Printed from https://ideas.repec.org/n/nep-fmk/2003-10-20.html
Report NEP-FMK-2003-10-20
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:
- Nathan L. Joseph & Gilles Daniel & David S. Bree, 2003, "Goodness-of-fit of the Heston model," Computing in Economics and Finance 2003, Society for Computational Economics, number 281, Aug.
- John Driffill & Turalay Kenc & Martin Sola, 2002, "Merton-style option pricing under regime switching," Computing in Economics and Finance 2002, Society for Computational Economics, number 304, Jul.
- Carl Chiarella & Andrew Ziogas, 2002, "Evaluation of American Strangles," Computing in Economics and Finance 2002, Society for Computational Economics, number 28, Jul.
- S. Manzan & P. Boswijk & C.H. Hommes, 2003, "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003, Society for Computational Economics, number 252, Aug.
- Marney J.P. & Fyfe C. & Tarbert H., 2002, "Risk Adjusted Returns And Technical Trading Rules From Data Projection," Computing in Economics and Finance 2002, Society for Computational Economics, number 53, Jul.
- Fajardo, J. & Cajueiro, D. O., 2003, "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_53, Oct.
- Christopher Rude, 2002, "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002, Society for Computational Economics, number 119, Jul.
- Araujo, A. & Fajardo, J & Páscoa, M. R., 2003, "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_52, Oct.
- Burkhard Raunig, 2003, "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 86, Sep.
- 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, Monash University, Department of Econometrics and Business Statistics, number 17/03, Oct.
- M. Kabir Hassan & Anisul M. Islam & Syed Basher, 2003, "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Finance, University Library of Munich, Germany, number 0310015, Oct.
- Simon Gilchrist, 2003, "Financial Markets and Financial Leverage in a Two-Country World-Economy," Working Papers Central Bank of Chile, Central Bank of Chile, number 228, Oct.
- 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, Society for Computational Economics, number 263, Jul.
- NUÑEZ, Laura, 2002, "An analysis of the robustness of Genetic Algorithm (GA) methodology in the design of trading systems for the Stock Exchange," Computing in Economics and Finance 2002, Society for Computational Economics, number 29, Jul.
- Toni Gravelle & Maral Kichian & James Morley, 2002, "Detecting shift-contagion in currency and bond markets," Computing in Economics and Finance 2002, Society for Computational Economics, number 58, Jul.
- Fajardo, J. & Mordeckiy, E., 2003, "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_56, Oct.
- Fajardo, J. & Mordecki, E., 2003, "Put-Call Duality and Symmetry," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa, number flwp_54, Oct.