Professor Kevin Dowd's Outputs (250)

Revisiting variance gamma pricing: An application to S&P500 index options (2015)
Journal Article
Mozumder, S., Sorwar, G., & Dowd, K. (2015). Revisiting variance gamma pricing: An application to S&P500 index options. International Journal of Financial Engineering, 02(02), Article 1550022. https://doi.org/10.1142/s242478631550022x

This paper reformulates the Lévy–Kintchine formula to make it suitable for modeling the stochastic time-changing effects of Lévy processes. Using the variance gamma (VG) process as an example, it illustrates the dynamic properties of a Lévy process a... Read More about Revisiting variance gamma pricing: An application to S&P500 index options.

Bitcoin Will Bite the Dust (2015)
Journal Article
Down, K., & Hutchinson, M. (2015). Bitcoin Will Bite the Dust. The Cato journal, 35(2), 357-382

Contemporary Private Monetary Systems (2015)
Book Chapter
Dowd, K. (2015). Contemporary Private Monetary Systems. In L. H. White, V. Vanberg, & E. A. Kohler (Eds.), Renewing the Search for a Monetary Constitution: Reforming Government’s Role in the Monetary System (213-253). Cato Institute

How Should the Financial System be Regulated? (2014)
Journal Article
Dowd, K., & Hutchinson, M. (2014). How Should the Financial System be Regulated?. The Cato journal, 34(2), 353-388

New Private Monies: A Bit-Part Player? (2014)
Report
Dowd, K. (2014). New Private Monies: A Bit-Part Player?. [No known commissioning body]

VfM: Assessing value for money in defined contribution default funds. (2014)
Report
Harrison, D., Blake, D., & Dowd, K. (2014). VfM: Assessing value for money in defined contribution default funds. [No known commissioning body]

The New Life Market (2013)
Journal Article
Cairns, A. J. G., Blake, D., Dowd, K., Coughlan, G. D., & Khalaf-Allah, M. (2013). The New Life Market. Journal of Risk and Insurance, 80(3), 501-558. https://doi.org/10.1111/j.1539-6975.2012.01514.x

Longevity hedge effectiveness : a decomposition. (2013)
Journal Article
Cairns, A., Dowd, K., Blake, D., & Coughlan, G. (2013). Longevity hedge effectiveness : a decomposition. Quantitative Finance, 14(2), 217-235. https://doi.org/10.1080/14697688.2012.748986

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely... Read More about Longevity hedge effectiveness : a decomposition..

Option Pricing Under Non-Normality: A Comparative Analysis. (2013)
Journal Article
Mozumder, S., Sorwar, G., & Dowd, K. (2013). Option Pricing Under Non-Normality: A Comparative Analysis. Review of Quantitative Finance and Accounting, 40(2), 273-292. https://doi.org/10.1007/s11156-011-0271-y

This paper carries out a comparative analysis of the calibration and performance of a variety of options pricing models. These include Black and Scholes (J Polit Econ 81:637–659, 1973), the Gram–Charlier (GC) approach of Backus et al. (1997), the sto... Read More about Option Pricing Under Non-Normality: A Comparative Analysis..

Moral Hazard and the Financial Crisis (2013)
Journal Article
Dowd, K. (2013). Moral Hazard and the Financial Crisis. The Cato journal, 29(1), 141-166

Model Risk (2012)
Book Chapter
Dowd, K. (2012). Model Risk. In F. Fabozzi (Ed.), Encyclopedia of Financial Models. Wiley: Hoboken, NJ

Caveat Venditor: The Brave New World of Auto-Enrolment should be Governed by the Principle of Seller not Buyer Beware (2012)
Report
Harrison, D., Blake, D., & Dowd, K. (2012). Caveat Venditor: The Brave New World of Auto-Enrolment should be Governed by the Principle of Seller not Buyer Beware. Pensions Institute

The Coming Fiat Money Cataclysm and the Case for Gold (2012)
Journal Article
Dowd, K., Kerr, G., & Hutchinson, M. (2012). The Coming Fiat Money Cataclysm and the Case for Gold. The Cato journal, 32(2), 363-388

The End of a Monetary Phenomenon. (2011)
Journal Article
Dowd, K. (2011). The End of a Monetary Phenomenon

Easy Money and the Decapitalization of America. (2011)
Journal Article
Dowd, K., & Hutchinson, M. (2011). Easy Money and the Decapitalization of America

Bayesian Stochastic Mortality Modelling for Two Populations. (2011)
Journal Article
Cairns, A., Blake, D., Dowd, K., Coughlan, G., & Khalaf-Allah, M. (2011). Bayesian Stochastic Mortality Modelling for Two Populations. ASTIN Bulletin: The Journal of the IAA, 41(1), 29-59. https://doi.org/10.2143/ast.41.1.2084385

Longevity Hedging 101: A Framework for the Longevity Basis Risk Analysis and Hedge Effectiveness. (2011)
Journal Article
Coughlan, G., Khalaf-Allah, M., Ye, Y., Kumar, S., Cairns, A., Blake, D., & Dowd, K. (2011). Longevity Hedging 101: A Framework for the Longevity Basis Risk Analysis and Hedge Effectiveness. North American Actuarial Journal, 15(2), 150-176. https://doi.org/10.1080/10920277.2011.10597615

Extreme Measures of Agricultural Financial Risk (2011)
Journal Article
Morgan, W., Cotter, J., & Dowd, K. (2011). Extreme Measures of Agricultural Financial Risk. Journal of Agricultural Economics, 63(1), 65-82. https://doi.org/10.1111/j.1477-9552.2011.00322.x

Extreme global equity market risk (2011)
Journal Article
Cotter, J., & Dowd, K. (2011). Extreme global equity market risk. Journal of derivatives & hedge funds, 17(4), 312-325. https://doi.org/10.1057/jdhf.2011.14

U.S. Core Inflation: a Wavelet Analysis. (2011)
Journal Article
Dowd, K., Cotter, J., & Loh, L. (2011). U.S. Core Inflation: a Wavelet Analysis. Macroeconomic Dynamics, 15(4), 513-536. https://doi.org/10.1017/s1365100510000179