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1,868,526 Total downloads
Showing Papers 2,551 - 2,600 of 4,954
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Barrier-Lookback Options and Target Zone Reserves
Rupert Macey-Dare
Date Posted: May 13, 2007Last Revised: January 31, 2011145 downloads
Modeling Forward Credit Risk - An Options Approach Journal of Fixed Income, Vol. 9, No. 2, pp. 54-61, 1999
C. H. Hui
Date Posted: May 09, 2007110 downloads
Pricing Vulnerable Black-Scholes Options With Dynamic Default Barriers Journal of Derivatives, Vol. 10. No. 4, pp. 62-69, 2003
C. H. Hui ,
C.F. Lo and
H. C. Lee
Date Posted: May 09, 2007150 downloads
Constant Elasticity of Variance Option Pricing Model With Time-Dependent Parameters International Journal of Theoretical and Applied Finance, Vol. 3, No. 4, pp. 661-674, 2000
C.F. Lo ,
P. H. Yuen and
C. H. Hui
affiliation not provided to SSRN
and
Hong Kong Monetary Authority - Research Department
Date Posted: May 08, 2007525 downloads
Effect of Asset Value Correlation on Credit-Linked Note Values International Journal of Theoretical and Applied Finance (2002), Vol.5, No. 5, 455-478
C. H. Hui and
C.F. Lo
Date Posted: May 08, 2007260 downloads
Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
Christian P. Fries
Date Posted: May 08, 2007588 downloads
One-Touch Double Barrier Binary Option Values Applied Financial Economics, Vol. 6, pp. 343-346, 1996
C. H. Hui
Date Posted: May 08, 20071023 downloads
Pricing Barrier Options With Square Root Process International Journal of Theoretical and Applied Finance, Vol. 4, No. 5, pp. 805-818, 2001
C.F. Lo ,
P. H. Yuen and
C. H. Hui
affiliation not provided to SSRN
and
Hong Kong Monetary Authority - Research Department
Date Posted: May 08, 2007207 downloads
Time Dependent Barrier Option Values Journal of Futures Markets, Vol. 17, No. 6, pp. 667-688, 1997
C. H. Hui
Date Posted: May 08, 2007426 downloads
Volatility Clustering in the Greek Futures Market: Curse or Blessing?
Nikolaos L. Hourvouliades
Date Posted: May 08, 2007135 downloads
A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters Quantitative Finance, Vol. 3, No. 2, pp. 98-107, 2003
C.F. Lo ,
H. C. Lee
and
C. H. Hui
Date Posted: May 07, 2007419 downloads
Extended-Gaussian Term Structure Models and Credit Risk Applications
Marco Realdon
affiliation not provided to SSRN
Date Posted: May 07, 2007
Pricing Credit Default Swaps Using Preference-Free Multifactor Affine and Quadratic Models
Natalia Beliaeva
,
Sanjay K. Nawalkha and
Gloria M. Soto
Date Posted: May 07, 2007Last Revised: July 21, 2011
Pricing Eurodollar/Euribor Futures Using Preference-Free Multifactor Affine and Quadratic Models
Natalia Beliaeva
,
Sanjay K. Nawalkha and
Gloria M. Soto
Date Posted: May 07, 2007Last Revised: July 21, 2011
Valuation of Financial Derivatives with Time-Dependent Parameters: Lie-Algebraic Approach Quantitative Finance, Vol. 1, No. 1, pp. 73-78, 2001
C.F. Lo and
C. H. Hui
Date Posted: May 07, 2007222 downloads
Pricing and Capital Requirements for With Profit Contracts: Modelling Considerations
Laura Ballotta
Date Posted: May 03, 2007163 downloads
A Multifactoral Cross-Currency LIBOR Market Model With a FX Volatility Skew
Wolfgang Benner
and
Lyudmil Zyapkov
Date Posted: May 02, 2007625 downloads
Dynamic Equilibrium Valuation of Electricity Futures
Wolfgang Bühler and
Jens Müller-Merbach
Date Posted: May 02, 2007298 downloads
Valuation Model of Defaultable Bond Values in Emerging Markets Asia-Pacific Financial Markets, Vol. 9, No. 1, pp. 45-60, 2002
C. H. Hui and
C.F. Lo
Date Posted: May 02, 2007150 downloads
Valuation of Electricity Futures: Reduced-Form vs. Dynamic Equilibrium Models Mannheim Finance Working Paper No. 2007-07
Wolfgang Bühler and
Jens Müller-Merbach
Date Posted: May 02, 2007Last Revised: July 06, 2009364 downloads
Measuring Provisions for Collateralised Retail Lending Journal of Economics and Business, Vol. 58, pp. 343-361, 2006
C. H. Hui ,
C.F. Lo ,
T. C. Wong and
P. K. Man
Date Posted: May 01, 2007116 downloads
A Contingent Claims Analysis of the Interest Rate Risk Characteristics of Corporate Liabilities Financial Management Association International Annual Meeting, October 1995, New York
Sanjay K. Nawalkha
Date Posted: April 30, 2007218 downloads
A Study of Castorseed Futures Market in India
Kiran Karande
Date Posted: April 30, 2007452 downloads
Benchmarking Model of Default Probabilities of Listed Companies Journal of Fixed Income, Vol. 15, No. 2, pp. 76-86, 2006
C. H. Hui ,
T. C. Wong ,
C.F. Lo and
M. X. Huang
Date Posted: April 30, 2007299 downloads
Convexity, Risk, and Returns
Nelson Lacey and
Sanjay K. Nawalkha
Date Posted: April 30, 2007733 downloads
Pricing Corporate Bonds With Dynamic Default Barriers Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
C. H. Hui ,
C.F. Lo and
S. W. Tsang
affiliation not provided to SSRN
Date Posted: April 30, 2007170 downloads
The Duration Vector: a Continuous-Time Extension to Default-Free Interest Rate Contingent Claims
Sanjay K. Nawalkha
Date Posted: April 30, 2007229 downloads
Convertible Securities, Employee Stock Options and the Cost of Equity Financial Review, Vol. 42, No. 2, May 2007
Phillip R. Daves and
Michael Ehrhardt
Date Posted: April 26, 2007
Currency Barrier Option Pricing With Mean Reversion Journal of Futures Markets, Vol. 26, No. 10, pp. 939-958, January 2006
C. H. Hui and
C.F. Lo
Date Posted: April 26, 2007357 downloads
Are Corporates' Target Leverage Ratios Time-Dependent? International Review of Financial Analysis, Vol. 15, pp. 220-236, 2006
C. H. Hui ,
C.F. Lo and
M. X. Huang
Date Posted: April 25, 2007112 downloads
Option Pricing When Correlations are Stochastic: An Analytical Framework
José Da Fonseca ,
Martino Grasselli
and
Claudio Tebaldi
Date Posted: April 24, 20071050 downloads
Delayed Default Dependency and Default Contagion
B.S. Balakrishna
Date Posted: April 19, 200787 downloads
Returns and Volatility Spillovers in the Currency Futures Markets: The Case of the German Mark and the Japanese Yen
Wan Mansor Mahmood
Date Posted: April 19, 2007191 downloads
Nonlinear Dependence and Conditional Heteroscedasticity: A Notes from Malaysian Daily Stock Returns
Wan Mansor Mahmood and
Ioannis Asimakopoulos
Date Posted: April 18, 200797 downloads
The Banks Daily Stock Returns Volatility and the Information Role of Trading Volume: Evidence from the Kuala Lumpur Stock Markets
Wan Mansor Mahmood
Date Posted: April 18, 2007123 downloads
Hedging Contingent Claims with Constrained Portfolios and Nonlinear Wealth Dynamics
Dirk Ebmeyer
Date Posted: April 17, 200791 downloads
Are Workers' Enterprises Entry Policies Conventional FEEM Working Paper No. 31.2007
Michele Moretto and
Gianpaolo Rossini
Date Posted: April 15, 200724 downloads
Perspectives: Interest Rate Swaps - Accounting vs. Economics Financial Analysts Journal, Vol. 63, No. 2, p. 15, 2007
Ira G. Kawaller
Date Posted: April 15, 2007
Intraday Trading Patterns and Day-of-the-Week in Stock Index Options Markets: Evidence from Emerging Markets Journal of Financial Management and Analysis, Vol. 19, No. 2, July-December 2006
Min-Hsien Chiang ,
Tsai-Yin Lin
,
CHING-MANN HUANG
and
Yun Lin
Date Posted: April 13, 2007
Comparison of the Effectiveness of Option Price Forecasting: Black-Scholes vs. Simple and Hybrid Neural Networks Journal of Financial Management and Analysis, Vol. 19, No. 2, July-December 2006
Alex Faseruk
and
Lev Blynski
Date Posted: April 12, 2007
The Economic Determinants of Interest Rate Option Smiles
Prachi Deuskar
,
Anurag Gupta and
Marti G. Subrahmanyam
Date Posted: April 12, 2007289 downloads
Arbitrage and Equilibrium Foundations of the Duration Risk Measure
Sanjay K. Nawalkha
Date Posted: April 09, 2007286 downloads
Fair Valuation of Participating Life Insurance Contracts with Jump Risk Geneva Risk and Insurance Review, Vol 33, No. 2, p.106-136, 2008
Olivier Le Courtois and
Francois Quittard-Pinon
Date Posted: April 05, 2007Last Revised: December 26, 2010299 downloads
Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees
Mark S. Joshi
Date Posted: April 03, 2007Last Revised: February 14, 2008890 downloads
Mathematical Finance Introduction to Continuous Time Financial Market Models
Christian-Oliver Ewald
Date Posted: April 02, 200710677 downloads
The Discount Rate for Discounted Cash Flow Valuations of Intangible Assets
Rudolf Stegink
,
Marc Schauten and
Gijs de Graaff
Date Posted: April 02, 20071748 downloads
A Unified Theory of Ten Financial Puzzles 9th Annual Texas Finance Festival
Xavier Gabaix
Date Posted: April 01, 20071161 downloads
Gigi Model: A Simple Stochastic Volatility Approach for Multifactor Interest Rates
Roberto Baviera
Date Posted: April 01, 2007229 downloads
Intertemporal asset pricing and the marginal utility of wealth Journal of Mathematical Economics, Vol. 47, No. 2, 2011
Anna Battauz ,
Marzia De Donno
and
Fulvio Ortu
Date Posted: April 01, 2007Last Revised: February 16, 201259 downloads
Option-Pricing in Incomplete Markets: The Hedging Portfolio Plus a Risk Premium-Based Recursive Approach
Alfredo Ibanez
Date Posted: March 31, 2007
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