References

Ahmad, R., and P. Wilmott. 2005. Which Free Lunch Would You Like Today, Sir? Wilmott, November, 64-79.

Ahoniemi, K. 2006. Modeling and Forecasting Implied Volatility: An Econometric Analysis of the VIX Index. Discussion Paper 129, Helsinki Center of Economic Research.

Ait-Sahalia, Y., P. Mykland, and L. Zhang. 2005. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. Review of Financial Studies 18:351-416.

Alexander, C. 2001a. Market Models: A Guide to Financial Data Analysis. London: John Wiley & Sons.

Alexander, C. 2001b. Taming the skew. Futures and Options World 367:60-65. Amir, E., and Y. Ganzach. 1998. Overreaction and Underreaction in Analysts' Forecasts. Journal of Economic Behavior and Organization 37:333-347. Andersen, E. D., and A. Damgaard. 1999. Utility Based Option Pricing with Proportional Transaction Costs and Diversification Problems: An Interior-Point Optimization Approach. Applied Numerical Mathematics 29: 395-422.

Arkes, H. R. 1981. Hindsight Bias Among Physicians Weighing the Likelihood of Diagnoses. Journal of Applied Psychology 66:252-254.

Baird, A. J. 1992. Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets. New York: John Wiley & Sons.

Bakshi, G., and N. Kapadia. 2003. Delta-Hedged Gains and the Negative Market Volatility Premium. Review of Financial Studies 16:527-566.

Barberis, N., M. Huang, and T. Santos. 2001. Prospect Theory and Asset Prices. Quarterly Journal of Economics 116:1-53.

BARRA. 1997. Market Impact Model Handbook. Berkeley: BARRA Inc. Barton, D., and K. Dennis. 1952. The Conditions Under Which Gram-Charlier and Edgeworth Curves are Positive, Definite and Unimodal. Biometrika 39:425-427. Bernard, V. 1993. Stock Price Reaction to Earnings Announcements: A Summary of Recent Anomalous Evidence and Possible Explanations. Advances in Behavioral Finance, ed. R. Thaler. New York: Russell Sage Foundation.

Blank, H., V. Fischer, and E. Erdfelder. 2003. Hindsight Bias in Political Elections. Memory 11:491-504.

Boguslavsky, M., and E. Boguslavskaya. 2004. Arbitrage Under Power. Risk, June, 69-73.

Bollerslev, T. 1986. Generalized Auto-Regressive Conditional Heteroskedasticity. Journal of Econometrics 31:307-327.

Bondarenko, O. 2003. Why Are Put Options So Expensive? Working paper, University of Illinois, Chicago.

Brandt, M. W., and J. Kinlay. 2005. Estimating Historical Volatility. Research article, Investment Analytics. http://www.investment-analytics.com/files/Articles/ Brandt%20and%20Kinlay%20%20Estimating%20Historical%20Volatility%20v1.2%20 June%202005.pdf.

Brenner, M., and M. Subrahmanyam. 1994. A Simple Approach to Option Valuation and Hedging in the Black-Scholes Model. Financial Analysts Journal 50:25-28. Britten-Jones, M., and A. Neuberger. 2000. Option prices, Implied Price Processes, and Stochastic Volatility. Journal of Finance 55:839-866.

Brooks, C., and M. Oozeer. 2002. Modeling the Implied Volatility of Options on Long Gilt Futures. Journal of Business, Finance and Accounting 29:111-137.

Brown, A. 2002. Green Eggs and Kelly. http://www.wilmott.com/detail.cfm?articleID =122.

Browne, S. 1999. Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management. Advances in Applied Probability 31:551577.

Browne, S. 2000. Can You Do Better than Kelly in the Short Run? In Finding the Edge: Mathematical Analysis of Casino Games, ed. O. Vancura, J. Cornelius, and W. R. Eadington, 215-231. Reno, NV: University of Nevada, Reno Bureau of Business.

Bryant, F. B., and J. H. Brockway. 1997. Hindsight Bias in Reaction to the Verdict in the O. J. Simpson Criminal Trial. Basic and Applied Social Psychology 19: 225-241.

Burghart, G., and M. Lane. 1990. How to Tell If Options Are Cheap. Journal of Portfolio Management 16:72-78.

Capocci, D. 2007. The Sustainability in Hedge Fund Performance: New Insights. Working paper, HEC-ULg Management School, University of Liege, France. Carr, P. 1999. FAQ's in Option Pricing Theory. Working paper. Carr, P., K. Ellis, and V. Gupta. 1998. Static Hedging of Exotic Options. Journal of Finance 53:1165-1190.

Carr, P., and D. Madan. 1998. Towards a Theory of Volatility Trading. In Volatility: New Estimation Techniques for Pricing Derivatives. London: Risk Books. Carr, P., and L. Wu. 2006. A Tale of Two Indices. Journal of Derivatives 13:13-29. Chan, L. K., N. Jegadeesh, and J. Lakonishok. 1996. Momentum Strategy. Journal of Finance 51:1681-1714.

Chapman, S. 2007. The Kelly Criterion for Spread Bets. IMA Journal of Applied Mathematics 72:43-51.

Christie, S. 2005. Is the Sharpe Ratio Useful in Asset Allocation? Research paper, Macquarie Applied Finance Centre.

Clark, P. K. 1973. Subordinated Stochastic Process Model with Finite Variance for Speculative Prices. Econometrica 41:135-155.

Cont, R., and J. da Fonseca. 2002. Dynamics of Implied Volatility Surfaces. Quantitative Finance 2:45-60.

Corrado, C., and T. Su. 1996. Skewness and Kurtosis in S&P 500 Index Returns Implied by Option Prices. Journal of Financial Research 19:175-192. Cosmides, L., and J. Tooby. 1996. Are Humans Good Intuitive Statisticians After All? Rethinking Some Conclusions from the Literature on Judgment Under Uncertainty. Cognition 58:1-73.

Coval, J., and T. Shumway. 2001. Expected Option Returns. Journal of Finance 56:983-1009.

Davis, M. H. A., V. G. Panas, and T. Zariphopoulou. 1993. European Option Pricing with Transaction Costs. Society for Industrial and Applied Mathematics Journal of Control and Optimisation 31:470-493.

Demeterfi, K., E. Derman, M. Kamal, and J. Zou. 1999. More Than You Ever Wanted to Know About Volatility Swaps. Quantitative Strategies Research Notes. Goldman Sachs.

Derman, E., and M. Kamal. 1997. The Patterns of Change in Implied Index Volatilities. Quantitative Strategies Research Notes. Goldman Sachs. Dimson, E., P. Marsh, andM. Staunton. 2002. Triumph of the Optimists: 101 Years of Global Investment Returns. Princeton, NJ: Princeton University Press.

Ding, Z., and C. W. J. Granger. 1996. Modeling Volatility Persistence of Speculative Returns: A New Approach. Journal of Econometrics 73:185-215.

Dupire, B. 2006. Fair Skew: Break-Even Volatility Surface. Working paper, Bloomberg L.P.

Elstein, A. S. 1999. Heuristics and Biases: Selected Errors in Clinical Reasoning.

Academic Medicine 74:791-794.

Engle, R. F. 1982. Auto-Regressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 5:987-1008. Engle, R. F., and G. G. L. Lee. 1999. A Long-Run and Short-Run Component Model of Stock Return Volatility. In Cointegration, Causality, and Forecasting, ed. R. F. Engle and H. White. Oxford, U.K.: Oxford University Press.

Ethier, S. 1996. A Gambling System and a Markov Chain. Annals of Applied Probability 6:1248-1259.

Festinger, L. 1957. A Theory of Cognitive Dissonance. Stanford, CA: Stanford University Press.

Garman, M. B., and M. J. Klass. 1980. On the Estimation of Security Price Volatilities from Historical Data. Journal of Business 53:67-78.

Gatheral, J. 2001. The Merrill Lynch Market Impact Model. Working paper, Merrill Lynch.

Gencay, R., M. Dacorogna, U. A. Muller, and O. Pictet. 2001. An Introduction to High Frequency Finance. London: Academic Press.

Glaser, M., M. Noth, and M. Weber. 2004. Behavioral Finance. In Blackwell Handbook of Judgment and Decision Making, ed. D. J. Koehler and N. Harvey, 527-546. Malden, MA: Blackwell Publishing.

Glosten, L. R., R. Jagannathan, and D. E. Runkle. 1993. On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance 48:1779-1801.

Goncalves, S., and M. Guidolin. 2005. Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface. Working paper, Federal Reserve Bank of St. Louis.

Hafner, R., and M. Wallmeier. 2000. The Dynamics of DAX Implied Volatilities. Working paper, University of Augsburg.

Hansen, P. R., and A. Lunde. 2005. A Comparison of Volatility Models: Does Anything Beat a GARCH (1,1)? Journal of Applied Econometrics 20:873-889.

Hasbrouck, J. 1991. Measuring the Information Content of Stock Trades. Journal of Finance 46:179-207.

Haug, E. 2007a. Derivatives Models on Models. London: John Wiley & Sons. Haug, E. 2007b. The Complete Guide to Option Pricing Formulas. New York: McGraw-Hill.

Helbok, G., and M. Walker. 2004. On the Nature and Rationality of Analysts' Forecasts Under Earnings Conservatism. The British Accounting Review 36:45-77. Henrard, M. 2003. Parameter Risk in the Black-Scholes Model. Working paper, EconWPA, http://ideas.repec.org/p/wpa/wuwpri/0310002.html. Hilton, D. J. 2001. The Psychology of Financial Decision-Making: Applications to Trading, Dealing and Investment Analysis. Journal of Psychology and Financial Markets 2:37-53.

Hodges, S., and A. Neuberger. 1989. Optimal Replication of Contingent Claims Under Transaction Costs. Review of Futures Markets 8:222-239. Hodges, S., and R. Tompkins. 2002. Volatility Cones and Their Sampling Properties.

Journal of Derivatives 10:27-42.

Hua, P., and P. Wilmott. 1999. Crash Modeling, Value at Risk and Optimal Hedging. OFRC Working Paper Series, Oxford Financial Research Centre.

Hull, J. C. 2005. Options, Futures and Other Derivatives, 6th edition. New York: Prentice Hall.

Hurst, H. 1951. Long-Term Storage of Reservoirs. Transactions of the American Society of Civil Engineers 116:770-808.

Jarrow, R., and A. Rudd. 1982. Approximate Option Valuation for Arbitrary Stochastic Processes. Journal of Financial Economics 10:347-369.

Jha, R., and M. Kalimipalli. 2006. The Economic Significance of Conditional Skew-ness Forecasts in Option Markets. Working paper, University of Waterloo.

Jiang, G., and Y. Tian. 2005. The Model-Free Implied Volatility and its Information Content. Review of Financial Studies 18:1305-1342.

Jondeau, E., and M. Rockinger. 1999. Estimating Gram-Charlier Expansions with Positivity Constraints. Working paper, Banque de France.

Jondeau, E., and M. Rockinger. 2001. Gram-Charlier Densities. Journal of Economic Dynamics and Control 25:1457-1483.

Kahneman, D., and A. Tversky. 1971. Belief in the Law of Small Numbers. Psychological Bulletin 76:105-110.

Kahneman, D., and A. Tversky. 1973. On the Psychology of Prediction. Psychology Review 80:237-251.

Kahneman, D., and A. Tversky. 1979. Prospect Theory: An Analysis of Decision Under Risk. Econometrica 47:263-291.

Kahneman, D., and A. Tversky. 1991. Loss Aversion in Riskless Choice: A Reference-Dependent Model. Quarterly Journal of Economics 106:1039-1061.

Kamal, M., and E. Derman. 1999. Correcting Black-Scholes. Risk 12:82-85. Karpoff, J. 1987. The Relation Between Price Changes and Volume: A Survey. Journal of Financial and Quantitative Analysis 22:109-126.

Kazemi, H., Schneeweis, T., and Gupta, R., 2003. "Omega as a Performance Measure," Working paper, Isenberg School of Management, University of Massachusetts, Amherst.

Keating, C., and W. F. Shadwick. 2002. A Universal Performance Measure. Working paper, The Finance Development Centre, London.

Kenney, J. F., and E. S. Keeping. 1951. Mathematics of Statistics, Part 2. 2nd edition. Princeton, NJ: Van Nostrand.

Kruger, J., and D. Dunning. 2005. Unskilled and Unaware of It: How Difficulties in

Recognizing One's Own Incompetence Lead to Inflated Self-Assessments. Journal of Personality and Social Psychology 70:1121-1134.

Leib, J. 1995. Why Kelly is Dead. Dalton's Blackjack Review 4:8-27.

Leland, H. 1985. Option Pricing and Replication with Transaction Costs. Journal of

Finance 40:1283-1302.

Lequex, P. 1999. Financial Markets Tick by Tick. London: John Wiley & Sons. Liu, J., and F. Longstaff. 2004. Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. Review ofFinancial Studies 17:611-641.

Lo, A. 2002. The Statistics of Sharpe Ratios. Financial Analysts Journal 58: 36-52.

Louie, T. A., M. T. Curren, and K. R. Harich. 2000. "I Knew We Would Win": Hindsight Bias for Favorable and Unfavorable Team Decision Outcomes. Journal of Applied Psychology 85:264-272.

Madhavan, A., and S. Smidt. 1991. A Bayesian Model of Intraday Specialist Pricing.

Journal of Financial Economics 30:99-134.

Martellini, L., and P. Priaulet. 2002. Competing Methods for Option Hedging in the

Presence of Transaction Costs. Journal of Derivatives 9:26-38.

McCauley, J. L. 2004. Dynamics of Markets: Econophysics and Finance. Cambridge: Cambridge University Press.

Merton, R.C. 1976. Option Pricing When Underlying Stock Returns are Discontinuous. Journal of Financial Economics 3:125-144. Miller, J. R. www.professionalgambler.com/debunking.html. Mirowski, P. 1989. More Heat Than Light: Economics as Social Physics, Physics as Nature's Economics (Historical Perspectives on Modern Economics). Cambridge: Cambridge University Press.

Nelson, D. B. 1991. Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica 59:347-370.

Panos, G. 1997. Trading the Unemployment Report. Carr Futures Market Insight, February.

Parkinson, M. 1980. The Extreme Value Method for Estimating the Variance of the Rate of Return. Journal of Business 53:61-68.

Peters, E. 1996. Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility. London: John Wiley & Sons.

Poon, S. 2005. A Practical Guide to Forecasting Financial Market Volatility. London: Wiley.

Poteshman, A. 2001. Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market. Journal of Finance 56:851-876.

Poundstone, W. 2005. Fortune's Formula: The Untold Story of the Scientific Betting System that Beat the Casinos and Wall Street. New York: Hill and Wang.

Risher, B. 2004. Working paper, Bear Stearns.

Rogers, L., and S. Satchell. 1991. Estimating Variance from High, Low and Closing Prices. Annals of Applied Probability 1:504-512.

Rogers, L., S. Satchell, and Y. Yoon. 1994. Estimating the Volatility of Stock Prices: A Comparison of Methods that Use High and Low Prices. Applied Financial Economics 4:241-247.

Rubinstein, M. 1998. Edgeworth Binomial Trees. Journal of Derivatives 5:2027.

Russo, J. E., and P. J. H. Shoemaker. 1992. Managing Overconfidence. Sloan Management Review 33:7-17.

Samuelson, P. 1979. Why we Should not Make Mean Log of Wealth Big Though Years to Act are Long. Journal of Banking and Finance 3:305-308. Sato, A.-H., and H. Takayasu. 2002. Derivation of ARCH(1) Process from Market Price Changes Based on Deterministic Microscopic Multi-Agent. In Empirical Science of Financial Fluctuations, ed. H. Takayasu, 172-178. Tokyo: Springer.

Schwert, G. 1989. Why Does Stock Market Volatility Change Over Time? Journal of Finance 44:1115-1153.

Sharpe, W. 1966. Mutual Fund Performance. Journal of Business 39:119-138. Skiadopoulos, G., S. Hodges, and L. Clelow. 2000. The Dynamics of the S&P 500 Implied Volatility Surface. Review of Derivatives Research 3:263-282.

Sortino, F., and L. Price. 1994. Performance Measurement in a Downside Risk Framework. Journal of Investing 3:59-65.

Steenbarger, B. 2002. The Psychology of Trading: Tools and Techniques for Minding the Markets. New York: John Wiley & Sons.

Steenbarger, B. 2006. Enhancing Trader Performance: Proven Strategies from the Cutting Edge of Trading Psychology. New York: John Wiley & Sons. Taleb, N. T. 1997. Dynamic Hedging: Managing Vanilla and Exotic Options. New York: John Wiley & Sons.

Taleb, N. T. 2004. "Blowup" versus "Bleed": What does Empirical Psychology Say about the Preference for Negative Skewness? Journal of Behavioral Finance 5:2-7.

Tauchen, G., and M. Pitts. 1983. The Price Variability-Volume Relationship on Speculative Markets. Econometrica 51:485-505.

Taylor, S. 1986. Modeling Financial Time Series. New York: John Wiley & Sons. Thorpe, E. 1984. The Mathematics of Gambling. Hollywood, CA: Gambling Times. Thorpe, E. 1997. The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market. Paper presented at the 10th International Conference on Gambling and Risk Taking.

Westen, D., C. Kilts, P. Blagov, K. Harenski, and S. Hamann. 2006. The Neural Basis of Motivated Reasoning: An fMRI Study of Emotional Constraints on Partisan Political Judgment during the U.S. Presidential Election of 2004. Journal of Cognitive Neuroscience 18:1947-1958.

Whalley, A. E., and P. Wilmott. 1993. An Asymptotic Analysis of the Davis, Panas and Zariphopoulou Model for Option Pricing with Transaction Costs. Working paper, Oxford Centre for Industrial and Applied Mathematics.

Whalley, A. E., and P. Wilmott. 1994. Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure. Working paper, Oxford Centre for Industrial and Applied Mathematics.

Wilmott, P. 2000. Paul Wilmott on Quantitative Finance. New York: John Wiley & Sons.

Wilson, A. 1965. Casino Gambler's Guide. New York: Harper & Row. Wu, G., and C. Massey. 2004. Understanding Under- and Over-Reaction. In The Psychology of Economic Decisions. Volume 2: Reasons and Choices, ed. Brocas and Carrillo, 15-29. Oxford, UK: Oxford University Press.

Yang, D., and Q. Zhang. 2000. Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices. Journal of Business 73:477-491.

Zakamouline, V. 2005. Dynamic Hedging of Complex Option Positions with Transaction Costs. Working paper, Bodo Graduate School of Business, Norway.

Zakamouline, V. 2006a. Optimal Hedging of Option Portfolios with Transaction Costs. Working paper, Faculty of Economics, Agder University College, Norway.

Zakamouline, V. 2006b. Efficient Analytic Approximation of the Optimal Hedging Strategy for a European Call Option with Transaction Costs. Quantitative Finance 6:435-445.

Zakamouline, V. 2006c. European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs. Journal of Economic Dynamics and Control 30:1-25.

Insiders Online Stocks Trading Tips

Insiders Online Stocks Trading Tips

We Are Not To Be Held Responsible If Your Online Trading Profits Start To Skyrocket. Always Been Interested In Online Trading? But Super-Confused And Not Sure Where To Even Start? Fret Not! Learning It Is A Cakewalk, Only If You Have The Right Guidance.

Get My Free Ebook


Post a comment