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2001


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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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