------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Mon Jul 1 00:06:24 CDT 1996. (To retrieve abstracts without full papers, use e.g. get 9607001.abs ) get 3 2.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607001 From: "CREFE Centre de recherche sur l'emploi et les fluctuations economiques" Date: Wed, 3 Jul 1996 15:45:05 -0400 (EDT) ( 0kb + 244kb + 85kb ) Title: Substitution, Risk Aversion, Taste Shocks and Equity Premia Author: Michel Normandin (CREFE/UQAM) and Pascal St-Amour (Univeriste Laval) Contact: crefe@uqam.ca Comments: 29 pages, Postscript file JEL: G12, C12, C32 URL: http://www.er.uqam.ca/nobel/crefe/index.html EWPA-References: Report-no: Center for Research on Economic Fluctuations and Employment (CREFE), Universite du Quebec a Montreal (UQAM), Working Paper 39 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607002 From: carrp@morgan.com Date: Thu, 11 Jul 96 14:23:17 CDT ( 0kb + 308kb + 164kb ) Title: Valuing Finite-Lived Options as Perpetual Author: A. Peter Carr (Morgan Stanley) Contact: carrp@morgan.com Comments: Type of Document - Postscript - originally LaTeX; prepared on Unix - Tex; to print on Postscript; pages: 34; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it. Keywords: American options, method of lines JEL: G12 EWPA-references: None Report-no: PC-96-1 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607003 From: schloegl@adma.or.uni-bonn.de ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ( 0kb ) Date: Sat, 13 Jul 96 11:30:02 CDT Title: Continuous-time term structure models: Forward Measure Approach Author: Marek Musiela (University of New South Wales) Marek Rutkowski (Politechnika Warszawska) Contact: musiela@solution.maths.unsw.edu.au Phone: Address: JEL: G13 URL: http://addi.or.uni-bonn.de:1048/papers/bonnsfb377.html EWPA-references: Keywords: term structure of interest rates, forward measure, martingale Report-no: bonnsfb377 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607004 From: schloegl@adma.or.uni-bonn.de ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ( 0kb ) Date: Sat, 13 Jul 96 12:14:39 CDT Title: The Pricing and Hedging of Options in Finitely Elastic Markets Author: Ruediger Frey (ETH Zurich) Contact: frey@addi.or.uni-bonn.de Phone: Address: JEL: G13 URL: http://addi.or.uni-bonn.de:1048/papers/bonnsfb372.html EWPA-references: Keywords: market microstructure, feedback effects Report-no: bonnsfb372 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607005 From: schloegl@adma.or.uni-bonn.de ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ( 0kb ) Date: Sat, 13 Jul 96 12:23:59 CDT Title: Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models Author: Dietmar Leisen Contact: leisen@addi.or.uni-bonn.de Phone: Address: Department of Statistics University of Bonn Adenauerallee 24-26 JEL: G13 URL: http://addi.or.uni-bonn.de:1048/papers/bonnsfb366.html EWPA-references: Keywords: binomial model, option valuation, order of convergence, smoothing, extrapolation Report-no: bonnsfb366 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607006 From: schloegl@adma.or.uni-bonn.de ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ( 0kb ) Date: Sat, 13 Jul 96 12:34:53 CDT Title: Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts Author: J. Aase Nielsen (Aarhus University) Klaus Sandmann (University of Bonn) Contact: sandmann@addi.or.uni-bonn.de Phone: Address: Department of Statistics University of Bonn Adenauerallee 24-26 JEL: G13 URL: http://addi.or.uni-bonn.de:1048/papers/bonnsfb327.html EWPA-references: Keywords: Asian option, forward risk adjusted measure, Monte Carlo simulations, life insurance, stochastic interest rates Report-no: bonnsfb327 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607007 From: schloegl@adma.or.uni-bonn.de ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ( 0kb ) Date: Sat, 13 Jul 96 12:41:06 CDT Title: Closed Form Solutions for Term Structure Derivatives with Log- Normal Interest Rates Author: Kristian R. Miltersen (Odense University) Klaus Sandmann (University of Bonn) Dieter Sondermann (University of Bonn) Contact: sandmann@addi.or.uni-bonn.de Phone: Address: Department of Statistics University of Bonn Adenauerallee 24-26 JEL: G13 URL: http://addi.or.uni-bonn.de:1048/papers/bonnsfb308.html EWPA-references: Keywords: Log-normal, nominal-compounding rates, Heath-Jarrow-Morton model Report-no: bonnsfb308 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607008 From: schloegl@adma.or.uni-bonn.de ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ABSTRACT ONLY ( 0kb ) Date: Sat, 13 Jul 96 13:14:46 CDT Title: A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk Author: Ruediger Frey (ETH Zurich) Daniel Sommer (University of Bonn) Contact: sommer@addi.or.uni-bonn.de Phone: Address: Department of Statistics University of Bonn Adenauerallee 24-26 JEL: G12 G13 G15 URL: http://addi.or.uni-bonn.de:1048/papers/bonnsfb306.html EWPA-references: Keywords: arbitrage, interest rate risk, exchange rate risk, option pricing, hedging Report-no: bonnsfb306 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/9607009 From: jchalupa@ix.netcom.com Date: Wed, 24 Jul 96 14:29:25 CDT ( 262kb + 102kb + 48kb ) Title: Option Valuation and the Price of Risk Author: John Chalupa Contact: jchalupa@ix.netcom.com Comments: Type of Document - LaTeX; prepared on IBM PC - LaTeX 2.09; to print on PostScript; pages: 21 ; figures: Three tables; no figures. Gentle Reader, your comments would be welcome. Keywords: option pricing; Black-Scholes; Chapman-Kolmogorov JEL: G13 EWPA-references: ewp-fin/9601001 Report-no: JC001 \\ ------------------------------------------------------------------------------ \\ Paper (*cross-listing*): ewp-lab/9607001 From: rayton@wuecona.wustl.edu Date: Wed, 10 Jul 96 07:17:01 CDT Title: Firm Performance and Compensation Structure: Performance Elasticities of Average Employee Compensation Author: Bruce A. Rayton (Nottingham Trent University) Contact: rayton@wuecona.wustl.edu Comments: Type of Document - MS-Word 6.0 for Windows; prepared on IBM PC - Windows 3.1; to print on HP (8.5" x 11" paper); pages: 33 ; figures: included. Send me e-mail if there are any problems. I can attatch a copy of the file to my response, or I can arrange another form of delivery. Keywords: incentives, agency costs, profit-sharing, pay-performance sensitivities, firm performance JEL: J33 L14 G3 EWPA-references: ewp-lab/9603002 ewp-io/941201 ewp-lab/9402001 Report-no: BAR-96709 \\ ------------------------------------------------------------------------------ \\ Paper (*cross-listing*): ewp-mac/9607009 From: echalias@zeus.cc.ucy.ac.cy Date: Thu, 1 Aug 96 03:50:59 CDT ANNOUNCEMENT ONLY ANNOUNCEMENT ONLY ANNOUNCEMENT ONLY ANNOUNCEMENT ONLY Title: Conference on Household Saving and Portfolios in Developed and Emerging Markets Author: Michael Haliassos (University of Cyprus) and Pantelis Kalaitzidakis (University of Cyprus) Contact: echalias@zeus.cc.ucy.ac.cy Phone: +357-2-751031 Address: Department of Economics University of Cyprus P.O. Box 537 Expires: 10/27/96 JEL: URL: http://zeus.cc.ucy.ac.cy/news/preprog.htm EWPA-references: Keywords: saving, portfolios, household-level data Report-no: \\