ICMA Centre Discussion Papers in Finance

From Henley Business School, University of Reading
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2009-05: Analytic Approximations for Multi-Asset Option Pricing

Carol Alexander and Aanand Venkatramanan

2009-04: Transaction Costs, Trading Volume and Momentum Strategies

Xiafei Li, Chris Brooks and Joelle Miffre

2009-03: Forecasting Yield Curves Using Analyst's Views

Leonardo Nogueira

2009-02: Size and Scale Economies in Japanese Cooperative Banking

Tara Deelchand and Carol Padgett

2009-01: Time Varying Volatility and the Cross-Section of Equity Returns Â

Chris Brooks, Xiafei Li and Joelle Miffre

2008-09: Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee

Johanna Scheller and Jacques Pézier

2008-07: Interest in medieval accounts: Examples from England, 1272-1340

Adrian Bell, Chris Brooks and Tony Moore

2008-06: An analytically tractable time-changed jump-diffusion default intensity model

Naoufel El-Bachir and Damiano Brigo

2008-05: Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory

Jacques Pézier

2008-04: An Assessment of the Internal Rating Based Approach in Basel II

Simone Varotto

2008-03: Dependent jump processes with coupled Lévy measures

Naoufel El-Bachir

2008-02: Stochastic Local Volatility

Carol Alexander and Leonardo Nogueira

2008-01: Markov Switching GARCH Diffusion

Carol Alexander and Emese Lazar

2007-15: Valuing Medieval Annuities: Were Corrodies Underpriced?

Adrian Bell and Charles Sutcliffe

2007-14: An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model

Damiano Brigo and Naoufel El-Bachir

2007-12: Low-Cost Momentum Strategies

Xiafei Li, Chris Brooks and Jöelle Miffre

2007-11: Analytic Approximations for Spread Options

Carol Alexander and Aanand Venkatramanan

2007-10: Short-Term Returns of UK Share Buyback Activity

Carol Padgett and Zhiqi Wang

2007-09: Tests on the Accuracy of Basel II

Simone Varotto

2007-08: Admissions of International Graduate Students: Art or Science? A Business School Experience

Samantha Heslop and Simone Varotto

2007-07: Global Portfolio Optiomization Revisted: A Least Discrimination Alternative to Black-Litterman

Jacques Pezier

2007-06: Should Defined Benefit Pension Schemes be Career Average or Final Salary?

Charles Sutcliffe

2007-05: The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance

Chris Brooks, Konstantina Kappou and Charles Ward

2007-04: Better cross hedges with composite hedging? Hedging equity portfoloios using financial and commodity features

Fei Chen and Charles Sutcliffe

2007-03: The Value Premium and Time-Varying Unsystematic Risk

Chris Brooks, Xiafei Li and Joelle Miffre

2007-02: Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk

Carol Alexander and Elizabeth Sheedy

2007-01: Hedging and Cross-hedging ETFs

Carol Alexander and Andreza Barbosa

2006-13: Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Damiano Brigo and Naoufel El-Bachir

2006-12: Optimal Hedging with Higher Moments

Chris Brooks, Aleš Černý and J. Miffre

2006-11: Return Differences Between Family and Non-Family Firms: Absolute and Index Differences

Suranjita Mukherjee and Carol Padgett

2006-10: The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios

Jacques Pezier and Anthony White

2006-09: Momentum Profits and Time-Varying Unsystematic Risk

Xiafei Li, Chris Brooks and Joelle Miffre

2006-08: Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices

Carol Alexander and Andreas Kaeck

2006-07: Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?

Chris Brooks and Apostolos Katsaris

2006-06: The Stock Performance of America's 100 Best Corporate Citizens

Stephen Brammer, Chris Brooks and Stephen Pavelin

2006-05: Corporate Reputation and Stock Returns; are good firm good for investors?

Stephen Brammer, Chris Brooks and Stephen Pavelin

2006-04: Minimum Variance Hedging and Stock Index Market Efficiency

Carol Alexander and Andreza Barbosa

2006-03: Hedging Options with Scale-Invariant Models

Carol Alexander and Leonardo Nogueira

2006-02: Investing in Montenegro: Limits and Opportunties

Dragon Radanovic

2006-01: A False Perception? The relative riskiness of AIM and listed Stocks

John Board, Alfonso Dufour, Charles Sutcliffe and Stephen Wells

2005-17: The UK Code of Corpoate Governance Link between Compliance and Firm Performance

Carol Padgett and Amama Shabbir

2005-16: Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds

Carol Alexander and Andreza Barbosa

2005-15: Investment Reputation Indes: Family Firms vs Non-Family firms in the UK

Suranjita Mukherjee and Carol Padgett

2005-14: Asymmetries and Volatility Regimes in the European Equity Markets

Carol Alexandra and Emese Lazar

2005-13: On The Continuous Limit of GARCH

Carol Alexandra and Emese Lazar

2005-12: The Financial Services Reform Act 2001: Impact on Systemic risk in Australia

Colin Beardsley and John R. O'Brien

2005-11: Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate

John Board and Charles Sutcliffe

2005-10: Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models

Carol Alexandra and Leonardo Nogueira

2005-09: Merging Schemes: An Ecomomic Analysis of Defined Benefit Pension Scheme Merger Criteria

Charles Sutcliffe

2005-08: Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330)

Adrian Bell, Chris Brooks and Paul Dryburgh