferences is that they permit risk attitudes to be disentangled from the degree of intertemporal substitutability. Moreover, in an infinite horizon, representative agent context these prefer-ence specifications lead to a model of asset returns in which appropriate versions of both the atemporal CAPM and the intertemporal consumption-CAPM are nested as special cases. In our general model, systematic risk of an asset is determined by covariance with both the return to the market portfolio and consumption growth, while in each of the existing models only one of these factors plays a role. This result is achieved despite the homotheticity of preferences and the separabiliry of consumption and portfolio decisions. Two other auxiliary analytical contributions which are of independent interest are the proofs of (i) the existence of recursive intertemporal utility functions, and (ii) the existence of optima to corresponding optimization problems. In proving (i), it is necessary to define a suitable domain for utility functions. This is achieved by extending the formulation of the space of temporal lotteries in Kreps and Porteus (1978) to an infinite horizon framework.A final contribution is the integration into a temporal setting of a broad class of atemporal non-expected utility theories. For homogeneous members of the class due to Chew (1985) and Dekel (1986), the corresponding intertemporal asset pricing model is derived.
BibTeX:
@article{EPSTEIN1989,
  author = {EPSTEIN, LARRY G and ZIN, STANLEY E},
  title = {SUBSTITUTION, RISK AVERSION, AND THE TEMPORAL BEHAVIOR OF CONSUMPTION AND ASSET RETURNS: A THEORETICAL FRAMEWORK},
  journal = {Econometrica (1986-1998)},
  year = {1989},
  volume = {57},
  number = {4},
  pages = {937--},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/214862321?accountid=11357}
}
Evans MDD (1994), "Expected returns, time-varying risk and risk premia", The Journal of Finance. Cambridge, United States, Cambridge Vol. 49(2), pp. 655-655.
Abstract: A new empirical model for intertemporal capital asset pricing is presented that allows both time-varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is used to examine the behavior of monthly returns for 5 portfolios of common stocks, 2 Treasury bills, and a portfolio of long-term Treasury bonds from January 1964 through December 1990. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when the stock market is the single factor. Although the changes in the covariance of returns induce variations in the betas, most of the predictable movements in returns are attributable to changes in the risk premia.
BibTeX:
@article{Evans1994,
  author = {Evans, Martin D D},
  title = {Expected returns, time-varying risk and risk premia},
  journal = {The Journal of Finance},
  year = {1994},
  volume = {49},
  number = {2},
  pages = {655--655},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194712236?accountid=11357}
}
Fan R, Gupta A and Ritchken P (2003), "Hedging in the possible presence of unspanned stochastic volatility: Evidence from swaption markets", The Journal of Finance. United States, Cambridge Vol. 58(5), pp. 2219-2248. Blackwell Publishers Inc..
Abstract: This paper examines whether higher order multifactor models, with state variables linked solely to underlying LIBOR-swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic volatility are necessary. Our research shows that swaptions and even swaption straddles can be well hedged with LIBOR bonds alone. We examine the potential benefits of looking outside the LIBOR market for factors that might impact swaption prices without impacting swap rates, and find them to be minor, indicating that the swaption market is well integrated with the LIBOR-swap market. [PUBLICATION ABSTRACT]
BibTeX:
@article{Fan2003,
  author = {Fan, Rong and Gupta, Anurag and Ritchken, Peter},
  title = {Hedging in the possible presence of unspanned stochastic volatility: Evidence from swaption markets},
  journal = {The Journal of Finance},
  publisher = {Blackwell Publishers Inc.},
  year = {2003},
  volume = {58},
  number = {5},
  pages = {2219--2248},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194720010?accountid=11357}
}
Feinerman RP and Newman DJ (1973), "Polynomial Approximation" Baltimore, MD. Williams and Wilkins.
BibTeX:
@book{FeinermanNewman73,
  author = {Feinerman, R. P. and Newman, D. J.},
  title = {Polynomial Approximation},
  publisher = {Williams and Wilkins},
  year = {1973}
}
Fengler MR (2009), "Arbitrage-free smoothing of the implied volatility surface", Quantitative Finance. United Kingdom, Bristol Vol. 9(4), pp. 417-. Taylor & Francis Ltd..
Abstract: The pricing accuracy and pricing performance of local volatility models depends on the absence of arbitrage in the implied volatility surface. An input implied volatility surface that is not arbitrage-free can result in negative transition probabilities and consequently mispricings and false greeks. We propose an approach for smoothing the implied volatility smile in an arbitrage-free way. The method is simple to implement, computationally cheap and builds on the well-founded theory of natural smoothing splines under suitable shape constraints. [PUBLICATION ABSTRACT]
BibTeX:
@article{Fengler2009,
  author = {Fengler, Matthias R},
  title = {Arbitrage-free smoothing of the implied volatility surface},
  journal = {Quantitative Finance},
  publisher = {Taylor & Francis Ltd.},
  year = {2009},
  volume = {9},
  number = {4},
  pages = {417--},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/214482654?accountid=11357}
}
Gamba A (2002), "Real Options Valuation: A Monte Carlo Approach", Mimeo, University of Verona, Italy.
BibTeX:
@article{Gamba02,
  author = {Gamba, Andrea},
  title = {Real Options Valuation: A Monte Carlo Approach},
  journal = {Mimeo, University of Verona, Italy},
  year = {2002}
}
Garcıa D (2003), "Convergence and Biases of Monte Carlo Estimates of American Option Prices using a Parametric Exercise Rule", Journal of Economic Dynamics and Control. Vol. 27(10), pp. 1855-1879. Elsevier.
BibTeX:
@article{garcia2003convergence,
  author = {Garcıa, D.},
  title = {Convergence and Biases of Monte Carlo Estimates of American Option Prices using a Parametric Exercise Rule},
  journal = {Journal of Economic Dynamics and Control},
  publisher = {Elsevier},
  year = {2003},
  volume = {27},
  number = {10},
  pages = {1855--1879}
}
Gobet E, Lemor J and Warin X (2005), "A Regression-Based Monte Carlo Method to Solve Backward Stochastic Differential Equations", The Annals of Applied Probability. Vol. 15(3), pp. 2172-2202. Institute of Mathematical Statistics.
Abstract: We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. A full convergence analysis is derived. Numerical experiments about finance are included, in particular, concerning option pricing with differential interest rates.
BibTeX:
@article{GoberLemorWarin2005,
  author = {Gobet, E.l and Lemor, J.P. and Warin, X.},
  title = {A Regression-Based Monte Carlo Method to Solve Backward Stochastic Differential Equations},
  journal = {The Annals of Applied Probability},
  publisher = {Institute of Mathematical Statistics},
  year = {2005},
  volume = {15},
  number = {3},
  pages = {2172--2202}
}
Guo H (2006), "Time-varying risk premia and the cross section of stock returns", Journal of Banking & Finance. Vol. 30(7), pp. 2087 - 2107.
Abstract: This paper develops and estimates a heteroskedastic variant of Campbell’s [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487–512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. In contrast with the early authors, we find that Campbell’s ICAPM performs significantly better than the CAPM. That is, the additional factors account for a substantial portion of the two CAPM-related anomalies, namely, the value premium and the momentum profit.
BibTeX:
@article{Guo2006,
  author = {Hui Guo},
  title = {Time-varying risk premia and the cross section of stock returns},
  journal = {Journal of Banking & Finance},
  year = {2006},
  volume = {30},
  number = {7},
  pages = {2087 - 2107},
  note = {Special Section: Banking and Finance in an Integrating Europe},
  url = {http://www.sciencedirect.com/science/article/pii/S0378426605001330},
  doi = {10.1016/j.jbankfin.2005.05.022}
}
Gupta A and Subrahmanyam M (2005), "Pricing and hedging interest rate options: Evidence from cap-floor markets", Journal of Banking & Finance. Vol. 29(3), pp. 701-733. Elsevier.
BibTeX:
@article{Gupta2005,
  author = {Gupta, A. and Subrahmanyam, M.G.},
  title = {Pricing and hedging interest rate options: Evidence from cap-floor markets},
  journal = {Journal of Banking & Finance},
  publisher = {Elsevier},
  year = {2005},
  volume = {29},
  number = {3},
  pages = {701--733}
}
Hagan P (2006), "LIBOR market model with SABR style stochastic volatility"
BibTeX:
@unpublished{hagan2006libor,
  author = {Hagan, P.},
  title = {LIBOR market model with SABR style stochastic volatility},
  year = {2006},
  note = {, Working paper}
}
Hagan P and Konikov M (2004), "Interest Rate Volatility Cube: Construction And Use"
BibTeX:
@techreport{HaganKonikov2004,
  author = {Hagan, P. and Konikov, M.},
  title = {Interest Rate Volatility Cube: Construction And Use},
  year = {2004}
}
Hamilton J (1994), "Time series analysis" Vol. 2 Cambridge Univ Press.
BibTeX:
@book{hamilton1994time,
  author = {Hamilton, J.D.},
  title = {Time series analysis},
  publisher = {Cambridge Univ Press},
  year = {1994},
  volume = {2}
}
Hardle W (1990), "Applied Nonparametric Regression" Cambridge University Press Cambridge.
BibTeX:
@book{Hardle1990applied,
  author = {Hardle, W.},
  title = {Applied Nonparametric Regression},
  publisher = {Cambridge University Press Cambridge},
  year = {1990}
}
Harrison J and Kreps D (1979), "Martingales and arbitrage in multiperiod securities markets", Journal of economic theory. Vol. 20(3), pp. 381-408.
BibTeX:
@article{harrison1979martingales,
  author = {Harrison, J.M. and Kreps, D.M.},
  title = {Martingales and arbitrage in multiperiod securities markets},
  journal = {Journal of economic theory},
  year = {1979},
  volume = {20},
  number = {3},
  pages = {381--408}
}
Harrison J and Pliska S (1981), "Martingales and stochastic integrals in the theory of continuous trading. Stoch", In Proc. Appl. Vol. 11, pp. 215-260.
BibTeX:
@conference{harrison1981martingales,
  author = {Harrison, JM and Pliska, SR},
  title = {Martingales and stochastic integrals in the theory of continuous trading. Stoch},
  booktitle = {Proc. Appl},
  year = {1981},
  volume = {11},
  pages = {215--260}
}
Harrison JM and Pliska SR (1981), "Martingales and stochastic integrals in the theory of continuous trading", Stochastic Processes and their Applications. Vol. 11(3), pp. 215 - 260.
Abstract: This paper develops a general stochastic model of a frictionless security market with continuous trading. The vector price process is given by a semimartingale of a certain class, and the general stochastic integral is used to represent capital gains. Within the framework of this model, we discuss the modern theory of contingent claim valuation, including the celebrated option pricing formula of Black and Scholes. It is shown that the security market is complete if and only if its vector price process has a certain martingale representation property. A multidimensional generalization of the Black-Scholes model is examined in some detail, and some other examples are discussed briefly.
BibTeX:
@article{Harrison1981215,
  author = {J. Michael Harrison and Stanley R. Pliska},
  title = {Martingales and stochastic integrals in the theory of continuous trading},
  journal = {Stochastic Processes and their Applications},
  year = {1981},
  volume = {11},
  number = {3},
  pages = {215 - 260},
  url = {http://www.sciencedirect.com/science/article/B6V1B-45FCS8R-X/2/704cb95b1dd0bed7e644304046fe4aab},
  doi = {DOI: 10.1016/0304-4149(81)90026-0}
}
Heath D, Jarrow R and Morton A (1992), "BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION", Econometrica (1986-1998). Evanston, United Kingdom, Evanston Vol. 60(1), pp. 77-.
Abstract: This paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates. The methodology, based on the equivalent martingale measure technique, takes as given an initial forward rate curve and a family of potential stochastic processes for its subsequent movements. A no arbitrage condition restricts this family of processes yielding valuation formulae for interest rate sensitive contingent claims which do not explicitly depend on the market prices of risk. Examples are provided to illustrate the key results.
BibTeX:
@article{Heath1992,
  author = {Heath, David and Jarrow, Robert and Morton, Andrew},
  title = {BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION},
  journal = {Econometrica (1986-1998)},
  year = {1992},
  volume = {60},
  number = {1},
  pages = {77--},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/214864733?accountid=11357}
}
Heidari M and Wu L (2003), "Are interest rate derivatives spanned by the term structure of interest rates?", The Journal of Fixed Income. United Kingdom, New York Vol. 13(1), pp. 75-75-86. Euromoney Trading Limited.
Abstract: This is an investigation of whether the same finite-dimensional system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). The options market is found to exhibit factors seemingly independent of the underlying yield curve. While three common factors are adequate to capture the systematic movement of the yield curve, three additional factors are needed to capture the movement of the implied volatility surface. Simulation analysis confirms the robustness of these findings. [PUBLICATION ABSTRACT]
BibTeX:
@article{Heidari2003,
  author = {Heidari, Massoud and Wu, Liuren},
  title = {Are interest rate derivatives spanned by the term structure of interest rates?},
  journal = {The Journal of Fixed Income},
  publisher = {Euromoney Trading Limited},
  year = {2003},
  volume = {13},
  number = {1},
  pages = {75--75-86},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/217539096?accountid=11357}
}
Heston SL (1993), "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options", The Review of Financial Studies (1986-1998). New York, United Kingdom, New York Vol. 6(2), pp. 327-327.
Abstract: I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond options and foreign currency options. Simulations show that correlation between volatility and the spot asset's price is important for explaining return skewness and strike-price biases in the Black-- Scholes (1973) model. The solution technique is based on characteristic functions and can be applied to other problems.
BibTeX:
@article{Heston1993,
  author = {Heston, Steven L},
  title = {A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options},
  journal = {The Review of Financial Studies (1986-1998)},
  year = {1993},
  volume = {6},
  number = {2},
  pages = {327--327},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/207668844?accountid=11357}
}
Heston SL and Nandi S (2000), "A closed-form GARCH option valuation model", The Review of Financial Studies. New York, United Kingdom, New York Vol. 13(3), pp. 585-625.
Abstract: This paper develops a closed-form option valuation formula for a spot asset whose variance follows a GARCH(p, q) process that can be correlated with the returns of the spot asset. It provides the first readily computed option formula for a random volatility model that can be estimated and implemented solely on the basis of observables. The single lag version of this model contains Heston's (1993) stochastic volatility model as a continuous-time limit. Empirical analysis on S&P500 index options shows that the out-of-sample valuation errors from the single lag version of the GARCH model are substantially lower than the ad hoc Black-Scholes model of Dumas, Fleming and Whaley (1998) that uses a separate implied volatility for each option to fit to the smirk/smile in implied volatilities. The GARCH model remains superior even though the parameters of the GARCH model are held constant and volatility is filtered from the history of asset prices while the ad hoc Black-Scholes model is updated every period. The improvement is largely due to the ability of the GARCH model to simultaneously capture the correlation of volatility, with spot returns and the path dependence in volatility. [PUBLICATION ABSTRACT]
BibTeX:
@article{Heston2000,
  author = {Heston, S L and Nandi, S},
  title = {A closed-form GARCH option valuation model},
  journal = {The Review of Financial Studies},
  year = {2000},
  volume = {13},
  number = {3},
  pages = {585--625},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/230033417?accountid=11357}
}
Ibanez A and Zapatero F (2004), "Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier", The Journal of Financial and Quantitative Analysis. Vol. 39(2), pp. 253-275. University of Washington School of Business Administration.
BibTeX:
@article{ibanez2004monte,
  author = {Ibanez, A. and Zapatero, F.},
  title = {Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier},
  journal = {The Journal of Financial and Quantitative Analysis},
  publisher = {University of Washington School of Business Administration},
  year = {2004},
  volume = {39},
  number = {2},
  pages = {253--275}
}
Jackwerth JC (2000), "Recovering Risk Aversion from Option Prices and Realized Returns", The Review of Financial Studies. Vol. 13(2), pp. 433-451. Oxford University Press. Sponsor: The Society for Financial Studies. .
Abstract: A relationship exists between aggregate risk-neutral and subjective probability distributions and risk aversion functions. We empirically derive risk aversion functions implied by option prices and realized returns on the S&P500 index simultaneously. These risk aversion functions dramatically change shapes around the 1987 crash: Precrash, they are positive and decreasing in wealth and largely consistent with standard assumptions made in economic theory. Postcrash, they are partially negative and partially increasing and irreconcilable with those assumptions. Mispricing in the option market is the most likely cause. Simulated trading strategies exploiting this mispricing show excess returns, even after accounting for the possibility of further crashes, transaction costs, and hedges against the downside risk.
BibTeX:
@article{Jackwerth2000,
  author = {Jackwerth, Jens Carsten},
  title = {Recovering Risk Aversion from Option Prices and Realized Returns},
  journal = {The Review of Financial Studies},
  publisher = {Oxford University Press. Sponsor: The Society for Financial Studies. },
  year = {2000},
  volume = {13},
  number = {2},
  pages = {433--451},
  url = {http://www.jstor.org/stable/2646032}
}
Johannes M, Polson N and Stroud J (2009), "Optimal filtering of jump diffusions: Extracting latent states from asset prices", Review of Financial Studies. Soc Financial Studies.
BibTeX:
@article{johannes2009optimal,
  author = {Johannes, M.S. and Polson, N.G. and Stroud, J.R.},
  title = {Optimal filtering of jump diffusions: Extracting latent states from asset prices},
  journal = {Review of Financial Studies},
  publisher = {Soc Financial Studies},
  year = {2009}
}
Juneja S and Kalra H (2009), "Variance Reduction Techniques for Pricing American Options Using Function Approximations", Journal of Computational Finance. Vol. 12(3), pp. 79-102.
BibTeX:
@article{JunejaKalra09,
  author = {Juneja, S. and Kalra, H.},
  title = {Variance Reduction Techniques for Pricing American Options Using Function Approximations},
  journal = {Journal of Computational Finance},
  year = {2009},
  volume = {12},
  number = {3},
  pages = {79-102}
}
Kan KF, Reesor RM, Whitehead T and Davison M (2009), "Correcting the Bias in Monte Carlo Estimators of American-style Option Values", In Monte Carlo and Quasi-Monte Carlo Methods 2008. , pp. 439-454. Springer-Verlag.
BibTeX:
@inproceedings{KanReeWhiDav2009biasreduction,
  author = {Kan, K.J. Felix and Reesor, R. Mark and Whitehead, Tyson and Davison, Matt},
  editor = {L'Ecuyer, P. and Owen, A.B.},
  title = {Correcting the Bias in Monte Carlo Estimators of American-style Option Values},
  booktitle = {Monte Carlo and Quasi-Monte Carlo Methods 2008},
  publisher = {Springer-Verlag},
  year = {2009},
  pages = {439-454}
}
Karatzas I (1988), "On the Pricing of American Options", Applied Mathematics and Optimization. Vol. 17(1), pp. 37-60. Springer.
BibTeX:
@article{karatzas1988pricing,
  author = {Karatzas, I.},
  title = {On the Pricing of American Options},
  journal = {Applied Mathematics and Optimization},
  publisher = {Springer},
  year = {1988},
  volume = {17},
  number = {1},
  pages = {37--60}
}
Kiefer J (1982), "Optimum Rates for Non-parametric Density and Regression Estimates under Order Restrictions", Statistics and Probability: Essays in Honor of CR Rao. , pp. 419-428.
BibTeX:
@article{kiefer1982optimum,
  author = {Kiefer, J.},
  title = {Optimum Rates for Non-parametric Density and Regression Estimates under Order Restrictions},
  journal = {Statistics and Probability: Essays in Honor of CR Rao},
  year = {1982},
  pages = {419--428}
}
Lütkepohl H (2005), "New introduction to multiple time series analysis" Cambridge Univ Press.
BibTeX:
@book{lutkepohl2005new,
  author = {Lütkepohl, H.},
  title = {New introduction to multiple time series analysis},
  publisher = {Cambridge Univ Press},
  year = {2005}
}
León A and Vaello-Sebastià A (2009), "American GARCH Employee Stock Option Valuation", Journal of Banking and Finance. Vol. 33, pp. 1129-1143.
BibTeX:
@article{LeonVaelloSebastia09,
  author = {León, Angel and Antonio Vaello-Sebastià},
  title = {American GARCH Employee Stock Option Valuation},
  journal = {Journal of Banking and Finance},
  year = {2009},
  volume = {33},
  pages = {1129-1143}
}
Lemieux C and La J (2005), "A Study of Variance Reduction Techniques for American Option Pricing", Proceedings of the 2005 Winter Simulation Conference. , pp. 1884-1891.
BibTeX:
@article{LemieuxLa05,
  author = {Lemieux, C. and La, J.},
  title = {A Study of Variance Reduction Techniques for American Option Pricing},
  journal = {Proceedings of the 2005 Winter Simulation Conference},
  year = {2005},
  pages = {1884-1891}
}
Li G (2007), "Time-varying risk aversion and asset prices", Journal of Banking & Finance. Amsterdam, Switzerland, Amsterdam Vol. 31(1), pp. 243-243.
Abstract: This paper uses a variant of the consumption-based representative agent model in Campbell and Cochrane (Campbell, J.Y., Cochrane, J.H., 1999. By force of habit: Consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205-251) to study how investors' time-varying risk aversion affects asset prices. First, we show that a countercyclical variation of risk aversion drives a procyclical conditional risk premium. Second, we show that with a small value for the volatility of the log surplus consumption ratio, a large value of risk aversion may not determine whether the equity premium and the risk-free rate puzzles can be resolved or not. Third, we show that countercyclical risk aversion may not help explain the predictability of long-horizon stock returns, the univariate mean-reversion of stock prices and the "leverage effect" in return volatility. [PUBLICATION ABSTRACT]
BibTeX:
@article{Li2007,
  author = {Li, George},
  title = {Time-varying risk aversion and asset prices},
  journal = {Journal of Banking & Finance},
  year = {2007},
  volume = {31},
  number = {1},
  pages = {243--243},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194911353?accountid=11357}
}
Li H and Zhao F (2009), "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices.", Review of Financial Studies. Vol. 22(11), pp. 4335 - 4376.
Abstract: Based on a multivariate extension of the constrained locally polynomial estimator of Ait-Sahalia and Duarte (2003), we provide one of the first nonparametric estimates of probability densities of LIBOR rates under forward martingale measures and state-price densities (SPDs) implicit in interest rate cap prices. The forward densities and SPDs depend significantly on the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward densities. The SPDs exhibit a pronounced U-shape as a function of future LIBOR rates, suggesting that the state prices are high at both extremely low and high interest rates, which tend to be associated with recessions and periods of high inflation, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors could be partly driven by activities in the mortgage markets. [ABSTRACT FROM PUBLISHER]
BibTeX:
@article{lizhao2009,
  author = {Li, Haitao and Zhao, Feng},
  title = {Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices.},
  journal = {Review of Financial Studies},
  year = {2009},
  volume = {22},
  number = {11},
  pages = {4335 - 4376}
}
Li H and Zhao F (2006), "Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives", The Journal of Finance. United States, Cambridge Vol. 61(1), pp. 341-378. Blackwell Publishers Inc..
Abstract: Most existing dynamic term structure models assume that interest rate derivatives are redundant securities and can be perfectly hedged using solely bonds. We find that the quadratic term structured models have serious difficulties in hedging caps and cap straddles, even though they capture bond yields well. Furthermore, at-the-money straddle hedging errors are highly correlated with cap-implied volatilities and can explain a large fraction of hedging errors of all caps and straddles cross moneyness and maturities. Our results strongly suggest the existence of systematic unspanned factors related to stochastic volatility in interest rate derivatives markets. [PUBLICATION ABSTRACT]
BibTeX:
@article{Li2006,
  author = {Li, Haitao and Zhao, Feng},
  title = {Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives},
  journal = {The Journal of Finance},
  publisher = {Blackwell Publishers Inc.},
  year = {2006},
  volume = {61},
  number = {1},
  pages = {341--378},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194721778?accountid=11357}
}
Liew C (1976), "Inequality Constrained Least-Squares Estimation", Journal of the American Statistical Association. Vol. 71(355), pp. 746-751. American Statistical Association.
BibTeX:
@article{Liew1976inequality,
  author = {Liew, C.K.},
  title = {Inequality Constrained Least-Squares Estimation},
  journal = {Journal of the American Statistical Association},
  publisher = {American Statistical Association},
  year = {1976},
  volume = {71},
  number = {355},
  pages = {746--751}
}
Litterman R and Scheinkman J (1991), "Common factors affecting bond returns", The Journal of Fixed Income. Vol. 1(1), pp. 54-61. Institutional Investor Journals.
BibTeX:
@article{litterman1991common,
  author = {Litterman, R.B. and Scheinkman, J.},
  title = {Common factors affecting bond returns},
  journal = {The Journal of Fixed Income},
  publisher = {Institutional Investor Journals},
  year = {1991},
  volume = {1},
  number = {1},
  pages = {54--61}
}
Litterman R, Scheinkman J and Weiss L (1991), "Volatility and the yield curve", The Journal of Fixed Income. Vol. 1(1), pp. 49-53. Institutional Investor Journals.
BibTeX:
@article{litterman1991volatility,
  author = {Litterman, R.B. and Scheinkman, J. and Weiss, L.},
  title = {Volatility and the yield curve},
  journal = {The Journal of Fixed Income},
  publisher = {Institutional Investor Journals},
  year = {1991},
  volume = {1},
  number = {1},
  pages = {49--53}
}
Longstaff FA (2005), "Borrower Credit and the Valuation of Mortgage-Backed Securities", Real Estate Economics. Vol. 33, pp. 619-661.
BibTeX:
@article{Longstaff05,
  author = {Longstaff, Francis A.},
  title = {Borrower Credit and the Valuation of Mortgage-Backed Securities},
  journal = {Real Estate Economics},
  year = {2005},
  volume = {33},
  pages = {619-661}
}
Longstaff F, Santa-Clara P and Schwartz E (2001), "The relative valuation of caps and swaptions: Theory and empirical evidence", The Journal of Finance. United States, Cambridge Vol. 56(6), pp. 2067-2109. Blackwell Publishers Inc..
Abstract: Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations through the correlation structure of interest rates. Using a string market model, this paper solves for the correlation matrix implied by swaptions and examines the relative valuation of caps and swaptions. It is found that swaption prices are generated by 4 factors and that implied correlations are lower than historical correlations. Long-dated swaptions appear mispriced and there were major pricing distortions during the 1998 hedge-fund crisis. Cap prices periodically deviate significantly from the no-arbitrage values implied by the swaptions market.
BibTeX:
@article{LS2001,
  author = {Longstaff, Francis and Santa-Clara, Pedro and Schwartz, Eduardo},
  title = {The relative valuation of caps and swaptions: Theory and empirical evidence},
  journal = {The Journal of Finance},
  publisher = {Blackwell Publishers Inc.},
  year = {2001},
  volume = {56},
  number = {6},
  pages = {2067--2109},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194718891?accountid=11357}
}
Longstaff F and Schwartz E (2001), "Valuing American Options by Simulation: A Simple Least-Squares Approach", Review of Financial Studies. Vol. 14(1), pp. 113. Soc Financial Studies.
BibTeX:
@article{LongstaffSchwartz2001valuing,
  author = {Longstaff, FA and Schwartz, ES},
  title = {Valuing American Options by Simulation: A Simple Least-Squares Approach},
  journal = {Review of Financial Studies},
  publisher = {Soc Financial Studies},
  year = {2001},
  volume = {14},
  number = {1},
  pages = {113}
}
Martineau D (1995), "Numerical Valuation of High Dimensional Multivariate American Securities", The Journal of Financial and Quantitative Analysis. Vol. 30(3), pp. 383-405. University of Washington School of Business Administration.
BibTeX:
@article{martineau1995numerical,
  author = {Martineau, D.},
  title = {Numerical Valuation of High Dimensional Multivariate American Securities},
  journal = {The Journal of Financial and Quantitative Analysis},
  publisher = {University of Washington School of Business Administration},
  year = {1995},
  volume = {30},
  number = {3},
  pages = {383--405}
}
Medvedev A and Scaillet O (2007), "Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility", The Review of Financial Studies. New York, United Kingdom, New York Vol. 20(2), pp. 427-427.
Abstract: We derive an asymptotic expansion formula for option implied volatility under a two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose a simple calibration procedure of an arbitrary parametric model to short-term near-the-money implied volatilities. An important advantage of our approximation is that it is free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different calendar dates to extract information from the dynamics of the implied volatility smile. An example of calibration to a sample of S&P 500 option prices is provided. [PUBLICATION ABSTRACT]
BibTeX:
@article{Medvedev2007,
  author = {Medvedev, Alexey and Scaillet, Olivier},
  title = {Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility},
  journal = {The Review of Financial Studies},
  year = {2007},
  volume = {20},
  number = {2},
  pages = {427--427},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/230086981?accountid=11357}
}
Merton R (1976), "Option pricing when underlying stock returns are discontinuous", Journal of financial economics. Vol. 3(1), pp. 125-144. Elsevier.
BibTeX:
@article{merton1976option,
  author = {Merton, R.C.},
  title = {Option pricing when underlying stock returns are discontinuous},
  journal = {Journal of financial economics},
  publisher = {Elsevier},
  year = {1976},
  volume = {3},
  number = {1},
  pages = {125--144}
}
Moon H and Perron B (2006), "Seemingly Unrelated Regressions", The New Palgrave Dictionary of Economics. Citeseer.
BibTeX:
@article{moon2006seemingly,
  author = {Moon, H.R. and Perron, B.},
  title = {Seemingly Unrelated Regressions},
  journal = {The New Palgrave Dictionary of Economics},
  publisher = {Citeseer},
  year = {2006}
}
Moreno M and Navas J (2003), "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives", Review of Derivatives Research. Vol. 6(2), pp. 107-128. Springer.
BibTeX:
@article{MorenoNavas2003robustness,
  author = {Moreno, M. and Navas, J.F.},
  title = {On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives},
  journal = {Review of Derivatives Research},
  publisher = {Springer},
  year = {2003},
  volume = {6},
  number = {2},
  pages = {107--128}
}
Morini M and Mercurio F (2007), "No-arbitrage dynamics for a tractable SABR term structure LIBOR model"
BibTeX:
@unpublished{morini-no,
  author = {Morini, M. and Mercurio, F.},
  title = {No-arbitrage dynamics for a tractable SABR term structure LIBOR model},
  year = {2007},
  note = {, Working paper}
}
Nawalkha S (2009), "The LIBOR/SABR Market Models: A Critical Review"
BibTeX:
@unpublished{nawalkha-libor,
  author = {Nawalkha, S.},
  title = {The LIBOR/SABR Market Models: A Critical Review},
  year = {2009},
  note = {, Working paper}
}
Nawalkha S, Beliaeva N and Soto G (2007), "Dynamic term structure modeling: the fixed income valuation course" Wiley.
BibTeX:
@book{nawalkha2007dynamic,
  author = {Nawalkha, S.K. and Beliaeva, N.A. and Soto, G.M.},
  title = {Dynamic term structure modeling: the fixed income valuation course},
  publisher = {Wiley},
  year = {2007}
}
Nawalkha SK, Beliaeva NA and Soto G (2010), "A New Taxonomy of the Dynamic Term Structure Models", Journal of Investment Management : JOIM. Lafayette, Lafayette , pp. 1-.
Abstract: This paper gives a new taxonomy of dynamic termstructure models (TSMs) that classifies all existing TSMs as either fundamental models or preference-free single-plus, double-plus, and triple-plus models. We exemplify the new taxonomy by considering preference-free versions of some well-known fundamental short rate models. Single-plus extensions of the fundamental models are shown to be both time-homogeneous and preference-free-two characteristics which do not simultaneously hold under any existing class of TSMs. Though the analytical apparatus for pricing fixed income securities is identical under fundamental models and single-plus models, the latter models are consistent with general non-linear forms of MPRs which may also depend upon an arbitrary set of state variables, leading to better estimates of risk-neutral parameters. The preference-free doubleplus and triple-plus extensions of the fundamental models are similar to the Heath et al. (1992) models, in that time-inhomogeneous drifts and volatilities are used as "smoothing variables" to fit the initial bond prices and initial term structure of volatilities, respectively. [PUBLICATION ABSTRACT]
BibTeX:
@article{Nawalkha2010,
  author = {Nawalkha, Sanjay K and Beliaeva, Natalia A and Soto, Gloria},
  title = {A New Taxonomy of the Dynamic Term Structure Models},
  journal = {Journal of Investment Management : JOIM},
  year = {2010},
  pages = {1--},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/761053263?accountid=11357}
}
Nawalkha SK and Rebonato R (2011), "What Interest Rate Models To Use? Buy Side Versus Sell Side", Journal of Investment Management : JOIM. Lafayette, Lafayette Vol. 9(3), pp. 1-.
Abstract: Does the selection of a specific interest rate model to use for pricing, hedging, and risk return analysis depend upon whether the user is a buy-side institution or a sell-side dealer bank? Sanjay Nawalkha and Riccardo Rebonato debate this question in this paper and provide some insightful conclusions. Responding to Nawalkha's [2010] critique of the LMM-SABR model, Rebonato argues that the LMM-SABR model is currently the best available model for the sell-side dealer banks for pricing and hedging large portfolios of complex interest rate derivatives within tight time constraints. Nawalkha in his rejoinder argues that the LMM-SABR model is useless at best, and dangerous at worst for the buy-side institutions, and these institutions must use time-homogeneous fundamental and single-plus interest rate models (e.g., such as affine and quadratic term structure models) for risk-return analysis under the physical measure, as this cannot be done using the time-inhomogeneous double-plus and triple-plus versions of the LMM-SABR model. [PUBLICATION ABSTRACT]
BibTeX:
@article{Nawalkha2011,
  author = {Nawalkha, Sanjay K and Rebonato, Riccardo},
  title = {What Interest Rate Models To Use? Buy Side Versus Sell Side},
  journal = {Journal of Investment Management : JOIM},
  year = {2011},
  volume = {9},
  number = {3},
  pages = {1--},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/884144503?accountid=11357}
}
Newey WK (1997), "Convergence Rates and Asymptotic Normality for Series Estimators", Journal of Econometrics. Vol. 79(1), pp. 147-168.
BibTeX:
@article{Newey97,
  author = {Newey, W. K.},
  title = {Convergence Rates and Asymptotic Normality for Series Estimators},
  journal = {Journal of Econometrics},
  year = {1997},
  volume = {79},
  number = {1},
  pages = {147-168}
}
Pena I, Rubio G and Serna G (1999), "Why do we smile? On the determinants of the implied volatility function", Journal of Banking & Finance. Amsterdam, Switzerland, Amsterdam Vol. 23(8), pp. 1151-1179.
Abstract: Simple regressions and Granger causality tests are reported in order to understand the pattern of implied volatilities across exercise prices. Employed are all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX-35 index from January 1994 to April 1996. Transaction costs, proxied by the bid-ask spread, seem to be a key determinant of the curvature of the volatility smile. Moreover, time to expiration, the uncertainty associated with the market and the relative market momentum are also important variables in explaining the smile.
BibTeX:
@article{Pena1999,
  author = {Pena, Ignacio and Rubio, Gonzalo and Serna, Gregorio},
  title = {Why do we smile? On the determinants of the implied volatility function},
  journal = {Journal of Banking & Finance},
  year = {1999},
  volume = {23},
  number = {8},
  pages = {1151--1179},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/194881192?accountid=11357}
}
Rasmussen N (2005), "Control Variates for Monte Carlo Valuation of American Options", Journal of Computational Finance. Vol. 9(1), pp. 2-12.
BibTeX:
@article{Rasmussen05,
  author = {Rasmussen, N.},
  title = {Control Variates for Monte Carlo Valuation of American Options},
  journal = {Journal of Computational Finance},
  year = {2005},
  volume = {9},
  number = {1},
  pages = {2-12}
}
Rebonato R (2007), "A time Homogeneous, SABR-Consistent Extension of the LMM", Risk. Vol. 20, pp. 92-97.
BibTeX:
@article{rebonato2007time,
  author = {Rebonato, R.},
  title = {A time Homogeneous, SABR-Consistent Extension of the LMM},
  journal = {Risk},
  year = {2007},
  volume = {20},
  pages = {92--97}
}
Rebonato R, McKay K and White R (2010), "The SABR/LIBOR market model: pricing, calibration and hedging for complex interest-rate derivatives" Wiley.
BibTeX:
@book{rebonato2010sabr,
  author = {Rebonato, R. and McKay, K. and White, R.},
  title = {The SABR/LIBOR market model: pricing, calibration and hedging for complex interest-rate derivatives},
  publisher = {Wiley},
  year = {2010}
}
Rogers LCG and Tehranchi MR (2010), "Can the implied volatility surface move by parallel shifts?", Finance and Stochastics. Heidelberg, Netherlands, Heidelberg Vol. 14(2), pp. 235-248.
Abstract: This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theorem conjectured by Steve Ross. [PUBLICATION ABSTRACT]
BibTeX:
@article{Rogers2010,
  author = {Rogers, L C; G and Tehranchi, M R},
  title = {Can the implied volatility surface move by parallel shifts?},
  journal = {Finance and Stochastics},
  year = {2010},
  volume = {14},
  number = {2},
  pages = {235--248},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/213065871?accountid=11357}
}
Shiu Y-M, Pan G-G, Lin S-H and Wu T-C (2010), "Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime Crisis", Journal of Derivatives. New York, United Kingdom, New York Vol. 17(4), pp. 54-66,5.
Abstract: This article examines whether net buying pressure affects the implied volatility function of TAIEX options in an order-driven market characterized by high individual participation. Using the intraday data of TAIEX options and futures for the period 2005 through 2008, we find that the shape of the implied volatility for TAIEX options changes from a smile before the subprime mortgage crisis to a smirk after the beginning of the crisis. This change was also observed for the S&P 500 Index implied volatility curve before and after the 1987 US stock market crash. Unlike previous research that documents evidence that changes in implied volatility if S&P 500 options are mainly determined by buying pressure for index puts; we find that implied volatility changes if TAIEX options are dominated by buying pressure for index calls. [PUBLICATION ABSTRACT]
BibTeX:
@article{Shiu2010,
  author = {Shiu, Yung-Ming and Pan, Ging-Ginq and Lin, Shu-Hui and Wu, Tu-Cheng},
  title = {Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of the Subprime Crisis},
  journal = {Journal of Derivatives},
  year = {2010},
  volume = {17},
  number = {4},
  pages = {54--66,5},
  url = {http://proxy2.hec.ca/login?url=http://search.proquest.com/docview/375599544?accountid=11357}
}
Stentoft L (2012), "Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing Using Simulation and Regression", forthcoming in Journal of Computational Finance.
BibTeX:
@article{Stentoft2008,
  author = {Stentoft, L.},
  title = {Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing Using Simulation and Regression},
  journal = {forthcoming in Journal of Computational Finance},
  year = {2012}
}
Stentoft L (2012), "American Option Pricing using Simulation with Application to the GARCH Model", forthcoming in Handbook of Research Methods and Applications in Empirical Finance.
BibTeX:
@article{Stentoft2012,
  author = {Stentoft, L.},
  title = {American Option Pricing using Simulation with Application to the GARCH Model},
  journal = {forthcoming in Handbook of Research Methods and Applications in Empirical Finance},
  year = {2012}
}
Stentoft L (2012), "American Option Pricing using Simulation: An Introduction with an Application to the GARCH Option Pricing Model", forthcoming in Handbook of Research Methods and Applications in Empirical Finance.
BibTeX:
@article{Stentoft2012,
  author = {Stentoft, L.},
  title = {American Option Pricing using Simulation: An Introduction with an Application to the GARCH Option Pricing Model},
  journal = {forthcoming in Handbook of Research Methods and Applications in Empirical Finance},
  year = {2012}
}
Stentoft L (2011), "American option pricing with discrete and continuous time models: An empirical comparison", Journal of Empirical Finance. Vol. 18(5), pp. 880 - 902.
Abstract: This paper considers discrete time GARCH and continuous time SV models and uses these for American option pricing. We first of all show that with a particular choice of framework the parameters of the SV models can be estimated using simple maximum likelihood techniques. We then perform a Monte Carlo study to examine their differences in terms of option pricing, and we study the convergence of the discrete time option prices to their implied continuous time values. Finally, a large scale empirical analysis using individual stock options and options on an index is performed comparing the estimated prices from discrete time models to the corresponding continuous time model prices. The results show that, while the overall differences in performance are small, for the in the money put options on individual stocks the continuous time SV models do generally perform better than the discrete time GARCH specifications.
BibTeX:
@article{Stentoft2011880,
  author = {Lars Stentoft},
  title = {American option pricing with discrete and continuous time models: An empirical comparison},
  journal = {Journal of Empirical Finance},
  year = {2011},
  volume = {18},
  number = {5},
  pages = {880 - 902},
  url = {http://www.sciencedirect.com/science/article/pii/S0927539811000673},
  doi = {10.1016/j.jempfin.2011.09.004}
}
Stentoft L (2008), "Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing Using Simulation and Regression", SSRN Working Paper.
BibTeX:
@article{Stentoft2008,
  author = {Stentoft, L.},
  title = {Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing Using Simulation and Regression},
  journal = {SSRN Working Paper},
  year = {2008}
}
Stentoft L (2008), "American option pricing using GARCH models and the normal inverse Gaussian distribution", Journal of Financial Econometrics. Vol. 6(4), pp. 540-582. Oxford Univ Press.
BibTeX:
@article{stentoft2008americanInverse,
  author = {Stentoft, L.},
  title = {American option pricing using GARCH models and the normal inverse Gaussian distribution},
  journal = {Journal of Financial Econometrics},
  publisher = {Oxford Univ Press},
  year = {2008},
  volume = {6},
  number = {4},
  pages = {540--582}
}
Stentoft L (2005), "Pricing American options when the underlying asset follows GARCH processes", Journal of Empirical Finance. Vol. 12(4), pp. 576-611. Elsevier.
BibTeX:
@article{stentoft2005pricing,
  author = {Stentoft, L.},
  title = {Pricing American options when the underlying asset follows GARCH processes},
  journal = {Journal of Empirical Finance},
  publisher = {Elsevier},
  year = {2005},
  volume = {12},
  number = {4},
  pages = {576--611}
}
Stentoft L (2004), "Assessing the Least Squares Monte-Carlo Approach to American Option Valuation", Review of Derivatives research. Vol. 7(2), pp. 129-168. Springer.
BibTeX:
@article{Stentoft2004assessing,
  author = {Stentoft, L.},
  title = {Assessing the Least Squares Monte-Carlo Approach to American Option Valuation},
  journal = {Review of Derivatives research},
  publisher = {Springer},
  year = {2004},
  volume = {7},
  number = {2},
  pages = {129--168}
}
Stentoft L (2004), "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation", Management Science. Vol. 50(9), pp. 1193-1203. INFORMS.
BibTeX:
@article{Stentoft2004convergence,
  author = {Stentoft, L.},
  title = {Convergence of the Least Squares Monte Carlo Approach to American Option Valuation},
  journal = {Management Science},
  publisher = {INFORMS},
  year = {2004},
  volume = {50},
  number = {9},
  pages = {1193--1203}
}
Svensson L (1995), "Estimating forward interest rates with the extended Nelson & Siegel method", Quarterly Review, Sveriges Riksbank. Vol. 3, pp. 13-26.
BibTeX:
@article{svensson1995estimating,
  author = {Svensson, L.E.O.},
  title = {Estimating forward interest rates with the extended Nelson & Siegel method},
  journal = {Quarterly Review, Sveriges Riksbank},
  year = {1995},
  volume = {3},
  pages = {13--26}
}
Tilley J (1993), "Valuing American Options in a Path Simulation Model", Transactions of the Society of Actuaries. Vol. 45(83), pp. 499-520.
BibTeX:
@article{Tilley1993,
  author = {Tilley, J.A.},
  title = {Valuing American Options in a Path Simulation Model},
  journal = {Transactions of the Society of Actuaries},
  year = {1993},
  volume = {45},
  number = {83},
  pages = {499-520}
}
Tsitsiklis J and Van Roy B (2001), "Regression Methods for Pricing Complex American-style Options", IEEE Transactions on Neural Networks. Vol. 12(4), pp. 694-703. Citeseer.
BibTeX:
@article{TsitsiklisVanRoy2001regression,
  author = {Tsitsiklis, J.N. and Van Roy, B.},
  title = {Regression Methods for Pricing Complex American-style Options},
  journal = {IEEE Transactions on Neural Networks},
  publisher = {Citeseer},
  year = {2001},
  volume = {12},
  number = {4},
  pages = {694--703}
}
Vasicek O (1977), "An equilibrium characterization of the term structure", Journal of Financial Economics. Vol. 5(2), pp. 177 - 188.
BibTeX:
@article{Oldrich1977,
  author = {Vasicek, Oldrich},
  title = {An equilibrium characterization of the term structure},
  journal = {Journal of Financial Economics},
  year = {1977},
  volume = {5},
  number = {2},
  pages = {177 - 188},
  url = {http://www.sciencedirect.com/science/article/pii/0304405X77900162},
  doi = {10.1016/0304-405X(77)90016-2}
}
Wachter JA (2006), "A consumption-based model of the term structure of interest rates", Journal of Financial Economics. Vol. 79(2), pp. 365 - 399.
Abstract: This paper proposes a consumption-based model that accounts for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated to data on consumption, inflation, and the aggregate market, the model produces realistic means and volatilities of bond yields and accounts for the expectations puzzle. The model also captures the high equity premium and excess stock market volatility.
BibTeX:
@article{Wachter2006,
  author = {Jessica A. Wachter},
  title = {A consumption-based model of the term structure of interest rates},
  journal = {Journal of Financial Economics},
  year = {2006},
  volume = {79},
  number = {2},
  pages = {365 - 399},
  url = {http://www.sciencedirect.com/science/article/pii/S0304405X05001388},
  doi = {10.1016/j.jfineco.2005.02.004}
}
Wang Y and Caflisch R (2010), "Pricing and Hedging American-Style Options: A simple Simulation-Based Approach", Journal of Computational Finance. Vol. 13(4), pp. 95-125.
BibTeX:
@article{WangCaflisch10,
  author = {Wang, Y. and Caflisch, R.},
  title = {Pricing and Hedging American-Style Options: A simple Simulation-Based Approach},
  journal = {Journal of Computational Finance},
  year = {2010},
  volume = {13},
  number = {4},
  pages = {95-125}
}
Yüceer Ü (2002), "Discrete Convexity: Convexity for Functions Defined on Discrete Spaces", Discrete Applied Mathematics. Vol. 119(3), pp. 297-304. Elsevier.
BibTeX:
@article{Yuceer2002discrete,
  author = {Yüceer, Ü},
  title = {Discrete Convexity: Convexity for Functions Defined on Discrete Spaces},
  journal = {Discrete Applied Mathematics},
  publisher = {Elsevier},
  year = {2002},
  volume = {119},
  number = {3},
  pages = {297--304}
}