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Risk and Sustainable Management Group Working Papers

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Risk and Sustainable Management Group Working Papers	168 records found 1 - 10	Search took 0.15 seconds.

1.	PDF WPF16_1 Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles Siddiqi, Hammad I model a scenario in which investors do not know the payoff distributions of relatively newer firms and use the payoff distribution of similar well-established firms as [...] 2016-01 \| Working or Discussion Paper \| Detailed record - Similar records
2.	PDF WPF15_5 Anchoring Adjusted Capital Asset Pricing Model Siddiqi, Hammad An anchoring adjusted Capital Asset Pricing Model (ACAPM) is developed in which the payoff volatilities of well-established stocks are used as starting points that are ad [...] 2015-10 \| Working or Discussion Paper \| Detailed record - Similar records
3.	PDF WPF15_4 Anchoring Heuristic in Option Pricing Siddiqi, Hammad An anchoring-adjusted option pricing model is developed in which the expected return of the underlying stock is used as a starting point that gets adjusted upwards to for [...] 2015-07 \| Working or Discussion Paper \| Detailed record - Similar records
4.	PDF WPF15_3 Minimal conditions for parametric continuity of a utility representation O'Callaghan, Patrick When sufficiently small perturbations of parameters preserve strict preference for one alternative over another, dependence on the parameters is continuous. We characteri [...] 01 April 2015 \| Working or Discussion Paper \| Detailed record - Similar records
5.	PDF WPF15_3 Relative Risk Perception and the Puzzle of Covered Call Writing Siddiqi, Hammad Market professionals with decades of experience typically argue that a call option is a surrogate for the underlying asset, indicating that they perceive the risk of a ca [...] 2015-03 \| Working or Discussion Paper \| Detailed record - Similar records
6.	PDF WPF15_2 Analogy Based Valuation of Currency Options Siddiqi, Hammad The two most intriguing anomalies in currency markets are: 1) the implied volatility smile in currency options, and 2) the forward discount bias in currency exchange rate [...] 2015-02 \| Working or Discussion Paper \| Detailed record - Similar records
7.	PDF WPF15_1 Analogy Based Valuation of Commodity Options Siddiqi, Hammad Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanati [...] 2015-01 \| Working or Discussion Paper \| Detailed record - Similar records
8.	PDF WPF14_7 Analogy Making and the Structure of Implied Volatility Skew Siddiqi, Hammad An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-o [...] 2014-10 \| Working or Discussion Paper \| Detailed record - Similar records
9.	PDF WPF14_6 A Reinterpretation of the Gordon and Barro Model in Terms of Financial Stability Beteto Wegner, Danilo Lopomo A government bailout model based on the framework of time-consistent mone- tary policy of Barro and Gordon (1983) is developed. In the model, the banking sector and the g [...] 12 August 2014 \| Working or Discussion Paper \| Detailed record - Similar records
10.	PDF WPF2014_5 Network Formation and Financial Fragility Beteto Wegner, Danilo Lopomo A tractable model of the formation of financial networks is developed, allowing the use of concepts from portfolio theory. The optimal financial network maximizes a Sharp [...] 2014-05 \| Working or Discussion Paper \| Detailed record - Similar records

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