130 IDIOSYNCRATIC RISK, SYSTEMATIC RISK AND STOCHASTIC VOLATILITYDelbaen, F. and Schachermayer, W. (1996) “The Variance-Optimal Martingale Measure
for Continuous processes”,Bernoulli, 2(1): 81–105.
Delianedis, G. and Geske, R. (2001) “The Components of Corporate Credit Spreads:
Default, Recovery, Tax, Jumps, Liquidity and Market Factors”, Working Paper No.
22-01, University of California, Los Angeles.
Duque, J. and Lopes, P.P.T. (2003) “Maturity and Volatility Effects on Smiles or Dying
Smiling?”,Portuguese Economic Journal, 2(3): 173–93.
Eberlein, E., Kallsen, J. and Kristen, J. (Winter 2002/2003) “Risk Management Based on
Stochastic Volatility”,Journal of Risk, 5(2): 19–44.
El Karoui, N., Jeanblanc, M. and Shreve, S.E. (1998) “Robustness of the Black Scholes
Formula”,Mathematical Finance, 8(2): 93–126.
Elton, E.J., Gruber, M.J., Agrawal, D. and Mann, C. (2001) “Explaining the Rate Spread
on Corporate Bonds”,Journal of Finance, 56(1): 247–77.
Eom, J.H., Helwege, J. and Huang, J.-Z. (2004) “Structural Models of Corporate Bond
Pricing: An Empirical Analysis”,Review of Financial Studies, 17(2): 499–544.
Ericsson, J. and Renault, O. (2003) “Liquidity and Credit Risk”, Working Paper No. 895,
EFA Annual Conference, Glasgow.
Fama, E.F. and French, K.R. (1989) “Business Conditions and Expected Returns on Stocks
and Bonds”,Journal of Financial Economics, 25(1): 23–49.
Föllmer, H. and Schweizer, M. (1991) “Hedging of Contingent Claims Under Incomplete
Information”, in M. Davis and R. Elliott (eds),Applied Stochastic Analysis, pp. 389–414
(New York: Gordon & Breach).
Frey, R. and McNeil, A.J. (2001) “Modelling Dependent Defaults”, Technical Report,
Federal Institute of Technology, ETH Zurich,Journal of Banking and Finance.
Frey, R. and Sin, C.A. (1999) “Bounds on European Option Prices Under Stochastic
Volatility”,Mathematical Finance, 9(2): 97–116.
Gatfaoui, H. (2003) “Risk Disaggregation and Credit Risk Valuation in a Merton
Framework”,Journal of Risk Finance, 4(3): 27–42.
Gatfaoui, H. and Radacal, F. (2002) “Le Cycle d’Affaires et le Risque de Défaut”,Revue
Finance, Special issue: Financial Mathematics, 23(December): 45–75.
Gemmill, G. (2002) “Testing Merton’s Model for Credit Spreads on Zero-Coupon Bonds”,
Working Paper, Faculty of Finance, City University Business School, London.
Giesecke, K. and Weber, S. (2004) “Cyclical Correlations, Credit Contagion, and Portfolio
Losses”,Journal of Banking & Finance, 28(12): 3009–36.
Goetzmann, W.N. and Kumar, A. (2001) “Equity Portfolio Diversification”. NBER
Working Paper No. 8686.
Gouriéroux, C., Laurent, J.P.P. and Pham, H. (1998) “Mean-Variance Hedging and
Numeraire”,Mathematical Finance, 8(3): 179–200.
Goyal, A. and Santa-Clara, P.P. (2003) “Idiosyncratic Risk Matters!”,Journal of Finance,
58(3): 975–1007.
Hilliard, J.E. and Savickas, R. (2002) “On the Statistical Significance of Event Effects on
Unsystematic Volatility”,Journal of Financial Research, 25(4): 447–62.
Hofmann, N., Platen, E. and Schweizer, M. (1992) “Option Pricing Under Incompleteness
and Stochastic Volatility”,Mathematical Finance, 2(3): 153–87.
Hull, J., Nelken, I. and White, A. (2003) “Merton’s Model, Credit Risk and Volatility
Skews”, Working Paper, University of Toronto.
Hull, J. and White, J. (1987) “The Pricing of Options onAssets with Stochastic Volatilities”,
Journal of Finance, 42(2): 281–300.
Hwang, S. and Satchell, S.E. (2000) “Market Risk and the Concept of Fundamental Volatil-
ity: Measuring Volatility Across Asset and Derivative Markets and Testing for the
Impact of Derivatives Markets on Financial Markets”,Journal of Banking and Finance,
24(5): 759–85.
Jäckel, P.P. (2002)Monte Carlo Methods in Finance(New York, NY: John Wiley & Sons).