JEL classification

Journal of Economic Literature Classification (10696) G - Financial Economics (1812) G1 - General Financial Markets (925) G13 - Contingent Pricing; Futures Pricing (61)
Number of items at this level: 61.
Accounting
  • Yadav, Pradeep K., Pope, Peter (1994). Stock index futures mispricing: profit opportunities or risk premia? Journal of Banking and Finance, 18(5), 921-953. https://doi.org/10.1016/0378-4266(94)00026-3
    • Centre for Macroeconomics
  • Carvalho, Augusto, Guimaraes, Bernardo (2017). State-controlled companies and political risk: evidence from the 2014 Brazilian election. (CFM discussion paper series CFM-DP2017-02). Centre For Macroeconomics.
    • Centre for Philosophy of Natural and Social Sciences (CPNSS)
  • Leiss, Matthias, Nax, Heinrich H., Sornette, Didier (2015). Super-exponential growth expectations and the global financial crisis. Journal of Economic Dynamics and Control, 55, 1-13. https://doi.org/10.1016/j.jedc.2015.03.005
    • Economics
  • Decamps, Jean-Paul, Faure-Grimaud, Antoine (2000). Excessive continuation and dynamic agency costs of debt. (Financial Markets Group Discussion Papers 348). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Hilscher, Jens, Raviv, Alon, Reis, Ricardo (2025). How likely is an inflation disaster? Review of Financial Studies, https://doi.org/10.1093/rfs/hhaf058 picture_as_pdf
    • Finance
  • Agrawal, Ashwini, Hacamo, Isaac, Hu, Zhongchen (2018). Employees and stock returns. SSRN.
  • Anderson, Ronald W., Carverhill, Andrew (2011). Corporate liquidity and capital structure. Review of Financial Studies, 25(3), 797-837. https://doi.org/10.1093/rfs/hhr103
  • Axelson, Ulf (2013). A theory of the evolution of derivatives markets. (Financial Markets Group Discussion Papers 723). Financial Markets Group, The London School of Economics and Political Science.
  • Barinov, Alexander, Chabakauri, Georgy (2023). Idiosyncratic volatility, growth options, and the cross-section of returns. Review of Asset Pricing Studies, 13(4), 653 – 690. https://doi.org/10.1093/rapstu/raad006 picture_as_pdf
  • Broadie, Mark, Chernov, Mikhail, Johannes, Michael (2007). Model specification and risk premia: evidence from futures options. Journal of Finance, 62(3), 1453-1490.
  • Buraschi, Andrea, Trojani, Fabio, Vedolin, Andrea (2011). Economic uncertainty, disagreement, and credit markets.
  • Buraschi, Andrea, Trojani, Fabio, Vedolin, Andrea (2011). When uncertainty blows in the orchard: comovement and equilibrium volatility risk premia. (EFA 2009 Bergen meetings paper). SSRN.
  • Chernov, Mikhail (2003). Alternative models for stock price dynamics. Journal of Econometrics, 116(1-2), 225-257. https://doi.org/10.1016/S0304-4076(03)00108-8
  • Chernov, Mikhail (2003). Empirical reverse engineering of the pricing kernel. Journal of Econometrics, 116(1-2), 329-364. https://doi.org/10.1016/S0304-4076(03)00111-8
  • Chernov, Mikhail, Ghysels, Eric (2000). A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. Journal of Financial Economics, 56(3), 407-458. https://doi.org/10.1016/S0304-405X(00)00046-5
  • Chernov, Mikhail, Gorbenko, Alexander S., Makarov, Igor (2013). CDS auctions. Review of Financial Studies, 26(3), 768-805. https://doi.org/10.1093/rfs/hhs124
  • Ghosh, Anisha, Julliard, Christian, Taylor, Alex (2011). What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models. (Financial Markets Group Discussion Papers 691). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Ghosh, Anisha, Julliard, Christian, Taylor, Alex (2016). An information based one-factor asset pricing model. (Financial Markets Group Discussion Papers 749). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Gormsen, Niels J., Koijen, Ralph S.J., Martin, Ian W.R. (2021). Implied dividend volatility and expected growth. AEA Papers and Proceedings, 111, 361 - 365. https://doi.org/10.1257/pandp.20211065 picture_as_pdf
  • Hilscher, Jens, Nosbusch, Yves (2010). Determinants of sovereign risk: macroeconomic fundamentals and the pricing of sovereign debt. Review of Finance, 14(2), 235-262. https://doi.org/10.1093/rof/rfq005
  • Makarov, Igor, Schoar, Antoinette (2019). Price discovery in cryptocurrency markets. AEA Papers and Proceedings, 109, 97-99. https://doi.org/10.1257/pandp.20191020 picture_as_pdf
  • Martin, Ian, Wagner, Christian (2016). What is the expected return on a stock? (Financial Markets Group Discussion Papers 760). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mueller, Philippe, Vedolin, Andrea, Zhou, Hao (2011). Short run bond risk premia. (Financial Markets Group Discussion Papers 686). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mueller, Philippe, Vedolin, Andrea, Zhou, Hao (2011). Short-run bond risk premia. (AFA 2013 San Diego Meetings Paper).
  • Oehmke, Martin, Zawadowski, Adam (2016). The anatomy of the CDS market. (Financial Markets Group Discussion Papers 761). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Vedolin, Andrea (2012). Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia. Department of Finance, London School of Economics and Political Science.
    • Financial Markets Group
  • Benhamou, Eric (2000). Pricing convexity adjustment with Wiener chaos. (Financial Markets Group Discussion Papers 351). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Benhamou, Eric (2000). A generalisation of Malliavin weighted scheme for fast computation of the Greeks. (Financial Markets Group Discussion Papers 350). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Black, Jane, Tonks, Ian (1999). Time series of commodity futures prices. (Financial Markets Group Discussion Papers 331). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Brunnermeier, Markus (1998). Buy on rumours - sell on news: a manipulative trading strategy. (Financial Markets Group Discussion Papers 309). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Cho, Young-Hyun, Linton, Oliver, Whang, Yoon-Jae (2006). Are there Monday effects in stock returns: a stochastic dominance approach. (Financial Markets Group Discussion Papers 568). Financial Markets Group, The London School of Economics and Political Science.
  • Décamps, Jean-Paul, Faure-Grimaud, Antoine (2002). Excessive continuation and dynamic agency costs of debt. European Economic Review, 46(9), 1623 - 1644. https://doi.org/10.1016/S0014-2921(02)00242-8
  • Farmer, J. Doyne, Goodhart, C. A. E., Kleinnijenhuis, Alissa M. (2020). Systemic implications of the bail-in design: a precis of our main text. (SUERF Policy Notes 257). SUERF The European Money and Finance Forum.
  • Jobst, Andreas A. (2002). Loan securitisation: default term structure and asset pricing based on loss prioritisation. (Financial Markets Group Discussion Papers 422). Financial Markets Group, The London School of Economics and Political Science.
  • Jurczenko, Emmanuel, Maillet, Bertrand, Negrea, Bogdan (2002). Revisited multi-moment approximate option pricing models a general comparison (Part 1). (Financial Markets Group Discussion Papers 430). Financial Markets Group, The London School of Economics and Political Science.
  • Jurczenko, Emmanuel, Maillet, Bertrand, Negrea, Bogdan (2002). Skewness and kurtosis implied by option prices: a second comment. (Financial Markets Group Discussion Papers 419). Financial Markets Group, The London School of Economics and Political Science.
  • Leblanc, B., Renault, Olivier, Scaillet, O. (2000). A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary. Finance and Stochastics, 4(1), 109-111. https://doi.org/10.1007/s007800050007
  • Lotz, Christopher (1998). Locally minimizing the credit risk. (Financial Markets Group Discussion Papers 281). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Mencia, Javier, Leon, Angel, Sentana, Enrique (2007). Parametric properties of semi-nonparametric distributions, with applications to option valuation. (Financial Markets Group Discussion Papers 597). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Norberg, Ragnar (2005). Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and Stochastics, 9(4), 519-537. https://doi.org/10.1007/s00780-005-0157-8
  • Prigent, Jean-Luc, Renault, Olivier, Scaillet, Olivier (2000). An auto-regressive conditional binomial option pricing model. (Financial Markets Group Discussion Papers 364). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
  • Schonbucher, Philipp (1997). Term structure modelling of defaultable bonds. (Financial Markets Group Discussion Papers 272). Financial Markets Group, The London School of Economics and Political Science. picture_as_pdf
    • Geography and Environment
  • Taschini, Luca (2010). Environmental economics and modeling marketable permits. (Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment 25). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment.
    • Grantham Research Institute
  • Grüll, Georg, Taschini, Luca (2010). A comparison of reduced-form permit price models and their empirical performances. (Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment 33). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment.
  • Taschini, Luca (2010). Environmental economics and modeling marketable permits. (Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment 25). Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment.
  • Taschini, Luca (2020). Flexibility premium of emissions permits. Journal of Economic Dynamics and Control, https://doi.org/10.1016/j.jedc.2020.104013
    • India Observatory
  • Ahmad, Wasim, Kutan, Ali M., Gupta, Smarth (2021). Black swan events and COVID-19 outbreak: sector level evidence from the US, UK, and European stock markets. International Review of Economics and Finance, 75, 546 - 557. https://doi.org/10.1016/j.iref.2021.04.007
    • LSE
  • Parsons, John E. (2010). Black gold and fool's gold: speculation in the oil futures market. Economía, 10(2), 81 - 116. https://doi.org/10.1353/eco.2010.0000 picture_as_pdf
  • Soner, H. Mete, Cetin, Umut, Touzi, Nizar (2010). Option hedging for small investors under liquidity costs. Finance and Stochastics, 14(3), 317-341. https://doi.org/10.1007/s00780-009-0116-x
    • Law School
  • Perez, Pedro Gurrola, Murphy, David (2025). The impulsive approach to procyclicality: measuring the reactiveness of risk-based initial margin models to changes in market conditions using impulse response functions. Borsa Istanbul Review, 25(6), 1166 - 1182. https://doi.org/10.1016/j.bir.2025.06.006 picture_as_pdf
    • Mathematics
  • Gapeev, Pavel V. (2019-03-06 - 2019-03-08) Perpetual dual American barrier options for short sellers [Paper]. 14th Workshop on Stochastic Models, Statistics and their Application, Technical University of Dresden, Dresden, Germany, DEU. picture_as_pdf
  • Gapeev, Pavel V., Kort, Peter M., Lavrutich, Maria N., Thijssen, Jacco J. J. (2022). Optimal double stopping problems for maxima and minima of geometric Brownian motions. Methodology and Computing in Applied Probability, 24(2), 789 - 813. https://doi.org/10.1007/s11009-022-09959-w picture_as_pdf
  • Kardaras, Constantinos, Ruf, Johannes (2020). Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24(4), 871 - 901. https://doi.org/10.1007/s00780-020-00435-2 picture_as_pdf
  • Rodosthenous, Neofytos, Zervos, Mihail (2017). Watermark options. Finance and Stochastics, 21(1), 157-186. https://doi.org/10.1007/s00780-016-0319-x
    • STICERD
  • Décamps, Jean-Paul, Faure-Grimaud, Antoine (2002). Excessive continuation and dynamic agency costs of debt. European Economic Review, 46(9), 1623 - 1644. https://doi.org/10.1016/S0014-2921(02)00242-8
    • Statistics
  • Campi, Luciano, Laachir, Ismail, Martini, Claude (2017). Change of numeraire in the two-marginals martingale transport problem. Finance and Stochastics, 21(2), 471-486. https://doi.org/10.1007/s00780-016-0322-2
  • Cetin, Umut, Hok, Julien (2024). Speeding up the Euler scheme for killed diffusions. Finance and Stochastics, 28(3), 663 - 707. https://doi.org/10.1007/s00780-024-00534-4 picture_as_pdf
  • Dassios, Angelos, Jang, Jiwook, Zhao, Hongbiao (2019). A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. Risks, 7(4). https://doi.org/10.3390/risks7040103 picture_as_pdf
  • Dassios, Angelos, Zhang, You You (2016). The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing. Finance and Stochastics, 20, 773-804. https://doi.org/10.1007/s00780-016-0302-6
  • Gambara, Matteo, Livieri, Giulia, Pallavicini, Andrea (2025). Machine-learning regression methods for American-style path-dependent contracts. Quantitative Finance, 25(6), 895 - 918. https://doi.org/10.1080/14697688.2025.2517272 picture_as_pdf
  • Kardaras, Constantinos, Robertson, Scott (2017). Continuous-time perpetuities and time reversal of diffusions. Finance and Stochastics, 21(1), 65-110. https://doi.org/10.1007/s00780-016-0308-0
  • Kardaras, Constantinos, Ruf, Johannes (2020). Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24(4), 871 - 901. https://doi.org/10.1007/s00780-020-00435-2 picture_as_pdf
  • Norberg, Ragnar (2005). Anomalous PDEs in Markov chains: Domains of validity and numerical solutions. Finance and Stochastics, 9(4), 519-537. https://doi.org/10.1007/s00780-005-0157-8
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2023). Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74(3), 647 - 665. https://doi.org/10.1080/01605682.2022.2077660 picture_as_pdf
  • Rheinlander, Thorsten (2005). An entropy approach to the Stein and Stein model with correlation. Finance and Stochastics, 9(3), 399-413. https://doi.org/10.1007/s00780-004-0149-0