Report / ECFR, Erasmus Center for Financial Research
Economic policy coordination among nations : prospects, pitfalls and prattle / William PooleThe market spread, limit orders and options / Henk BerkmanBetting against the EMS / Kees G. Koedijk and Clemens J.M. KoolThe valuation of fixed income securities in a recursive pricing model / Simon Benninga and Aris ProtopapadakisIndividual expectations, risk perception and preferences in relation to investment decision making / Gerrit Antonides and Nico L. van der SarA pricing method for options based on average asset values / A.G.Z. Kemna and A.C.F. VorstHow to beat the random walk : an emperical model of real echange rates / Kees G. Koedijk and Peter SchotmanStability of velocity in major industrial countries / Eduard J. BomhoffCurrency convertibility: when and how? : a contribution to the Bulgarian debate / Eduard J. BomhoffPrivatization / Eduard J. BomhoffAn empirical test for parities between metal prices at the London metal exchange / Philip Hans Franses and Paul KofmanPattern recognition devices as a support to financial economic decision-making / Dirk Emma Baestaens and Willem Max van den BerghA contribution to event study methodology with an application to the Dutch stock market / Frank de Jong, Angelien Kemna and Teun KloekPrices and hedge ratios of average exchange rate options / Ton VorstLarge option trades and the difference between market makers and limit orders as supplier of liquidity / Henk BerkmanOption replication in discrete time with transaction costs / Phelim P. Boyle and Ton VorstOptimizing futures margins with distribution tails / Paul KofmanMonetary reform in Eastern Europe / Eduard BomhoffTarget zone management: commodity boards and speculative raids / Paul Kofman, Albert de Vaal and Casper de VriesAnalysis of the term structure of implied volatilities / Ronald Heynen, Angelien Kemna and Ton VorstGARCH effects on a test of cointegration / Philip Hans Franses, Paul Kofman and James MoserThe pricing of permanent and transitory volatility : latent variable models and composite garch / René den HertogThe binomial model and the Greeks / Antoon Pelsser and Ton VorstVolatility patterns and spillovers in bund futures / Philip Hans Franses ... [et al.]Is there LIF(F)E after DTB? / Paul Kofman, Tony Bouwman and James T. MoserLookback options and the observation frequency: a binomial approach / Terry H.F. Cheuk and Ton C.F. VorstThe impact of firm specific news on implied volatilities / Monique W.M. Donders and Ton C.F. VorstTransaction costs and efficiency of portfolio strategies / Antoon Pelsser and Ton VorstInterest-rate targeting : the state-space approach / Eduard J. BomhoffIntraday leads and lags with index-futures arbitrage / Martin Martens and Paul KofmanForecasting stock market volatility using (nonlinear) garch models / Philip Hans Franses and Olaf van ThullA static scenario optimization model for asset/liability management of defined benefit plans / Guus C.E. Boender and Fred HeemskerkA hybrid simulation/optimization scenario model for asset/liability management / Guus C.E. BoenderThe effect of diverging inflation trends on exchange rates / Ivo J.M. Arnold and Camiel de KoningThe marginal contribution of news to the DEM/USD swap rate / D.J.E. Baestaens and W.M. van den BerghThe impact of firm specific news on implied volatilities / Monique Donders and Ton VorstOn forecasting exchange rates using neural networks / Philip Hans Franses and Paul van HomelenTesting for ARCH in the presence of additive outliers / Dick van Dijk, Philip Hans Franses, André LucasOptimal optioned portfolios with confidence limits on shortfall constraints / Antoon Pelsser and Ton VorstComplex barrier options / Terry Cheuk and Ton Vorst
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Report / ECFR, Erasmus Center for Financial Research