Report / ECFR, Erasmus Center for Financial Research

A Bayesian analysis of stock return volatility and trading volume / Ronald Mahieu and Rob Bauerschema:ProductModel A contribution to event study methodology with an application to the Dutch stock market / Frank de Jong, Angelien Kemna and Teun Kloekschema:ProductModel A hybrid simulation/optimization scenario model for asset/liability management / Guus C.E. Boenderschema:ProductModel A pricing method for options based on average asset values / A.G.Z. Kemna and A.C.F. Vorstschema:ProductModel A pricing model for American options with gaussian interest rates / Bert Menkveld and Ton Vorstschema:ProductModel A pricing model for American options with stochastic interest rates / Bert Menkveld and Ton Vorstschema:ProductModel A static scenario optimization model for asset/liability management of defined benefit plans / Guus C.E. Boender and Fred Heemskerkschema:ProductModel A stochastic programming model for asset liability management for pension funds / Roy Kouwenbergschema:ProductModel Additive outliers, GARCH and forecasting volatility / Philip Hans Franses and Hendrik Ghijselsschema:ProductModel An analytically tractable interest rate model with humped volatility / Fabio Mercurio and Juan Moraledaschema:ProductModel An empirical comparison of default swap pricing models / Patrick Houweling and Ton Vorstschema:ProductModel An empirical test for parities between metal prices at the London metal exchange / Philip Hans Franses and Paul Kofmanschema:ProductModel An unbiased variance estimator for overlapping returns / Pauline Bod ... [et al.]schema:ProductModel Analysis of the term structure of implied volatilities / Ronald Heynen, Angelien Kemna and Ton Vorstschema:ProductModel Analyzing specification errors in models for future risk premia with hedging pressures / Frans A. de Roon, Theo E. Nijman and Chris Veldschema:ProductModel Arbitrage-free pricing of quanto-swaptions / Phil Hunt and Antoon Pelsserschema:ProductModel Asset market linkages in crisis periods / P. Hartmann, S. Straetmans and C.G. de Vriesschema:ProductModel Asset/liability management : de indexerings afspraken / Guus Boender, Fred Heemskerk and Sacha van Hoogdalemschema:ProductModel Average interest rate caps / Terry H.F. Cheuk and Ton C.F. Vorstschema:ProductModel Betting against the EMS / Kees G. Koedijk and Clemens J.M. Koolschema:ProductModel ... show all 106