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1

On Pricing Barrier Options

Ritchken, Peter

Journal:

The Journal of Derivatives

Year:

1995

Language:

english

File:

PDF, 1.09 MB

english, 1995

2

Multinomial Approximating Models for Options with k State Variables

Bardia Kamrad and Peter Ritchken

Journal:

Management Science

Year:

1991

Language:

english

File:

PDF, 417 KB

english, 1991

3

Lattice Models for Pricing American Interest Rate Claims

Anlong Li, Peter Ritchken and L. Sankarasubramanian

Journal:

The Journal of Finance

Year:

1995

Language:

english

File:

PDF, 557 KB

english, 1995

4

On Pricing and Hedging in the Swaption Market

Fan, Rong, Gupta, Anurag, Ritchken, Peter

Journal:

The Journal of Derivatives

Year:

2007

Language:

english

File:

PDF, 2.27 MB

english, 2007

5

VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Peter Ritchken, L. Sankarasubramanian

Journal:

Mathematical Finance

Year:

1995

Language:

english

File:

PDF, 760 KB

english, 1995

6

The Importance of Forward Rate Volatility Structures in Pricing Interest Rate-Sensitive Claims

Ritchken, Peter, Sankarasubramanian, L

Journal:

The Journal of Derivatives

Year:

1995

Language:

english

File:

PDF, 1.14 MB

english, 1995

7

Pricing the Quality Option In Treasury Bond Futures

Peter Ritchken, L. Sankarasubramanian

Journal:

Mathematical Finance

Year:

1992

Language:

english

File:

PDF, 740 KB

english, 1992

8

On Option Pricing Bounds

Peter H. Ritchken

Journal:

The Journal of Finance

Year:

1985

Language:

english

File:

PDF, 286 KB

english, 1985

9

On Pricing Derivatives in the Presence of Auxiliary State Variables

Lin, Junze, Ritchken, Peter

Journal:

The Journal of Derivatives

Year:

2006

Language:

english

File:

PDF, 1.84 MB

english, 2006

10

APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING

Jin-Chuan Duan, Peter Ritchken, Zhiqiang Sun

Journal:

Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 277 KB

english, 2006

11

On Bounding Option Prices in Paretian Stable Markets

Popova, Ivilina, Ritchken, Peter

Journal:

The Journal of Derivatives

Year:

1998

Language:

english

File:

PDF, 864 KB

english, 1998

12

A MULTIFACTOR MODEL OF THE QUALITY OPTION IN TREASURY FUTURES CONTRACTS

Ritchken, Peter, Sankarasubramanian, L.

Journal:

Journal of Financial Research

Year:

1995

Language:

english

File:

PDF, 1.17 MB

english, 1995

13

On flexibility, capital structure and investment decisions for the insured bank

Peter Ritchken, James B. Thomson, Ramon P. DeGennaro, Anlong Li

Journal:

Journal of Banking & Finance

Year:

1993

Language:

english

File:

PDF, 752 KB

english, 1993

14

Monitoring and Controlling Bank Risk: Does Risky Debt Help?

C. N. V. Krishnan, P. H. Ritchken and J. B. Thomson

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 4.13 MB

english, 2005

15

The Valuation of Path Dependent Contracts on the Average

Peter Ritchken, L. Sankarasubramanian and Anand M. Vijh

Journal:

Management Science

Year:

1993

Language:

english

File:

PDF, 1.76 MB

english, 1993

16

Option pricing under regime switching

Duan, Jin-Chuan, Popova, Ivilina, Ritchken, Peter

Journal:

Quantitative Finance

Year:

2002

Language:

english

File:

PDF, 333 KB

english, 2002

17

(m, T) Group Maintenance Policies

Peter Ritchken and John G. Wilson

Journal:

Management Science

Year:

1990

Language:

english

File:

PDF, 226 KB

english, 1990

18

On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds

Ritchken, Peter, Kuo, Shyanjaw

Journal:

Management Science

Year:

1989

Language:

english

File:

PDF, 472 KB

english, 1989

19

A binomial contingent claims model for valuing risky ventures

P. Ritchken, B. Kamrad

Journal:

European Journal of Operational Research

Year:

1991

Language:

english

File:

PDF, 802 KB

english, 1991

20

On Arbitrage-Free Pricing of Interest Rate Contingent Claims

Peter Ritchken and Kiekie Boenawan

Journal:

The Journal of Finance

Year:

1990

Language:

english

File:

PDF, 255 KB

english, 1990

21

Safety first selection techniques for option spreads

Ritchken, Peter H, Salkin, Harvey M

Journal:

The Journal of Portfolio Management

Year:

1983

Language:

english

File:

PDF, 945 KB

english, 1983

22

The Valuation of Path Dependent Contracts on the Average

Ritchken, Peter, Sankarasubramanian, L., Vijh, Anand M.

Journal:

Management Science

Year:

1993

Language:

english

File:

PDF, 843 KB

english, 1993

23

Option Bounds with Finite Revision Opportunities

Peter H. Ritchken and Shyanjaw Kuo

Journal:

The Journal of Finance

Year:

1988

Language:

english

File:

PDF, 325 KB

english, 1988

24

Pricing Claims under GARCH-Level Dependent Interest Rate Processes

V. Cvsa and P. Ritchken

Journal:

Management Science

Year:

2001

Language:

english

File:

PDF, 3.26 MB

english, 2001

25

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Rong Fan, Anurag Gupta and Peter Ritchken

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 4.15 MB

english, 2003

26

Capital Structure with Asset Flexibility

Ritchken, Peter H., Wu, Qi

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 1.06 MB

english, 2018

27

On Credit-Spread Slopes and Predicting Bank Risk

Krishnan, C. N. V., Ritchken, Peter, Thomson, J. B.

Journal:

Journal of Money, Credit and Banking

Year:

2006

Language:

english

File:

PDF, 502 KB

english, 2006

28

Option Pricing with Downward-Sloping Demand Curves: The Case of Supply Chain Options

Burnetas, Apostolos, Ritchken, Peter

Journal:

Management Science

Year:

2005

Language:

english

File:

PDF, 280 KB

english, 2005

29

On Stochastic Dominance and Decreasing Absolute Risk Averse Option Pricing Bounds

Peter Ritchken and Shyanjaw Kuo

Journal:

Management Science

Year:

1989

Language:

english

File:

PDF, 1.01 MB

english, 1989

30

Capacity Investment, Production Flexibility, and Capital Structure

Ritchken, Peter, Wu, Qi

Journal:

Production and Operations Management

Year:

2020

File:

PDF, 1.46 MB

2020

31

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Rong Fan, Anurag Gupta, Peter Ritchken

Journal:

The Journal of Finance

Year:

2003

Language:

english

File:

PDF, 405 KB

english, 2003

32

Monitoring and Controlling Bank Risk: Does Risky Debt Help?

C. N. V. KRISHNAN, P. H. RITCHKEN, J. B. THOMSON

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 208 KB

english, 2005

33

Multinomial Approximating Models for Options with k State Variables

B. Kamrad, P. Ritchken

Year:

1991

Language:

english

File:

PDF, 571 KB

english, 1991

34

A Portfolio Risk-Management Simulation Game

Ritchken, P. H., Getts, G. B.

Journal:

Simulation & Gaming

Year:

1985

Language:

english

File:

PDF, 999 KB

english, 1985

35

Pricing Options under Generalized GARCH and Stochastic Volatility Processes

Peter Ritchken, Rob Trevor

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 310 KB

english, 1999

36

Competition and Diversification Effects in Supply Chains with Supplier Default Risk

Babich, Volodymyr, Burnetas, Apostolos N., Ritchken, Peter H.

Journal:

Manufacturing & Service Operations Management

Year:

2007

Language:

english

File:

PDF, 510 KB

english, 2007

37

Contingent Claims Contracting for Purchasing Decisions in Inventory Management

Ritchken, Peter H., Tapiero, Charles S.

Journal:

Operations Research

Year:

1986

Language:

english

File:

PDF, 482 KB

english, 1986

38

Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps

Haubrich, Joseph, Pennacchi, George, Ritchken, Peter

Journal:

Review of Financial Studies

Year:

2012

Language:

english

File:

PDF, 1.06 MB

english, 2012

39

Reliability, pricing and quality control

Charles S. Tapiero, Peter H. Ritchken, Arnold Reisman

Journal:

European Journal of Operational Research

Year:

1987

Language:

english

File:

PDF, 578 KB

english, 1987

40

Contracting with asymmetric demand information in supply chains

Volodymyr Babich, Hantao Li, Peter Ritchken, Yunzeng Wang

Journal:

European Journal of Operational Research

Year:

2012

Language:

english

File:

PDF, 312 KB

english, 2012

41

SPIE Proceedings [SPIE 1985 International Technical Symposium/Europe - Cannes, France (Monday 25 November 1985)] Ophthalmic Optics - Evaluation Of Plastic Lens Coatings By Abrasion Tester

Ritchken, Peter H., Chase, George A., Okel, Timothy A., Guenther, Karl H.

Year:

1986

Language:

english

File:

PDF, 2.05 MB

english, 1986

42

On Credit-Spread Slopes and Predicting Bank Risk

C. N. V. Krishnan, P. H. Ritchken and J. B. Thomson

Journal:

Journal of Money, Credit and Banking

Year:

2006

Language:

english

File:

PDF, 1.22 MB

english, 2006

43

(m,T) Group Maintenance Policies

Ritchken, Peter, Wilson, John G.

Journal:

Management Science

Year:

1990

Language:

english

File:

PDF, 480 KB

english, 1990

44

On pricing kernels and finite-state variable Heath Jarrow Morton models

George Pennacchi, Peter Ritchken, L. Sankarasubramanian

Journal:

Review of Derivatives Research

Year:

1996

Language:

english

File:

PDF, 647 KB

english, 1996

45

Pricing Claims Under GARCH-Level Dependent Interest Rate Processes

Cvsa, V., Ritchken, P.

Journal:

Management Science

Year:

2001

Language:

english

File:

PDF, 273 KB

english, 2001

46

Predicting Credit Spreads

Ritchken, Peter H., Krishnan, C. N. V., Thomson, James B.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 511 KB

english, 2008

47

Contingent Claims Contracting for Purchasing Decisions in Inventory Management

Peter H. Ritchken and Charles S. Tapiero

Journal:

Operations Research

Year:

1986

Language:

english

File:

PDF, 270 KB

english, 1986

48

On Correlation and Default Clustering in Credit Markets

Berndt, Antje, Ritchken, Peter H., Sun, Zhiqiang

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 684 KB

english, 2009

49

Option and forward contracting with asymmetric information: Valuation issues in supply chains

Hantao Li, Peter Ritchken, Yunzeng Wang

Journal:

European Journal of Operational Research

Year:

2009

Language:

english

File:

PDF, 339 KB

english, 2009

50

Warranty Policies For Non-Repairable Items Under Risk Aversion

Ritchken, Peter H.

Journal:

IEEE Transactions on Reliability

Year:

1985

Language:

english

File:

PDF, 516 KB

english, 1985

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