72. Platen, E., "Arbitrage in Continuous Complete Markets", December 2001. Now published in Advances in Applied Probability, (2002) forthcoming.
(966 Kb)
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71. Schlögl, E., "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates", December 2001. Now published in Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, K. Sandmann and P. Schonbucher (eds.), 2002.
(606 Kb)
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70. Hall, A. D., Kofman, P. and Manaster, S., "Migration of Price Discovery with Constrained Futures Markets", December 2001.
(202 Kb)
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69. Bhar, R., Chiarella, C. and Runggaldier, W. J., "Filtering Equity Risk Premia from Derivative Prices", December 2001 .
(756 Kb)
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68. Bhar, R., Chiarella, C. and Runggaldier, W. J., "Estimation in Models of the Instantaneous Short term Interest Rate by Use of a Dynamic Bayesian Algorithm", December 2001. Now published in Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, K. Sandmann and P. Schonbucher (eds.), 2002.
(327 Kb)
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67. Becker, R., Enders, W. and Hurn, S., "Modelling Structural Change in Money Demand Using a Fourier-Series Approximation", December 2001.
(392 Kb)
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66. Miyahara, Y. and Novikov, A., "Geometric Lévy Process Pricing Model", December 2001. Now published in Proceedings of Steklov Mathematical Institute, 237 (2002) 176-191.
(284 Kb)
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65. Chiarella, C., Pasquali, S. and Runggaldier, W. J., "On Filtering in Markovian term Structure Models (an approximation approach)", December 2001.
(195 Kb)
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64. Ané, T. and Labidi, C., "Return Interval, Dependence Structure and Multivariate Normality", September 2001
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63. Stevenson, M., "Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market", September 2001.
(839 Kb)
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62. Michayluk, D. and Kofman, P., "Liquidity, Market Structure and Stock Splits", July 2001.
(291 Kb)
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61. Heath, D. and Platen, E., "Perfect Hedging of Index Derivatives under a Locally Arbitrage Free Minimal Market Model", June 2001.
(650 Kb)
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60. Craddock, M. and Platen, E., "Benchmark Pricing of Credit Derivatives under a Standard Market Model", June 2001.
(923 Kb)
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59. Platen, E., "A Benchmark Model for Financial Markets", June 2001.
(293 Kb)
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58. Becker, R., Enders, W. and Hurn, A. S., "Testing for Time Dependence in Parameters", June 2001.
(336 Kb)
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57. Rogers, J. M. and Siklos, P. L., "Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience", June 2001.
(179 Kb)
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56. Chiarella, C. and He, X-Z., "Asset Price and wealth Dynamics Under Heterogeneous Expectations", June 2001.
(309 Kb)
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55. Chiarella, C. and He, X-Z., "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case", June 2001. Now published in Journal of Economic Dynamics and Control, forthcoming (2002).
(6.7 Mb)
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54. Kulilius, K. and Platen, E., "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps", June 2001.
(249 Kb)
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53. Chiarella, C. and He, X-Z., "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case", June 2001. Now published in Economic Complexity, W. Barnett, C. Deissenberg and G. Feichtinger (eds.), ISETE Series, Cambridge University Press, forthcoming (2002).
(3.0 Mb)
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52. Chiarella, C. and Kwon, O., "State Variables and the Affine Nature of Markovian HJM Term Structure Models", June 2001.
(144 Kb)
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51. Härdle, W., Kleinow, T., Korostelev, A., Logeay, C., and Platen, E., "Semiparametric Diffusion Estimation and Application to a Stock Market Model", March 2001.
(296 Kb)
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50. Küchler, U., and Platen, E., "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay", March 2001. Now published in Mathematics and Computers in Simulation, 59 (2002) 497-507.
(231 Kb)
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49. Chiarella, C., Dieci, R., and Gardini, L., "Speculative Behaviour and Complex Asset Price Dynamics", March 2001. Now published in Journal of Economic Behaviour and Organisation, 49 (2002) 173-197.
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48. Platen, E., "A Minimal Financial Market Model", March 2001. Now published in Mathematical Finance, M. Kohlmann and S. Tang (eds.), Series: Trends in Mathematics, Birkhaeuser Verlag, (2001) 293-301.
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