Printed from https://ideas.repec.org/s/uts/rpaper3.html
Content
1999
- 24 A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data
by Erik Schlögl & Lutz Schlögl - 23 Hidden Markov Chain Filtering for Generalised Bessel Processes
by Robert Elliott & Eckhard Platen - 22 On the Log-Return Distribution of Index Benchmarked Share Prices
by Eckhard Platen - 21 A Minimal Share Market Model with Stochastic Volatility
by Eckhard Platen - 20 A Multicurrency Extension of the Lognormal Interest Rate Market Models
by Erik Schlögl - 19 Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
by Antje Dudenhausen & Erik Schlögl & Lutz Schlögl - 18 Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model
by Carl Chiarella & Xue-Zhong He - 17 Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model
by Robert Elliott & Paul Fischer & Eckhard Platen - 16 Applications of the Balanced Method to Stochastic Differential Equations in Filtering
by Paul Fischer & Eckhard Platen - 15 A Financial Market Model with Trading Volume and Stochastic Volatility
by Eckhard Platen - 14 Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation
by John van der Hoek & Eckhard Platen - 13 Classes of Interest Rate Models Under the HJM Framework
by Carl Chiarella & Oh-Kang Kwon - 12 Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines
by Carl Chiarella & Nadima El-Hassan - 11 Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model
by Shinn-Juh Lin & Max Stevenson - 10 Valuing Energy Options in a One Factor Model Fitted to Forward Prices
by Les Clewlow & Chris Strickland - 9 A Financial Market Model
by Eckhard Platen - 8 On the Marginal Distribution of Trade Weighted Currency Indices
by Simon Hurst & Eckhard Platen - 7 Modelling the Stochastic Dynamics of Volatility for Equity Indices
by David Heath & Simon Hurst & Eckhard Platen - 6 An Introduction to Numerical Methods for Stochastic Differential Equations
by Eckhard Platen - 5 Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model
by Carl Chiarella & Oh-Kang Kwon - 4 The Small Noise Arbitrage Pricing Theory
by Steve Satchell
1998
- 3 Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits
by Anthony D. Hall & Paul Kofman & Ron Guido - 2 Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models
by Les Clewlow & Chris Strickland - 1 Comparison of Some Key Approaches to Hedging in Incomplete Markets
by David Heath & Eckhard Platen & M. Schweizer