David Newton

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

  • University of Bath - School of Management

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 33,373

SSRN RANKINGS

Top 33,373

in Total Papers Downloads

1,328

CITATIONS
Rank 21,532

SSRN RANKINGS

Top 21,532

in Total Papers Citations

30

Scholarly Papers (13)

Actions:
Email selected abstracts
1.

Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 31 Posted: 23 Aug 2007
Paul V. Johnson, Nick J. Sharp, Peter Duck and David Newton
University of Manchester, Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 336 (88,443)
Citation 1

Abstract:

Loading...

American options, multi asset, finite difference, PSOR

2.

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

Number of pages: 50 Posted: 03 Jun 2019 Last Revised: 18 Jun 2019
David Newton, Emmanouil Platanakis, Dimitrios Stafylas, Charles Sutcliffe and Xiaoxia Ye
University of Bath - School of Management, University of Bath - School of Management, Aston University - Aston Business School, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 268 (112,997)

Abstract:

Loading...

Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors

3.

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Downloads 211 (143,483)
Citation 2

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Number of pages: 36 Posted: 20 Mar 2002
José António de Azevedo Pereira, Dean A. Paxson and David Newton
Technical University of Lisbon (UTL) - School of Economics and Management, Manchester Business School and University of Bath - School of Management
Downloads 211 (143,191)
Citation 2

Abstract:

Loading...

Endowment Mortgage, Mortgage Indemnity, Coinsurance

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Journal of Real Estate Finance & Economics, Vol. 26, No. 2
Posted: 01 Oct 2002
Dean A. Paxson, José António de Azevedo Pereira and David Newton
Manchester Business School, Technical University of Lisbon (UTL) - School of Economics and Management and University of Bath - School of Management

Abstract:

Loading...

Endowment mortgage, mortgage indemnity, coinsurance

4.

Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression

30th Australasian Finance and Banking Conference 2017
Number of pages: 59 Posted: 27 Jul 2017 Last Revised: 18 Aug 2019
Hui Tian, Andrew Yim and David Newton
University of Bath - School of Management, Cass Business School, City, University of London and University of Bath - School of Management
Downloads 195 (154,527)
Citation 1

Abstract:

Loading...

heavy tails, kurtosis, skewness, distributional shape, profitability forecast, quantile regression

5.

Why Effort on Structural Models is Worthwhile: New Evidence from a Parasian-Option Style Model

Number of pages: 11 Posted: 16 Mar 2006
Bo Liu, Peter Duck and David Newton
University of Manchester - School of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 98 (267,110)

Abstract:

Loading...

bankruptcy resolution, ParAsian option, bond pricing, structural model, empirical test

6.

The Role of Political Connections in IPO Pricing

Number of pages: 32 Posted: 16 Jan 2018
Dimitrios Gounopoulos, Konstadinos Kallias and David Newton
University of Bath, Portsmouth Business School and University of Bath - School of Management
Downloads 85 (292,484)

Abstract:

Loading...

IPO underpricing; political connections; PAC and lobbying contributions; data envelopment analysis

7.

Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing

Journal of Financial Economics (JFE), Vol. 114, No. 3, 2014
Number of pages: 13 Posted: 24 Jun 2015
Ding Chen, Hannu Hannu Härkönen and David Newton
Nottingham University Business School, Nottingham University Business School and University of Bath - School of Management
Downloads 77 (310,293)

Abstract:

Loading...

Numerical integration, Universal quadrature, QUAD, Option pricing, Transition density function, SABR, Heston, CEV

8.

Real R&D Options

International Journal of Management Reviews Vol. 5-6, No. 2, pp. 113-130, June 2004
Number of pages: 18 Posted: 29 Oct 2004
Martin Widdicks, Dean A. Paxson and David Newton
University of Manchester - Manchester Business School, Manchester Business School and University of Bath - School of Management
Downloads 36 (438,248)
  • Add to Cart

Abstract:

Loading...

9.

The Black-Scholes Equation Revisited: Asymptotic Expansions and Singular Perturbations

Mathematical Finance, Vol. 15, No. 2, pp. 373-391, April 2005
Number of pages: 19 Posted: 23 Mar 2005
Martin Widdicks, Peter Duck, Ari Andricopoulos and David Newton
University of Manchester - Manchester Business School, University of Manchester - Department of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 19 (524,858)
Citation 1
  • Add to Cart

Abstract:

Loading...

10.

Singular Perturbation Techniques Applied to Multiasset Option Pricing

Mathematical Finance, Vol. 19, Issue 3, pp. 457-486, July 2009
Number of pages: 30 Posted: 30 Jun 2009
Peter Duck, Chao Yang, David Newton and Martin Widdicks
University of Manchester - Department of Mathematics, University of Manchester, University of Bath - School of Management and Lancaster University - Department of Accounting and Finance
Downloads 3 (626,045)
  • Add to Cart

Abstract:

Loading...

11.

Sovereign Credit Spread, International Influence and Country Governance

Posted: 26 Mar 2014
Biao Guo, Kai Dai and David Newton
Renmin University of China, Nottingham University Business School and University of Bath - School of Management

Abstract:

Loading...

credit default swap; sovereign credit risk; latent factor; tail dependence

12.

A New Prepayment Model (with Default): An Occupation-Time Derivative Approach

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Posted: 08 May 2009
Nick J. Sharp, Paul V. Johnson, David Newton and Peter Duck
Nottingham University Business School (NUBS), University of Manchester, University of Bath - School of Management and University of Manchester - Department of Mathematics

Abstract:

Loading...

prepayment, fixed-rate mortgages, option-pricing theory, occupation-time derivatives, Parisian options

13.

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

Journal of Real Estate Finance and Economics, Vol. 36, No. 3, 2008
Posted: 20 Oct 2007 Last Revised: 15 Jul 2008
Nick J. Sharp, Peter Duck and David Newton
Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management

Abstract:

Loading...

fixed-rate mortgages, option pricing theory, perturbation theory, prepayment, default