1997
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Paper Details |
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| 97-84 | Silio David Aparicio and Les Clewlow A Comparison of Alternative Methods for Hedging Exotics Options |
PDF |
| 97-83 | Leticia Veruete and Stewart Hodges Modelling Comodity Futures Spreads: An Empirical Study |
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| 97-82 | Les Clewlow, Stewart Hodges, Rodrigo Martinex, Michael Selby, Chris Strickland and Xinzhong Xu Hedging Option Position Risk: An Empirical Examination |
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| 97-81 | Roger Courtenay The Potential for Profitable Stock Market Manipulation in the Presence of Positive Feedback Trading |
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| 98-80 | Simon Babbs and K Ben Nowman Kalman Filtering of Generalized Vasicek Term Structure Models |
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| 97-79 | Luca Pappalardo Can a Diffusion Recover a Lognormal Jump Process? |
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| 97-78 | Les Clewlow, Kin Pang and Chris Strickland Numerical Procedures for Pricing Interest Rate Exotics Using Markovian Short Rate Models |
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| 97-77 | Silo Aparicio and Les Clewlow American Featured Options |
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| 97-76 | Les Clewlow, Kin Pang and Chris Strickland Efficienct Pricing of Caps and Swaptions in a Multi-Factor Gaussian Interest Rate Model |
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| 97-75 | Silio Aparicio and Les Clewlow Hedging Barrier Options in Incomplete Markets with Transactions Costs |
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| 97-74 | Les Clewlow, Stewart Hodges, Kin Pang and Chris Strickland Computational Aspects of Term Structure Models and Pricing Interest Rate Derivatives |
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| 97-73 | Les Clewlow, Stewart Hodges and Ana Pascoa Mathematical Programming and Risk Management of Derivative Securities |
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| 97-72 | Kin Pang Resettable Cap and Floor Pricing Formulae |
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