David Newton

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 25,201

SSRN RANKINGS

Top 25,201

in Total Papers Downloads

2,049

SSRN CITATIONS
Rank 26,623

SSRN RANKINGS

Top 26,623

in Total Papers Citations

2

CROSSREF CITATIONS

28

Scholarly Papers (13)

1.

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

Number of pages: 50 Posted: 03 Jun 2019 Last Revised: 23 Mar 2020
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 941 (25,985)

Abstract:

Loading...

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

2.

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 338 (96,428)
Citation 1

Abstract:

Loading...

American options, multi asset, finite difference, PSOR

3.

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

30th Australasian Finance and Banking Conference 2017
Number of pages: 67 Posted: 27 Jul 2017 Last Revised: 15 May 2020
Hui Tian, Andrew Yim and David Newton
Tsinghua University - PBC School of Finance, Cass Business School, City, University of London and University of Bath - School of Management
Downloads 223 (148,879)
Citation 1

Abstract:

Loading...

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

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 212 (155,820)
Citation 3

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
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

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 99 (288,702)

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
University of Bath, Portsmouth Business School and University of Bath - School of Management
Downloads 96 (294,520)

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
University of Sussex Business School, Nottingham University Business School and University of Bath - School of Management
Downloads 82 (324,960)

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 (475,388)
  • 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
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 (569,318)
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 (679,642)
  • 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
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