Details about David Babbel

Access statistics for papers by David Babbel.

Last updated 2009-08-05. Update your information in the RePEc Author Service.

Short-id: pba115

Working Papers

2002

1. Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
   See also Journal Article in Journal of Business (2005)
2. On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

2001

3. The Effect of Transaction Size on Off-the-Run Treasury Prices
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
   See also Journal Article in Journal of Financial and Quantitative Analysis (2004)

1998

4. Components of Insurance Firm Value and the Present Value of Liabilities
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania

1997

5. Economic Valuation Models for Insurers
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
6. Risk Management by Insurers: An Analysis of the Process
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

1996

7. Insuring Sovereign Debt Against Default
   World Bank - Discussion Papers, World Bank View citations

1995

8. Default risk and the effective duration of bonds
   Policy Research Working Paper Series, The World Bank View citations
9. The World Bank primer on reinsurance
   Policy Research Working Paper Series, The World Bank View citations

1991

10. Generalized put-Call parity
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    Also in Working Paper, Federal Reserve Bank of Atlanta (1991)
11. Quantity-Adjusting Options and Forward Contracts
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations
    Also in Working Paper, Federal Reserve Bank of Atlanta (1991) View citations
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1991)

1985

12. Aspects of Optimal Multiperiod Life Insurance
    Research Program in Finance Working Papers, University of California at Berkeley View citations
13. Optimal Insurance of the Common Form Under Moral Hazard
    Research Program in Finance Working Papers, University of California at Berkeley

Undated

14. Generalized Put-Call Parity (Reprint 040)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
15. Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
16. Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Journal Articles

2008

1. Lifetime Financial Advice: Human Capital, Asset Allocation and Insurance. Roger G. Ibbotson, Moshe A. Milevsky, Peng Chen, and Kevin X. Zhu. 2007, Research Foundation of CFA Institute, ISBN 978-1-943205, 95 pages
   Journal of Pension Economics and Finance, 2008, 7, (03), 365-368

2005

2. Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions
   Journal of Business, 2005, 78, (3), 841-870 View citations
   See also Working Paper (2002)
3. Real and Illusory Value Creation by Insurance Companies
   Journal of Risk & Insurance, 2005, 72, (1), 1-22

2004

4. The Effect of Transaction Size on Off-the-Run Treasury Prices
   Journal of Financial and Quantitative Analysis, 2004, 39, (03), 595-611
   See also Working Paper (2001)

1988

5. Interest rate dynamics and the term structure: A note
   Journal of Banking & Finance, 1988, 12, (3), 401-417

1985

6. The Price Elasticity of Demand for Whole Life Insurance
   Journal of Finance, 1985, 40, (1), 225-39 View citations

1983

7. A Capital Budgeting Analysis of Life Insurance Costs in the United States: 1950-1979
   Journal of Finance, 1983, 38, (1), 149-70
8. Determining The Optimum Strategy for Hedging Currency Exposure
   Journal of International Business Studies, 1983, 14, (1), 133-139