# papers

Papers

Arbitrage trading

Bond pricing

CAPM (Capital Asset Pricing Model)

Data patterns

Fractals and chaos

Fuzzy logic

Game theory

General optimization

Genetic algorithms

Heuristic optimization

Monte Carlo simulations

Multi-agent simulations

Neural networks

Neural optimization

Option pricing

Portfolio optimization

Portfolio selection

Prospect Theory

Simulated annealing

SWAP pricing

Taboo search

Technical analysis

Term structure

Time series analysis

VaR (Value at Risk)

Volatility estimations

**Neural networks**

[**1**] Feedforward and Recurrent Neural Networks and Genetic Programs for Stock Market and Time Series Forecasting, P.C.McCluskey, 1993

[**2**] Clustering of the Self-Organizing Map , Juha Vesanto , 2000

[**3**] The Learning Vector Quantization Program Package, T.Kohonen, 1996

[**4**] A Neural Network Model for Gold Market, P.J.McCann, B.L.Kalman,1993

[**5**] Prediction Risk and Architecture Selection for Neural Networks, J.Moody, 1994

[**6**] Economic Forecasting: Challenges and Neural Network Solutions, J.Moody, 1995

[**7**] Neural Networks in Economics: Background, Applications and New Developments, R.Herbrich et.al., 1999

[**8**] Incorporating Prior Knowledge About Financial Markets Through Neural Multitask Learning, K.Bartlmae et.al., 1995

[**9**] Neural Networks for Time Series Processing, G.Dorffner, 1996

[**10**] Stock Price Prediction Using Neural Networks, F.W.Op't Landt, MSc. thesis, 1997

[**11**] Rprop - Description and Implementation Details, M.Riedmiller, 1994

[**12**] The Self-Organizing Map Program Package, T.Kohonen, 1996

[**13**] On the Analysis of Pattern Sequences by Self-Organizing Maps, J.Kangas, 1994

[14] Dependency Analysis and Neural Network Modeling of Currency Exchange Rates, I.Pi, 1993

[**15**] Forecasting the 30-year U.S. Treasury Bond with a System of Neural Networks, W.Cheng et.al., 1996

[**16**] Optimal Asset Allocation using Adaptive Dynamic Programming, R.Neunejer, 1995

[**17**] A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, J.M.Hutchinson et.al., 1994

[**18**] Comparative Study of Stock Trend Prediction Using Time Delay, Recurrent and Probabilistic Neural Networks , Danil V. Prokhorov, 1998

[**19**] Forecasting Financial Markets using Neural Networks: an Analysis of Methods and Accuracy, J.Kutsurelis, 1998

[**20**] On Developing a Financial Prediction System: Pitfalls and Possibilities , Stefan Zemke

[**21**] A Case Study on Using Neural Networks to Perform Technical Forecasting on FOREX, J.Yao and C.Tan, 1999

[**22**] A Comparative Study on Feedforward and Recurrent Neural Networks in Time Series Prediction using Gradient Descent Learning, M.Hallas, G.Dorffner, 1997

[**23**] An Explicit Feature Selection Strategy for Predictive Models of the S&P 500 Index, T.Chenoweth et.al., 1996

[**24**] Forecasting Price Increments Using an Artificial Neural Network, F.Castiglione, 2000

[**25**] A Multi-Component Nonlinear Prediction System for the S&P 500 Index, T.Chenoweth and Z.Obradovic, 1996

[**26**] Training Neural Networks Beyond the Euclidean Distance, Multi-Objective Neural Networks using Evolutionary Training, 1999

[**27**] Pattern Matching and Neural Networks Based Hybrid Forecasting System, A.Singh and J.Fieldsend, 2000

[**28**] An Artificial Neural Network Primer with Financial Applications Example in Financial Distress Predictions and Foreighn Exchange Hybrid Trading System, C.Tan, 1997

[**29**] A Hybrid Financial Trading System Incorporating Chaos Theory, Statistical and Artificial Intelligence/Soft Computing methods, C.Tan, 1999

[**30**] Time Series Prediction and Neural Networks, N.davey et.al., 1997

[**31**] Foreign Exchange Rates Forecasting with Neural Networks , Jingtao Yao, Hean-Lee Poh, Teo Jasic ,1996

[**32**] A Constrained Neural Network Kalman Filter for Price Estimation in High Frequency Financial Data, P.J.Bolland and J.T.Connor, 1997

[**33**] A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks, N.R.Swanson and H.White, 1995

**General optimization**

[**1**] Mathematical Optimization, Computational Science Education Project, 1995

[**2**] A New Branch-and-Bound Method for Global Optimization, K.Madsen and S.Zertchaninov, 1998

**Heuristic optimization**

[**1**] On the hardness of the Quadratic Assignment Problem with meta-heuristics , Eric Angel, Vassilis Zissimopoulos , 1997

[**2**] A Comparison of Stochastic Search Heuristics for Portfolio Optimization, R.Freedman and R.DiGiorgio, 1993

**Neural optimization**

[**1**] Dempster-Shafer clustering using Potts spin mean field theory M. Bengtsson , J. Schubert , 2001

[**2**] Neural Networks for Optimization Problems with Inequality Constraints - the Knapsack Problem, M.Ohlsson et.al, 1992

[**3**] Mean Field Limit Theorems for CDMASystems , Tim Holliday

[4] Combinatorial Optimization with Feedback Artificial Neural Networks, C.Peterson, 1995

[**5**] Neural Optimization, C.Peterson, 1998

[**6**] An Efficient Mean Field Approach to the Set Covering Problem, M.Ohlsson et.al, 1999

**Genetic algorithms**

[**1**] Would Evolutionary Computation Help in Designs of Artificial Neural Nets in Forecasting Financial Time Series, Shu-Heng Chen, Chun-Fen Lu, 1999

[**2**] Evolutionary Algorithms for Neural Network Design and Training, J.Branke, 1995

[**3**] Evolving Artificail Neural Networks, X.Yao, 1999

[**4**] Evolution of Trading Rules for the FX Market or How to Make Money out of GP, H.Jonsson et.al., 1997

[**5**] The Hitch-Hiker's Guide to Evolutionary Computing, J.Heitkotter et.al., 1999

[**6**] Genetic Algorithms Overview, F.Busetti, 2000 [7] Investment Decision Making Using FGP: A Case Study, J.Li and E.Tsang, 1999

[**7**] Investment Decision Making Using FGP: A Case Study, J.Li and P.K.Tsang, 1999

[**8**] Using Genetic Algorithms for Robust Optimization in Financial Applications, O.V.Pictet et.al., 1995

[**9**] The Importance of Simplicity and Validation in Genetic Programming for Data Mining in Financial Data, J.D.Thomas and K.Sycara, 1999

[**10**] Using Genetic Algorithms for Defining an Initial Shares Portfoliom R.Vieira and R.Wazlawick, 1995

**Fuzzy logic**

[**1**] Dynamic Financial Forecasting with Automatically Induced Fuzzy Associations, Y.Romahi and Q.Shen, 2000

**Fractals and chaos**

[**1**] Fractals and Intrinsic Time - A Challenge to Econometrics, U.A.Muller et.al., 1995

[**2**] Interdisciplinary Application of Nonlinear Time Series Methods, T.Schreiber, 1998

[**3**] Kolmogorov Entropy from Time Series using Information-Theoretic Functionals, M.palus, 1997

[**4**] Chaotic time series. Part I: Estimation of some Invariant Properties in State Space, D.Kugiumtzis et.al., 1995

[**5**] Chaotic Time Series. Part II: System Identification and Prediction, B.Lillekjendlie, 1995

[**6**] Testing for Nonlinearity Using Redundancies: Quantitative and Qualitative Aspects, M.Palus, 1995

[**7**] Multifractality in Asset Returns: Theory and Evidence, L.Calvet and A.Fisher, 2001

[**8**] Deterministic Chaos in Exchange Rates?, M.Bask, 1996

[**9**] A Langevin Approach to Stock Market Fluctuations and Crashes, J.P.Bouchad and R.Cont, 1998

[**10**] Scaling Transformation and Probability Distributions for Financial Time Series, M.Brachet, et.al., 1997

[**11**] Large Deviations and the Distribution of Price Changes, L.Calvet, A.Fisher and B.Mandelbrot, 1997

[**12**] Scaling in Stock Market Data: Stable Laws and Beyond, R.Cont, M.Potters and JP.Bouchaud, 1997

[**13**] The Distribution of Extremal Foreigh Exchange Rate Returns in Extremely Lasrge Data Sets, M.Dacorogna, et.al., 1995

[**14**] Predicting the Occurrence of Rare Events, M.Dacorogna, 1998

[**15**] Crashes as Critical Points, A.Johansen et.al., 1998

[**16**] Modeling the Stock Market Prior to Large Crashes, A.Johansen et.al., 1998

[**17**] Apparent Multifractality in Financial Time Series, J.P.Bouchaud, et.al., 1999

[**18**] Is There Chaos in the World Economy? A Test Using Nonparametric Regression, M.Shintanim and O.Linton, 2000

**Simulated annealing**

[**1**] Very Fast Simulated Re-Annealing, L.Ingber, 1989

[**2**] Genetic Algorithm and Very Fast Simulated Re-Annealing: a Comparison, L.Ingber et.al., 1992

[**3**] Simulated Annealing: Practice Versus Theory, L.Ingber, 1993

[**4**] Adaptive Simulated Annealing (ASA): Lessons Learned, L.Ingber, 1995

[**5**] Statistical Mechanics of Financial Markets (SMFM), L.Ingber, 1999

[**6**] Trading Markets with Canonical Momenta and Adaptive Simulated Annealing, L.Ingber, 1999

[**7**] Optimization of Trading Physics Models of Markets, L.Ingber at.al,

**Taboo search**

[**1**] Taboo Search, F.Glover and M.Laguna, 1999

**Game theory**

[**1**] Finance Applications of Game Theory, F.Allen, S.Morris, 1998

**Multi-agent simulations**

[**1**] An Artificial Market Model of a Foreign Exchange Market, K.Izumi, Ph.D. thesis, 1999

[**2**] Asset Pricing Under Endogenous Expectations in an Artificial Stock Market, W.Brian et.al., 1996

[**3**] An Artificial Stock Market, R.G.Palmer et.al., 1999

[**4**] Cooperative Multiagent search for Portfolio Selection, D.C.Parkes and B.A.Huberman, 1999

[**5**] Artificial Economic Life: A Simple Model of a Stockmarket, R.G.Palmer et.al., 1993

[**6**] Emergent Phenomena in a Foreign Exchange Market: Analysis Based on an Artificial Market Approach, K.Izumi and K.Ueda, 1998

**Monte Carlo Simulations**

[**1**] Quasi-Monte Carlo Approaches to Option Pricing, J.Birge, 1996

[**2**] Efficient Monte Carlo Pricing of Basket Options, P.Bellizzari, 1998

[**3**] Monte Carlo Pricing

[**4**] Testing the Models of Stock Price Processes Using Monte Carlo Markov Chain Method, W.Chen, 1998

[**5**] Path Generation for Quasi-Monte Carlo Simulation of Mortgage Backed Securities, F.Akersson and J.Lehoczky, 2000

[**6**] Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing, Y.Lai and J.Spanier, 1999

[**7**] Variance Reduction of Monte Carlo and Randomized Quasi-Monte Carlo Estimators for Stochastic Volatility Models in Finance, H.Ben Ameur et.al., 1999

[**8**] Markov Chain Monte Carlo Calibration of Stochastic Volatility Models, X.Ge and C.Ji, 2000

**Time series analysis**

[**1**] Time Series Analysis, E.Bradley, 1999

[**2**] Financial Time Series Forecasts using Fuzzy and Long Memory Pattern Recognition Systems, S.Singh and J.Fieldsend, 2000

[**3**] Pricing Foreign Currency and Cross-Currency Options Under GARCH, J.Duan et.al., 1999

[**4**] Fuzzy Nearest Neighbour Method for Time-Series Forecasting, S.Singh, 1998

[**5**] Neural Networks for Time Series Processing, G.Dorffner, 1997

[**6**] Detecting Nonlinearity in Multivarite Time Series, M.Palus, 1996

[**7**] Estimating Predictability: Redundancy and Surrogate Data Method, M.Palus et.al., 1995

[**8**] From Nonlinearity to Predictability, M.Palus and D.Novotna, 1997

[**9**] Time Series Data Mining: Identifying Temporal Patterns for Characterization and Prediction of Time Series Events, R.J.Povinelli, 1999

[**10**] Dynamic Time-Series Forecasting Using Local Approximation, S.Singh and P.McAtackney, 1998

[**11**] A Long Memory Pattern Modeling and Recognition System for Financial Time-Series Forecasting, S.Singh, 1999

[**12**] Noisy Time-Series Prediction using Pattern Recognition Techniques, S.Singh, 2000

[**13**] Time Series for Macroeconomics and Finance, J.Cochrane, 1997

[**14**] Bayesian Time Series: Financial Models and Spectral Analysis, Y.Chen, 1997

[**15**] Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates, G.Teyssiere, 1998

[**16**] Structural Changes in the Cointegrated Vector Autoregressive Model, P.R.Hansen, 2000

**Term structure**

[**1**] Term Structure Estimation: An Implied Norm Approach. Negative Option Prices - A Puzzle or Just Noise? I.D.Ioffe et.al., 2000

[**2**] Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates, R.Stapleton, 1994

[**3**] Using Hull-White Interest-Rate Trees, J.Hull and A.White, 1996

[**4**] Time-varying Risk Aversion, Unexpected Inflation and the Dynamics of the Term Structure, M.Brandt and K.Wang, 1999

[**5**] The Bias in the Conventional Test of the Expectations Theory: Resolving the Anomalies at the Very Short End of the Term Structure, D.L.Thornton, 2000

[**6**] The Expectations Theory and the Founding of the Fed: Another Look at the Evidence, C.J.M.Kool and D.L.Thornton, 2000

[**7**] Deriving Agent's Inflation Forecasts from the Term Structure of Interest Rates, C.Ragan, 1995

[**8**] The Information in the Term Structure of Interest Rates:Further Results for Germany, G.Boero and C.Torricelli, 1998

**Portfolio selection**

[**1**] Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets, G.Chacko and L.Viceira, 1999

[**2**] Index Tracking: Genetic Algorithms for Investment Portfolio Selection, J.Shapcott, 1992

[**3**] Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots, R.Mansini and M.G.Speranza, 1999

[**4**] Enhancing Portfolio Performance Using Options Strategies. Why Beating the Market Is Easy. F-S.Lhabitant, 1998

[**5**] Optimal Portfolio Choice Under Loss Aversion, A.Berkelaar and R.Kouwenberg, 2000

[**6**] Universal Portfolios With and Without Transaction Costs, A.Blum and A.Kalai, 1997

[**7**] Portfolio Selection with Downside Risk Measures

[**8**] Universal Portfolios, T.M.Cover, 1996

[**9**] Portfolio Advice for a Multifactor World, J.H.Cochrane, 2000

[**10**] On-Line Portfolio Selection Using Multiplicative Updates, D.P.Helmbold, 1998

[**11**] Portfolio Selection Problem with MiniMax Type Risk Function, K.L.Teo and X.Q.Yang, 1999

[**12**] Scenario Selection and Stochastic Programming Models for Asset Liability management, R.Kouwenberg, 1998

[**13**] Optimal Dynamic Portfolio Selection: Multi-Period Mean-Variance Formulation, D.Li et.al., 1998

[**14**] On the Explanatory Power of Asset Pricing Models Across and Within Portfolios, R.Kan, 1999

[**15**] Optimal Investing in Incomplete Financial Markets, W.Schachermayer, 2000

**Portfolio optimization**

[**1**] Heuristics for Cardinality Constrained Portfolio Optimization, T.J.Chang et.al., 1999

[**2**] Heuristic Approaches for Portfolio Optimization, M.Gilli and E.Kellezi, 2000

[**3**] Optimal Hedging Strategy for a Portfolio Investment Problem with Additional Constraints, N.Dokuchaev and K.Teo, 1999

[**4**] Optimal Portfolios for LogarithmicUtility, T.Goll and J.Kallsen, 2000

[**5**] Dynamic Portfolio Insurance: A Stochastic Programming Approach, R.Kouwenberg and T.Vorts, 1998

[**6**] Duality Links between Portfolio Optimization and Derivative Pricing, J.Kallsen, 1999

[**7**] Optimal Portfolios for Exponential Levy Processes, J.Kallsen, 1999

[**8**] Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion, W.Michalowski, 1998

[**9**] Portfolio Analysis Using Downside Risk Minimization, D.M.Ros et.al., 1998

[**10**] A Monte carlo Method for Optimal Portfolios, J.Detemple et.al, 2000

[**11**] Practical Portfolio Optimization, K.V.Fernando, 2000

[**12**] Stochastic-Programming Models for Portfolio Optimization with Mortgage-Backed Securities, R.McKendall, 1993

[**13**] Taming Your Optimizer: A Guide Through the Pitfalls of Mean-Variance Optimization, S.L.Lummer, et.al., 1994

**CAPM**

[**1**] International CAPM with Regime Switching GARCH Parameters, L.Cappiello and T.A.Fearnly, 2000

[**2**] Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Momets, L.Cappiello, 2000

[**3**] Optimal International Diversification: Theory and Practice from a Swiss Investor's Perspective, F.Hamelink, 2000

[**4**] Capital Asset Pricing Model and Changes in Volatility, A.O.Santos, 1998

[**5**] New Facts in Finance, J.H.Cochrane, 2000

[**6**] Explaining the Poor Performance of Consumption-based Asset Pricing Models, J.Campbell and J.H.Cochrane, 2000

[**7**] Covariability, Multivariability and Flexibility: Conditional CAPM and Time-Varying Risk Premia, G.Lim et.al., 1998

**Volatility estimation**

[**1**] Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian T.Andersen et.al., 1999

[**2**] Towards a Theory of Volatility Trading, P.Carr and D.Madan, 1998

[**3**] Forecasting S&P 100 Volatility: The Increment Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000

[**4**] Derivatives on Volatility: Some Simple Solutions Based on Observables, S.L.Hestib and S.Nandi, 2000

[**5**] Consequences for Option Pricing of a Long Memory in Volatility, S.J.Taylor, 2000

[**6**] Forward rate Volatilities, SWAP Rate Volatilities, and the Implementation of the LIBOR Market Model, J.Hull and A.White, 1999

[**7**] Nonlinear Features of Realized FX Volatility, J.Maheu and T.McCurdy, 2001

[**8**] Volatility Dynamics under Duration-dependent Mixing, J.Maheu and T.McCurdy, 2000

[**9**] Identifying Bull and Bear Markets in Stock Returns, J.maheu and T.McCurdy, 2000

[**10**] Modeling and Forecasting Realized Volatility, T.Andersen et.al., 2001

[**11**] The Realized Volatility of FTSE-100 Futures Prices, N.Areal and S.Taylor, 2000

[**12**] The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets, C.S.Jones, 2000

[**13**] Dynamic Hedging in a Volatile Market, T.F.Coleman et.al., 1999

[**14**] Implied Trinomial Trees of the Volatility Smile, E.Derman et.al., 1996

[**15**] Expectations Hypothesis of the Term Structure of Implied Volatility: Re-examination, S.Byoun et.al., 1999

[**16**] The Price of a Smile: Hedging and Spanning in Option Markets, A.Buraschi and J.jackwerth, 2000

[**17**] Implied Volatility Skews and Stock index Skewness and Kurtosis Implied by S&P500 Index Option Prices, C.J.Corrado and t.Su, 1997

[**18**] The Distribution of Stock Return Volatility, T.G.Andersen et.al., 2000

[**19**] Modeling and Forecasting Realized Volatility, T.G.Andersen et.al., 2001

[**20**] The Distribution of Exchange Rate Volatility, T.G.Andersen et.al., 1999

[**21**] Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000

[**22**] Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility, E.Hol and S.L.Koopman, 2000

[**23**] Tree Structured GARCH Models, F.Audrino and P.Buhlmann, 2000

[**24**] Nonparametric GARCH Models, P.Buhlmann and A.J.McNeil, 1999

**Risk evaluation**

[**1**] Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis, G.J.Alexander, A.M.Baptista, 2000

[**2**] Value-at-Risk: a Multivariate Switching Regime Approach, M.Billio, L.Pelizzon, 2000

[**3**] The Ten Great Challenges of Risk Management, C.Batlin and B.Schachter, 2000

[**4**] Value at Risk Models for Dutch Bond Portfolios, P.J.G.Vlaar, 1999

[**5**] Non-Linear Value-at-Risk, M.Britten-Jones and S.M.Schaefer, 1999

[**6**] Asset Allocation in a Value-at-Risk Framework, R.Huisman et.al, 1999

[**7**] Evaluation of Value-at-Risk Models Using Historical Data, D.Hendricks, 1996

[**8**] A Simplified Method for Calculating the Credit Risk of Lending Portfolios, A.Ieda et.al., 2000

[**9**] Value at Risk Using Hyperbolic Distributions, C.Bauer, 2000

[**10**] Market Risk: An Introduction to the Concept & Analytics of Value-at-Risk, J.Frain and C.Meegan, 1996

[**11**] Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be, X.Ju and N.D.Pearson, 1998

[**12**] Credit Risk Optimization with Conditional Value-at-Risk Criterion, F.Andersson and S.Uryasev, 1999

[**13**] An Integrated Market and Credit Risk Portfolio Model, I.Iscoe et.al., 1999

[**14**] Assessing VaR Accuracy, K.Dowd, 2000

[**15**] Measuring DAX Market Risk: A Neural Network Volatility Mixture Approach, K.Bartlmae, F.A.Rauscher, 2000

[**16**] Value-at-Risk (VaR), S.Benninga and Z.Wiener, 1998

[**17**] Managing Market Risk in Banks, 1996

[**18**] Value-at-Risk and Extreme Returns, J.Danielsson et.al., 2000

[**19**] Taking VaR to Pieces, M.Garman, 1997

[**20**] Optimization of Conditional Value-at-Risk, R.T.Rockafellar and S.Uryasev, 1999

[**21**] An Overview of Value at Risk (1), D.Duffie and J.Pan, 1997

[**22**] VaR Calculations for Derivatives (2), D.Duffie and J.Pan, 1997

[**23**] Appendices (3), D.Duffie and J.Pan, 1997

[**24**] Extreme Behavior of Diffusion Models in Finance, M.Borkovec, 1998

[**25**] Value-at-Risk Analysis and Least Squares Tail Index Estimation, R.W.J van den Goorbergh, 1999

[**26**] Equity Allocation and Portfolio Selection in Insurance: A Simplified Portfolio Model, E.Taflin, 2000

[**27**] How to Measure Risk, G.Ch.Pflug, 1997

[**28**] Filtering Historical Simulation. Back-test Analysis, G.Barone-Adesi, 2000

[**29**] Conditional Value-at-Risk: Optimization Algorithms and Applications, S.Uryasev, 2000

[**30**] Non-Parametric VaR Techniques. Myths and Realities, G.Barone-Adesi, 2000

[**31**] Value-at-Risk When Daily Changes in Market Variables are Not Normally Distributed, J.Hull and A.White, 1997

[**32**] Incorporating Volatility Updating into the Historical Simulation Method for Value-at-Risk, J.Hull and A.White, 1998

[**33**] Horizon Problems and Extreme Events in Financial Risk Management, P.F.Christoffersen et.al., 1998

[**34**] Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints, J.Palmquist at.al., 1999

[**35**] Value-at-Risk Analysis of a Leveraged Swap, S.Srivastava, 1998

[**36**] Tracking Error and Value-at-Risk, 1997

[**37**] Value-at-Risk and Mixture Distributions, 1998

[**38**] Value-at-Risk: On the Stability and Forecasting of the Variance-Covariance Matrix, J.Engek and M.Gizycki, 1999

[**39**] References from D.Duffie and J.Pan, 1997

[**40**] Monte Carlo within a Day, J.Cardenas et.al., 1999

[**41**] An Analysis Framework for Bank Capital Allocation, N.Baud et.al, 2000

[**42**] VaR and the Unreal World, R.Hoppe, 1998

[**43**] Extreme Value Theory in Finance and Ensurance, P.Embrechts, 1999

[**44**] Developing Scenarios for Future Extreme Losses Using the POT Model, A.J.McNeil and T.Saladin, 1998

[**45**] Extreme Value Theory as a Risk Management Tool, P.Embrechts et.al., 1996

[**46**] Value-at-Risk Analysis of Stock Returns. Historical Simulations, Variance Technique or Tail Index Estimation, R. van den Goorbergh and P.Vlaar, 1999

[**47**] Finding Optimal Portfolios with Constraints on Value-at-Risk, A.A.Gaivoronski and G.Pflug, 1998

[**48**] Decomposing Portfolio Value-at-Risk: A General Analysis, W.G.Hallerbach, 1999

[**49**] Value-at-Risk in Portfolio Management, P.Gugi et.al., 1999

[**50**] Estimating Value-at-Risk with a Precision Measure by Combining Kernel Estimation with Historical Simulations, J.S.Butler and B.Schachter, 1997

[**51**] Value-at-Risk and Derivatives Risk, E.Falkenstein, 1997

[**52**] Measuring Risk with Extreme Value Theory, R.L.Smith, 1998

[**53**] Reliability of Neural Network Based Value-at-Risk Estimates, R.Prinzler, 1999

[**54**] Value-at-Risk for Asset managers, C.L.Culp et.al., 1999

[**55**] Analytical Value-at-Risk with Jumps and Credit Risk, D.Duffie and J.Pan, 1999

[**56**] Portfolio Selection with Limited Downside Risk, D.W.Jasen et.al., 2000

[**57**] Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual Non-Linear Portfolios: Empirical Evvidence, M.Coronado, 2000

[**58**] Value-at-Risk Based Portfolio Optimization, A.V.Puelz, 1999

[**59**] A Probabilistic Approach to Worst Case Scenarios, G.Barone-Adesi et.al, 1997

[**60**] Bank Capital and Value-at-Risk, P.Jackson et.al., 1998

[**61**] Recovery Risk in Stock Returns, A.Akgun and R.Gibson, 1999

[**62**] Extreme Value Thory for Tail-Related Risk Measures, R.Kellezi and M.Gilli, 2000

[**63**] Evolution of Market Uncertainty around Earnings Announcements, D.Isakov, C.Perignon, 2000

[**64**] New Insights into Smile, Mispricing and Value at Risk: the Hyperbolic Model, E.Eberlein and U.Keller, 1997

**Prospect theory**

[**1**] Prospect Theory and Asset Prices, N.Barberis, M.Huang and T.Santos, 2000

**Technical analysis**

[**1**] Application of Simple Trading Rules to Swiss Stock Prices. Is It Profitable? D.Isakov and M.Hollistein, 2000

[**2**] CUSUM Techniques for Technical Trading in Financial Market

[**3**] Embedding Technical Analysis into Neural Network Based Trading Systems, T.Chenoweth et.al., 1997

[**4**] Neural Networks for Technical Ananlysis: A Stidy on KLCI, J.Yao et.al., 1996

[**5**] Predicting the Stock Market, T.Hellstrom, 1998

[**6**] Data-Snooping, Technical trading Rule Performance, and Bootstrap, R.Sullivan et.al., 1997

[**7**] Technical Trading Rules in the European Monetary System, C.J.Neely and P.A.Weller, 1998

[**8**] Technical Analysis in the Foreign Exchange Market: A Layman's Guide, C.J.Neely, 1997

[**9**] Financial Returns and Efficiency as seen by an Artificial Technical Analyst, S.Skouras, 1998

**Data patterns**

[**1**] Systematic Patterns Before and After Large Price Changes: Evidence From High Frequency Data from Paris Bourse, F.Hamelink, 1999

[**2**] Predictable Patterns in Stock Returns, T.Hellstrom, 1997

[**3**] Asymmetric Cross-Sectional Dispersion in Stock Returns: Evidence and Implications, G.R.Duffee, 2000

**Bond pricing**

[**1**] Who Should Buy Long-Term Bonds? J.Y.Campbell and L.M.Viceira, 1998

[**2**] A Note on Risky Bond Valuation, C.H.Hui and C.F.Lo, 2000

[**3**] Vulnerable Options, Risky Corporate Bonds and Credit Spread, M.Cao and J.Wei, 2000

[**4**] Valuation of Defaultable Bonds Using Signal Processing - An extension, C.Lo and C.Hui, 1999

**Option pricing**

[**1**] Credit Spread Specification and the Pricing of Spread Options, N.Mougeot, 2000

[**2**] Option Pricing and Replication with Transaction Costs and Devidends, S.Perrakis and J.Lefoll, 1999

[**3**] General Properties of Option Prices, Y.Z.Bergman et.al., 1996

[**4**] On the Nature of Options, P.Carr and D.Madan, 2000

[**5**] Hedging Options under Transaction Costs and Stochastic Volatility, J.Gondzio et.al., 2000

[**6**] A Test of the Use of the Implied Volatility Function Model to Price Exotic Options, J.Hull and W.Suo, 2000

[**7**] A Methodology for Assessing Model Risk and its Application to the Implied Volatility Function Model, J.Hull and W.Suo, 2000

[**8**] New Methodology for Valuing Derivatives, S.H.Paskov, 1997

[**9**] Numerical Valuation of High Dimensional Multivariate American Securities, J.Barraquand and D.Martineau, 1994

[**10**] Good-dela Option Price Bounds with Stochastic Volatility and Stochastic Interest Rate, J.H.Cochrane and J.Saa-Requejo, 1999

[**11**] Valuation of the American Put Option: a Dynamic Programming Approach, L.Garlappi, 1996

[**12**] Option Pricing Implication of a Stochastic Jump Rate, H.Fang, 2000

[**13**] Jumping in Line, G.Albanese et.al., 2000

[**14**] Pricing Exotics under the Smile, M.Jex et.al., 1999

[**15**] Valuing Options on Baskets of Stocks and Forecasting the Shape of Volatility Skews, J.Z.Zou, 2000

[**16**] The Pricing of Options Depending on a Discrete Maximum, E.Nahum, 1998

[**17**] Back to Basics: Historical Option Pricing Revisited, J.P.Bouchaud and M.Potters, 1998

[**18**] A Numerical Procedure for Pricing American-style Asian Options, H.B.Ameur et.al., 2000

[**19**] Hedging Complex Barrier Options, P.Carr and A.Chou, 1997

[**20**] Path-Dependent Multicurrency Interest Rate Derivatives, M.Chu, 1998

[**21**] Closed Form Valuation of American Barrier Options, E.G.Haug and P.Patners, 2000

[**22**] Competetive Monte Carlo Methods for the Pricing of Asian Options, B.Lapeyre and E.Tamam, 2000

[**23**] Consequences for Option Pricing of a Long Memory in Voaltility, S.J.Taylor, 2000

[**24**] Convergence of Lattice and PDE Methods for Pricing Asian Options, P.A.Forsyth et.al., 1998

[**25**] Pricing Interest Rate Derivatives: A General Approach, G.Chacko and S.Das, 1999

[**26**] Hedging Options under Transaction Costs and Stochastic Volatility, J.Gondzio et.al., 2000

[**27**] Barrier Put-Call Transformation, E.G.Haug, 1999

[**28**] Very Fast Algorithm for Barrier Option Pricing and the Ballot Problem, Y.D.Lyuu, 1998

[**29**] Pricing of Asian Exchange Rate Options Under Stochastic Interest Rates As a Sum of Delayed Payment Options, J.A.Nielsen and K.Sandmann, 1999

[**30**] Approximate Option Pricing, P.Chalasani, et.al., 1997

[**31**] Binomial Models for Option Valuation - Examining and Improving Convergence, D.Leisen and M.Reimer, 1995

**SWAP pricing**

[**1**] Valuing Credit Default SWAPs I: No Counterparty Default Risk, J.Hull and A.White, 2000

[**2**] Valuing Credit Default SWAPs II: Modeling Default Correlations, J.Hull and A.White, 2000

**Arbitrage trading**

[**1**] From Utility Maximization to Arbitrage Pricing and Back, A.E.MacKay, E.Z.Prisman, 2000

[**2**] Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets, J.H.Cochrane and J.Saa-Requejo, 1999

[**3**] Insider Information, Arbitrage and Optimal Portfolio and Consumption Policies, M.Rindisbacher, 2000

[**4**] Option Pricing, Arbitrage and Martingales, A.Pelsser and T.Vorst, 1997

[**5**] A Robust Non-Linear Multivariate Kalman Filter for Arbitrage Identification in High-Frequency Data, P.J.Bolland and J.T.Connor, 1996