David Newton

Research Output

Research Output per year

2002 2021

• 22 Article

Research Output per year

Research Output per year

Search results

• 2021

  Universal Arbitrage-free Estimation of State Price Density

  Newton, D. & Hu, Q., 2021, In: Journal of Derivatives.

  Research output: Contribution to journal › Article › peer-review

  • State Price Density
  • Arbitrage
  • No-arbitrage
  • Support Vector Machine
  • Bid/ask Spread
• 2020

  Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression

  Tian, H., Yim, A. & Newton, D., 7 Dec 2020, In: Management Science. 25 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

  • Quantile Regression
  • Profitability
  • Asymmetry
  • Forecast Error
  • Ordinary Least Squares
  1 Downloads (Pure)

• Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model

  Su, H. & Newton, D., 2020, In: Journal of Derivatives. 2020 (Winter), jod.2020.1.105.

  Research output: Contribution to journal › Article › peer-review

  • SABR Model
  • Finite Difference
  • Density Function
  • No-arbitrage
  • Approximation
• 2017

  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 › peer-review

  • Quadrature
  • Heston
  • Black-Scholes
  • Option Pricing
  • Jump
  4 Citations (Scopus)
• 2016

  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. 159-178

  Research output: Contribution to journal › Article › peer-review

  • Formal Institutions
  • State Ownership
  • Long-term Returns
  • Resources
  • Cross-border Mergers and Acquisitions
  17 Citations (Scopus)
• 2015

  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 › peer-review

  • Reserve Requirements
  • Credit Rationing
  • China
  • Credit Supply
  • Excess Liquidity
  2 Citations (Scopus)
• 2014

  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 › peer-review

  Open Access

  • Quadrature
  • Universality
  • Option Pricing
  • Financial Economics
  • Early Exercise
  10 Citations (Scopus)
• 2013

  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 › peer-review

  • Liquidity
  • Credit Default Swap (CDS) Spreads
  • Markov Regime Switching Model
  • Volatility Risk
  • Credit Default Swaps
  4 Citations (Scopus)
• 2011

  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 › peer-review

  2 Citations (Scopus)
• 2010

  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 › peer-review

  3 Citations (Scopus)
• 2009

  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 › peer-review

  • Prepayment
  • occupation
  • Derivatives
  • Decision Process
  • Mortgages
  7 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. 457-486

  Research output: Contribution to journal › Article › peer-review

  • Singular Perturbation
  • Asset Pricing
  • Early Exercise
  • Perturbation techniques
  • Perturbation Technique
  3 Citations (Scopus)
• 2008

  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 › peer-review

  • Mortgage Valuation
  • Prepayment
  • valuation
  • Singular Perturbation Theory
  • portfolio management
  17 Citations (Scopus)
• 2007

  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 › peer-review

  • Path-dependent Options
  • Quadrature
  • Financial Economics
  • Option Valuation
  • Monte Carlo Method
  29 Citations (Scopus)
• 2005

  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 › peer-review

  7 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 › peer-review

  • Singular Perturbation
  • Black-Scholes Equation
  • Perturbation techniques
  • American Options
  • Barrier Options
  30 Citations (Scopus)
• 2004

  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 › peer-review

  5 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 › peer-review

  • Real Options
  • Parameter Estimation
  • Project Valuation
  • Managerial Flexibility
  • Best Practice
  44 Citations (Scopus)
• 2003

  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 › peer-review

  • indemnity
  • Mortgage Valuation
  • Mortgages
  • interest rate
  • valuation
  17 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 › peer-review

  • Quadrature
  • Finite Difference
  • Barrier Options
  • Option Pricing
  • Discontinuity
  74 Citations (Scopus)
• 2002

  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 › peer-review

  • Option Pricing
  • Trinomial Tree
  • Finite Difference
  • Derivative Securities
  • Node
  15 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 › peer-review

  • Mortgage Valuation
  • Mortgages
  • House Prices
  • Finite Difference Method
  • Error Bounds
  18 Citations (Scopus)