------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Thu May 1 00:01:03 CDT 2003. (To retrieve abstracts without full papers, use e.g. get 0305001.abs ) get 9404003 95011002.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305001 From: jalondon@sigma.eafit.edu.co Date: Tue, 6 May 2003 12:18:45 -0500 ( 0kb + 182kb ) Title: State Tameness: A New Approach for Credit Constrains Author: Jaime A. Londoño (Universidad EAFIT) Contact: jalondon@sigma.eafit.edu.co Comments: Type of Document - Acrobat PDF; prepared on IBM PC - PC- TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 13 Keywords: arbitrage, pricing of contingent claims, continuous-time financial markets, tameness JEL: G12 EWPA-references: Report-no: jal-03-1 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305002 From: araviv@stern.nyu.edu Date: Wed, 14 May 2003 09:58:57 -0500 ( 0kb + 384kb ) Title: Liquidation Triggers and the Valuation of Equity and Debt Author: Dan Galai (The Hebrew University Business school) and Alon Raviv(The Hebrew University Business school) and Zvi Wiener (The Hebrew University Business school) Contact: araviv@stern.nyu.edu Comments: Type of Document - ; prepared on IBM PC ; to print on HP/; pages: 35; figures: included Keywords: default, bankruptcy, liquidation trigger, debt pricing, corporate finance JEL: G12 G32 G33 EWPA-references: Report-no: galraviv9 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305003 From: lichen@princeton.edu Date: Wed, 14 May 2003 10:54:32 -0500 ( 0kb + 301kb ) Title: A Simple Model for Credit Migration and Spread Curves Author: Li Chen (Princeton University) and Damir Filipovic (Princeton University) Contact: lichen@princeton.edu Comments: Type of Document - pdf; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 21 ; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it. Keywords: Credit Risk Modeling, Credit Migration, Structural Models, Intensity Based Models, Affine Processes JEL: G13 EWPA-references: Report-no: LC-03-000013 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305004 From: allena@cisa-net.com Date: Fri, 16 May 2003 16:45:46 -0500 ( 0kb + 157kb ) Date (revised): Sat, 17 May 2003 17:36:59 -0500 Title: A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion Author: Allen Abrahamson Contact: allena@cisa-net.com Comments: Type of Document - PDFLatex; prepared on IBM PC; to print on Laser Printers; pages: 10; figures: none. PDF with hyperlinks Keywords: Binomial Lattices, Wiener Processes, Option Valuation Methods JEL: G13 C63 EWPA-references: Report-no: AA-CBL-051603 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305005 From: allena@cisa-net.com Date: Wed, 21 May 2003 14:26:39 -0500 ( 0kb + 322kb ) Title: Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options Author: Allen Abrahamson Contact: allena@cisa-net.com Comments: Type of Document - PDFLatex; prepared on IBM PC; to print on Laser Printers; pages: 39 ; figures: 1, inline. PDF with hyperlinks Keywords: Binomial Lattices, Wiener Processes, Option Valuation Methods JEL: C63 G13 EWPA-references: ewp-fin/0205004 ewp-fin/0305004 Report-no: AA-SCEV-052103 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305006 From: cumhur.ekinci@univ.u-3mrs.fr Date: Wed, 28 May 2003 10:22:38 -0500 ( 0kb + 335kb ) Title: A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange Author: Cumhur Ekinci (Aix-Marseille III University) Contact: cumhur.ekinci@univ.u-3mrs.fr Comments: Type of Document - PDF; prepared on IBM PC; to print on Brother HL-1030; pages: 43. Comments welcome. Please, do not quote without permission. Keywords: microstructure liquidity returns volatility Istanbul Stock Exchange JEL: C12 C13 C14 G10 EWPA-references: ewp-fin/030543 Report-no: CE-2003-intraday20 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305007 From: el_bouhadihamid@hotmail.com Date: Thu, 29 May 2003 13:16:20 -0500 ( 0kb + 0kb + 792kb + 475kb ) Title: CONDITIONAL VOLATILITY OF MOST ACTIVE SHARES OF CASABLANCA STOCK EXCHANGE Author: Abdelhamid El Bouhadi (Cadi Ayyad of Marrakech University) Contact: el_bouhadihamid@hotmail.com Comments: Type of Document - Word; prepared on PC; to print on HP; pages: 27 ; figures: included/request from author/draw your own. this is a first draft issue on my work (thesis in Finance achieved in october 26, 2002) Keywords: Volatility ; Asymmetric GARCH ; none Linearity ; MADEX ; The stock exchange of Casablanca. JEL: G14 EWPA-references: Report-no: BH-2002 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305008 From: Falko.Fecht@bundesbank.de Date: Fri, 30 May 2003 03:07:07 -0500 ( 0kb + 426kb ) Title: On the Stability of Different Financial Systems Author: Falko Fecht (Deutsche Bundesbank) Contact: Falko.Fecht@bundesbank.de Comments: Type of Document - PDF; pages: 55 ; figures: included Keywords: Comparing financial systems, liquidity crises, financial fragility, bank runs, financial contagion JEL: E5 G12 G21 D82 EWPA-references: Report-no: FF-03-001-01 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305009 From: Thomas.Schuster@rz.uni-leipzig.de Date: Fri, 30 May 2003 15:41:20 -0500 ( 0kb + 393kb ) Title: News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media Author: Thomas Schuster (Leipzig University) Contact: Thomas.Schuster@rz.uni-leipzig.de Comments: Type of Document - ; prepared on PC; pages: 34 Keywords: JEL: G00 G10 G12 G14 G19 M41 EWPA-references: Report-no: TS121265-03-02 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305010 From: cboucher75@aol.com Date: Sat, 31 May 2003 10:23:22 -0500 ( 0kb + 224kb ) Title: “Winners take all competition”, creative destruction and stock market bubble Author: Christophe Boucher (CEPN-University of Paris-North) Contact: cboucher75@aol.com Comments: Type of Document - Pdf Keywords: Uncertainty, technological change, asset price bubble, winner takes all. JEL: G12 O33 D81 D43 EWPA-references: Report-no: AS-76-987654321 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0305011 From: cboucher75@aol.com Date: Sat, 31 May 2003 10:38:34 -0500 ( 0kb + 242kb ) Title: Stock Market Valuation : the Role of the Macroeconomic Risk Premium Author: Christophe Boucher(CEPN-University of Paris-North) Contact: cboucher75@aol.com Comments: Type of Document - ; figures: included/request from author/draw your own Keywords: Johansen Procedure, Valuation Ratios, Equity Risk Premium, Present Value Model. JEL: G19 C32 E32. EWPA-references: ewp-test/fin Report-no: AS-76-12121212 \\