Ronald C. Heynen

Bank of America - Market Risk Management

Principal

1 Alie Street

London E1 8DE

United Kingdom

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

1.

Brick by Brick

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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2.

Lookback Options with Discrete and Partial Monitoring of the Underlying Price.

Applied Mathematical Finance, Vol. 2, No. 4, December 1995, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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3.

Selective Memory

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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4.

Discrete Partial Barrier Options with a Moving Barrier

Journal of Financial Engineering, Vol. 5, No. 3, September 1996, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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5.

Crossing Barriers

Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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6.

Pricing and Hedging Power Options

Financial Engineering and the Japanese Market, Vol. 3, No. 3, September 1996, Cass Business School Research Paper
Posted: 01 Jun 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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7.

Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and Egarch (1,1) Models.

Journal of Derivatives, Vol. 2, No. 2, 1994, Cass Business School Research Paper
Posted: 30 Apr 2001
Harry M. Kat and Ronald C. Heynen
Independent and Bank of America - Market Risk Management

Abstract:

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8.

Partial Barrier Options

THE JOURNAL OF FINANCIAL ENGINEERING, Volume 3, No. 3, September/December 1994., Cass Business School Research Paper
Posted: 03 Nov 2000
Ronald C. Heynen and Harry M. Kat
Bank of America - Market Risk Management and Independent

Abstract:

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