D. Heath

发表

Coherent Measures of Risk

Philippe Artzner, F. Delbaen, J. Eber, 1999 .

COHERENT MULTIPERIOD RISK MEASUREMENT

Philippe Artzner, F. Delbaen, J. Eber, 2002 .

Risk Management: Coherent Measures of Risk

Philippe Artzner, F. Delbaen, J. Eber, 2002 .

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

D. Heath, R. Jarrow, A. Morton, 1990, Journal of Financial and Quantitative Analysis.

Modelling the evolution of demand forecasts with application to safety stock analysis in production distribution systems

D. Heath, P. Jackson, 1994 .

Comparison of Some Key Approaches to Hedging in Incomplete Markets

D. Heath, E. Platen, M. Schweizer, 1998 .

Option Pricing, Interest Rates and Risk Management: Numerical Comparison of Local Risk-Minimisation and Mean-Variance Hedging

D. Heath, E. Platen, M. Schweizer, 2001 .

Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing

D. Heath, E. Platen, M. Craddock, 1999 .

Local volatility function models under a benchmark approach

David Heath, Eckhard Platen, D. Heath, 2006 .

Consistent pricing and hedging for a modified constant elasticity of variance model

David Heath, Eckhard Platen, D. Heath, 2002 .

A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets

D. Heath, E. Platen, M. Schweizer, 2001 .

Pareto Equilibria with coherent measures of risk

D. Heath, Hyejin Ku, 2004 .

Charles A. Dice Center for Research in Financial Economics Reusing Natural Experiments

Ingrid M. Werner, D. Heath, M. Samadi, 2019 .

Martingales versus PDEs in finance: an equivalence result with examples

D. Heath, M. Schweizer, 2000, Journal of Applied Probability.

Introduction to Mathematical Finance

D. Heath, G. Swindle, 2000 .

Contingent claim valuation with a random evolution of interest rates

Robert A. Jarrow, D. Heath, R. Jarrow, 1989 .

Arbitrage, Continuous Trading, and Margin Requirements

Robert A. Jarrow, D. Heath, R. Jarrow, 1987 .

Stochastic Differential Equations

David Heath, Eckhard Platen, D. Heath, 2006 .

Rapid Scenario and Risk Analysis for a Complex Gas Field With Large Uncertainties

David Heath, D. V. Arghir, A. S. Cullick, 2004 .

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

Robert A. Jarrow, D. Heath, R. Jarrow, 1990 .

A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model

D. Heath, E. Platen, 2014 .

Valuation of derivative securities using stochastic analytic and numerical methods

D. Heath, 1995 .

Understanding the Implied Volatility Surface for Options on a Diversified Index

D. Heath, E. Platen, 2004 .

A variance reduction technique based on integral representations

David Heath, Eckhard Platen, D. Heath, 2002 .

A Characterization of Measures of Risk

Freddy Delbaen, Philippe Artzner, Jean-Marc Eber, 1997 .

Profitability and financial leverage: Evidence from a quasi-natural experiment

D. Heath, Giorgo Sertsios, 2021, Manag. Sci..

Not All Profits are Created Equal: New Evidence on the Profits-Leverage Relation

D. Heath, Giorgo Sertsios, 2019 .

INTERPOLATION OF MARTINGALES

D. Heath, 1977 .

The Strategic Effects of Trademark Protection

D. Heath, Christopher Mace, 2017, The Review of Financial Studies.

Does Socially Responsible Investing Change Firm Behavior?

D. Heath, Roni Michaely, Matthew C. Ringgenberg, 2021, SSRN Electronic Journal.

Do Index Funds Monitor?

D. Heath, Roni Michaely, Matthew C. Ringgenberg, 2020, The Review of Financial Studies.

What ’ s a Brand Worth ? Trademark Protection , Profits and Product Quality

D. Heath, Christopher Mace, 2017 .

Valuation of FX barrier options under stochastic volatility

D. Heath, E. Platen, 1996 .

Consistency among trading desks

David Heath, Hyejin Ku, D. Heath, 2006, Finance Stochastics.

APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

David Heath, Philippe Artzner, Philippe Artzner, 1995 .

Ex-dividend Stock Price Behavior and Arbitrage Opportunities

D. Heath, R. Jarrow, 1988 .

A Benchmark Approach to Quantitative Finance

D. Heath, E. Platen, 2006 .

Modelling the Stochastic Dynamics of Volatility for Equity Indices

D. Heath, E. Platen, Simon R. Hurst, 1999 .

Coherent multiperiod risk adjusted values and Bellman’s principle

David Heath, Freddy Delbaen, Philippe Artzner, 2007, Ann. Oper. Res..

Various Approaches to Asset Pricing

D. Heath, E. Platen, 2006 .

Reusing Natural Experiments

Mehrdad Samadi, Davidson Heath, Matthew Ringgenberg, 2020, SSRN Electronic Journal.

Macroeconomic Factors in Oil Futures Markets

Davidson Heath, D. Heath, 2017, Manag. Sci..

Unspanned Macroeconomic Risks in Oil Futures

D. Heath, 2014 .

Unspanned Macroeconomic Factors in Oil Futures Davidson Heath

D. Heath, 2015 .

The Heterogeneous Effects of Passive Investing on Asset Markets

D. Heath, Jonathan Brogaard, Daisy J. Huang, 2021 .

VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS

D. Heath, Hyejin Ku, H. Choi, 2004 .

Passive Investors are Passive Monitors

D. Heath, 2018 .

Kill Cammer: Securities Litigation Without Junk Science

J. B. Heaton, D. Heath, É. Fontenay, 2019, SSRN Electronic Journal.

Agency Conflicts and the Rise of Passive Investing

D. Heath, Matthew C. Ringgenberg, 2019 .

Market Returns and Interim Risk in Mergers

D. Heath, Mark Mitchell, 2020, Manag. Sci..

Market Crashes and Merger Completions

D. Heath, Mark Mitchell, 2020 .

Pricing of index options under a minimal market model with log-normal scaling

D. Heath, E. Platen, 2003 .

Online Appendix for "Do Index Funds Monitor?"

D. Heath, Roni Michaely, Matthew C. Ringgenberg, 2020 .

On Index Investing

D. Heath, Matthew C. Ringgenberg, J. Coles, 2020, Journal of Financial Economics.

Modeling Stochastic Volatility

David Heath, Eckhard Platen, D. Heath, 2006 .