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Expected Option Returns and the Structure of Jump Risk Premia
File Format: PDF/Adobe Acrobat - View as HTML The paper analyzes expected option returns in a model with stochastic volatil- ity and jumps. .... structure of the risk premia on expected option returns. ...
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A Neoclassical Look at Behavioral Finance
File Format: Microsoft Powerpoint - View as HTML Steve Ross. MIT. November, 2002. Copyright © 2002 Steve Ross. Neoclassical Finance. Efficient Markets. Information is captured in prices. No Arbitrage ...
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Unbundling of Insurance Contracts for Accounting and Tax Purposes ...
File Format: PDF/Adobe Acrobat - View as HTML purposes, a workable method of unbundling insurance contracts has eluded tax ... IASB’s DP for the decision whether to unbundle insurance contracts which ...
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Effectiveness of CPPI Strategies under Discrete–Time Trading Sven ...
File Format: PDF/Adobe Acrobat - View as HTML Oct 5, 2005 ... is applied in continuous time, the CPPI strategies provide a value above a ...... Definition 3.1 (Discrete–Time CPPI). A strategy φ ...
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Effectiveness of CPPI Strategies under Discrete–Time Trading Sven ...
File Format: PDF/Adobe Acrobat - View as HTML Oct 5, 2005 ... portfolio protection. A CPPI strategy contradicts the original idea of the portfolio insur- ance if it results in a very high gap risk, ...
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Components of Corporate Credit Spreads
File Format: Microsoft Powerpoint - View as HTML Components of Corporate Credit Spreads Robert Geske. Components of Corporate Credit Spreads. Presented By. Robert Geske. Professor UCLA ...
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Syndication to Overcome Long Distances? Evidence from a Worldwide ...
File Format: PDF/Adobe Acrobat - View as HTML Abstract: Using a new dataset on worldwide private equity deals we show that physical distance considerably shapes the geographical investment patterns of ...
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Hitting the Barrier
File Format: PDF/Adobe Acrobat - View as HTML Claudia Perlich-Reisz. **. JEL classification: G13, G33. December 13, 2004. *. Corresponding author. Risk Analysis Division, Office of the Comptroller of ...
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