30. Lin, S. and Yang, J., "Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach", December 1999.
Abstract

29. He, C., Teräsvirta, T. and Malmsten, H., "Fourth Moment Structure of a Family of First-Order Exponential GARCH Models", December 1999.
Abstract

28. Clewlow, L. and Strickland, C., "A Multi-Factor Model for Energy Derivatives", December 1999.

27. Craddock, M., Heath, D. and Platen, E., "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing", December 1999.
Abstract

26. Ellis, C. and Wilson, P., "A Stochastic Approach to Modelling and Forecasting Dependent Time-Series", December 1999.
Abstract

25. Siklos, P., "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US", December 1999. Now published in the International Journal of Finance & Economics, 5, 15-32, 2000.
Abstract

24. Schlögl, E. and Schlögl, L., "A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data", December 1999. Now published in Applied Mathematical Finance, 7 (2000) 183-209.
Abstract

23. Elliott, R. and Platen, E., "Hidden Markov Chain Filtering for Generalised Bessel Processes", December 1999. Now published in Stochastics in Finite and Infinite Dimensions, Birkhaeuser Verlag, (2001) 123-143.
Abstract

22. Platen, E., "On the Log-Return Distribution of Index Benchmarked Share Prices", December 1999.
Abstract

21. Platen, E., "A Minimal Share Market Model with Stochastic Volatility", December 1999.
Abstract

20. Schlögl, E., "A Multicurrency Extension of the Lognormal Interest Rate Market Models", August 1999. Now published in Finance and Stochastics (2002) forthcoming.
(249 Kb)
Abstract

19. Dudenhausen, A., and Schlögl, E. and Schlögl, L., "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives", August 1999.
(307 Kb)
Abstract

18. Chiarella, C. and He, X. Z., "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model" August 1999. Now published in Computational Economics, 19 (2002) 95-132.
Latest version available in PS format.
(9.6 Mb)
Abstract

17. Elliott, R., Fischer, P. and Platen, E., "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model", August 1999. Now published in Canadian Applied Mathematics Quarterly, 7 (1999) 381-400.
Abstract

16. Fischer, P. and Platen, E., "Applications of the Balanced Method to Stochastic Differential Equations in Filtering", August 1999. Now published in Monte Carlo Methods and Applications, 5 (1999) 19-38.
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15. Platen, E., "A Financial Market Model with Trading Volume and Stochastic Volatility", August 1999.
Abstract

14. van der Hoek, J. and Platen E., "Pricing and Hedging in the Presence of Transaction Costs under Local Risk Minimisation", August 1999.
Abstract

13. Chiarella, C. and Kwon, O., "Classes of Interest Rate Models Under the HJM Framework", August 1999. Now published in Asia Pacific Financial Markets, 8 (2001) 1-22.
(233 Kb)
Abstract

12. Chiarella, C. and El-Hassan, N., "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines&quot, (to be published).
(132 Kb)
Abstract

11. Lin, S. and Stevenson, M., "Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model", April 1999.
(625 Kb)
Abstract

10. Clewlow, L. and Strickland, C., "Valuing Energy Options in a One Factor Model Fitted to Forward Prices", April 1999.
(141 Kb)
Abstract

9. Platen, E., "A Financial Market Model", April 1999.
Abstract

8. Hurst, S. and Platen, E., "On the Marginal Distribution of Trade Weighted Currency Indices", April 1999.
Abstract

7. Heath, D., Hurst, S. and Platen, E., "Modelling the Stochastic Dynamics of Volatility for Equity Indices", April 1999. Now published in Asia-Pacific Financial Markets, 8 (2001) 179-195.
Abstract

6. Platen, E., "An Introduction to Numerical Methods for Stochastic Differential Equations", April 1999. Now published in Acta Numerica, 8 (1999) 197-246.
Abstract

5. Chiarella, C. and Kwon, O., "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model", April 1999. Now published in Finance and Stochastics, 5 (2001) 237-257.
(325 Kb)
Abstract

4. Satchell, S., "The Small Noise Arbitrage Pricing Theory", April 1999.
(29 Kb)
Abstract