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Department of Business Studies, Aarhus School of Business, University of Aarhus Finance Working Papers, Department of Business Studies, Aarhus School of Business, University of Aarhus

2000 2001 2002 2003 2004 2014

No. 02-24: On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions Full Text
Mikkel Svenstrup

No. 02-23: Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model Full Text
Malene Shin Jensen and Mikkel Svenstrup

No. 02-22: Mortgage Choice - The Danish Case Full Text
Mikkel Svenstrup

No. 02-21: Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup Full Text
Mikkel Svenstrup

No. 02-20: The Pros and Cons of Butterfly Barbells Full Text
Michael Christensen

No. 02-19: Multivariate Term Structure Models with Level and Heteroskedasticity Effects Full Text
Charlotte Christiansen

No. 02-18: Improving the Least-Squares Monte-Carlo Approach Full Text
Nicki Søndergaard Rasmussen

No. 02-17: Efficient Control Variates for Monte-Carlo Valuation of American Options Full Text
Nicki Søndergaard Rasmussen

No. 02-16: Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis Full Text
Nicki Søndergaard Rasmussen

No. 02-15: Hedging with a Misspecified Model Full Text
Nicki Søndergaard Rasmussen

No. 02-14: Long-Run Forecasting in Multicointegrated Systems Full Text
Boriss Siliverstovs, Tom Engsted and Niels Haldrup

No. 02-13: Regime Switching in the Yield Curve Full Text
Charlotte Christiansen

No. 02-12: Testing for Multiple Types of Marginal Investor in Ex-day Pricing Full Text
Jan Bartholdy and Kate Briown

No. 02-11: Unbiased Estimation of Expected Return Using CAPM
Jan Bartholdy and Paula Peare

No. 02-10: Deposit Insurance and the Risk Premium in Bank Deposit Rates
Jan Bartholdy, G. W. Boyle and R. D. Stover

No. 02-9: The Educational Asset Market: A Finance Perspective on Human Capital Investment Full Text
Charlotte Christiansen and Helena Skyt Nielsen

No. 02-8: Aktiemarkedet
Tom Engsted

No. 02-7: Estimating intractable non-linear term structure models Full Text
Peter Mikkelsen

No. 02-6: Estimating quadratic term structure models by non-linear filtering
Jes Taulbjerg

No. 02-5: Conditional moment testing, term premia and affine term structure models
Jes Taulbjerg

No. 02-4: Co-integration and exponential-affine models of the term structure
Jes Taulbjerg

No. 02-3: Revisiting the shape of the yield curve: the effect of interest rate volatility. Full Text
Charlotte Christiansen and Jesper Lund

No. 02-2: Misspecification versus bubbles in hyperinflation data: Comment. Full Text
Tom Engsted

No. 02-1: The comovement of US and UK stock markets. Full Text
Tom Engsted and Carsten Tanggaard


2000 2001 2002 2003 2004 2014
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