EconPapers    
Economics at your fingertips  
 

Details about Nadima El-Hassan

E-mail:
Homepage:http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=84
Phone:+61 2 9514 7725
Postal address:PO Box 123 Broadway NSW 2007 Australia
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
Quantitative Finance Research Centre, Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Nadima El-Hassan.

Last updated 2014-05-07. Update your information in the RePEc Author Service.

Short-id: pel32


Jump to Journal Articles

Working Papers

2013

  1. Self-funding Instalment Warrants
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

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 Downloads View citations (3)
  2. Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article Hedging diffusion processes by local risk minimization with applications to index tracking, Journal of Economic Dynamics and Control, Elsevier (2007) Downloads View citations (6) (2007)

2003

  1. Tracking Error and Active Portfolio Management
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (20)
    See also Journal Article Tracking Error and Active Portfolio Management, Australian Journal of Management, Australian School of Business (2003) Downloads View citations (19) (2003)

2002

  1. 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
  2. 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

  1. THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
    Computing in Economics and Finance 2000, Society for Computational Economics
  2. The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
  3. 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 Downloads View citations (7)

1999

  1. 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 Downloads View citations (5)

1997

  1. A Survey of Models for the Pricing of Interest Rate Derivatives
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
  2. 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 Downloads View citations (16)

1996

  1. 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 Downloads View citations (9)

Undated

  1. Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads View citations (14)

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 Downloads View citations (6)
    See also Working Paper Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking, Research Paper Series (2004) Downloads (2004)

2003

  1. An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
    Computational Economics, 2003, 22, (2), 113-138 Downloads View citations (3)
  2. Tracking Error and Active Portfolio Management
    Australian Journal of Management, 2003, 28, (2), 183-207 Downloads View citations (19)
    See also Working Paper Tracking Error and Active Portfolio Management, Research Paper Series (2003) Downloads View citations (20) (2003)

1999

  1. 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 Downloads View citations (33)
 
Page updated 2025-03-23