Printed from https://ideas.repec.org/s/wpa/wuwpfi4.html
Content
2003
- 0307007 Deleted
by Deleted - 0307006 The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
by Erdinc Altay - 0307005 Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax
by Sohnke M. Bartram & Frank R. Fehle - 0307003 International Evidence on Financial Derivatives Usage
by Sohnke M. Bartram & Gregory W. Brown & Frank R. Fehle - 0307002 Credit Derivatives in an Affine Framework
by Li Chen & Damir Filipovic - 0307001 The Speed
by Dmitry Baryshevsky - 0306005 Quelle « Intermédiation Informationnelle » pour les PME ? ou comment une démarche théorique a fertilisé une évolution stratégique
by Paranque Bernard - 0306004 Duplicating Contingent Claims by the Lagrange Method
by Gregory C. Chow - 0306003 Shanghai Stock Prices as Determined by the Present Value Model
by Gregory C. Chow - 0306002 Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland
by Dariusz Stanko - 0306001 Analysis of UAE Bank Stocks
by Ananth Rao - 0305011 Stock Market Valuation : the Role of the Macroeconomic Risk Premium
by Christophe Boucher - 0305010 “Winners take all competition”, creative destruction and stock market bubble
by Christophe Boucher - 0305009 News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media
by Thomas Schuster - 0305008 On the Stability of Different Financial Systems
by Falko Fecht - 0305007 Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange
by Abdelhamid El Bouhadi - 0305006 A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange
by Cumhur Ekinci - 0305005 Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options
by Allen Abrahamson - 0305004 A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion
by Allen Abrahamson - 0305003 A Simple Model for Credit Migration and Spread Curves
by Li Chen & Damir Filipovic - 0305002 Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai & Alon Raviv & Zvi Wiener - 0305001 State Tameness: A New Approach for Credit Constrains
by Jaime A. Londoño - 0304011 Efficiency Analysis of UAE Banks
by Ananth Rao - 0304010 Basel II's New Standardized Approach: Possible Effects of Implementation
by Katherine Wyatt - 0304009 La Estructura del sector Financiero Vnezolano y su nivel de deterinación sobre el Nivel de Tasas Activas del Sistema Bancario Nacional 1990-2000
by Author Enrique R. González Porras - 0304008 Latin American Financial Development In Perspective
by Alicia García Herrero & Javier Santillan Fraile & Sonsoles Gallego Herrero & Lucía Cuadro Sáez & Carlos Egea Martínez - 0304007 The Asian and European Banking Systems: The case of Spain in the quest for development and stability
by Alicia García Herrero & Sonsoles Gallego Herrero & Jesús Saurina Salas - 0304006 Why Do Countries Develop More Financially Than Others? The Role Of The Central Bank And Banking Supervision
by Lucía Cuadro Sáez & Sonsoles Gallego Herrero & Alicia García Herrero - 0304005 El Aprendizaje, el Conocimiento y la Información como Regulación Financiera
by Author Enrique R. González Porras - 0304004 Ownership Structure and Corporate Firm Performance
by Jayesh Kumar - 0304003 Consistency Problems For Jump-Diffusion Models
by Li Chen & Erhan Bayraktar & H. Vincent Poor - 0304002 Competencia, Rivalidad y Entrada del Capital Extranjero en la Banca Venezolana
by Author Enrique R. González Porras - 0304001 Regulación del Sector Seguros: Un Enfoque de Competencia para la Ley de Empresas de Seguros y Reaseguros en Venezuela
by Author Enrique R. González Porras - 0303009 Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk
by Li Chen & Damir Filipovic - 0303008 Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates
by Li Chen & H. Vincent Poor - 0303007 Projecting the Forward Rate Flow on a Finite Dimensional Manifold
by Erhan Bayraktar & Li Chen & H. Vincent Poor - 0303006 Modeling Credit Risk by Affine Processes
by Li Chen & Damir Filipovic - 0303004 Mergers with Differentiated Products: The Case of Ready-to-Eat Cereal
by Aviv Nevo - 0303003 The Financing of Research and Development
by Bronwyn H. Hall - 0303002 Fifty-Fifty. Stock Recommendations and Stock Prices. Effects and Benefits of Investment Advice in the Business Media
by Thomas Schuster - 0303001 Toward a Theory of Asset Subscription
by Danyang Xie - 0302001 Determinants Of The Firm’S Capital Structure - The Case Of The Very Small Enterprises
by Evaldo Guimarães Barbosa & Cristiana De Castro Moraes - 0301007 Utility Maximization in Imperfected Markets
by Long Nguyen-Thanh - 0301006 Risk in Financial Conglomerates: Management and Supervision
by Iman van Lelyveld & Arnold Schilder - 0301005 Investment Optimization under Constraints
by Long Nguyen-Thanh - 0301004 New types of non-trade related participation in commodity futures markets
by Lamon Rutten - 0301003 The effectiveness and usefulness for commodity-dependent countries of new tools in commodity markets: risk management and collateralized finance
by Lamon Rutten - 0301002 Potential applications of structured commodity financing techniques for banks in developing countries
by Lamon Rutten - 0301001 Farmers and farmers’ associations in developing countries and their use of modern financial instruments
by Lamon Rutten
2002
- 0212006 Option pricing with Levy Process
by Eric Benhamou - 0212005 A Martingale Result for Convexity Adjustment in the Black Pricing Model
by Eric Benhamou - 0212004 Smart Monte Carlo: Various tricks using Malliavin calculus
by Eric Benhamou - 0212003 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
by Eric Benhamou - 0212002 The Impact of Bank Capital Requirements in Indonesia
by Donsyah Yudistira - 0212001 MODIS: A Market-Oriented Deposit Insurance Scheme
by Reza Vaez-Zadeh & Danyang Xie & Edda Zoli - 0211008 A General Characterization of Quadratic Term Structure Models
by Li Chen & H. Vincent Poor - 0211007 How to work in the uncertain market conditions
by Dmitry Baryshevsky - 0211004 Consumption and Investment Optimization under Constraints
by Long Nguyen-Thanh - 0211003 Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo
by Pietro Rossi & Massimo Tavoni & Flavio Cocco & Robert Marschinski - 0211002 Information, Alternative Markets, and Security Price Processes: A Survey of Literature
by Rafiqul Bhuyan - 0211001 Can technological change explain the stock market collapse of 1974?
by Adrian Peralta-Alva - 0210006 Why do European Venture Capital Companies syndicate?
by Sophie Manigart & Miguel Meuleman - 0210005 Herding and Contrarian Behavior in Financial Markets - An Internet Experiment
by Mathias Drehmann & Joerg Oechssler & Andreas Roider - 0210004 The realized equity premium has been higher than expected: further evidence
by Marco Taboga - 0210003 Performance Incentives, Performance Pressure and Executive Turnover
by Narayanan Subramanian & Atreya Chakraborty & Shahbaz Sheikh - 0210002 Stochastic Dominance Portfolio Analysis of Forestry Assets
by V.-P. Heikkinen & & Timo Kuosmanen - 0210001 An Analysis of Hedge Fund Performance
by Daniel Capocci - 0209008 The Small Business Credit Gap: Some New Evidence
by Rajiv Mallick & Atreya Chakraborty - 0209007 The Importance of Being Known: Relationship Banking and Credit Limits
by Cresenta Fernando & Atreya Chakraborty & Rajiv Mallick - 0209006 The Geometry of Payoff Spaces
by Marcel Hendrickx - 0209005 De schuld van het Nederlandse huishouden?
by Hans Groeneveld & Ralph de Haas - 0209004 Het integraal kwantificeren van valutarisico’s
by Ralph de Haas - 0209003 Banken, instituties en zachte budgetbeperkingen tijdens de transitie
by Ralph de Haas - 0209002 Financial collateral and capital adequacy requirements
by Ralph de Haas & Thomas Keijser - 0209001 The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets
by Bernd Hayo & Ali Kutan - 0207019 What Type of Process Underlies Options? A Simple Robust Test
by Peter Carr & Liuren Wu - 0207018 Markov Chain Approximations For Term Structure Models
by David Backus & Liuren Wu & Stanley Zin - 0207017 Time-Varying Arrival Rates of Informed and Uninformed Trades
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - 0207016 A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
by Gautam Goswami & Milind Shrikhande & Liuren Wu - 0207015 Asset Pricing Under The Quadratic Class
by Markus Leippold & Liuren Wu - 0207014 Design and Estimation of Quadratic Term Structure Models
by Markus Leippold & Liuren Wu - 0207013 Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
by Massoud Heidari & Liuren WU - 0207012 The Finite Moment Log Stable Process and Option Pricing
by Peter Carr & Liuren Wu - 0207011 Time-Changed Levy Processes and Option Pricing
by Peter Carr & Liuren Wu - 0207010 Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives
by Massoud Heidari & Liuren Wu - 0207009 Contagion in Financial Markets
by David Backus & Silverio Foresi & Liuren Wu - 0207008 Accouting for Biases in Black-Scholes
by David Backus & Silverio Foresi & Liuren Wu - 0207007 Monte Carlo Pricing of American Options Using Nonparametric Regression
by Pizzi Claudio & Pellizzari Paolo - 0207006 Optimization of Risk Exposure
by Alexei Gretchikha - 0207005 The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures
by Sohnke M. Bartram & G. Andrew Karolyi - 0207004 Analytical Aproach to Value Options with State Variables of a Levy System
by Nguyen Thanh Long - 0207003 Financial Performance Government Trading Enterprises 1996-97 to 2000-01
by Productivity Commission - 0207002 Review of the Superannuation Industry (Supervision) Act 1993 and Certain Other Superannuation Legislation
by Productivity Commission - 0207001 Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations
by Sohnke M. Bartram - 0206005 Seize the Moments: Approximating American Option Prices in the GARCH Framework
by Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato - 0206002 On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process
by Bakhodir Ergashev - 0206001 Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market
by Patrick Houweling & Albert Mentink & Ton Vorst - 0205004 All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form
by Allen Abrahamson - 0205003 Trading system evaluation based on past performance: Random Signals Test
by Alex Strashny - 0205002 Monetary Conditions and Stock Returns: A South African Case Study
by Clive Coetzee - 0204002 The Future of the Stock Market Channel In Egypt
by Maged Shawky Sourial - 0203006 A note on a generalized Black-Scholes formula
by Bakhodir A Ergashev - 0203002 Wealth Effects of Banks' Rights to Market and Originate Annuities
by Arnold R. Cowan & Jann C. Howell & Mark L. Power - 0203001 Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk
by Jiri Hoogland & Dimitri Neumann & Michel Vellekoop - 0202002 How Active Are Managers in SA
by Tony Bell & Maarten Ackerman - 0201004 An Integrated Model of Market and Limit Orders
by Sugato Chakravarty & Craig Holden - 0201003 Stealth-Trading: Which Traders' Trades Move Stock Prices?
by Sugato Chakravarty - 0201001 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
by Ali Bora Yigitbasioglu
2001
- 0112003 An Empirical Comparison of Default Swap Pricing Models
by Patrick Houweling & Ton Vorst - 0112002 The Interest Rate Exposure of Nonfinancial Corporations
by Sohnke M. Bartram - 0111005 Innovation And Venture Capital Exits
by Armin SCHWIENBACHER - 0111004 The Market Price of Aggregate Risk and the Wealth Distribution
by Hanno Lustig - 0111003 Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
by Y. Malevergne & D. Sornette - 0111001 Inflation and Capital Structure
by Jose Noguera - 0110003 Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm
by Junwu Gan - 0110001 Microfinance in Vietnam - A Survey of Schemes and Issues
by Adam McCarty - 0109001 Bifurcation Routes in Financial Markets
by Author Miloslav - 0108003 Resources Used to Produce Individual Development Accounts in the First Two Years of the Experimental Program of the American Dream Demonstration at the Community Action Project of Tulsa County
by Mark Schreiner - 0108002 Corporate Risk Management as a Lever for Shareholder Value Creation
by Sohnke M. Bartram - 0108001 Leveraged Buyouts in Poland
by Marcin Piatkowski - 0107003 Impact of Commonwealth indirect taxes on exporters
by Productivity Commission - 0107001 International Portfolio Investment: Theory, Evidence, and Institutional Framework
by Sohnke M. Bartram & Gunter Dufey - 0106003 The Relative Value Theory
by Silviu I. Alb - 0106002 International Cross-Listing: The Effects of Market Fragmentation and Information Flows
by Richard Podpiera - 0105003 Tradable Schemes
by Jiri Hoogland & Dimitri Neumann - 0105002 Asians and cash dividends: Exploiting symmetries in pricing theory
by Jiri Hoogland & Dimitri Neumann - 0105001 Stochastic Dominance Efficiency Tests under Diversification
by Timo Kuosmanen - 0012009 A Temporary Equilibrium Model of Asset Pricing
by George Vachadze - 0012008 A Short-Horizon Model of Asset Pricing: Equilibrium Analysis
by George Vachadze - 0012007 Mispricing and Lasting Arbitrage between Parallel Markets in the Czech Republic
by Jan Hanousek & Libor Nemecek - 0012006 Do Stock Markets Promote Economic Growth?
by Jan Hanousek & Nauro F. Campos & Randall K. Filer - 0012005 Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases
by Richard Podpiera - 0012003 How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market
by Jan Hanousek & Richard Podpiera
2000
- 0004012 Do Market Listing And Size Entail Behavioural Differences?
by Bernard BELLETANTE & Bernard PARANQUE - 0004011 Corporate Finance in Europe from 1986 to 1996
by Michel DELBREIL & Ana ESTEBAN & Hans FRIDERICHS & Bernard PARANQUE & Franz PARTSCH & Franco VARETTO - 0004010 Volatility in Indian Stock Markets
by Piyush Kumar Chowhan & Vasant Shukla - 0004009 Looking Forward to Pricing Options from Binomial Trees
by Dario Villani & Andrei E. Ruckenstein - 0004007 A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
by Giulia Iori - 0004006 Scaling and multiscaling in financial markets
by Giulia Iori - 0004004 Trade credit in Italy: Evidence from individual firm data
by Giuseppe Marotta - 0004002 Another Look at Option Listing Effects
by Stewart Mayhew & Vassil Mihov - 9912001 Corporate Diversification and Agency
by Benjamin E. Hermalin & Michael L. Katz
1999
- 9908002 Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk
by Mark R. Manfredo. & Raymond M. Leuthold - 9907004 Log-periodic power law bubbles in Latin-American and Asian markets and correlated anti-bubbles in Western stock markets: An empirical study
by Anders Johansen & Didier Sornette - 9907003 Scale invariance and contingent claim pricing II: Path-dependent contingent claims
by Jiri Hoogland & Dimitri Neumann - 9907002 Scale invariance and contingent claim pricing
by Jiri Hoogland & Dimitri Neumann - 9905005 A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions
by Giulia Iori - 9905003 Futures Exchange Innovations: Reinforcement versus Cannibalism
by Joost M.E. Pennings & Raymond M. Leuthold - 9905002 Commodity Futures Contract Viability: A Multidisciplinary Approach
by Joost M.E. Pennings & Raymond M. Leuthold - 9905001 The Financial Industry's Challenge of Developing Commodity Derivatives
by Joost M.E. Pennings & M.T.G. Meulenberg - 9904006 What a Difference a Day Makes: On the Common Market Microstructure of Trading Days
by Frank Gerhard & Dieter Hess & Winfried Pohlmeier - 9904005 A Survey on Nonparametric Time Series Analysis
by Siegfried Heiler - 9904004 When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel
by Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam - 9904003 Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
by Joachim Inkmann - 9904002 Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
by Nikolaus Hautsch - 9904001 International Percussions of Direct Taxes
by Wolfgang Eggert - 9903006 Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
by Anders Johansen & Didier Sornette & Olivier Ledoit - 9903005 Toeholds and Takeovers
by Jeremy Bulow & Ming Huang & Paul Klemperer - 9903004 The Potential Approach to Bond and Currency Pricing
by Markus Leippold & Liuren Wu - 9903002 Implicit Collusion in Dealer Markets with Different Costs of Market Making
by Andreas Krause - 9903001 Heterogeneous Time Preferences and Interest Rates - The Preferred Habitat Theory Revisited
by Frank Riedel - 9902009 Innovation and Market Value
by Bronwyn H. Hall - 9902005 Does Cash Flow Cause Investment and R&D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms
by Bronwyn H. Hall & Jacques Mairesse & Lee Branstetter & Bruno Crepon - 9902004 "Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
by D. Sornette & P. Simonetti & J.V. Andersen - 9902003 Utility based pricing of contingent claims
by A. Gamba & P. Pellizzari - 9902002 How to account for virtual arbitrage in the standard derivative pricing
by Kirill Ilinski - 9902001 Virtual Arbitrage Pricing Theory
by Kirill Ilinski
1998
- 9810004 Boom In, Bust Out: Young Households and the Housing Price Cycle
by Francois Ortalo-Magne & Sven Rady - 9810003 Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints
by Francois Ortalo-Magne & Sven Rady - 9810002 Using Value-at-Risk to Control Risk Taking: How Wrong Can you Be?
by Xiongwei Ju & Neil D. Pearson - 9810001 A New Bayesian Model of Market Microstructure=20 Behaviour Applied to the Market in Irish Government=20 Securities; Identification Happens!
by Peter G. Dunne - 9809001 Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?
by Martin Evans - 9808005 Is the Short Rate Drift Actually Nonlinear?
by David A. Chapman & Neil D. Pearson - 9808004 Using Proxies for the Short Rate: When are Three Months Like an Instant?
by David A. Chapman & John B. Long Jr. & Neil D. Pearson - 9808002 Imperfect Information Leads to Complete Markets if Dividends are Diffusions
by Frank Riedel - 9808001 Financial Returns and Efficiency as seen by an Artificial Technical Analyst
by Spyros Skouras - 9805007 Electrodynamical model of quasi-efficient financial market
by Kirill Ilinski & Alexander Stepanenko - 9805006 A Dynamic Model of the Incorporation of New Information into Prices
by Charles Geiss & Kyung-Seong Jeon - 9805003 The Forecasting Value of New Crop Futures: A Decision-Making Framework
by Dwight R. Sanders & Philip Garcia & Raymond M. Leuthold - 9805002 Agricultural Applications of Value-at-Risk Analysis: A Perspective
by Mark R. Manfredo & Raymond M. Leuthold - 9805001 Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?
by Anning Wei & Raymond M. Leuthold - 9804005 The Transfer of Control in British and German IPOs
by Marc Goergen - 9804004 Optimal Hedging Strategies for the U.S. Cattle Feeder
by Mikhail A. Noussinov & Raymond M. Leuthold - 9804002 Beyond implied volatility: extracting information from option prices
by Rama CONT - 9803007 How Do Firms Choose Their Lenders? An Empirical Investigation
by Miguel Cantillo & Julian Wright - 9803006 Does Rationing of Shares Increase Revenues in Initial Public Offerings?
by Pio Baake & Joerg Oechssler - 9803005 The Rise and Fall of Bank Control in the United States: 1890-1939
by Miguel Cantillo Simon - 9803004 Generalized Binomial Trees
by Jens Carsten Jackwerth - 9803002 Recovering Risk Aversion from Option Prices and Realized Returns
by Jens Carsten Jackwerth - 9803001 Volume, Volatility, Price and Profit When All Traders Are Above Average
by Terrance Odean - 9802003 A discrete martingale model of pension fund guarantees in
by Klaus P. Fischer - 9802002 The Markov Chain Approximation Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem
by Claus Munk - 9801002 Do Brokers Misallocate Customer Trades? Evidence From Futures Markets
by Hun Y. Park & Asani Sarkar & Lifan Wu - 9801001 Efficient Monte Carlo Pricing of Basket Options
by P. Pellizzari
1997
- 9712009 Phenomenology of the interest curve
by Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA - 9712008 Herd behavior and aggregate fluctuations in financial markets
by Rama CONT & Jean-Philippe BOUCHAUD - 9712007 Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches
by Anil K. Bera & Philip Garcia & Jae-Sun Roh - 9712006 No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio
by Claus Munk