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Report NEP-FMK-2004-06-02
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:
- Fernando Rubio, 2004, "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance, University Library of Munich, Germany, number 0405030, May.
- Eckhard Platen & Gerhard Stahl, 2003, "A Structure for General and Specific Market Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 91, Feb.
- Mahmoud Hamada & Emiliano A. Valdez, 2004, "CAPM and Option Pricing with Elliptical Disbributions," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 120, Feb.
- Sergio Da Silva, 2004, "Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets," Finance, University Library of Munich, Germany, number 0405028, May.
- Eckhard Platen, 2003, "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 103, Jun.
- Eckhard Platen, 2003, "An Alternative Interest Rate Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 97, Jun.
- R. M. Eldridge & Maurice Peat & Max Stevenson, 2003, "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 122, Jan.
- Fernando Rubio, 2004, "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance, University Library of Munich, Germany, number 0405033, May, revised 01 Jul 2004.
- Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 121, Mar.
- Thierry Chauveau & Hayette Gatfaoui, 2004, "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 122, Apr.
- Bruce Choy & Tim Dun & Erik Schlögl, 2003, "Correlating Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 105, Jun.
- Item repec:wpa:wuwpfi:0405031 is not listed on IDEAS anymore
- Georgios Pappas, 2004, "Implementing Volatility Trades in the Athens Derivatives Exchange," Risk and Insurance, University Library of Munich, Germany, number 0405001, May.
- Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 125, May.
- Item repec:kie:kieliw:1213 is not listed on IDEAS anymore
- Paul De Grauwe & Marianna Grimaldi, 2004, "Bubbles and Crashes in a Behavioural Finance Model," CESifo Working Paper Series, CESifo, number 1194.
- Item repec:kie:kieliw:1211 is not listed on IDEAS anymore
- Eckhard Platen, 2003, "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 110, Oct.
- David Heath & Eckhard Platen, 2004, "Local Volatility Function Models under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 124, Apr.
- Xue-Zhong He, 2003, "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 95, Jun.