149. To, T., "A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate", December 2004
Format: PDF, Size: 87 Kb
Abstract

143. Platen, E., "Capital Asset Pricing for Markets with Intensity Based Jumps", December 2004
Format: PDF, Size: 230 Kb
Abstract

142. Chiarella, C., He, X. and Wang, D., "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment", November 2004
Format: PDF, Size: 640 Kb
Abstract

141. Chiarella, C., He, X. and Wang, D., "A Behavioural Asset Pricing Model with a Time-Varying Second Moment", November 2004 (Updated February 2005)
Format: PDF, Size: 6 Mb
Abstract

140. Platen, E., West, J. and Breymann, W., "An Intraday Empirical Analysis of Electricity Price Behaviour", November 2004
Format: PDF, Size 1.2 Mb
Abstract

139. Christensen, M. and Platen, E., "A General Benchmark Model for Stochastic Jump Sizes", November 2004
Format: PDF, Size: 255 Kb
Abstract

138. Platen, E., "A Benchmark Approach to Finance", October 2004
Format: PDF, Size: 220 Kb
Abstract

137. Bohl, M. and Siklos, P., "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets", October 2004
Format: PDF, Size: 356 Kb
Abstract

136. He, X. and Westerhoff, F., "Commodity Markets, Price Limiters and Speculative Price Dynamics", October 2004
Format: PDF, Size: 1.34 Mb
Abstract

135. Chiarella, C., Schlögl, E. and Nikitopoulos, C., "A Markovian Defaultable Term Structure Model with State Dependent Volatilities", October 2004
Format: PDF, Size: 680 Kb
Abstract

134. Chiarella, C., Dieci, R. and Gardini, L., "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents", October 2004
Format: PDF, Size: 921 Kb
Abstract

133. Chiarella, C., He, X. and Hommes, C., "A Dynamic Analysis of Moving Average Rules", May 2005 (update).
Format: PDF, Size: 18.7 Mb
Abstract

132. Chiarella, C. and Nikitopoulos Sklibosios, C., "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework", September 2004.
Format: PDF, Size: 406 Kb
Abstract

131. Novikov, A. and Shiryaev A., "On an Effective Solution of the Optimal Stopping Problem for Random Walks", August 2004.
Format: PDF, Size: 200 Kb
Abstract

130. Miller, S. and Platen, E., A "Two-Factor Model for Low interest Rate Regimes", August 2004.
Format: PDF, Size: 340 Kb
Abstract

129. Platen, E., "Diversified Portfolios with Jumps in a Benchmark Framework", June 2004.
Format: PDF, Size: 1.6 Mb
Abstract

128. Heath, D. and Platen, E., "Understanding the Implied Volatility Surface for Options on a Diversified Index", June 2004.
Format: PDF, Size: 592 Kb
Abstract

127. Corrado, C. and Truong, C., "Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range", June 2004.
Format: PDF, Size: 318 Kb
Abstract

126. Chiarella, C., El-Hassan, N. and Kucera, A.,"Evaluation of Point Barrier Options in a Path Integral Framework", March 2005.
Format: PDF, Size: 210 Kb
Abstract

125. Breymann, W., Kelly, L. and Platen, E., "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices", May 2004.
Format: PDF, Size: 760 Kb
Abstract

124. Heath, D. and Platen, E., "Local Volatility Function Models under a Benchmark Approach", April 2004.
Format: PDF, Size: 682 Kb
Abstract

123. Gatfaoui, H., "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation", April 2004.
Abstract

122. Chauveau, T. and Gatfaoui, H., "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility", April 2004.
Format: PDF, Size: 365 Kb
Abstract

121. Hall A. D. and Hautsch N., "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market", March 2004.
Format: PDF, Size: 912 Kb
Abstract

120. Hamada M. and Valdez E., "CAPM and Option Pricing with Elliptical Disbributions", February 2004.
Format: PDF, Size: 339 Kb
Abstract

119. Colwell D., El-Hassan N. and Kwon O., "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking", February 2004.
Format: PDF, Size: 335 Kb
Abstract

118. Chiarella C., Kucera A. and Ziogas A., "A Survey of the Integral Representation of American Option Prices" (Update), October 2005.
Format: PDF, Size: 450 Kb
Abstract

117. Chiarella C. and Ziogas A., "McKean's Methods applied to American Call Options on Jump-Diffusion Processes, February 2004.
Format: PDF, Size: 461 Kb
Abstract

116. Liptser R. and Novikov A., "On Tail Distributions of Supremum and Quadratic Variation of Local Martingales", January 2004.
Format: PDF, Size: 252 Kb
Abstract

115. Borovkov K. and Novikov A., "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process", January 2004.
Format: PDF, Size: 200 Kb
Abstract

114. Bruti Liberati, N. and Platen, E., "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance", January 2004.
Format: PDF, Size: 165 Kb
Abstract