David Newton

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

13

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CITATIONS
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in Total Papers Citations

30

Scholarly Papers (13)

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
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

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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
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)

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

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Number of pages: 36 Posted: 20 Mar 2002
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

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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
Manchester Business School, Technical University of Lisbon (UTL) - School of Economics and Management and University of Bath - School of Management

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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

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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)

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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
University of Bath, Portsmouth Business School and University of Bath - School of Management
Downloads 85 (292,484)

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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)

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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)
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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
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
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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)
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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

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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
Nottingham University Business School (NUBS), University of Manchester, University of Bath - School of Management and University of Manchester - Department of Mathematics

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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

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