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1995

 

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95-62 Kin Pang and Stewart Hodges
Non-Negative Affine Yield Models of the Term Structure

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95-61 Simon Babbs and Nick Webber
Term Structure Modelling Under Alternative Official Regimes

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95-60 Jeremy Smith and Sanjay Yadav
A Comparison of Alternative Covariance Matrices for Models with Over-Lapping Observations

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95-59 Mitual Kotecha and Sanjay Yadav
Can Dividend Yields Forecast Returns?

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95-58 Stewart Hodges and Sanjay Yadav
An Econometric Analysis of Long Horizon Mean Reversion in UK Stock Prices

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95-57 Stewart Hodges
Arbitrage in a Fractional Bownian Motion Market


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95-56 Les Clewlow and Andrew Carverhill
On the Simulation of Contingent Claims
In: Journal of Derivatives, 2(2), Winter 1994, pp 66-74.

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95-55 Andrew Carverhill and Kin Pan
Efficient and Flexible Bond Option Valuation in the Heath Jarrow and Morton Framework
In: Journal of Fixed Income, 5, (2), September 1995, pp. 70-77.
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