Report NEP-CFN-2003-10-20

This is the archive for NEP-CFN, a report on new working papers in the area of Corporate Finance. Zelia Serrasqueiro issued this report. It is usually issued weekly.

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Other reports in NEP-CFN

The following items were announced in this report:

• John Driffill & Turalay Kenc & Martin Sola, 2002. "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002 304, Society for Computational Economics.
• Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
• Alexander Karaivanov, 2003. "Financial Contracts and Occupational Choice," Computing in Economics and Finance 2003 25, Society for Computational Economics.
• Item repec:mtl:montde:07-2003 is not listed on IDEAS anymore

• Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers 17/03, Monash University, Department of Econometrics and Business Statistics.
• M. Kabir Hassan & Anisul M. Islam & Syed Basher, 2003. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Finance 0310015, University Library of Munich, Germany.
• Item repec:mtl:montde:06-2003 is not listed on IDEAS anymore

• Takshi Yamada & Kazuhiro Ueda & Takashi Okatsu, 2002. "Relationships between market sentiment and price dynamics in an artificial stock market," Computing in Economics and Finance 2002 263, Society for Computational Economics.
• S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003 252, Society for Computational Economics.
• Ariadna Dumitrescu, 2003. "Imperfect Competition and Market Liquidity with a Supply Informed Trader," UFAE and IAE Working Papers 591.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• Tetsuya Noguchi & Berc Rustem, 2002. "An algorithm for the quasivariational inequality arising in option pricing with transaction costs II," Computing in Economics and Finance 2002 379, Society for Computational Economics.
• Toni Gravelle & Maral Kichian & James Morley, 2002. "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002 58, Society for Computational Economics.
• Bakhodir A Ergashev, 2003. "On a CAPM monitoring based on the EWMA process control," Computing in Economics and Finance 2003 283, Society for Computational Economics.
• Ariadna Dumitrescu, 2003. "Valuation of Defaultable Bonds and Debt Restructuring," UFAE and IAE Working Papers 590.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
• Tom Dahlstrom & Pierre Mella-Barral, 2002. "Corporate Walkout Decisions and the Value of Default," Computing in Economics and Finance 2002 357, Society for Computational Economics.
• Marney J.P. & Fyfe C. & Tarbert H., 2002. "Risk Adjusted Returns And Technical Trading Rules From Data Projection," Computing in Economics and Finance 2002 53, Society for Computational Economics.
• Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, University Library of Munich, Germany.
• Clapham, Eric & Gunnelin, Åke, 2003. "Rental Expectations and the Term Structure of Lease Rates," SIFR Research Report Series 16, Institute for Financial Research.
• Item repec:dgr:uvatin:20030071 is not listed on IDEAS anymore

• Tetsuya Noguchi & Berc Rustem, 2002. "An algorithm for the quasivariational inequality arising in option pricing with transaction costs I," Computing in Economics and Finance 2002 378, Society for Computational Economics.