------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Mon Jul 1 00:01:16 CDT 2002. (To retrieve abstracts without full papers, use e.g. get 0207001.abs ) get 9404003 95011002.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207001 From: s.m.bartram@lancaster.ac.uk Date: Tue, 2 Jul 2002 14:15:31 -0500 ( 0kb + 290kb ) Title: Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations Author: Sohnke M. Bartram (Lancaster University, Graduate School of Management) Contact: s.m.bartram@lancaster.ac.uk Comments: Type of Document - PDF; prepared on PC; pages: 41 ; figures: included Keywords: foreign exchange rates, exposure, corporate finance, risk management, derivatives JEL: G3, F4, F3 EWPA-references: Report-no: SB-2002-02 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207002 From: dhanek@pc.gov.au Date: Thu, 1 Aug 2002 23:42:36 -0500 ( 0kb + 1604kb ) Title: Review of the Superannuation Industry (Supervision) Act 1993 and Certain Other Superannuation Legislation Author: Productivity Commission Contact: maps@pc.gov.au Comments: Type of Document - Word 97; prepared on IBM PC; to print on HP; pages: 272; figures: included Keywords: superannuation - legislation review - finance - competition JEL: EWPA-references: Report-no: 1704 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207003 From: dhanek@pc.gov.au Date: Thu, 8 Aug 2002 20:16:36 -0500 ( 0kb + 1486kb ) Title: Financial Performance Government Trading Enterprises 1996-97 to 2000-01 Author: Productivity Commission Contact: maps@pc.gov.au Comments: Type of Document - Word 97; prepared on IBM PC; to print on HP; pages: 308; figures: included Keywords: JEL: D EWPA-references: Report-no: 1713 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207004 From: thanhlong@poczta.onet.pl Date: Fri, 16 Aug 2002 08:09:58 -0500 ( 0kb + 283kb ) Title: Analytical Aproach to Value Options with Multivariate Driving Levy Process Author: Nguyen Thanh Long (Warsaw School of Economics) Contact: thanhlong@poczta.onet.pl Comments: Type of Document - TeX/PDF; prepared on PC-TEX; pages: 28 Keywords: Levy Process, Option Pricing, Characteristic Function, Analitical Method, Fourier transform JEL: G13 EWPA-references: Report-no: AS-76-200208161309.g7GD9ww14918 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207005 From: s.m.bartram@lancaster.ac.uk Date: Fri, 16 Aug 2002 06:06:21 -0500 ( 0kb + 770kb ) Date (revised): Mon, 16 Sep 2002 04:20:40 -0500 Title: The Impact of the Euro on Foreign Exchange Rate Risk Exposures Author: Sohnke M. Bartram (Lancaster University) and G. Andrew Karolyi (Ohio State University) and Stefanie Kleimeier (Maastricht University) Contact: s.m.bartram@lancaster.ac.uk Comments: Type of Document - Word 2002; prepared on PC; pages: 60 Keywords: Foreign exchange rates, exposure, Euro, corporate finance, risk management, derivatives JEL: G3, F4, F3 EWPA-references: Report-no: 200208161106.g7GB6L221652 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207006 From: ag50@cornell.edu Date: Mon, 19 Aug 2002 09:02:28 -0500 ( 0kb + 11kb ) Title: Optimization of Risk Exposure Author: Alexei Gretchikha (Cornell University) Contact: ag50@cornell.edu Comments: Type of Document - Acrobat PDF; prepared on IBM PC - Acrobat PDF; to print on HP; pages: 3; figures: none Keywords: risk exposure, risk aversion, risk optimization JEL: G11 G10 D81 D80 G30 EWPA-references: Report-no: AVG-2002-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207007 From: paolop@unive.it Date: Mon, 19 Aug 2002 16:30:12 -0500 ( 0kb + 362kb ) Title: Monte Carlo Pricing of American Options Using Nonparametric Regression Author: Pizzi Claudio (Universita' Ca' Foscari, Venice) and Pellizzari Paolo (universita' Ca' Foscari, Venice) Contact: paolop@unive.it Comments: Type of Document - pdf; prepared on OzTeX on Macintosh; to print on Laser printer; pages: 345,395,4323247 ; figures: included Keywords: Option pricing, American options, Monte Carlo, nonparametric regression JEL: G130 C150 EWPA-references: Report-no: ppcp123 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207008 From: wu@fordham.edu Date: Fri, 30 Aug 2002 07:34:29 -0500 ( 0kb + 283kb + 86kb ) Title: Accouting for Biases in Black-Scholes Author: David Backus (New York University) Silverio Foresi (Goldman Sachs) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - postscript; prepared on MikTex; to print on postscript; pages: 41 ; figures: included. produced via dvips Keywords: currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility JEL: G12, G13, F31, C14 EWPA-references: Report-no: bias-1997-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207009 From: wu@fordham.edu Date: Fri, 30 Aug 2002 07:40:23 -0500 ( 0kb + 441kb ) Title: Contagion in Financial Markets Author: David Backus (New York University) Silverio Foresi (Goldman Sachs) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; figures: included. produced via dvips Keywords: contagion, liquidity crunch, market crash, bank run, capital flight JEL: G10, G21 EWPA-references: Report-no: contagion-97-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207010 From: wu@fordham.edu Date: Fri, 30 Aug 2002 07:48:13 -0500 ( 0kb + 248kb + 120kb ) Date (revised): Thu, 5 Sep 2002 10:30:14 -0500 Date (revised): Tue, 10 Sep 2002 09:29:07 -0500 Title: Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives Author: Massoud Heidari (Caspian Capital) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 37 ; figures: included. produced via dvipdfm Keywords: term structure; yield curve; interest rate caps; implied volatility; residual factors; ex­tended Kalman Filter; quasi­maximum likelihood estimation. JEL: E43, G12, G13, C51 EWPA-references: Report-no: interestm-2002-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207011 From: wu@fordham.edu Date: Fri, 30 Aug 2002 07:54:38 -0500 ( 0kb + 197kb ) Title: Time-Changed Levy Processes and Option Pricing Author: Peter Carr (New York University) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 42 ; figures: none. produced via dvipdfm Keywords: random time change; Levy processes; characteristic functions; option pricing; exponen­tial martingales; measure change JEL: G10, G12, G13 EWPA-references: Report-no: changelevy-2001-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207012 From: wu@fordham.edu Date: Fri, 30 Aug 2002 08:04:34 -0500 ( 0kb + 392kb ) Title: The Finite Moment Log Stable Process and Option Pricing Author: Peter Carr (New York University) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 42 ; figures: included. produced via dvipdfm Keywords: Volatility smirk; central limit theorem; Levy a­lpha-stable motion; self­similarity; option pricing. JEL: G12, G13, F31, C14 EWPA-references: Report-no: nstable-2001-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207013 From: wu@fordham.edu Date: Fri, 30 Aug 2002 08:12:13 -0500 ( 0kb + 197kb ) Title: Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? Author: Massoud Heidari (Caspian Capital) Liuren WU (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 48 ; figures: included. produced via dvipdfm Keywords: Factors; principal component; LIBOR; swaps; swaptions; yield curve; implied volatility surface. JEL: E43, G12 EWPA-references: Report-no: volfactor-2001-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207014 From: wu@fordham.edu Date: Fri, 30 Aug 2002 08:18:03 -0500 ( 0kb + 559kb ) Title: Design and Estimation of Quadratic Term Structure Models Author: Markus Leippold (University of Zurich) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 49 ; figures: included. produced via dvipdfm Keywords: quadratic model; term structure; positive interest rates; humps; expectation hy­pothesis; GMM; caps and floors. JEL: G12, G13, E43 EWPA-references: Report-no: design-2000-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207015 From: wu@fordham.edu Date: Fri, 30 Aug 2002 08:23:30 -0500 ( 0kb + 286kb ) Title: Asset Pricing Under The Quadratic Class Author: Markus Leippold (University of Zurich) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 46 ; figures: included. produced via dvipdfm Keywords: quadratic class; interest rates; term structure models; state price density; Markov process. JEL: G12, G13, E43 EWPA-references: Report-no: quadratic-2001-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207016 From: wu@fordham.edu Date: Fri, 30 Aug 2002 08:30:52 -0500 ( 0kb + 484kb ) Title: A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs Author: Gautam Goswami (Fordham University) Milind Shrikhande (Georgia State University) Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on MikTex; to print on postscript; pages: 35 ; figures: included. produced via dvipdfm Keywords: costs of goods transportation; economies of scale; real exchange rate; purchasing power parity; nonlinearity. JEL: C51, F31, G12, G15 EWPA-references: Report-no: ppptheory-2001-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207017 From: wu@fordham.edu Date: Fri, 30 Aug 2002 22:02:39 -0500 ( 0kb + 690kb ) Title: Time-Varying Arrival Rates of Informed and Uninformed Trades Author: David Easley (Cornell University) and Robert F. Engle (New York University) and Maureen O'Hara (Cornell University) and Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on LaTex; to print on postscript; pages: 38 ; figures: included. prepared via dvipdfm Keywords: Arrival rates; informed trades; uninformed trades; autoregressive process; market depth; liquidity; volatility. JEL: C13, C22, G14 EWPA-references: Report-no: arrival-2002-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207018 From: wu@fordham.edu Date: Sun, 1 Sep 2002 17:59:50 -0500 ( 0kb + 560kb + 210kb ) Title: Markov Chain Approximations For Term Structure Models Author: David Backus (New York University) and Liuren Wu (Fordham University) and Stanley Zin (Carnegie Mellon University) Contact: wu@fordham.edu Comments: Type of Document - postcript; prepared on LaTex; to print on postscript; pages: 41 ; figures: included. prepared via dvips Keywords: markov chain, term structure, interest rates, mean-reversion, quadrature, option pricing JEL: E43, C63, C61, G12, G13 EWPA-references: Report-no: markov-wu-1999 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0207019 From: wu@fordham.edu Date: Sun, 1 Sep 2002 18:03:36 -0500 ( 0kb + 296kb ) Title: What Type of Process Underlies Options? A Simple Robust Test Author: Peter Carr (New York University) and Liuren Wu (Fordham University) Contact: wu@fordham.edu Comments: Type of Document - pdf; prepared on LaTex; to print on postscript; pages: 41 ; figures: included. prepared via dvipdfm Keywords: Jumps; continuous martingale; option pricing; Levy density; double tails; local time. JEL: G12, G13, C52 EWPA-references: Report-no: jump-cw-2001 \\