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1997


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97-84 Silio David Aparicio and Les Clewlow
A Comparison of Alternative Methods for Hedging Exotics Options

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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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