The Library
Browse by Warwick Author
Up a level |
Number of items: 10.
Kozhan, Roman, Neuberger, Anthony and Schneider, Paul (2013) The skew risk premium in the equity index market. Review of Financial Studies, Volume 26 (Number 9). pp. 2174-2203. doi:10.1093/rfs/hht039 ISSN 0893-9454.
Sarno, Lucio, Schneider, Paul and Wagner, Christian (2012) Properties of foreign exchange risk premiums. Journal of Financial Economics, Vol.105 (No.2). pp. 279-310. doi:10.1016/j.jfineco.2012.01.005 ISSN 0304-405X.
Kozhan, Roman, Neuberger, Anthony and Schneider, Paul (2011) Understanding the skew in option prices. Working Paper. United States: American Finance Association. AFA 2011 Denver Meetings Paper .
Dorfleitner, Gregor, Schneider, Paul and VeΕΎa, Tanja (2011) Flexing the default barrier. Quantitative Finance, Vol.11 (No.12). pp. 1729-1743. doi:10.1080/14697688.2010.481633 ISSN 1469-7688.
Schneider, Paul, SΓΆgner, Leopold and VeΕΎa, Tanja (2010) The economic role of jumps and recovery rates in the market for corporate default risk. Journal of Financial and Quantitative Analysis, Vol.45 (No.6). pp. 1517-1547. doi:10.1017/S0022109010000554 ISSN 0022-1090.
Fruehwirth, Manfred, Schneider, Paul and Soegner, Leopold (2010) The risk microstructure of corporate bonds: a case study from the German corporate bond market. European Financial Management, Vol.16 (No.4). pp. 658-685. doi:10.1111/j.1468-036X.2009.00503.x ISSN 1354-7798.
MijatoviΔ, Aleksandar and Schneider, Paul (2010) Globally optimal parameter estimates for nonlinear diffusions. Annals of statistics, Vol.38 (No.1). pp. 215-245. doi:10.1214/09-AOS710 ISSN 0090-5364.
Stramer, O., Bognar, M. and Schneider, Paul (2010) Bayesian inference for discretely sampled Markov processes with closed-form likelihood expansions. Journal of Financial Econometrics, Vol.8 (No.4). pp. 450-480. doi:10.1093/jjfinec/nbp027 ISSN 1479-8409.
FeldhΓΌtter, P., Schneider, Paul and Trolle, A. (2008) Jumps in Interest Rates and Pricing of Jump Risk - Evidence from the Eurodollar Market. In: 35th EFA Annual Meeting, Athens, Greece, 27-30 Aug, 2008. Published in: EFA 2008 Athens Meetings Paper
Dorfleitner, Gregor, Schneider, Paul, Hawlitschek, Kurt and Buch, Arne (2008) Pricing options with Green's functions when volatility, interest rate and barriers depend on time. Quantitative Finance, Vol.8 (No.2). pp. 119-133. doi:10.1080/14697680601161480 ISSN 1469-7688.
This list was generated on Thu Mar 28 15:30:09 2024 GMT.