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 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:

• Fernando Rubio, 2004. "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance 0405030, University Library of Munich, Germany.
• Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Research Paper Series 91, Quantitative Finance Research Centre, University of Technology, Sydney.
• 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.
• Sergio Da Silva, 2004. "Exponentially Damped Levy Flights, Multiscaling, and Slow Convergence in Stockmarkets," Finance 0405028, University Library of Munich, Germany.
• 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.
• Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, 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.
• 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.
• Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney.
• Bruce Choy & Tim Dun & Erik Schlögl, 2003. "Correlating Market Models," Research Paper Series 105, Quantitative Finance Research Centre, University of Technology, Sydney.
• 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 0405001, University Library of Munich, Germany.
• 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.
• Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy.
• 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.
• Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney.
• David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney.
• 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.