Details about Nadima El-Hassan
Access statistics for papers by Nadima El-Hassan.
Last updated 2014-05-07. Update your information in the RePEc Author Service.
Short-id: pel32
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Working Papers
2013
- Self-funding Instalment Warrants
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2004
- 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 View citations (3)
- 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 Hedging diffusion processes by local risk minimization with applications to index tracking, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (6) (2007)
2003
- Tracking Error and Active Portfolio Management
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (20)
See also Journal Article Tracking Error and Active Portfolio Management, Australian Journal of Management, Australian School of Business (2003) View citations (19) (2003)
2002
- 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
- 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
- THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
Computing in Economics and Finance 2000, Society for Computational Economics
- The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
- 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 (7)
1999
- 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 View citations (5)
1997
- A Survey of Models for the Pricing of Interest Rate Derivatives
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
- Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (16)
1996
- A Preference Free Partial Differential Equation for the Term Structure of Interest Rates
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (9)
Undated
- Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions
Computing in Economics and Finance 1997, Society for Computational Economics View citations (14)
Journal Articles
2007
- Hedging diffusion processes by local risk minimization with applications to index tracking
Journal of Economic Dynamics and Control, 2007, 31, (7), 2135-2151 View citations (6)
See also Working Paper Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking, Research Paper Series (2004) (2004)
2003
- An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
Computational Economics, 2003, 22, (2), 113-138 View citations (3)
- Tracking Error and Active Portfolio Management
Australian Journal of Management, 2003, 28, (2), 183-207 View citations (19)
See also Working Paper Tracking Error and Active Portfolio Management, Research Paper Series (2003) View citations (20) (2003)
1999
- 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 (33)
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