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20022017
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Research Output 2002 2017

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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 journalArticle

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. 159-178

Research output: Contribution to journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

Liquidity
Credit default swap (CDS) spreads
Structural model
Pooling
Leverage
2011
2 Citations (Scopus)
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 journalArticle

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 journalArticle

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. 457-486

Research output: Contribution to journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

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 journalArticle

Mortgage valuation
Mortgages
House prices
Interest rates
Diffusion model