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03-128 Peter Weigel
Implied Kernel Models

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03-127 Peter Weigel
A Note on Optimal Calibration of the Libor Market Model to the Correlations

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03-126 Gianluca Fusai, Emanuele Amerio and Antonio Vulcano
Pricing of Implied Volatility Derivatives

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03-125 Stewart D. Hodges, Robert G. Tompkins and William T. Ziemba
The Favorite/Long-shot Bias in S&P 500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance

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03-124 Iliana Anagnou, Mascia Bedendo, Stewart Hodges and Robert Tompkins
Forecasting Accuracy of Implied and GARCH-Based Probability Density Functions

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03-123 Vasiliki D. Skintzi, George Skiadopoulos and Apostolos-Paul N. Refenes
The Effect of Mis-Estimating of Correlation on Value-at-Risk.
In: The Journal of Alternative Investments, Spring 2005, Vol. 7, No. 4: pp. 66-82.

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03-122 Iliana Anagnou-Basioudis and Stewart Hodges
Derivatives Hedging and Volatility Errors

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03-121 Eric Bouyé and Mark Salmon
Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets

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