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Number of items: 10.
Journal Article
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.
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.
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.
Conference Item
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
Working or Discussion Paper
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 .
This list was generated on Thu Mar 28 15:30:09 2024 GMT.