Report NEP-FIN-2004-06-02

This is the archive for NEP-FIN, a report on new working papers in the area of Finance. Philip Yu issued this report. It is usually issued weekly.

This report is closed
Other reports in NEP-FIN

The following items were announced in this report:

• David Heath & Eckhard Platen, 2003. "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series 101, Quantitative Finance Research Centre, University of Technology, Sydney.
• N.P. Firth & J.N. Dewynne & S. J. Chapman, 2004. "An Asymptotic Analysis of an American Call Option with Small Volatility," OFRC Working Papers Series 2004mf03, Oxford Financial Research Centre.
• Anatoliy M. Tsirlin & Valdimir Kazakov, 2003. "Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)," Research Paper Series 99, Quantitative Finance Research Centre, University of Technology, Sydney.
• David B. Audretsch & Erik E. Lehmann, 2004. "Financing High-Tech Growth: The Role of Debt or Equity," Papers on Entrepreneurship, Growth and Public Policy 2004-19, Max Planck Institute of Economics, Entrepreneurship, Growth and Public Policy Group.
• Veiga, Alvaro & Souza, Leonardo Rocha, 2003. "Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 487, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Mahmoud Hamada & Emiliano A. Valdez, 2004. "CAPM and Option Pricing with Elliptical Disbributions," Research Paper Series 120, Quantitative Finance Research Centre, University of Technology, Sydney.
• Item repec:crr:crrwps:2004-15 is not listed on IDEAS anymore

• Haizhou Huang & Dalia Marin & Chenggang Xu, 2003. "Financial Crisis, Economic Recovery and Banking Development in Former Soviet Union Economies," CESifo Working Paper Series 860, CESifo.
• Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets," Finance 0405028, University Library of Munich, Germany.
• Jian Tong & Chenggang Xu, 2004. "Financial Institutions and The Wealth of Nations: Tales of Development," William Davidson Institute Working Papers Series 2004-672, William Davidson Institute at the University of Michigan.
• Littlechild, S., 2004. "‘UK domestic energy contracts, the 28 day rule, and experience in Sweden’," Cambridge Working Papers in Economics 0431, Faculty of Economics, University of Cambridge.
• Massa, Massimo & Simonov, Andrei, 2004. "Hedging, Familiarity and Portfolio Choice," SIFR Research Report Series 21, Institute for Financial Research.
• Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney.
• Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.
• Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney.
• Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, University Library of Munich, Germany.
• Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.
• Carolyn Currie, 2004. "Basel II and Operational Risk - Overview of Key Concerns," Working Paper Series 134, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
• 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 122, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
• Fernando Rubio, 2004. "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance 0405033, University Library of Munich, Germany, revised 01 Jul 2004.
• Hans Byström & Oh-Kang Kwon, 2003. "A Simple Continuous Measure of Credit Risk," Research Paper Series 111, Quantitative Finance Research Centre, University of Technology, Sydney.
• Item repec:crr:crrwps:2004-14 is not listed on IDEAS anymore

• Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney.
• Phornchanok Cumperayot, 2003. "Dusting off the Perception of Risk and Returns in FOREX Markets," CESifo Working Paper Series 904, CESifo.
• 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.
• Fernandes, Marcelo & Grammig, Joachim, 2003. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 501, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Hans Byström, 2003. "Merton for Dummies: A Flexible Way of Modelling Default Risk," Research Paper Series 112, Quantitative Finance Research Centre, University of Technology, Sydney.
• Item repec:wpa:wuwpfi:0405031 is not listed on IDEAS anymore

• Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 502, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Georgios Pappas, 2004. "Implementing Volatility Trades in the Athens Derivatives Exchange," Risk and Insurance 0405001, University Library of Munich, Germany.
• Carl Chiarella & Andrew Ziogas, 2004. "McKean's Methods Applied to American Call Options on Jump-Diffusion Processes," Research Paper Series 117, Quantitative Finance Research Centre, University of Technology, Sydney.
• Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
• Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney.
• Monteiro, P. K. & Araújo, Aloísio Pessoa de & Martins-da-Rocha, Victor Filipe, 2003. "Equilibria in security markets with a continuum of agents," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 513, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy.
• A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series 94, Quantitative Finance Research Centre, University of Technology, Sydney.
• Paul De Grauwe & Marianna Grimaldi, 2004. "Bubbles and Crashes in a Behavioural Finance Model," CESifo Working Paper Series 1194, CESifo.
• Michael Stolpe, 2004. "Non-Market Interaction in Primary Equity Markets: Evidence from France and Germany," Kiel Working Papers 1211, Kiel Institute for the World Economy.
• Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
• Fernandes, Marcelo, 2003. "Bounds for the probability distribution function of the linear ACD process," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 488, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
• Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney.