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Effect of investor category trading imbalances on stock returns
Colwell, David B.; Henker, Julia; Walter, Terry S. - In: International review of finance 8 (2008) 3/4, pp. 179-206
Persistent link: https://www.econbiz.de/10003838453
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Risk premium in electricity prices : evidence from the PJM market
Xiao, Yuewen; Colwell, David B.; Bhar, Ramaprasad - In: The journal of futures markets 35 (2015) 8, pp. 776-793
Persistent link: https://www.econbiz.de/10011392653
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Regime dependent causality : equity and credit markets
Bhar, Ramaprasad; Colwell, David B.; Wang, Peipei - In: International journal of financial markets and derivatives 3 (2012) 1, pp. 36-44
Persistent link: https://www.econbiz.de/10009756398
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Non-transferable non-hedgeable executive stock option pricing
Colwell, David B.; Feldman, David; Hu, Wei - In: Journal of economic dynamics & control 53 (2015), pp. 161-191
Persistent link: https://www.econbiz.de/10011526925
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A multi-factor model with time-varying and seasonal risk premiums for the natural gas market
Shao, Chengwu; Bhar, Ramaprasad; Colwell, David B. - In: Energy economics 50 (2015), pp. 207-214
Persistent link: https://www.econbiz.de/10011564043
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Discontinuous asset prices and non-attainable contingent claims
Colwell, David B. - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 295-308
Persistent link: https://www.econbiz.de/10001184866
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A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps
Hainaut, Donatien - 2014
This paper presents a switching regime version of the Merton's structural model for the pricing of default risk. The default event depends on the total value of the firm's asset modeled by a Markov modulated Lévy process. The novelty of our approach is to consider that firm's asset jumps...
Persistent link: https://www.econbiz.de/10013064612
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Hedging diffusion processes by local risk minimization with applications to index tracking
Colwell, David; Hassan, Nadima el; Kwon, Oh Kang - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2135-2151
Persistent link: https://www.econbiz.de/10003484993
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Hedging diffusion processes by local risk minimization with applications to index tracking
Colwell, David; El-Hassan, Nadima; Kang Kwon, Oh - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2135-2151
Persistent link: https://www.econbiz.de/10007738988
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Hedging diffusion processes by local risk minimization with applications to index tracking
Colwell, David; El-Hassan, Nadima; Kang Kwon, Oh - In: Journal of Economic Dynamics and Control 31 (2007) 7, pp. 2135-2151
Persistent link: https://www.econbiz.de/10005229389