Report NEP-RMG-2003-08-31

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Other reports in NEP-RMG

The following items were anounced in this report:

• Vicki Knoblauch, 2003. "Continuous Lexicographic Preferences," Working papers 2003-31, University of Connecticut, Department of Economics. [Downloadable!]
• David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre. [Downloadable!]
• Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre. [Downloadable!]
• Samuel Copt & Maria-Pia Victoria-Feser, 2003. "Variable Fast algorithms for computing high breakdown covariance matrices with missing data," Cahiers du Département d'Econométrie 2003.04, Département d'Econométrie, Université de Genève. [Downloadable!]
• Kris Jacobs & Xiaofei Li, 2003. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers 2003s-51, CIRANO. [Downloadable!]
• Vlad Makhankov, 2003. "A Self-Consistent Model for the Forward Price Dynamics," Econometrics 0308005, EconWPA. [Downloadable!]
• Hayette Gatfaoui, 2003. "Risk Disaggregation And Credit Risk Valuation In The Merton Like Way," Finance 0308007, EconWPA. [Downloadable!]
• Jeannette H.C. Woerner, 2002. "Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models," OFRC Working Papers Series 2002mf05, Oxford Financial Research Centre. [Downloadable!]
• Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, EconWPA. [Downloadable!]
• Vicky Henderson, 2002. "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series 2002mf03, Oxford Financial Research Centre. [Downloadable!]
• DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 2003-09, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
• Miroslav Misina, 2003. "What Does the Risk-Appetite Index Measure?," Working Papers 03-23, Bank of Canada. [Downloadable!]
• Vicky Henderson & David Hobson, 2002. "Coupling and Option Price Comparisons in a Jump-Diffusion model," OFRC Working Papers Series 2002mf01, Oxford Financial Research Centre. [Downloadable!]
• Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO. [Downloadable!]
• Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, EconWPA. [Downloadable!]
• Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003. "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series 2003mf07, Oxford Financial Research Centre. [Downloadable!]
• Schnabel, Isabel, 2002. "The Great Banks` Depression - Deposit Withdrawals in the German Crisis of 1931," Sonderforschungsbereich 504 Publications 03-11, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
• Philippe Huber & Elvezio Ronchetti & Maria-Pia Victoria-Feser, 2003. "Variable Estimation of Generalized Linear Latent Variable Models," Cahiers du Département d'Econométrie 2003.05, Département d'Econométrie, Université de Genève. [Downloadable!]
• ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques. [Downloadable!]

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