Finance Working Papers, Department of Business Studies, Aarhus School of Business, University of Aarhus
No. 02-24: On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions
No. 02-23: Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model
No. 02-22: Mortgage Choice - The Danish Case
No. 02-21: Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
No. 02-20: The Pros and Cons of Butterfly Barbells
No. 02-19: Multivariate Term Structure Models with Level and Heteroskedasticity Effects
No. 02-18: Improving the Least-Squares Monte-Carlo Approach
No. 02-17: Efficient Control Variates for Monte-Carlo Valuation of American Options
No. 02-16: Finite Difference Computation of State-Prices in Term Structure Models: with Applications to Calibration and MBS Analysis
No. 02-15: Hedging with a Misspecified Model
No. 02-14: Long-Run Forecasting in Multicointegrated Systems
No. 02-13: Regime Switching in the Yield Curve
No. 02-12: Testing for Multiple Types of Marginal Investor in Ex-day Pricing
No. 02-11: Unbiased Estimation of Expected Return Using CAPM
No. 02-10: Deposit Insurance and the Risk Premium in Bank Deposit Rates
No. 02-9: The Educational Asset Market: A Finance Perspective on Human Capital Investment
No. 02-8: Aktiemarkedet
No. 02-7: Estimating intractable non-linear term structure models
No. 02-6: Estimating quadratic term structure models by non-linear filtering
No. 02-5: Conditional moment testing, term premia and affine term structure models
No. 02-4: Co-integration and exponential-affine models of the term structure
No. 02-3: Revisiting the shape of the yield curve: the effect of interest rate volatility.
No. 02-2: Misspecification versus bubbles in hyperinflation data: Comment.
No. 02-1: The comovement of US and UK stock markets.
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