Report NEP-FIN-2004-06-02

This report is closed
Other reports in NEP-FIN

The following items were anounced in this report:

• David Heath & Eckhard Platen, 2003. "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series 101, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• N.P. Firth & J.N. Dewynne & S. J. Chapman, 2004. "An Asymptotic Analysis of an American Call Option with Small Volatility," OFRC Working Papers Series 2004mf03, Oxford Financial Research Centre. [Downloadable!]
• Anatoliy M. Tsirlin & Valdimir Kazakov, 2003. "Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)," Research Paper Series 99, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• David B. Audretsch & Erik E. Lehmann, 2004. "Financing High-Tech Growth: The Role of Debt or Equity," Papers on Entrepreneurship, Growth and Public Policy 2004-19, Max Planck Institute of Economics, Entrepreneurship, Growth and Public Policy Group. [Downloadable!]
• Veiga, Alvaro & Souza, Leonardo Rocha, 2003. "Using Irregularly Spaced Returns to Estimate Multi-Factor Models: Application to Brazilian Equity Data," Economics Working Papers (Ensaios Economicos da EPGE) 487, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Mahmoud Hamada & E. Valdez, 2004. "CAPM and Option Pricing with Elliptical Disbributions," Research Paper Series 120, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Julie Agnew & Lisa R. Szykman, 2004. "Asset Allocation And Information Overload: The Influence Of Information Display, Asset Choice And Investor Experience," Working Papers, Center for Retirement Research at Boston College 2004-15, Center for Retirement Research. [Downloadable!]
• Haizhou Huang & Dalia Marin & Chenggang Xu, 2003. "Financial Crisis, Economic Recovery and Banking Development in Former Soviet Union Economies," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
• Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets," Finance 0405028, EconWPA. [Downloadable!]
• Jian Tong & Chenggang Xu, 2004. "Financial Institutions and The Wealth of Nations: Tales of Development," William Davidson Institute Working Papers Series 2004-672, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
• Littlechild, S., 2004. "‘UK domestic energy contracts, the 28 day rule, and experience in Sweden’," Cambridge Working Papers in Economics 0431, Faculty of Economics, University of Cambridge. [Downloadable!]
• Massa, Massimo & Simonov, Andrei, 2004. "Hedging, Familiarity and Portfolio Choice," SIFR Research Report Series 21, Institute for Financial Research. [Downloadable!]
• Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, EconWPA. [Downloadable!]
• Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Carolyn Currie, 2004. "Basel II and Operational Risk - Overview of Key Concerns," Working Paper Series 134, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
• R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
• Fernando Rubio, 2004. "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance 0405033, EconWPA, revised 01 Jul 2004. [Downloadable!]
• Hans Byström & Oh-Kang Kwon, 2003. "A Simple Continuous Measure of Credit Risk," Research Paper Series 111, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Julie Agnew & Pierluigi Balduzzi, 2004. "Large, Small, International: Equity Portfolio Choices In A Large 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-14, Center for Retirement Research. [Downloadable!]
• Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
• D. Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 501, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Hans Byström, 2003. "Merton for Dummies: A Flexible Way of Modelling Default Risk," Research Paper Series 112, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Item repec:wpa:wuwpfi:0405031 is not listed on IDEAS anymore

• Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Georgios Pappas, 2004. "Implementing Volatility Trades in the Athens Derivatives Exchange," Risk and Insurance 0405001, EconWPA. [Downloadable!]
• Carl Chiarella & Andrew Ziogas, 2004. "McKean's Methods Applied to American Call Options on Jump-Diffusion Processes," Research Paper Series 117, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Monteiro, Paulo Klinger & Araújo, Aloísio Pessoa de & Martins-da-Rocha, V. F., 2003. "Equilibria in security markets with a continuum of agents," Economics Working Papers (Ensaios Economicos da EPGE) 513, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy. [Downloadable!]
• A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series 94, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Paul De Grauwe & Marianna Grimaldi, 2004. "Bubbles and Crashes in a Behavioural Finance Model," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
• Michael Stolpe, 2004. "Non-Market Interaction in Primary Equity Markets: Evidence from France and Germany," Kiel Working Papers 1211, Kiel Institute for the World Economy. [Downloadable!]
• Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," Economics Working Papers (Ensaios Economicos da EPGE) 488, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
• Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

This page was last updated on 2009-11-22.