Details about Nadima El-Hassan

Access statistics for papers by Nadima El-Hassan.

Last updated 2009-10-29. Update your information in the RePEc Author Service.

Short-id: pel32

Working Papers

2004

1. Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2. Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
   See also Journal Article in Journal of Economic Dynamics and Control (2007)

2003

3. Tracking Error and Active Portfolio Management
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2002

4. A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models
   Computing in Economics and Finance 2002, Society for Computational Economics
5. The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions
   Computing in Economics and Finance 2002, Society for Computational Economics

2000

6. THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
   Computing in Economics and Finance 2000, Society for Computational Economics
7. The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
8. The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations

1999

9. Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

1997

10. A Survey of Models for the Pricing of Interest Rate Derivatives
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
11. Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

1996

12. A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

Undated

13. Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2007

1. Hedging diffusion processes by local risk minimization with applications to index tracking
   Journal of Economic Dynamics and Control, 2007, 31, (7), 2135-2151
   See also Working Paper (2004)

2003

2. An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
   Computational Economics, 2003, 22, (2), 113-138

1999

3. Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
   Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1387-1424 View citations