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Nadima El-Hassan

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Personal Details

First Name:Nadima
Middle Name:
Last Name:El-Hassan
Suffix:
RePEc Short-ID:pel32
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http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=84
PO Box 123 Broadway NSW 2007 Australia
+61 2 9514 7725

Affiliation

(in no particular order)

Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/finance/
RePEc:edi:sfutsau (more details at EDIRC)

Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/qfrc/
RePEc:edi:qfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jeff Dewynne & Nadima El-Hassan, 2013. "Self-funding Instalment Warrants," Research Paper Series 339, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. David Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2002. "A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models," Computing in Economics and Finance 2002 261, Society for Computational Economics.
  6. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2002. "The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions," Computing in Economics and Finance 2002 292, Society for Computational Economics.
  7. Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella, Nadima El-Hassan & Adam Kucera, 2000. "The Evaluation Of Multiasset European And American Options Via Fourier Hermite Series Expansions," Computing in Economics and Finance 2000 287, Society for Computational Economics.
  9. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Carl Chiarella & Nadima El-Hassan, 1997. "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series 75, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  12. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  13. Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Structure of Interest Rates," Working Paper Series 63, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Carl Chiarella, Nadima El-Hassan, & Adam Kucera, "undated". "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics.

Articles

  1. Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July.
  2. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 183-207, September.
  3. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 113-138, October.
  4. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. David Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Wei Wang & Linyi Qian & Wensheng Wang, 2016. "Hedging of contingent claims written on non traded assets under Markov-modulated models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(12), pages 3577-3595, June.
    2. Liang-chuan Wu & I-chan Tsai, 2014. "Three fuzzy goal programming models for index portfolios," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(8), pages 1155-1169, August.
    3. Frey, Rüdiger & Backhaus, Jochen, 2010. "Dynamic hedging of synthetic CDO tranches with spread risk and default contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 710-724, April.
    4. David B. Colwell & Nadima El‐Hassan & Oh Kang Kwon, 2021. "Variance minimizing strategies for stochastic processes with applications to tracking stock indices," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 430-446, June.
    5. Che Guo & Xingchun Wang, 2022. "Pricing vulnerable options under correlated skew Brownian motions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 852-867, May.
    6. Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, vol. 196(1), pages 384-399, July.

  2. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
    2. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
    3. Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org, revised Aug 2016.

  3. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Luca Riccetti, 2012. "Using tracking error volatility to check active management and fee level of investment funds," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(3), pages 139-158.
    2. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
    3. Michael Maxwell & Michael Daly & Daniel Thomson & Gary van Vuuren, 2018. "Optimizing tracking error-constrained portfolios," Applied Economics, Taylor & Francis Journals, vol. 50(54), pages 5846-5858, November.
    4. Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    5. Riccardo Lucchetti & Mihaela Nicolau & Giulio Palomba & Luca Riccetti, 2022. "Reconciling TEV and VaR in Active Portfolio Management: A New Frontier," Working Papers 461, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    6. Jan Frederick Hausner & Gary van Vuuren, 2021. "Portfolio performance under tracking error and benchmark volatility constraints," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 26(51), pages 94-111, June.
    7. Paskalis Glabadanidis, 2020. "Portfolio Strategies to Track and Outperform a Benchmark," JRFM, MDPI, vol. 13(8), pages 1-26, August.
    8. Nikos S. Thomaidis & Timotheos Angelidis & Vassilios Vassiliadis & Georgios Dounias, 2009. "Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 535-555.
    9. Mourad Mroua & Fathi Abid, 2014. "Portfolio revision and optimal diversification strategy choices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 10(4), pages 537-564, August.
    10. Stephen Lee & Giacomo Morri, 2015. "Real estate fund active management," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 33(6), pages 494-516, September.
    11. Stephanie E. Lang & Klaus Röder, 2008. "Die Kosten des Indextrackings — Eine Fallstudie über den Exchange Traded Fund DAX®EX," Schmalenbach Journal of Business Research, Springer, vol. 60(3), pages 298-321, May.
    12. Luca RICCETTI, 2010. "Minimum Tracking Error Volatility," Working Papers 340, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    13. Giuseppe Galloppo, 2010. "A Comparison Of Pre And Post Modern Portfolio Theory Using Resampling," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-16.
    14. Paskalis Glabadanidis & Leon Zolotoy, 2013. "Benchmark replication portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 95-110, April.
    15. Wade Gunning & Gary van Vuuren, 2019. "Exploring the drivers of tracking error constrained portfolio performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1684181-168, January.
    16. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
    17. du Sart, Colin F. & van Vuuren, Gary W., 2021. "Comparing the performance and composition of tracking error constrained and unconstrained portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 276-287.
    18. L. Theron & G. van Vuuren, 2020. "Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 44(2), pages 49-72, August.
    19. Qiuzhuo Ma & Krishna P Paudel & Liting Gu & Xiaowei Wen, 2018. "An application of a cardinality-constrained multiple benchmark tracking error model on a plant enterprise selection problem," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 45(5), pages 677-721.

  4. Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, May.
    2. Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March.
    4. Carl Chiarella & Sara Pasquali & Wolfgang J. Runggaldier, 2001. "On Filtering in Markovian Term Structure Models," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 12, pages 139-150, World Scientific Publishing Co. Pte. Ltd..
    5. Y. D'Halluin & P. A. Forsyth & K. R. Vetzal & G. Labahn, 2001. "A numerical PDE approach for pricing callable bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 49-77.
    6. Fima Klebaner & Truc Le & Robert Liptser, 2006. "On Estimation of Volatility Surface and Prediction of Future Spot Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 245-263.
    7. Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney.

  5. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
    2. Tarik Chakkour & Emmanuel Frénod, 2016. "Inverse problem and concentration method of a continuous-in-time financial model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-20, June.
    3. Martin Tegn'er & Stephen Roberts, 2019. "A Probabilistic Approach to Nonparametric Local Volatility," Papers 1901.06021, arXiv.org, revised Jan 2019.
    4. R. Aboulaich & H. Ben Ameur & M. Lamarti Sefian, 2014. "Volatility Estimation via Jump Indicator," Modern Applied Science, Canadian Center of Science and Education, vol. 8(2), pages 1-12, April.
    5. Martin Tegner & Stephen Roberts, 2021. "A Bayesian take on option pricing with Gaussian processes," Papers 2112.03718, arXiv.org.
    6. Andrea De Martino & Edward Manuel Ruiz Crosby & Roberto Stagni, 2017. "A unified framework for pricing credit and equity derivatives," Working Papers 116, Peruvian Economic Association.
    7. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 113-138, October.
    8. M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
    9. Shou-Lei Wang & Yu-Fei Yang & Yu-Hua Zeng, 2014. "The Adjoint Method for the Inverse Problem of Option Pricing," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
    10. Vipul Kumar Singh, 2013. "Effectiveness of volatility models in option pricing: evidence from recent financial upheavals," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 10(3), pages 352-375, October.

  6. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, May.
    2. Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March.
    3. Andrew Ziogas, 2005. "Pricing American Options Using Fourier Analysis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2005, January-A.
    4. Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney.

  7. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Belal E. Baaquie, 1998. "Quantum Field Theory of Treasury Bonds," Papers cond-mat/9809199, arXiv.org.
    2. Slanina, Frantisek, 2013. "Essentials of Econophysics Modelling," OUP Catalogue, Oxford University Press, number 9780199299683.
    3. Giacomo Bormetti & Sofia Cazzaniga, 2011. "Multiplicative noise, fast convolution, and pricing," Papers 1107.1451, arXiv.org.
    4. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
    5. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
    6. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
    7. Belal E. Baaquie & Marakani Srikant & Mitch C. Warachka, 2003. "A Quantum Field Theory Term Structure Model Applied to Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 443-467.
    8. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
    9. Ramaprasad Bhar & Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 181-199.
    10. Marco Rosa-Clot & Stefano Taddei, 2002. "A Path Integral Approach To Derivative Security Pricing Ii: Numerical Methods," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 123-146.
    11. Belal E. Baaquie & Marakani Srikant & Mitch Warachka, 2002. "A Quantum Field Theory Term Structure Model Applied to Hedging," Papers cond-mat/0206457, arXiv.org.
    12. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. Giacomo Bormetti & Sofia Cazzaniga, 2014. "Multiplicative noise, fast convolution and pricing," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 481-494, March.
    14. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.
    15. Sella Lisa, 2008. "Old and New Spectral Techniques for Economic Time Series," Department of Economics and Statistics Cognetti de Martiis. Working Papers 200809, University of Turin.
    16. DECAMPS, Marc & DE SCHEPPER, Ann & GOOVAERTS, Marc, "undated". "Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries," Working Papers 2003027, University of Antwerp, Faculty of Business and Economics.

  8. Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Structure of Interest Rates," Working Paper Series 63, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, May.
    3. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
    5. Ramaprasad Bhar & Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 181-199.
    6. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.
    7. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.

  9. Carl Chiarella, Nadima El-Hassan, & Adam Kucera, "undated". "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics.

    Cited by:

    1. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
    2. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
    3. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
    4. Alfredo Ibáñez, 2003. "Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium," Management Science, INFORMS, vol. 49(9), pages 1210-1228, September.
    5. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
    6. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
    7. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2004. "Applications of δ-function perturbation to the pricing of derivative securities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 677-692.
    8. Nessim Souissi, 2017. "The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index," Journal of Applied Mathematics, Hindawi, vol. 2017, pages 1-10, June.
    9. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
    10. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
    11. Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011. "Clustering and Classification in Option Pricing," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 3(2), pages 109-128, October.
    12. Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. DECAMPS, Marc & DE SCHEPPER, Ann & GOOVAERTS, Marc, "undated". "Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries," Working Papers 2003027, University of Antwerp, Faculty of Business and Economics.

Articles

  1. Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July.
    See citations under working paper version above.
  2. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 183-207, September.
    See citations under working paper version above.
  3. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 113-138, October.

    Cited by:

    1. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Philippe Jacquinot & Nikolay Sukhomlin, 2010. "A direct formulation of implied volatility in the Black-Scholes model," Post-Print hal-02533014, HAL.

  4. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.

    Cited by:

    1. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
    2. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
    3. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.
    4. Javier de Frutos & Victor Gaton, 2016. "A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility," Papers 1612.09469, arXiv.org.
    5. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
    6. Alfredo Ibáñez, 2003. "Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium," Management Science, INFORMS, vol. 49(9), pages 1210-1228, September.
    7. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
    8. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
    9. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
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    25. Abderrahmen Aloulou & Younes Boujelbene, 2019. "Dynamic analysis of implied risk neutral density," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 12(1), pages 39-58.
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    28. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011, January-A.

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  1. NEP-FIN: Finance (2) 2004-06-02 2004-06-02

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