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JEL Code: G13
1,868,524 Total downloads
Showing Papers 3,801 - 3,850 of 4,954
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Option Pricing with Stochastic Volatility: A Closed-form Solution Using the Fourier Transform EFMA 2002 London Meetings
Bogdan Negrea
Date Posted: July 29, 20021556 downloads
Common Asset Pricing Factors in Volatilities and Returns in Futures Markets Journal of Banking and Finance, Forthcoming
Akhtar R. Siddique
Date Posted: July 25, 2002
Dynamic Capital Structure with Callable Debt and Debt Renegotiations EFA 2000 London Meetings
Peter O. Christensen ,
David Lando ,
Christian Riis Flor and
Kristian R. Miltersen
Date Posted: July 24, 2002621 downloads
Economic Evaluation of the Mediterranean Dead Sea Project: An Application of Real Options Theory
Adrian Otoiu and
Edwin H. Neave
Date Posted: July 24, 2002385 downloads
Design and Estimation of Quadratic Term Structure Models ISB Working Paper No. 2002-3
Markus Leippold and
Liuren Wu
Date Posted: July 20, 2002502 downloads
What Do Practitioners Want? Journal of Applied Finance, Vol. 12, Iss. 1, Spring/Summer 2002
Thomas E. Copeland
Date Posted: July 16, 2002
Mortgage Contracts, Strategic Options and Stochastic Collateral Journal of Real Estate Finance and Economics, Vol. 24, No. 1 & 2
Robert A. Jones
and
David B. Nickerson
Date Posted: June 30, 2002
Pricing the Risk of Recovery in Default with APR Violation Journal of Banking and Finance, Forthcoming
Haluk Unal ,
Levent Guntay and
Dilip B. Madan
Date Posted: June 26, 2002
A Simple Exponential Model for Dependent Defaults
Kay Giesecke
Date Posted: June 25, 2002388 downloads
Empirical Testing of the Samuelson Hypothesis: An Application to Futures Markets in Australia, Singapore and the UK Edith Cowan University Working Paper
David E. Allen and
Stuart N. Cruickshank
Date Posted: June 25, 2002371 downloads
Common Correlation Structures for Calibrating the LIBOR Model ISMA Centre Finance Discussion Paper No. 2002-18
Carol Alexander
Date Posted: June 24, 20021998 downloads
Option Betas
Nicole Branger
and
Christian Schlag
Date Posted: June 22, 2002308 downloads
An Investigation of the Lead-Lag Relationship in Returns and Volatility between Cash and Stack Index Futures: The Case of Greece EFMA 2002 London Meetings
Ilias Visvikis
,
Panayotis Alexakis and
Manolis G. Kavussanos
affiliation not provided to SSRN
,
Athens Stock Exchange
and
Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: June 20, 2002710 downloads
Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets EFMA 2002 London Meetings
Anurag Gupta and
Marti G. Subrahmanyam
Date Posted: June 20, 2002841 downloads
An Analysis of Private Loan Guarantee Portfolios EFMA 2002 London Meetings
M. Michel Gendron
,
Van Son Lai and
Issouf Soumaré
Date Posted: June 19, 2002340 downloads
Does Frequent Trading Always Improve Liquidity? EFMA 2002 London Meetings
Philip Y. K. Cheng
,
Saji Gopinath and
Chandrasekhar Krishnamurti
Date Posted: June 19, 2002305 downloads
Summary Statistics of Implied Probability Density Functions and their Properties EFMA 2002 London Meetings
Damien P.G. Lynch
and
Nikolaos Panigirtzoglou
Date Posted: June 19, 2002239 downloads
Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier EFMA 2002 London Meetings
Franck Moraux
Date Posted: June 19, 2002445 downloads
Valuation of Defaultable Claims - A Survey Schmalenbach Business Review (sbr) - www.sbr-online.de, Vol. 54, January 2002
Marliese Uhrig-Homburg
Date Posted: June 17, 2002526 downloads
International Asset Allocation: A New Perspective Journal of Banking and Finance, Forthcoming
Abraham Lioui and
Patrice Poncet
Date Posted: June 14, 2002
Heterogeneity of Investors and Asset Pricing on a Risk-Value World EFMA 2002 London Meetings
Guenter Franke and
Martin Weber
Date Posted: June 13, 2002232 downloads
Richardson Extrapolation Techniques for the Pricing of American-Style Options EFMA 2002 London Meetings
San-Lin Chung ,
Chuang-Chang Chang and
Richard C. Stapleton
Date Posted: June 12, 2002458 downloads
Volatility Trade Design
Louis H. Ederington and
J. Scott Chaput
Date Posted: June 12, 2002772 downloads
The Intraday Relation Between NYSE and CBOE Prices Forthcoming in Journal of Financial Research
Brian C. Hatch
Date Posted: June 10, 2002
Loan Guarantee Portfolios and Joint Loan Guarantees with Stochastic Interest Rates EFMA 2002 London Meetings
Chuang-Chang Chang and
San-Lin Chung
Date Posted: June 10, 2002209 downloads
Staging of Venture Capital Investment: A Real Options Analysis EFMA 2002 London Meetings
Yaowen Hsu
Date Posted: June 06, 20022191 downloads
The Effect of Oil and Gas Producers' FRR No. 48 Disclosures on Investors' Risk Assessments
Daniel B. Thornton
Date Posted: June 05, 2002293 downloads
A Mean-Reverting Stochastic Volatility Option-Pricing Model With An Analytic Solution EFMA 2002 London Meetings
Henrik Andersson
Date Posted: May 27, 2002836 downloads
Attraction of Investments in Power Generation and the Brazilian Regulatory Framework Rio de Janeiro: IPEA Working Paper No. 822
Ajax R. Moreira ,
Katia Rocha
and
Pedro A.M-S. David
Date Posted: May 27, 2002106 downloads
Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy CEPR Discussion Paper No. 3328
Jennifer N. Carpenter and
Viral V. Acharya
Date Posted: May 21, 200228 downloads
Pricing Credit Derivatives with Rating Transitions CEPR Discussion Paper No. 3329
Viral V. Acharya ,
Sanjiv Ranjan Das and
Rangarajan K. Sundaram
Date Posted: May 21, 200242 downloads
Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments Cass Business School Research Paper
Gaurav S. Amin
Date Posted: May 20, 20021112 downloads
A Model for Pricing Stocks and Bonds with Default Risk Yale ICF Working Paper No. 02-13
Harry Mamaysky
Date Posted: May 13, 20023479 downloads
Pricing Catastrophe Insurance Derivatives Financial Markets Group Discussion Paper No. 400
Alexander Muermann
Date Posted: May 07, 2002574 downloads
Proven Ways to Increase Share Value Journal of Applied Finance, Vol. 12, Iss. 1, Spring/Summer
Andrew H. Chen ,
James A. Conover and
John Kensinger
Date Posted: May 07, 2002
Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling FAME Research Working Paper No. 43
Michael S. Westphalen
Date Posted: May 07, 2002165 downloads
Pricing and Hedging Guaranteed Annuity Options Via Static Option Replication Insurance: Mathematics and Economics, Vol. 33, No. 2, 2003
Antoon Pelsser
Date Posted: May 01, 2002Last Revised: May 08, 2011328 downloads
Stock Options for Undiversified Executives Journal of Accounting & Economics, Vol. 33, No. 2, April 2002
Brian J. Hall and
Kevin J. Murphy
Date Posted: April 30, 2002
Parsimonious Estimation of Credit Spreads
Rainer Jankowitsch
and
Stefan Pichler
Date Posted: April 28, 2002494 downloads
A Model For Pricing Stocks and Bonds Yale ICF Working Paper No. 02-10
Harry Mamaysky
Date Posted: April 24, 20021790 downloads
The Subjective and Objective Evaluation of Incentive Stock Options Yale ICF Working Paper No. 02-07
Jonathan E. Ingersoll Jr.
Date Posted: April 15, 20021455 downloads
Pricing the Risk of Recovery in Default with APR Violation
Haluk Unal ,
Levent Guntay and
Dilip B. Madan
Date Posted: April 14, 2002244 downloads
The Pricing of Insurance-Linked Securities under Interest Rate Uncertainty The Journal of Risk Finance, Vol. 3, No. 3, Spring 2002
Patrice Poncet and
Victor Vaugirard
Date Posted: April 01, 2002
Mean-Variance Hedging With Limited Capital - A Decomposition Result
Nicole Branger
,
Christian Schlag ,
Angelika Esser
and
Yulia Bondarenko
Date Posted: March 27, 2002196 downloads
An Essay on Financial Innovations: The Case of Instalment Receipts
Narat Charupat and
Eliezer Z. Prisman
Date Posted: March 23, 2002200 downloads
Finite Maturity Caps and Floors on Continuous Flows Journal of Economic Dynamics and Control, Vol. 31, No. 12, pp. 3843-3859, 2007
Mark B. Shackleton and
Rafal M. Wojakowski
Date Posted: March 22, 2002Last Revised: March 09, 2008279 downloads
Risk Disaggregation and Credit Risk Valuation in the Mertonlike Way Journal of Risk Finance, Vol. 4, No. 3, pp. 27-42, 2003, EFMA 2002 London Meetings
Hayette Gatfaoui
Date Posted: March 22, 2002Last Revised: July 22, 2009
Structural Models of Corporate Bond Pricing: An Empirical Analysis EFA 2002 Berlin Meetings
Young Ho Eom ,
Jing-Zhi Huang and
Jean Helwege
Date Posted: March 21, 20022512 downloads
Is Default Event Risk Priced in Corporate Bonds? EFA 2002 Berlin Meetings Presented Paper; University of Amsterdam Working Paper
Joost Driessen
Date Posted: March 20, 20021178 downloads
Model Uncertainty and Liquidity EFA 2002 Berlin Meetings Presented Paper
Bryan Routledge and
Stanley E. Zin
Date Posted: March 20, 2002432 downloads
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