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Pricing of Securities

Authors and titles for recent submissions

[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

Wed, 20 Sep 2017

[1]  arXiv:1709.06517 [pdf]
Title: Numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed discrete coupon
Comments: 14 pages, 11 figures
Subjects: Pricing of Securities (q-fin.PR); Numerical Analysis (math.NA); Computational Finance (q-fin.CP)

Tue, 5 Sep 2017

[2]  arXiv:1709.00468 [pdf, ps, other]
Title: An Option Pricing Model with Memory
Subjects: Pricing of Securities (q-fin.PR)

Wed, 30 Aug 2017

[3]  arXiv:1708.08675 [pdf, ps, other]
Title: American options in an imperfect market with default
Comments: arXiv admin note: text overlap with arXiv:1511.09041
Subjects: Pricing of Securities (q-fin.PR); Optimization and Control (math.OC)
[4]  arXiv:1708.08622 [pdf, ps, other]
Title: Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns
Subjects: Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Mon, 28 Aug 2017

[5]  arXiv:1708.07585 [pdf]
Title: Haircutting Non-cash Collateral
Authors: Wujiang Lou
Comments: 26 pages, 4 figures, 7 tables; published in Risk, September 2017
Subjects: Pricing of Securities (q-fin.PR)

Fri, 25 Aug 2017

[6]  arXiv:1708.07305 [pdf]
Title: Optimal firm's policy under lead time-and price-dependent demand: interest of customers rejection policy
Authors: Abduh Sayid (G-SCOP\_GCSP), Yannick Frein (G-SCOP\_GCSP), Ramzi Hammami
Journal-ref: POMS 27th Annual Conference, May 2016, Orlando, Florida, United States
Subjects: Pricing of Securities (q-fin.PR)
[ total of 6 entries: 1-6 ]
[ showing up to 25 entries per page: fewer | more ]

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