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Estimation and hedging with a one-factor Heath-Jarrow-Morton model

Ho, Lan-chih; Cadle, John; Theobald, Michael - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 49-61

Persistent link: https://www.econbiz.de/10001613583

An analysis of risk-based asset allocation and portfolio insurance strategies

Ho, Lan-chih; Cadle, John; Theobald, Michael - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10009272505

Portfolio selection in an expected shortfall framework during the recent "credit crunch" period

Ho, Lan-chih; Cadle, John; Theobald, Michael - In: The journal of asset management 9 (2008/09) 2, pp. 121-137

Persistent link: https://www.econbiz.de/10003745639

Analysis of price reactions to interim dividend reductions : a note

Balachandran, Balasingham; Cadle, John; Theobald, Michael - In: Applied financial economics 9 (1999) 4, pp. 305-314

Persistent link: https://www.econbiz.de/10001454594

Quality options and hedging in Japanese government bond futures markets

Yu, Shang-wu; Theobald, Michael; Cadle, John - 1994

Persistent link: https://www.econbiz.de/10000901285

Quality options and hedging in Japanese government bond futures markets

Yu, Shang-wu - In: Financial engineering and the Japanese markets 3 (1996) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10001204399

Interim dividend cuts and omissions in the UK

Balachandran, Balasingham - In: European financial management : the journal of the … 2 (1996) 1, pp. 23-38

Persistent link: https://www.econbiz.de/10001196748

Tracking errors, changing risks and the asset universe

Poomimars, Ponladesh; Cadle, John; Theobald, Michael - In: Financial risk and financial risk management, (pp. 261-273). 2002

Persistent link: https://www.econbiz.de/10001755646

Futures hedging using dynamic models of the variance/covariance structure

Poomimars, Ponladesh; Cadle, John; Theobald, Michael - In: The journal of futures markets 23 (2002) 3, pp. 241-260

Persistent link: https://www.econbiz.de/10001765112

Quality Options and Hedging in Japanese Government Bond Future Markets

Yu, Shang-Wu - 1999

The quality options for Japanese Government Bond Futures contracts are analyzed using a discrete trinomial lattice approach based on a two-factor Heath, Jarrow and Morton (1990b) model. The impacts of the quality option on hedging effectiveness are investigated. In general, the pure quality...

Persistent link: https://www.econbiz.de/10012790038