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Feb 12

Friday reading list 12/02/2010

Posted by abiao at 10:13 | Others | Comments(0) | Reads(3200)
Tomorrow is the last day of this lunar year, wish all of you and me happy Chinese lunar new year.

1, Modeling the Cross Section of Stock Returns: A Model Pooling Approach, "This paper illustrates the advantages of a model pooling approach in contrast to model selection. Model pools of several asset pricing models including the CAPM, the Fama-French (1993) three-factor model, and the Carhart (1997) four-factor model are considered for the purpose of forming expectations (i.e., predictions) of the one-step-ahead returns for a cross section of stock portfolios." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1536050;
2, Option Pricing with Piecewise-Constant Parameters, Discrete Jumps and Regime-Switching, "In this paper, I address systematically how to enhance the most existing option models with piecewise-constant parameters, and how to derive the corresponding closed-form characteristic function under the risk-neutral measure. As long as the characteristic function with piecewise-constant parameters is analytical known, the pricing formula for a European call is then given by inverse transform of the derived characteristic function." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1547036;
3, Comparison of Numerical and Analytical Approximations of the Early Exercise Boundary of the American Put Option, "In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put option paying zero dividends." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1547783;
4, Multivariate GARCH Models with Correlation Clustering, "This paper proposes a new clustered correlation multivariate GARCH model (CC-MGARCH) that allows conditional correlations to form clusters. This model can generalize the time-varying correlation structure in Tse and Tsui (2002) by determining a natural grouping of the correlations among the series." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1548408;
5, Efficient Derivative Pricing by the Extended Method of Moments, "The local conditional moment restrictions are of special relevance in derivative pricing for reconstructing the pricing operator at a given day, by using the information in a few cross-sections of observed traded derivative prices and a time series of underlying asset returns." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1550135.

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