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Hedging interest rate risk with futures portfolios under full-rank assumptions
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 24 (1989) 2, pp. 217-240
Persistent link: https://www.econbiz.de/10001067211
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Using multivariate densities to assign lattice probabilities when there are jumps
Hilliard, Jimmy E.; Hilliard, Jitka - In: The journal of futures markets 35 (2015) 4, pp. 385-398
Persistent link: https://www.econbiz.de/10011348412
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Pricing European and American derivatives under a jump-diffusion process : a bivariate tree aproach
Hilliard, Jimmy E.; Schwartz, Adam - In: Journal of financial and quantitative analysis : JFQA 40 (2005) 3, pp. 671-692
Persistent link: https://www.econbiz.de/10003160394
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Binomial option pricing under stochastic volatility and correlated state variables
Hilliard, Jimmy E. - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 23-39
Persistent link: https://www.econbiz.de/10001207627
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Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot
Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 61-86
Persistent link: https://www.econbiz.de/10001243204
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Pricing a class of American and European path dependent securities
Hilliard, Jimmy E.; Kau, James B.; Keenan, Donald C.; … - In: Management science : journal of the Institute for … 41 (1995) 12, pp. 1892-1899
Persistent link: https://www.econbiz.de/10001196045
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Valuing prepayment and default in a fixed-rate mortgage : a bivariate binominal options pricing technique
Hilliard, Jimmy E. - In: Real estate economics : journal of the American Real … 26 (1998) 3, pp. 431-468
Persistent link: https://www.econbiz.de/10001249229
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An investigation into the equilibrium structure of the commodity futures market anomaly
Murphy, J. A. - In: The financial review : the official publication of the … 24 (1989) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001064175
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A test of technical analysis : matching time displaced generalized patterns
Hilliard, Jimmy E.; Schwartz, Adam; Squire, James C. - In: Financial management 42 (2013) 2, pp. 291-314
Persistent link: https://www.econbiz.de/10010187926
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Using the short-lived arbitrage model to compute minimum variance hedge ratios : application to indices, stocks and commodities
Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 21 (2021) 1, pp. 125-142
Persistent link: https://www.econbiz.de/10012424638