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Group: assetpricing - library [178 articles]

Недавние статьи, отправленные по почте членами assetpricing группы
  • A Theory of the Term Structure of Interest Rates
    Econometrica, Vol. 53, No. 2. (1985), pp. 385-408.
    by John C Cox, Jonathan E Ingersoll, Stephen A Ross
    posted to finance stochastic-calculus by lehalle to the group assetpricing on 2008-07-14 23:08:26 as read along with 3 people jrblevin danfcook alexv
  • Model Specification and Risk Premia: Evidence from Futures Options
    The Journal of Finance, Vol. 62, No. 3. (June 2007), pp. 1453-1490.
    by Mark Broadie, Mikhail Chernov, Michael Johannes
    posted to options by wanni to the group assetpricing on 2007-07-04 14:53:21 as ****
  • Options, Short Sales, and Market Completeness
    The Journal of Finance, Vol. 48, No. 2. (1993), pp. 761-777.
    by Stephen Figlewski, Gwendolyn P Webb
    posted to options by wanni to the group assetpricing on 2007-07-04 14:29:01 as **
  • Invisible Parameters in Option Prices
    The Journal of Finance, Vol. 48, No. 3. (1993), pp. 933-947.
    by Steven L Heston
    posted to options by wanni to the group assetpricing on 2007-07-04 12:44:06 as *****
  • Asset pricing with heterogeneous beliefs
    Journal of Banking and Finance, Vol. 29 (2005), pp. 2849-2881.
    by S Basak
    posted to learning heterogeneous-beliefs by wanni to the group assetpricing on 2007-05-10 16:13:22 as ***
  • Recovering risk aversion from option prices and realized returns
    Rev. Financ. Stud., Vol. 13, No. 2. (1 April 2000), pp. 433-451.
    by Jc Jackwerth
    posted to options by wanni to the group assetpricing on 2007-05-07 14:19:41 as **** along with 1 person Scis0000002
  • A Portfolio Perspective on Option Pricing Anomalies
    Review of Finance
    by Joost Driessen, Pascal Maenhout
    posted to options non-redundant by wanni to the group assetpricing on 2007-05-05 14:20:04 as ****
  • Option Market Activity
    Rev. Financ. Stud., Vol. 20, No. 3. (1 May 2007), pp. 813-857.
    by Josef Lakonishok, Inmoo Lee, Neil D Pearson, Allen M Poteshman
    posted to options by wanni to the group assetpricing on 2007-05-05 09:44:09 as read
  • Why Does Implied Risk Aversion Smile?
    Rev. Financ. Stud., Vol. 20, No. 3. (1 May 2007), pp. 859-904.
    by Alexandre Ziegler
    posted to options by wanni to the group assetpricing on 2007-05-05 09:43:37 as ****
  • Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
    Journal of Finance, Vol. 48, No. 1. (March 1993), pp. 65-91.
    by N Jegadeesh, S Titman
    posted to momentum behavioural-finance by wanni to the group assetpricing on 2007-04-12 09:37:12 as read
  • Information Effects on the Bid-Ask Spread
    The Journal of Finance, Vol. 38, No. 5. (December 1983), pp. 1457-1469.
    posted to straddle options by wanni to the group assetpricing on 2007-04-09 14:41:47 as **
  • Hedging Volatility Risk
    (2001)
    by M Brenner, E Ou, J Zhang
    posted to straddle options by wanni to the group assetpricing on 2007-04-08 17:00:25 as ****
  • Option straddle trading: Financial performance and economic significance of direct profit forecast and conventional strategies
    Applied Economics Letters, Vol. 10, No. 8. (10 June 2003)
    by An-Sing Chen
    posted to straddles options by wanni to the group assetpricing on 2007-04-08 16:19:37 as ****
  • A Nonlinear Factor Analysis of SP 500 Index Option Returns
    The Journal of Finance, Vol. 61, No. 5. (October 2006), pp. 2325-2363.
    by Christopher S Jones
    posted to option-returns by wanni to the group assetpricing on 2007-03-05 16:32:06 as ***
  • Dynamic Derivative Strategies
    Journal of Financial Economics, Vol. 69, No. 3. (September 2003), pp. 401-430.
    by Jun Liu, Jun Pan
    posted to cologne continuous-time dynamic-allocation jumps options portfolio-choice by f_goltz to the group assetpricing on 2006-12-30 19:23:27 as ***
  • Mean-Risk Analysis with Risk Associated with Below-Target Returns
    The American Economic Review, Vol. 67, No. 2. (1977), pp. 116-126.
    by PC Fishburn
    posted to lpm old portfolio-choice utility by f_goltz to the group assetpricing on 2006-12-05 15:36:11 as *
  • An evolutionary game theory explanation of ARCH effects
    Journal of Economic Dynamics and Control, Vol. In Press, Corrected Proof
    by William R Parke, George A Waters
    posted to explain-garch game-theory garch by f_goltz to the group assetpricing on 2006-12-02 18:07:21 as ** along with 1 person RobHayward
  • Is learning a dimension of risk?
    Journal of Banking & Finance, Vol. 29, No. 10. (October 2005), pp. 2605-2632.
    by Massimo Massa, Andrei Simonov
    posted to learning uncertainty by wanni to the group assetpricing on 2006-12-02 12:17:58 as read
  • The relation between implied and realized volatility
    Journal of Financial Economics, Vol. 50, No. 2. (1998), pp. 125-150.
    by BJ Christensen, NR Prabhala
    posted to implied-volatility by wanni to the group assetpricing on 2006-12-02 12:15:23 as **
  • Stock price distributions with stochastic volatility: an analytic approach
    Vol. 4, No. 4. (1991), pp. 727-752.
    by EM Stein, JC Stein
    posted to stochastic-volatility by wanni to the group assetpricing on 2006-12-02 12:07:58 as *
  • The jump-risk premia implicit in options: evidence from an integrated time-series study
    Journal of Financial Economics, Vol. 63, No. 1. (2002), pp. 3-50.
    by Jun Pan
    posted to jumps options by wanni to the group assetpricing on 2006-12-02 12:07:58 as read
  • Theory of Rational Option Pricing
    Bell Journal of Economics, Vol. 4, No. 1. (1973), pp. 141-183.
    by Robert C Merton
    posted to merton options by wanni to the group assetpricing on 2006-12-02 12:07:58 as **
  • The Model-Free Implied Volatility and Its Information Content
    Review of Financial Studies, Vol. 18, No. 4. (2005), pp. 1305-1342.
    by George J Jiang, Yisong S Tian
    posted to implied-volatility options by wanni to the group assetpricing on 2006-12-02 12:02:16 as **
  • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    Vol. 6, No. 2. (1993), pp. 327-343.
    by SL Heston
    posted to options stochastic-volatility by wanni to the group assetpricing on 2006-12-02 12:02:15 as *
  • Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    Journal of Economic Dynamics and Control, Vol. 27, No. 5. (2003), pp. 717-769.
    by Massimo Guidolin, Allan Timmermann
    posted to learning options by wanni to the group assetpricing on 2006-12-02 12:02:15 as read
  • Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
    (May 2004)
    by Eric Ghysels, Pedro S Clara, Rossen Valkanov
    posted to midas volatility by wanni to the group assetpricing on 2006-12-02 12:02:15 as read
  • Demand-Based Option Pricing
    (July 2005)
    by Nicolae Gârleanu, Lasse H Pedersen, Allen M Poteshman
    posted to non-redundant options volume by wanni to the group assetpricing on 2006-12-02 11:53:27 as read
  • The Econometrics of Option Pricing
    (January 2004)
    by René Garcia, Eric Ghysels, Éric Renault
    posted to options survey by wanni to the group assetpricing on 2006-12-02 11:53:27 as read
  • The World Price of Jump and Volatility Risk
    (July 2006)
    by Joost Driessen, Pascal Maenhout
    posted to option-returns options volatility-premium by wanni to the group assetpricing on 2006-12-02 11:53:27 as ***
  • Differences of Opinion and the Cross Section of Stock Returns
    Journal of Finance, Vol. 57, No. 5. (October 2002), pp. 2113-2141.
    by Karl B Diether, Christopher J Malloy, Anna Scherbina
    posted to heterogeneous-beliefs uncertainty by wanni to the group assetpricing on 2006-12-02 11:53:27 as **
  • Option prices with uncertain fundamentals
    (June 2002)
    by Alexander David, Pietro Veronesi
    posted to learning options stochastic-volatility by wanni to the group assetpricing on 2006-12-02 11:53:27 as read
  • Expected Options Returns
    Journal of Finance, Vol. 56, No. 3. (June 2001), pp. 983-1009.
    by JD Coval, T Shumway
    posted to option-returns options volatility-premium by wanni to the group assetpricing on 2006-12-02 11:53:27 as read
  • Model Uncertainty and Option Markets with Heterogeneous Agents
    (2006)
    by Andrea Buraschi, Alexei Jiltsov
    posted to learning options uncertainty volume by wanni to the group assetpricing on 2006-12-02 11:53:26 as read
  • The price of a smile: Hedging and Spanning in Option Markets
    Vol. 14, No. 4. (April 2001), pp. 495-527.
    by Andrea Buraschi, J Jackwerth
    posted to options volatility-smile by wanni to the group assetpricing on 2006-12-02 11:48:13 as read
  • Option Prices, Implied Price Processes, and Stochastic Volatility
    Journal of Finance, Vol. 55, No. 2. (2000), pp. 839-866.
    by Mark B Jones, Anthony Neuberger
    posted to implied-volatility options by wanni to the group assetpricing on 2006-12-02 11:48:12 as read
  • Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
    Vol. 59, No. 2. (April 2004), pp. 711-753.
    by Nicolas PB Bollen, Robert E Whaley
    posted to implied-volatility options volatility-smile by wanni to the group assetpricing on 2006-12-02 11:48:12 as read along with 1 person RobHayward
  • The Pricing of Options and Corporate Liabilities
    Journal of Political Economy, Vol. 81, No. 3. (May-June 1973), pp. 637-54.
    by Fischer Black, Myron S Scholes
    posted to black-scholes options by wanni to the group assetpricing on 2006-12-02 11:48:12 as read
  • Post-'87 crash fears in the S&P 500 futures option market
    Journal of Econometrics, Vol. 94, No. 1-2. (2000), pp. 181-238.
    by David S Bates
    posted to options by wanni to the group assetpricing on 2006-12-02 11:41:50 as read
  • Jumps and stochastic volatility: exchange rate processes implicit in deutsche mark options
    Vol. 9, No. 1. (1996), pp. 69-107.
    by DS Bates
    posted to jumps options stochastic-volatility by wanni to the group assetpricing on 2006-12-02 11:41:50 as read
  • Delta-Hedged Gains and the Negative Market Volatility Risk Premium
    Vol. 16, No. 2. (2003), pp. 527-566.
    by Gurdip Bakshi, Nikunj Kapadia
    posted to option-returns options volatility-premium by wanni to the group assetpricing on 2006-12-02 11:41:50 as read
  • Do Call Prices and the Underlying Stock Always Move in the Same Direction?
    Vol. 13, No. 3. (2000), pp. 549-584.
    by Gurdip S Bakshi, Charles Q Cao, Zhiwu Chen
    posted to non-redundant options by wanni to the group assetpricing on 2006-12-02 11:41:50 as read
  • Empirical Performance of Alternative Option Pricing Models
    Vol. 52, No. 5. (December 1997), pp. 2003-2049.
    by Gurdip S Bakshi, Charles Q Cao, Zhiwu Chen
    posted to jumps options stochastic-volatility by wanni to the group assetpricing on 2006-12-02 11:41:50 as read
  • Do Heterogeneous Beliefs Matter for Asset Pricing?
    Vol. 18, No. 3. (2005), pp. 875-924.
    by Evan W Anderson, Eric Ghysels, Jennifer L Juergens
    posted to heterogeneous-beliefs uncertainty by wanni to the group assetpricing on 2006-12-02 11:36:13 as read
  • Consensus and Uncertainty in Economic Prediction
    Journal of Political Economy, Vol. 95, No. 3. (1987), pp. 591-621.
    by Victor Zarnowitz, Louis A Lambros
    posted to analysts dispersion empirical micro-survey-data uncertainty by f_goltz to the group assetpricing on 2006-11-29 13:34:08 as read
  • A note on the time-series relationship between market industry concentration and market volatility
    Journal of International Financial Markets, Institutions and Money, Vol. 14 (2004), pp. 105-115.
    by Xuejing Xing
    posted to thesis by f_goltz to the group assetpricing on 2006-11-29 13:34:08 as read
  • Why Does Stock Market Volatility Differ across Countries? Evidence from Thirty Seven International Markets
    International Journal of Business, Vol. 9, No. 1. (2004), pp. 83-102.
    by Xuejing Xing
    posted to thesis by f_goltz to the group assetpricing on 2006-11-29 13:34:08 as read
  • Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation
    Journal of Finance, Vol. 43, No. 3. (1988), pp. 639-656.
    by KD West
    posted to thesis by f_goltz to the group assetpricing on 2006-11-29 13:34:08 as read
  • The Relationships Between Sentiment, Returns and Volatility
    International Journal of Forecasting, No. forthcoming. (2005)
    by Yaw H Wang, Aneek Keswani, Stephen J Taylor
    posted to thesis by f_goltz to the group assetpricing on 2006-11-29 13:34:08 as read
  • Investing when Volatility Fluctuates
    (2004)
    by Leping Wang
    posted to portfolio-choice volatility-dynamics by f_goltz to the group assetpricing on 2006-11-29 13:34:07 as read
  • Stock market overreactions to bad news in good times: a rational expectations equilibrium model
    Review of Financial Studies, Vol. 12, No. 5. (1999), pp. 975-1007.
    by Pietro Veronesi
    posted to learning regime-switching theory by f_goltz to the group assetpricing on 2006-11-29 13:34:07 as read
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