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 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)

Actions:
Email selected abstracts
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
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 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
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 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

4.

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Downloads 212 (156,119)
Citation 3

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 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
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

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
Dimitrios Gounopoulos, Konstadinos Kallias and David Newton
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
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 (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
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