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 Schloegl issued this report. It is usually issued weekly.

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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 2002mf04, Oxford Financial Research Centre.
• Vicky Henderson & David Hobson, 2002. "Coupling and Option Price Comparisons in a Jump-Diffusion model," OFRC Working Papers Series 2002mf01, Oxford Financial Research Centre.
• Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market," Risk and Insurance 0308004, University Library of Munich, Germany.
• David Bakstein & Sam Howison, 2002. "A Risk-Neutral Parametric Liquidity Model for Derivatives," OFRC Working Papers Series 2002mf02, Oxford Financial Research Centre.
• Hayette Gatfaoui, 2003. "How Does Systematic Risk Impact US Credit Spreads? A Copula Study," Risk and Insurance 0308002, University Library of Munich, Germany.
• Kris Jacobs & Xiaofei Li, 2003. "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," CIRANO Working Papers 2003s-51, CIRANO.
• Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
• Henriette Prast, 2003. "Behavioral finance: the role of psychology in financial markets (Dutch title: Gedragseconomie: de rol van psychologie op financiële markten)," Research Series Supervision (discontinued) 62, Netherlands Central Bank, Directorate Supervision.
• Giovanni Barone-Adesi & Claudia Ravanelli & Henrik Rasmussen, 2003. "An Option Pricing Formula for the GARCH diffusion model," OFRC Working Papers Series 2003mf07, Oxford Financial Research Centre.
• 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 2002mf05, Oxford Financial Research Centre.
• Vicky Henderson, 2002. "Analytical Comparisons of Option prices in Stochastic Volatility Models," OFRC Working Papers Series 2002mf03, Oxford Financial Research Centre.