Claverton Down
Bath, BA2 7AY
United Kingdom
University of Bath - School of Management
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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors; regimes
Investment analysis, portfolio management, machine learning, deep learning, parameter uncertainty
Cryptocurrencies; COVID-19; Bayes-Stein; Lasso; Elastic net; Shrunk Wishart stochastic volatility; Gaussian random projection; Black-Litterman; Higher moments
American options, multi asset, finite difference, PSOR
Cryptocurrencies, Asset Pricing, Almost Stochastic Dominance, Mispricing
Leverage Risk, Syndicated Loan Pricing, Leveraged Loan, Information Asymmetry
heavy tails, kurtosis, skewness, distributional shape, profitability forecast, quantile regression
Endowment Mortgage, Mortgage Indemnity, Coinsurance
Endowment mortgage, mortgage indemnity, coinsurance
ESG Risk, Debt Structure, Capital Structure, Debt Choices, Bank Monitoring
ESG risk, debt structure, capital structure, debt choices, bank monitoring
IPO underpricing; political connections; PAC and lobbying contributions; data envelopment analysis
bankruptcy resolution, ParAsian option, bond pricing, structural model, empirical test
Numerical integration, Universal quadrature, QUAD, Option pricing, Transition density function, SABR, Heston, CEV
MiFID II, Unbundling, Analyst Coverage, Liquidity, Idiosyncratic Liquidity
pension freeze, defined benefit schemes, financial constraints
credit default swap; sovereign credit risk; latent factor; tail dependence
prepayment, fixed-rate mortgages, option-pricing theory, occupation-time derivatives, Parisian options
fixed-rate mortgages, option pricing theory, perturbation theory, prepayment, default