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Accounting and Finance

  1. Published

    Geske Johnson pricing of Long Maturity American and Infinite Bermudan Options

    Shackleton, M. B. & Chung, S. L., 1999, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  2. Published

    The expected return and exercise time of Merton-style real options

    Shackleton, M. B. & Wojakowski, R. M., 2000, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  3. Published

    Flow options: continuous real caps and floors

    Shackleton, M. B. & Wojakowski, R. M., 2001, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  4. Published

    On the errors and comparison of Vega estimation methods

    Shackleton, M. B. & Chung, S. L., 2003, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  5. Published

    On the use and improvement of Hull and White’s control variate technique

    Shackleton, M. B. & Chung, S. L., 2003, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  6. Published

    On the expected payoff and true probability of European options

    Shackleton, M. B. & Wojakowski, R. M., 2001, In: Applied Economics Letters. 8, 4, p. 269-271 3 p.

    Research output: Contribution to journalJournal articlepeer-review

  7. Published

    An empirical investigation of UK option returns: overpricing and the role of higher systematic moments

    Shackleton, M. B. & O'Brien, F., 2004, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  8. Published

    The expected return and exercise time of Merton-style real options

    Shackleton, M. B. & Wojakowski, R. M., 2002, In: Journal of Business Finance and Accounting. 29, 3-4, p. 541-555 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  9. Published

    Reversible real options

    Shackleton, M. B. & Wojakowski, R. M., 2001, Mathematical Finance. Boston: Birkhauser, p. 339-344 6 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  10. Published

    Strategic entry and market leadership in a two-player real options game

    Shackleton, M. B., Tsekrekos, A. & Wojakowski, R. M., 2004, In: Journal of Banking and Finance. 28, 1, p. 179-201 23 p.

    Research output: Contribution to journalJournal articlepeer-review

  11. Published

    Smooth pasting as rate of return equalization

    Shackleton, M. B. & Sodal, S., 2005, In: Economics Letters. 89, 2, p. 200-206 7 p.

    Research output: Contribution to journalJournal article

  12. Published

    Finite maturity caps and floors on continuous flows

    Shackleton, M. B. & Wojakowski, R. M., 2007, In: Journal of Economic Dynamics and Control. 31, 12, p. 3843-3859 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  13. Published

    Durable vs disposable equipment choice under interest rate uncertainty

    Shackleton, M. B. & Dias, J. C., 2009, In: European Journal of Finance. 15, 2, p. 157-167 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  14. Published

    A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

    Shackleton, M. B., Taylor, S. J. & Yu, P., 11/2010, In: Journal of Banking and Finance. 34, 11, p. 2678-2693 16 p.

    Research output: Contribution to journalJournal articlepeer-review

  15. Published

    Harvesting and recovery decisions under uncertainty

    Shackleton, M. B. & Sodal, S., 2010, In: Journal of Economic Dynamics and Control. 34, 12, p. 2533-2546 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  16. Published

    Hysteresis effects under stochastic interest rates

    Shackleton, M. B. & Dias, J. C., 2011, In: European Journal of Operational Research. 211, p. 594-600 7 p.

    Research output: Contribution to journalJournal articlepeer-review

  17. Published

    A snakes and ladders representation of stock prices and returns

    Shackleton, M. & Gager, P., 07/2011, Mathematical Gazette, 95, 533.

    Research output: Contribution to specialist publicationLetter

  18. Published

    Empirical pricing kernels obtained from the UK index options market

    Shackleton, M., Liu, H., Taylor, S. & Xu, G., 2009, Applied Economics Letters, 16, 10, p. 989-993 5 p.

    Research output: Contribution to specialist publicationLetter

  19. Published

    Hedging efficiency in the Greek options market before and after the financial crisis of 2008

    Shackleton, M. & Voukelatos, N., 04/2013, In: Journal of Multinational Financial Management. 23, 1-2, p. 1-18 18 p.

    Research output: Contribution to journalJournal articlepeer-review

  20. Published

    Option-implied volatilities and stock returns: evidence from industry-neutral portfolios

    Shackleton, M., Liu, X., Zhang, Y. & Pong, S., 2014, In: Journal of Portfolio Management. 41, 1, p. 65-77 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  21. Published

    Stock-return volatility and daily equity trading by investor groups in Korea

    Shackleton, M. & Umutlu, M., 2014, Lancaster: Lancaster University, 54 p. (Department of Accounting and Finance Working Paper Series; no. AF2014/15WP03).

    Research output: Working paper

  22. Published

    On the expected payoff and true probability of exercise of European options

    Shackleton, M. & Wojakowski, R., 1/01/2001, In: Applied Economics Letters. 8, 4, p. 269-271 3 p.

    Research output: Contribution to journalJournal articlepeer-review

  23. Published

    Discussion of arbitrage-free valuation of exhaustible resource firms

    Shackleton, M. B., 1/11/1998, In: Journal of Business Finance and Accounting. 25, 9-10, p. 1391-1395 5 p.

    Research output: Contribution to journalJournal articlepeer-review

  24. Published

    NAV Inflation and Impact on Performance in China

    Shackleton, M. B., Yan, J. & Yao, Y., 1/01/2020, In: European Financial Management. 26, 1, p. 118-142 25 p.

    Research output: Contribution to journalJournal articlepeer-review

  25. Published

    The ripple effects of financial misconduct

    Shi, R., 20/05/2021, Lancaster University. 169 p.

    Research output: ThesisDoctoral Thesis

  26. Published

    Continuous Workout Mortgages

    Shiller, R. J., Wojakowski, R., Ebrahim, S. & Shackleton, M., 05/2011, In: NBER Working Papers. 41 p., 17007.

    Research output: Contribution to journalJournal article

  27. Published

    Mitigating financial fragility with Continuous Workout Mortgages

    Shiller, R. J., Wojakowski, R., Ebrahim, S. & Shackleton, M., 01/2013, In: Journal of Economic Behavior and Organization. 85, p. 269-285 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  28. Published

    Continuous Workout Mortgages: Efficient Pricing and Systemic Implications

    Shiller, R. J., Wojakowski, R., Ebrahim, S. & Shackleton, M. B., 1/01/2019, In: Journal of Economic Behavior and Organization. 157, p. 244-274 31 p.

    Research output: Contribution to journalJournal articlepeer-review

  29. Published

    Non-Audit services, auditor independence and earnings management

    Singh, A., Gore, J. P. O. & Pope, P. F., 2001, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  30. Published

    Earnings management and the distribution of earnings relative to targets: UK evidence

    Singh, A., Gore, J. P. O. & Pope, P. F., 2002, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  31. Published

    Equity premium estimates from economic fundamentals under structural breaks

    Smith, S. C., 07/2017, In: International Review of Financial Analysis. 52, p. 49-61 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  32. Published

    Accounting and finance in UK universities: Academic labour, shortages and strategies

    Smith, S. J. & Urquhart, V., 11/2018, In: British Accounting Review. 50, 6, p. 588-601 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  33. Published

    Smooth pasting as rate of return equalization

    Sodal, S. & Shackleton, M. B., 2005, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  34. Published

    The option and decision to repurchase stock

    Sonika, R., Carline, N. & Shackleton, M., 2014, In: Financial Management. 43, 4, p. 833-855 21 p.

    Research output: Contribution to journalJournal articlepeer-review

  35. E-pub ahead of print

    Buyback behaviour and the option funding hypothesis

    Sonika, R. & Shackleton, M., 3/03/2020, In: Journal of Banking and Finance.

    Research output: Contribution to journalJournal articlepeer-review

  36. Unpublished

    The value of growth: changes in profitability and future stock returns

    Sotes-Paladino, J., Wang, J. & Yao, Y., 2017, (Unpublished).

    Research output: Working paper

  37. Published

    Informed trading around merger and acquisitions announcements: evidence from the UK equity and options markets

    Spyrou, S., Tsekrekos, A. & Siougle, G., 08/2011, In: Journal of Futures Markets. 31, 8, p. 703-726 24 p.

    Research output: Contribution to journalJournal articlepeer-review

  38. Published

    The effect of governance on specialist auditor choice and audit fees in U.S. family firms

    Srinidhi, B., He, S. & Firth, M., 11/2014, In: The Accounting Review. 89, 6, p. 2297-2329 33 p.

    Research output: Contribution to journalJournal articlepeer-review

  39. Published

    Auswirkungen der Internationalen Rechnungslegung auf das Funding der betrieblichen Altersversorgung in Deutschland seit 1998

    Stadler, C. & Lobe, S., 12/2008, In: Betriebliche Altersversorgung. 63, 8, p. 756-759 4 p.

    Research output: Contribution to journalJournal article

  40. Unpublished

    Three Essays on Pension Accounting and Funding

    Stadler, C., 2010, (Unpublished) London: University of London. 186 p.

    Research output: ThesisDoctoral Thesis

  41. Published

    The influence of country, industry, and topic factors on IFRS policy choice

    Stadler, C. & Nobes, C., 2014, In: Abacus. 50, 4, p. 386-421 36 p.

    Research output: Contribution to journalJournal articlepeer-review

  42. Published

    Accounting for Government Grants: Standard-Setting and Accounting Choice

    Stadler, C. & Nobes, C. W., 03/2018, In: Journal of Accounting and Public Policy. 37, 2, p. 113-129 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  43. Published

    Are equities real(ly) options: understanding the book-to-market, size and earnings yield factors

    Stark, A. W. & Pope, P. F., 1997, First International Quantitative Investment Seminar ( ) - 1997. N/A: unknown

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNConference contribution/Paperpeer-review

  44. Published

    Estimating the equity risk premium using accounting fundamentals

    Steele, A. & O'Hanlon, J. F., 2000, In: Journal of Business Finance and Accounting. 27, 9,10, p. 1051-1083 33 p.

    Research output: Contribution to journalJournal articlepeer-review

  45. Published

    Concordance in global office market cycles

    Stevenson, S., Akimov, A., Hutson, E. & Krystalogianni, A., 2014, In: Regional Studies. 48, 3, p. 456-470 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  46. Published

    Corporate reporting of intellectual capital: Evidence from UK companies

    Striukova, L., Unerman, J. & Guthrie, J., 12/2008, In: British Accounting Review. 40, 4, p. 297-313 17 p.

    Research output: Contribution to journalJournal articlepeer-review

  47. Published

    Understanding the equity home bias: evidence from survey data

    Strong, N. & Xu, X., 1999, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  48. Published

    Post earnings announcement drift in the UK

    Strong, N., Xu, X. & Liu, W., 2003, In: European Financial Management. 9, 1, p. 28, 89

    Research output: Contribution to journalJournal articlepeer-review

  49. Published

    Hedge fund allocation: evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques

    Subbiah, M. & Fabozzi, F. J., 05/2016, In: International Review of Financial Analysis. 45, p. 189-201 13 p.

    Research output: Contribution to journalJournal articlepeer-review

  50. Published

    Equity style allocation: a nonparametric approach

    Subbiah, M. & Fabozzi, F. J., 05/2016, In: Journal of Asset Management. 17, 3, p. 141-164 24 p.

    Research output: Contribution to journalJournal articlepeer-review

  51. Published

    Influence of media coverage and sentiment on seasoned equity offerings

    Sun, J., Zhou, Y., Wang, J. & Guo, J. M., 24/04/2020, In: Accounting and Finance. 60, S1, p. 557-585 9 p.

    Research output: Contribution to journalJournal articlepeer-review

  52. Published

    Managerial behavior in fund tournaments—the impact of TrueSkill

    Swade, A., Köchling, G. & Posch, P., 9/01/2021, In: Journal of Asset Management. 22, 1, p. 62-75 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  53. Published

    Accounting for goodwill: what factors influence management preferences?

    Tahib, F. M., Taylor, P. A. & Gore, J. P. O., 1998, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  54. Published

    Accounting for Goodwill: An Examination of Factors Influencing Management Preferences

    Taib, F., Taylor, P. & Gore, P., 2000, In: Accounting and Business Research. 30, 3, p. 213-226 14 p.

    Research output: Contribution to journalJournal articlepeer-review

  55. Published

    The timing of mergers along production chain, capital structure and risk dynamics

    Tarsalewska, M., 2012, Lancaster: Lancaster University.

    Research output: Working paper

  56. Published

    The Information Content of Dividends Hypothesis: Back to the Drawing Board?

    Taylor, P., 1979, In: Journal of Business Finance and Accounting. 6, 4, p. 495-525 31 p.

    Research output: Contribution to journalJournal articlepeer-review

  57. Published

    Consolidated Financial Reporting

    Taylor, P., 1996, London: Paul Chapman Publishing / Sage. 372 p.

    Research output: Book/Report/ProceedingsBook

  58. Published

    Consolidated Financial Statements: Concepts. Issues and Techniques

    Taylor, P., 1987, London: Harper and Row. 320 p.

    Research output: Book/Report/ProceedingsBook

  59. Published

    United Kingdom - Group Accounts (1995)

    Taylor, P., 1995, Transnational Accounting (TRANSACC) 1st Edition. Ordelheide, D. (ed.). UK: Macmillan, Vol. 2. p. 2801-2957 157 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  60. Published

    United Kingdom - Group Accounts (2001)

    Taylor, P., 2001, Transnational Accounting (TRANSACC) 2nd Edition. Ordelheide, D. & Ordelheide, D. (eds.). UK: Palgrave, Vol. 3. p. 2,717-2,851

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  61. Published

    The Foreign Currency Translation Process: A Matrix Funds Flow Analysis

    Taylor, P., 1985, In: British Accounting Review. 17, 1, p. 3-21 19 p.

    Research output: Contribution to journalJournal article

  62. Published

    A Portfolio Theory and Riskless CAPM Teaching Program.

    Taylor, P., 1984, In: British Accounting Review. 16, 1, p. 61-66 6 p.

    Research output: Contribution to journalJournal articlepeer-review

  63. Published

    La conversion des operations et des comptes en monnaies etrangeres

    Taylor, P., 1997, Comptabilite Internationale. Haller, G., Raffournier, B. & Walton, P. (eds.). Vuibert, p. 451-482 32 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  64. Published

    Consolidated Financial Statements: Concepts, Issues and Techniques Solutions Manual

    Taylor, P., 1988, London: Paul Chapman Publishing / Sage. 79 p.

    Research output: Book/Report/ProceedingsBook

  65. Published

    Regression

    Taylor, P., 01/1984, In: Investment Analyst. p. 41-42 2 p.

    Research output: Contribution to journalJournal article

  66. Published

    Accounting for Complex Enterprises: Groups and Segments

    Taylor, P., 1981, Developments in the Accounting System in the UK. Oyachi, H. (ed.). Japan: Dobhun Kan, p. 101-123 23 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  67. Published

    Accounting for Complex Entities:Groups and Segments

    Taylor, P., 1981, In: The Hikone Ronso. 206, p. 71-88 18 p.

    Research output: Contribution to journalJournal articlepeer-review

  68. Published

    Price Level Accounting

    Taylor, P., 1980, Survey Of Published Accounts 1980. Skerratt, L. C. L. (ed.). London: Institiute of Chartered Accountants in England and Wales, p. 225-255 31 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  69. Published

    Sources and Applications of Funds 1980

    Taylor, P., 1981, Survey of Published Accounts 1980. Skerratt, LCL. (ed.). London: Institiute of Chartered Accountants in England and Wales, p. 270-288 19 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  70. Published

    Inflation Accounting.

    Taylor, P., 1980, Survey of Published Accounts 1979. Skerratt, LCL. (ed.). London: Institiute of Chartered Accountants in England and Wales, p. 47-69 23 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  71. Published

    Sources and Applications of Funds 1979.

    Taylor, P., 1980, Survey of Published Accounts 1979. Skerratt, LCL. (ed.). London: Institiute of Chartered Accountants in England and Wales, p. 208-220 13 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  72. Published

    Hypothesis Testing.

    Taylor, P., 10/1986, In: Investment Analyst. p. 27-29 3 p.

    Research output: Contribution to journalJournal article

  73. Published

    What are funds flow statements?

    Taylor, P., 09/1979, In: Accountancy. 90, 1033, p. 89-92 4 p.

    Research output: Contribution to journalJournal article

  74. Published

    Published Funds Statements and SSAP 10

    Taylor, P., 10/1979, In: Accountancy. 90, 1034, p. 95-98 4 p.

    Research output: Contribution to journalJournal article

  75. Published

    Foreign currency translation

    Taylor, P. A., 1998, International Accounting. London: International Thomson Business Press, Vol. 1st ed. p. 356-388 33 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  76. Published

    Consequences for option pricing of a long memory in volatility

    Taylor, S. J., 2001, Lancaster University: The Department of Accounting and Finance, (Accounting and Finance Working Paper Series).

    Research output: Working paper

  77. Published

    United Kingdom – group accounts

    Taylor, P. A., 2001, Transnational Accounting, 2nd Edition. London: Palgrave, p. 2717-2849 133 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  78. Published

    Kapitel 17, Behandlung Von Fremdwährungspositionen in Unternehmensabschlüssen

    Taylor, P. A., 2000, Unternehmenspublizität im Internationalen Wettbewerb. Stuttgart: Schäffer-Poeschel, p. 807-868 62 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  79. Published

    La conversion des operations et des comptes en monnaies etrangeres (foreign currency translation)

    Taylor, P. A., 1997, Comptabilite Internationale. Paris: Vuibert, p. 451-482 32 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  80. Published

    Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications

    Taylor, S. J., 1/08/1999, In: Philosophical Transactions A: Mathematical, Physical and Engineering Sciences . 357, 1758, p. 2059-2070 12 p.

    Research output: Contribution to journalJournal articlepeer-review

  81. Published

    The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates

    Taylor, S. J., 1998, Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester: John Wiley and Sons Ltd, p. 165-180 16 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  82. Published

    Modelling stochastic volatility: a review and comparative study

    Taylor, S. J., 1998, Volatility: New Estimation Techniques for Pricing Derivatives. London: Risk Books, p. 95-108 14 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  83. Published

    The term structure of volatility implied by foreign exchange options

    Taylor, S. J., 1998, Currency Derivatives: Pricing Theory, Exotic Options, Hedging Applications. Chichester: John Wiley and Sons Ltd, p. 181-200 20 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  84. Published

    Conjectured models for trends in financial prices, tests and forecasts

    Taylor, S. J., 2002, Forecasting Financial Markets (Volume 1). Cheltenham: Edward Elgar, Vol. 1. p. 212-236 25 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  85. Published

    Forecasting the volatility of currency exchange rates

    Taylor, S. J., 2002, Forecasting Financial Markets (Volume 2). Cheltenham: Edward Elgar, Vol. 2. p. 125-136 12 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  86. Published

    Stock index and price dynamics in the U.K. and the U.S.: new evidence from a trading rule and statistical analysis

    Taylor, S. J., 2000, In: European Journal of Finance. 6, p. 36-69 34 p.

    Research output: Contribution to journalJournal articlepeer-review

  87. Published

    Foreign currency translation and hedging

    Taylor, P. A., 2003, International Accounting. 2 ed. London: Thomson Learning, p. 403-443 41 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  88. Published

    Conditional volatility and the informational efficiency of the PHLX currency options market

    Taylor, S. J. & Xu, X., 2003, Financial Forecasting. Cheltenham: Edward Elgar, Vol. 2. p. 518-536 19 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  89. Published

    Forecasting the volatility of currency exchange rates

    Taylor, S. J., 2003, Financial Forecasting. Cheltenham: Edward Elgar, p. 389-400 12 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  90. Published

    Asset Price Dynamics, Volatility and Prediction

    Taylor, S. J., 2005, Princeton: Princeton University Press. 552 p.

    Research output: Book/Report/ProceedingsBook

  91. Published

    Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices

    Taylor, S. J., 2005, Stochastic Volatility: Selected Readings. Oxford: Oxford University Press, p. 60-82 23 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  92. Published

    Modelling Financial Time Series (Second Edition)

    Taylor, S. J., 2008, 2nd ed. Singapore: World Scientific Publishing. 296 p.

    Research output: Book/Report/ProceedingsBook

  93. Published

    Stock price volatility

    Taylor, S. J., 2008, The New Palgrave Dictionary of Economics (Vol 8). Basingstoke: Palgrave Macmillan, Vol. 8. p. 8-10 3 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  94. Published

    Cross-sectional analysis of risk-neutral skewness

    Taylor, S. J., Yadav, P. K. & Zhang, Y., 2009, In: Journal of Derivatives. 16, 4, p. 38-52 15 p.

    Research output: Contribution to journalJournal articlepeer-review

  95. Published

    Option prices and risk-neutral densities for currency cross-rates

    Taylor, S. J. & Wang, Y., 2010, In: Journal of Futures Markets. 30, p. 324-360 37 p.

    Research output: Contribution to journalJournal articlepeer-review

  96. Published

    The information content of implied volatilities and model-free volatility expectations: evidence from options written on individual stocks

    Taylor, S. J., Yadav, P. K. & Zhang, Y., 2010, In: Journal of Banking and Finance. 34, p. 871-881 11 p.

    Research output: Contribution to journalJournal articlepeer-review

  97. Published

    Bankruptcy probabilities inferred from option prices

    Taylor, S. J., Tzeng, C-F. & Widdicks, M., 2014, In: Journal of Derivatives. 22, 2, p. 8-31 24 p.

    Research output: Contribution to journalJournal articlepeer-review

  98. Published

    Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices

    Taylor, S. J., 2012, Financial risk measurement and management. Diebold, F. X. (ed.). Cheltenham: Edward Elgar, p. 441-464 24 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  99. Published

    Consequences for option pricing of a long memory in volatility

    Taylor, S. J., 2015, Handbook of Financial Econometrics and Statistics. Lee, C-F. & Lee, J. (eds.). New York: Springer SBM, Vol. 2. p. 903-933 31 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSNChapter

  100. Unpublished

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