113. Platen, E., "A Benchmark Framework for Risk Management", November 2003.
Format: PDF, Size: 248 Kb
Abstract

112. Byström, H., "Merton for Dummies: A Flexible Way of Modelling Default Risk", October 2003.
Format: PDF, Size: 1.2 Mb
Abstract

111. Byström, H. and Kwon, O., "A Simple Continuous Measure of Credit Risk", October 2003.
Format: PDF, Size: 291 Kb
Abstract

110. Platen, E., "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models", October 2003.
Format: PDF, Size: 194 Kb
Abstract

109. Novikov, A., Melchers, R. E., Shinjikashvili, E. and Kordzakhia, N., "First Passage Time of Filtered Poisson Process with Exponential Shape Function", October 2003.
Format: PDF, Size: 219 Kb
Abstract

108. Chiarella, C., He, X. and Zhu, P., "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers", September 2003.
Format: PDF, Size: 9.6 Mb
Abstract

107. Amilon, H., "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents", September 2003 (Updated January 2007)
Format: PDF, Size: 620 Kb
Abstract

106. Platen, E. and West, J., "Fair Pricing of Weather Derivatives", September 2003.
Format: PDF, Size: 334 Kb
Abstract

105. Choy, B., Dun, T. and Schlögl, E., "Correlating Market Models", June 2003.
(473 Kb)

104. Tsirlin, A. M., Kazakov, V. and Kolinko, N.A., "A Minimal Dissipation Type-Based Classification in irreversible Thermodynamics and Microeconomics", June 2003.
Format: PDF, Size: 119 Kb
Abstract

103. Platen, E., "Modeling the Volatility and Expected Value of a Diversified World Index", June 2003.
Format: PDF, Size: 410 Kb
Abstract

102. Mahayni, A. and Schlögl E., "The Risk Management of Minimum Return Guarantees", June 2003.
Format: PDF, Size: 436 Kb
Abstract

101. Heath, D. and Platen, E., "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling", June 2003.
Format: PDF, Size: 929 Kb
Abstract

100. Tsirlin, A. M. and Kazakov, V., "Average Relaxations of Extremal Problems", June 2003.
Format: PDF, Size: 149 Kb
Abstract

99. Tsirlin, A. M. and Kazakov, V., "Irreversibility Factor and Limiting Performance of Financial Systems (thermodynamic approach)", June 2003.
(236 Kb)

98. El-Hassan, N. and Kofman, P., "Tracking Error and Active Portfolio Management", June 2003.
Format: PDF, Size: 427 Kb
Abstract

97. Platen, E., "An Alternative Interest Rate Term Structure Model", June 2003.
Format: PDF, Size: 944 Kb
Abstract

96. Kelly, L., Platen, E. and Sørensen, M., "Estimation for Discretely Observed Diffusions using Transform Functions", June 2003.
Format: PDF, Size: 117 Kb
Abstract

95. He, X., "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach", June 2003.
Format: PDF, Size: 3.0 mb
Abstract

94. Cameron, A. C. and Hall, A. D., "A Survival Analysis of Australian Equity Mutual Funds", June 2003.
Format: PDF, Size: 159 Kb
Abstract

93. Byström, H. N. E., "The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons" February 2003.
Format: PDF, Size: 315 Kb
Abstract

92. Byström, H. N. E., "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis" February 2003.
Format: PDF, Size: 294 Kb
Abstract

91. Platen, E. and Stahl, G. "A Structure for General and Specific Market Risk" February 2003.
Format: PDF, Size: 646 Kb
Abstract

90. Craddock, M. and Platen, E., "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions" February 2003.
Format: PDF, Size: 386 Kb
Abstract

89. Chiarella, C., Dieci, R. and Gardini, L., "A Dynamic Analysis of Speculation Across Two Markets" January 2003.
Format: PDF, Size: 421 Kb
Abstract

88. Chen, S. X. and Tang, C. Y., "Nonparametric Statistical Inference of Value At Risk For Financial Time Series", January 2003
Abstract

87. Platen, E., "Diversified Portfolios in a Benchmark Framework", January 2003
Abstract