Central Bank Research Hub - JEL classification G13: Contingent Pricing; Futures Pricing

Title Author(s)

Tail comovement in option-implied inflation expectations as an indicator of anchoring

Bank of Italy Working Papers [View] (Paper: 1025, 21.07.2015)

JEL: C14, C58, E31, E44, G13

Default near-the-default-point: the value of and the distance to default

Bank of Spain Working Papers [View] (Paper: 1514, 12.06.2015)

JEL: G13, G21, G28, G33

Volatility-related exchange traded assets: an econometric investigation

Bank of Spain Working Papers [View] (Paper: 1510, 13.04.2015)

JEL: G13

A joint affine model of commodity futures and US Treasury yields

Bank of England Working papers [View] (Paper: wp526, 06.03.2015)

JEL: E43, G13, Q40

Option-Implied Term Structures

New York Fed Staff reports [View] (Paper: 706, 29.12.2014)

JEL: C12, C14, C58, G12, G13, G17

On a new class of barrier options

Bank of Mexico Working Papers [View] (Paper: 2014-23, 03.12.2014)

JEL: G10, G12, G13

The Collateral Costs of Clearing

Swiss National Bank Working Papers [View] (Paper: 2014-04, 04.11.2014)

JEL: D53, D82, G13, G14, G18, G20, G28

Generating Options-Implied Probability Densities to Understand Oil Market Events

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1122, 04.11.2014)

JEL: C13, G13, G14

Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Deutsche Bundesbank Discussion Papers [View] (Paper: 24/2014, 17.10.2014)

JEL: C58, E31, E44, G13

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2014-58, 14.08.2014)

JEL: G12, G13

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