11 |
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Long memory models for daily and high frequency commodity futures returns
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Baillie, R. T.; Han, Y. W.; Myers, R. J.; Song, J.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
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12 |
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The pricing of foreign currency options under jump-diffusion processes
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Ahn, C. M.; Cho, D. C.; Park, K.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
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13 |
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Valuing real options using implied binomial trees and commodity futures options
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Arnold, T.; Crack, T. F.; Schwartz, A.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
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14 |
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Is volatility risk priced in the securities market? Evidence from S&P 500 index options
|
Arisoy, Y. E.; Salih, A.; Akdeniz, L.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
|
|
15 |
|
Options listings and individual equity volatility
|
Jubinski, D.; Tomljanovich, M.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
|
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16 |
|
Pricing American exchange options in a jump-diffusion model
|
Lindset, S.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
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17 |
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An examination of momentum strategies in commodity futures markets
|
Shen, Q.; Szakmary, A. C.; Sharma, S. C.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
|
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18 |
|
Long memory in commodity futures volatility: A wavelet perspective
|
Elder, J.; Jin, H. J.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
|
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19 |
|
Pricing VIX futures: Evidence from integrated physical and risk-neutral probability measures
|
Lin, Y. N.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
|
|
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20 |
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On inverse carrying charges and spatial arbitrage
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Larson, D. F.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2007
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