Research Output per year
Research Output 2002 2017
- 19 Article
2017
1
Citation
(Scopus)
Option Pricing via QUAD: From Black-Scholes-Merton to Heston with Jumps
Su, H., Chen, D. & Newton, D. P., 2017, In : Journal of Derivatives. 24, 3, p. 9-27 19 p.Research output: Contribution to journal › Article
Jump
Quadrature
Black-Scholes
Option pricing
Heston
2016
12
Citations
(Scopus)
The impact of State Ownership, Formal Institutions and Resource Seeking on Acquirers' Return of Chinese M&A
Du, M., Boateng, A. & Newton, D., Jul 2016, In : Review of Quantitative Finance and Accounting. 47, 1, p. 159-178Research output: Contribution to journal › Article
Resources
Formal institutions
State ownership
Long-term returns
Interaction
2015
2
Citations
(Scopus)
Involuntary Excess Reserves, the Reserve Requirements and Credit Rationing in China
Nguyen, V. H. T., Boateng, A. & Newton, D., 7 Jan 2015, In : Applied Economics. 47, 14, p. 1424-1437 15 p.Research output: Contribution to journal › Article
Credit rationing
Reserve requirements
China
Credit supply
Lending
2014
6
Citations
(Scopus)
Advancing the Universality of Quadrature Methods to Any Underlying Process for Option Pricing
Chen, D., Härkönen, H. J. & Newton, D. P., 1 Dec 2014, In : Journal of Financial Economics. 114, 3, p. 600-612 13 p.Research output: Contribution to journal › Article
Open Access
Quadrature
Option pricing
Universality
Web sites
Early exercise
2013
3
Citations
(Scopus)
Regime Dependent Liquidity Determinant of Credit Default Swap Spread Changes
Guo, B. & Newton, D., 17 Jun 2013, In : Journal Of Financial Research. 36, 2, p. 279-298 21 p.Research output: Contribution to journal › Article
Liquidity
Credit default swap (CDS) spreads
Structural model
Pooling
Leverage
2011
2
Citations
(Scopus)
A Bridge Between American and European Options: The Ameripean Delayed-Exercise Model
Newton, D., 2011, In : SIAM Journal on Financial Mathematics. 2, p. 965-988 34 p.Research output: Contribution to journal › Article
2010
3
Citations
(Scopus)
On nonlinear models of markets with finite liquidity: some cautionary notes
Newton, D., 2010, In : SIAM Journal on Applied Mathematics. 70, p. 3252-3271 20 p.Research output: Contribution to journal › Article
2009
7
Citations
(Scopus)
A New Prepayment Model (with Default): An Occupation-Time Derivative Approach
Sharp, N. J., Johnson, P. V., Newton, D. & Duck, P. W., 1 Aug 2009, In : Journal of Real Estate Finance and Economics. 39, 2, p. 118-145 28 p.Research output: Contribution to journal › Article
occupation
valuation
Values
interest rate
insurance
3
Citations
(Scopus)
Singular perturbation techniques applied to Applied to Multi-Asset Option pricing
Duck, P. W., Yang, C., Newton, D. & Widdicks, M., 1 Jul 2009, In : Mathematical Finance. 19, 3, p. 457-486Research output: Contribution to journal › Article
Asset Pricing
Perturbation techniques
Perturbation Technique
Option Pricing
Singular Perturbation
2008
17
Citations
(Scopus)
An Improved Fixed-Rate Mortgage Valuation Methodology With Interacting Prepayment and Default Options
Sharp, N. J., Newton, D. & Duck, P. W., 1 Apr 2008, In : Journal of Real Estate Finance and Economics. 36, 3, p. 307-342 36 p.Research output: Contribution to journal › Article
valuation
portfolio management
methodology
interest rate
insurance
2007
24
Citations
(Scopus)
Extending Quadrature Methods to Value Multi-Asset and Complex Path Dependent Options
Newton, D., 1 Feb 2007, In : Journal of Financial Economics. 83, 2, p. 471-499 29 p.Research output: Contribution to journal › Article
Assets
Quadrature
Path-dependent options
Option valuation
Monte Carlo method
2005
7
Citations
(Scopus)
Enhancing the Accuracy of Pricing American and Bermudan Options
Newton, D., 2005, In : Journal of Derivatives. 12, p. 1222-1234 13 p.Research output: Contribution to journal › Article
29
Citations
(Scopus)
The Black-Scholes Equation Revisited: Asymptotic Expressions and Singular Perturbations
Widdicks, M., Duck, P. W., Andricopoulos, A. D. & Newton, D., 18 Mar 2005, In : Mathematical Finance. 15, 2, p. 373-391 19 p.Research output: Contribution to journal › Article
Black-Scholes Equation
American Options
Perturbation techniques
Singular Perturbation
Barrier Options
2004
4
Citations
(Scopus)
Curtailing the Range for Lattice and Grid Methods
Newton, D., 2004, In : Journal of Derivatives. 12, p. 55-61 7 p.Research output: Contribution to journal › Article
43
Citations
(Scopus)
Real R & D Options
Newton, D., Paxson, D. A. & Widdicks, M., 2004, In : International Journal of Management Reviews. 5-6, 2, p. 113-130 18 p.Research output: Contribution to journal › Article
Parameter estimation
Managers
Real options
Industry
Discounted cash flow
2003
17
Citations
(Scopus)
Fixed Rate Endowment Mortgage and Mortgage Indemnity Valuation
Azevedo-Pereira, J. A., Newton, D. & Paxson, D. A., 1 Mar 2003, In : Journal of Real Estate Finance and Economics. 26, 2-3, p. 197- 221 25 p.Research output: Contribution to journal › Article
indemnity
interest rate
valuation
premium
guarantee
69
Citations
(Scopus)
Universal Option Variation Using Quadrature Methods
Andricopoulos, A. D., Widdicks, M., Duck, P. W. & Newton, D., 17 Jan 2003, In : Journal of Financial Economics. 67, 3, p. 447-471 25 p.Research output: Contribution to journal › Article
Quadrature
Node
Barrier options
Discontinuity
Option pricing
2002
15
Citations
(Scopus)
On the Enhanced Convergence of Standard Lattice Methods for Option Pricing
Widdicks, M., Andricopoulos, A. D., Newton, D. & Duck, P. W., 1 Apr 2002, In : Journal of Futures Markets. 22, 4, p. 315-338 34 p.Research output: Contribution to journal › Article
Option pricing
Node
Derivative securities
Extrapolation
Trade-offs
17
Citations
(Scopus)
UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation
Azevedo-Pereira, J. A., Newton, D. & Paxson, D. A., 17 Dec 2002, In : Real Estate Economics. 30, 2, p. 185-211 27 p.Research output: Contribution to journal › Article
Mortgage valuation
Mortgages
House prices
Interest rates
Diffusion model