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1996


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96-71 Kin Pang
Calibration of Kennedy and Multi-Factor Gaussian HJM to Caps and Swaptions Prices

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96-70 Luca Pappalardo
Option Pricing and Smile Effect when Underlying Stock Prices are Driven by a Jump Process

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96-69 Simon Babbs and Michael J P Selby
Pricing by Arbitrage in Incomplete Markets

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96-68 Les Clewlow and Stewart Hodges
Optimal Delta-Hedging Under Transactions Costs

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96-67 Les Clewlow and Chris Strickland
Monte Carlo Valuation of Interest Rate Derivatives Under Stochastic Volatility

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96-66 *Revision of WF91/28 Les Clewlow and Andrew Carverhill
A Note on the Efficiency of the Binomial Option Pricing Model

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96-65 Stewart Hodges and Michael J P Selby
The Risk Premium in Trading Equilibria which Support Black-Scholes Option Pricing

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96-64 Anthony Neuberger and Stewart Hodges
Equilibrium and the Role of Options in an Economy with Stochastic Volatility

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96-63 Silio Aparicio and Stewart Hodges
Martingale Restriction Tests of Option Pricing Models and their Interpretation
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