Report NEP-FIN-2005-03-06

This report is closed
Other reports in NEP-FIN

The following items were anounced in this report:

• Lilia Filipova & Peter Welzel, 2005. "Reducing Asymmetric Information in Insurance Markets: Cars with Black Boxes," Discussion Paper Series 270, Universitaet Augsburg, Institute for Economics. [Downloadable!]
• Thilo Pausch, 2005. "Credit Risk, Credit Rationing, and the Role of Banks: The Case of Risk Averse Lenders," Discussion Paper Series 271, Universitaet Augsburg, Institute for Economics. [Downloadable!]
• Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
• Guglielmo Maria Caporale & Mario Cerrato, 2005. "Valuing American Put Options Using Chebyshev Polynomial Approximation," Public Policy Discussion Papers 05-03, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
• Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics, revised 21 Feb 2005. [Downloadable!]
• Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J.M., 2005. "The impact of overnight periods on option pricing," Discussion Paper 1, Tilburg University, Center for Economic Research. [Downloadable!]
• Campi, Luciano & Polbennikov, Simon & Sbuelz, Alessandro, 2005. "Assessing credit with equity : a CEV model with jump to default," Discussion Paper 27, Tilburg University, Center for Economic Research. [Downloadable!]
• Campi, Luciano & Sbuelz, Alessandro, 2005. "Close-form pricing of benchmark equity default swaps under the CEV assumption," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]
• Stephen L. Ross & Margery Austin Turner & Erin Godfrey & Robin R. Smith, 2005. "Mortgage Lending in Chicago and Los Angeles: A Paired Testing Study of the Pre-Application Process," Working papers 2005-03, University of Connecticut, Department of Economics. [Downloadable!]
• Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• James McCulloch, 2005. "Relative Volume as a Doubly Stochastic Binomial Point Process," Research Paper Series 146, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
• Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

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