2001
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Paper Details |
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| 01-119 | Gianluca Fusai and Christina Recchioni Numerical Valuation of Discrete Barrier Options |
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| 01-118 | Mark Wong and Stewart Hodges A Reduced-form Model Incorporating Fundamental Variables |
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| 01-117 | Stewart Hodges and Chien-Hui Liao On the Time Variation of the Market Risk Premuim |
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| 01-116 | Vicky Henderson Valuation of Claims on Non Traded Assets using Utility Maximisation |
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| 01-115 | Robert G Tompkins Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation |
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| 01-114 | Mark C Wong and Stewart Hodges Pricing of Defaultable Coupon Bonds Under a Jump-Diffusion Process |
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| 01-113 | Vicky Henderson, David Hobson and Glenn Kentwell A New Class of Commodity Hedging Strategies: A Passport Options Approach. In: Forthcoming in International Journal of Theoretical and Applied Finance. |
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| 01-112 | Soosung Hwang and Steve Satchell GARCH Model with Cross-sectional Volatility; GARCHX Models |
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| 01-111 | Jerry Coakley and Ana-Maria Fuertes The Felsdtein-Horioka Puzzle is Not as Bad as You Think |
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| 01-110 | Eric Bouyé and Nicolas Gaussel and Mark Salmon Investigating Dynamic Dependence Using Copulae |
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| 01-109 | Jerry Coakley, Ana-Maria Fuertes and Maria-Teresa Perez Numerical Issues in Threshold Autoregressive Modelling of Time Series |
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| 01-108 | Soosung Hwang and Mark Salmon An Analysis of Performance Measures Using Copulae |
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| 01-107 | Massimiliano Marcellino and Mark Salmon Robust Decision Theory and the Lucas Critique |
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| 01-106 | Eric Bouyé Multivariate Extremes at Work for Portfolio Risk Measurement |
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| 01-105 | George A. Christodoulaki Co-Volatility and Correlation Clustering: A Multivariate Correlated ARCH Framework |
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| 01-104 | Jerry Coakley and Ana-Maria Fuertes Rethinking the Forward Premium Puzzle in a Non-linear Framework |
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| 01-103 | Soosung Hwang and Steve E. Satchell The Asset Allocation Decision in a Loss Aversion World |
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| 01-102 | Jerry Coakley and Ana-Maria Fuertes and Ron Smith Small Sample Properties of Panel Time-series Estimators with I(1) Errors |
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| 01-101 | Richard A. Lewin and Steve E Satchell The Derivation of New Model of Equity Duration |
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| 01-100 | Soosung Hwang and Steve Satchell Tracking Error: Ex-Ante versus Ex-Post Measures |
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| 01-99 | Soosung Hwang and Mark Salmon A New Measure of Herding and Empirical Evidence |
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| 01-98 | F. Critchley, P. Marriott and Mark Salmon On Preferred Point Geometry in Statistics |
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| 01-97 | E. Bouyé, V. Durrleman, A. Nikeghbali, G. Riboulet and T. Roncalli Copulas: an Open Field for Risk Management |
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