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2007 Working Papers

0721
Alvaro Cartea & Thilo Meyer-Brandis
How Does Duration Between Trades of Underlying Securities Affect Option Prices?

0720
John Driffill & Zeno Rotondi
Inertia in Taylor Rules

0719
Brad Baxter, Liam Graham, & Stephen Wright
The Endogenous Kalman Filter

0718
Álvaro Cartea & Pablo Villaplana Conde
Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity

0717
Jihong Lee
Unforeseen Contingency and Renegotiation with Asymmetric Information

0716
Subir Bose & Arup Daripa
A Dynamic Mechanism and Surplus Extraction under Ambiguity

0715
Arup Daripa
Monitoring versus Gatekeeping

0714
Anthony Garratt, Gary Koop, Emi Mise & Shaun P Vahey
Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty

0713
Piergiuseppe Morone, Carmelo Petraglia & Giuseppina Testa
Research, Knowledge Spillovers and Innovation

0712
Antoine Jacquier & Saad Slaoui
Variance Dispersion and Correlation Swaps

0711
Kenjiro Hori
Wage-Directed Job match with Multiple Applications and Multiple Vacancies: The Optimal Job Application Strategy and Wage Dispersion

0710
Yunus Aksoy & Miguel A León-Ledesma
Non-linearities and Unit Roots in G7 Macroeconomic Variables

0709
Reik H. Börger, Álvaro Cartea, Rüdiger Kiesel & Gero Schindlmayr
A Multivariate Commodity Analysis and Applications to Risk Management

0708
Alvaro Cartea & D. del-Castillo-Negrete
On the Fluid Limit of the Continuous-Time Random Walk with General Lévy Jump Distribution Functions

0707
Alexander Boogert & Dominique Dupont
When Supply Meets Demand: The Case of Hourly Spot Electricity Prices

0706
Kenjiro Hori
Multiple Applications Matching Function: An Alternative

0705
Yen-Ting Hu
Extreme Correlation of Defaults and LGDs

0704
Alexander Boogert & Cyriel de Jong
Gas Storage Valuation Using a Monte Carlo Method

0703
Antoine Jacquier
Asymptotic Skew under Stochastic Volatility

0702
Subir Bose & Arup Daripa
Optimal Sale: Auctions with a Buy-Now Option

0701
Arup Daripa
Uninformative Equilibrium in Uniform Price Auctions

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