Printed from https://ideas.repec.org/n/nep-fmk/2003-08-31.html
Report NEP-FMK-2003-08-31
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Alvaro Cartea & Sam Howison, 2002, "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf04.
- Vicky Henderson & David Hobson, 2002, "Coupling and Option Price Comparisons in a Jump-Diffusion model," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf01.
- Hayette Gatfaoui, 2003, "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance, University Library of Munich, Germany, number 0308004, Aug.
- David Bakstein & Sam Howison, 2002, "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf02.
- Hayette Gatfaoui, 2003, "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance, University Library of Munich, Germany, number 0308002, Aug.
- Kris Jacobs & Xiaofei Li, 2003, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers, CIRANO, number 2003s-51, Aug.
- Peter Christoffersen & Steve Heston & Kris Jacobs, 2003, "Option Valuation with Conditional Skewness," CIRANO Working Papers, CIRANO, number 2003s-50, Aug.
- Item repec:dnb:ressup:62 is not listed on IDEAS anymore
- Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003, "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series, Oxford Financial Research Centre, number 2003mf07.
- 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, Oxford Financial Research Centre, number 2002mf05.
- Vicky Henderson, 2002, "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series, Oxford Financial Research Centre, number 2002mf03.