Report NEP-RMG-2004-08-16

This is the archive for NEP-RMG, a report on new working papers in the area of Risk Management. Stan Miles issued this report. It is usually issued weekly.

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Other reports in NEP-RMG

The following items were announced in this report:

• Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman, 2004. "An Anatomy of Futures Returns: Risk Premiums and Trading Strategies," WO Research Memoranda (discontinued) 757, Netherlands Central Bank, Research Department.
• Alex Shapiro & Suleyman Basak & Anna Pavlova, 2004. "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," Econometric Society 2004 North American Winter Meetings 583, Econometric Society.
• Georges Dionne & Thouraya Triki, 2004. "On Risk Management Determinants: What Really Matters?," Cahiers de recherche 0417, CIRPEE.
• Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
• Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics.
• 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.
• Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney.