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Currency option pricing with stochastic domestic and foreign interest rates

Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 2, pp. 139-151

Persistent link: https://www.econbiz.de/10001106740

Measuring risk in fixed payment securities : an empirical test of the structured full rank covariance matrix

Hilliard, Jimmy E. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 345-362

Persistent link: https://www.econbiz.de/10001113532

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

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

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

A Comparison of Rebalanced and Buy and Hold Portfolios: Does Monetary Policy Matter?

Hilliard, Jimmy E.; Hilliard, Jitka - In: Review of Pacific Basin Financial Markets and Policies … 18 (2015) 01, pp. 1550006-1

We examine buy and hold and a number of rebalancing strategies on a portfolio of indices that are tracked by ETFs. The indices include Barkley's treasuries and MSCI indices on emerging markets, Pacific and European markets, value funds, and growth funds. Portfolios are rebalanced using threshold...

Persistent link: https://www.econbiz.de/10011279174

Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry

Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756

Persistent link: https://www.econbiz.de/10008265736

Bivariate Binomial Options Pricing with Generalized Interest Rate Processes

Hilliard, Jimmy E.; Schwartz, Adam L.; Tucker, Alan L. - In: The journal of financial research : a publ. of the … 19 (1996) 4, pp. 585-602

Persistent link: https://www.econbiz.de/10007319532

BINOMIAL OPTION PRICING UNDER STOCHASTIC VOLATILITY AND CORRELATED STATE VARIABLES

Hilliard, Jimmy E.; Schwartz, Adam - In: The journal of derivatives : the official publication … 4 (1996) 2, pp. 23-40

Persistent link: https://www.econbiz.de/10007323388

BINOMIAL OPTION PRICING UNDER STOCHASTIC VOLATILITY AND CORRELATED STATE VARIABLES

Hilliard, Jimmy E.; Schwartz, Adam - In: The journal of derivatives : the official publication … 4 (1996) 1, pp. 23-40

Persistent link: https://www.econbiz.de/10007323553