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Mathematical Finance Papers

 

Click on the title of a paper to view the abstract. From there you may download the full text of the paper in Adobe Acrobat (.pdf) format.

 

 

 

2005 Working Paper Series

2005-MF-03

 

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 2: Bermudan options

Sam Howison

 

2005-MF-02

 

A matched asymptotic expansions approach to continuity corrections for discretely sampled options. Part 1: barrier options

Sam Howison, Mario Steinberg

 

2005-MF-01

 

Matched asymptotic expansions in financial engineering

Sam Howison

 

 

 

2004 Working Paper Series

2004-MF-03

 

An Asymptotic Analysis of an American Call Option with Small Volatility

N. P. Firth, J. N. Dewynne, S. J. Chapman

 

2004-MF-02

 

High Dimensional Radial Barrier Options

N.P. Firth and  J.N. Dewynne

 

2004-MF-01

 

Option Pricing with Levy-Stable Processes

Alvaro Cartea, Sam Howison

 

 

 

2003 Working Paper Series

 

2003-MF-08

 

Purely discontinuous Levy processes and power variation: inference for integrated volatility and the scale parameter

Jeannette Woerner

 

2003-MF-07

 

An Option Pricing Formula for the GARCH diffusion model

Giovanni Barone-Adesi, Henrik Rasmussen and Claudia Ravanelli

 

2003-MF-06

 

On the Pricing and Hedging of Volatility Derivatives

 Sam Howison, Avraam Rafailidis, Henrik Rasmussen

 

2003ep01

 

Linked Agent Model: A microstructure model of equity markets
Allan Lane, Mehdi Douali

 

2003-MF-05

 

Estimation of integrated volatility in stochastic volatility models

Jeannette Woerner

Forthcoming in "Applied Stochastic Models in Business and Industry"

 

2003-MF-04

 

Bounds for Floating-Strike Asian Options using Symmetry

Vicky Henderson, David Hobson, William Shaw and Rafal Wojakowski

 

2003-MF-03

 

Using Options on Greeks as Liquidity Protection

David Bakstein, Sam Howison

 

2003-MF-02

 

A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation

Vicky Henderson, David Hobson, Sam Howison, Tino Kluge

 

2003-MF-01

MonteCarlo Valuation of American Options

David Lamper and Sam Howison

 

 

 

 

2002 Working Paper Series

 

2002-MF-05

 

Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models

Jeannette Woerner

Published in Statistics & Decisions 21, 47-68 (2003)

 

2002-MF-04

 

Distinguished limits of Levy-Stable processes and applications to option pricing

Alvaro Cartea, Sam Howison

 

2002-MF-03

 

Analytical Comparisons of Option prices in Stochastic Volatility Models
Vicky Henderson

 

2002-MF-02

 

A Risk-Neutral Parametric Liquidity Model for Derivatives
David Bakstein, Sam Howison

 

2002-MF-01

 

Coupling and Option Price Comparisons in a Jump-Diffusion model
Vicky Henderson, David Hobson

Stochastics and Stochastic Reports (to appear)

 

cond-mat

/0201540

 

Anatomy of extreme events in a complex adaptive system
Paul Jefferies, David Lamper, Neil Johnson

 

cond-mat

/0207588

 

An Investigation of Crash Avoidance in a Complex System
Michael Hart, David Lamper, Neil Johnson

 

cond-mat

/0207523

 

Designing agent-based market models
Paul Jefferies, Neil Johnson

 

 
 
 
 
2001 Working Paper Series

 

2001-MF-09

 

A note on the pricing and hedging of volatility derivatives
Sam Howison, A. Rafailidis, H.O. Rasmussen

 

2001-MF-08

 

On the Equivalence of Floating and Fixed-Strike Asian Options
Vicky Henderson, Rafal Wojakowski

published in Journal of Applied Probability, 39, 391-394

(2002)

 

2001-MF-06

 

Default Hazards and the Term Structure of Credit Spreads in a Duopoly
Varqa Khadem, William Perraudin

 

2001-MF-05

 

The Pricing of Derivatives in Illiquid Markets (removed)
David Bakstein

 

2001-MF-04

 

Application of multi-agent games to the prediction of financial time-series
Neil F. Johnson, David Lamper, Paul Jefferies, Michael L. Hart, Sam Howison
Physica A 299, 222-227 (2001)

 

2001-MF-03

 

Trading Volume and Stochastic Volatility
Sam Howison, David Lamper

 

2001-MF-02

 

From market games to real-world markets
Paul Jefferies, Michael Hart, P.M. Hui, Neil Johnson

 

2001-MF-01

 

 

Predictability of large future changes in a competitive evolving population
David Lamper, Sam Howison, Neil Johnson
Physical Review Letters 88, (2002)

 

cond-mat

/0103259

 

Deterministic dynamics in the Minority Game
Paul Jefferies, Michael Hart, Neil Johnson

 

cond-mat

/0102384

 

Dynamics of the Time Horizon Minority Game
Michael Hart, Paul Jefferies, Neil Johnson

 

cond-mat

/0105258

 

Predictability of large future changes in a competitive evolving population
David Lamper, Sam Howison, Neil Johnson

 

cond-mat

/0105303

 

Application of multi-agent games to the prediction of financial time-series
Neil Johnson, David Lamper, Paul Jefferies, Michael Hart, Sam Howison

 

 
 

 

 
2000 Working Paper Series

 

2000-MF-03

 

Trading Volumes in Models of Financial Derivatives
Sam Howison, David Lamper
Applied Mathematical Finance 8, 119-135 (2001)

 

2000-MF-02

 

Likelihood inference for discretely observed non-linear diffusions
Ola Elerian, Siddhartha Chib, Neil Shephard
Econometrica 69, 959-993 (2001)

 

2000-MF-01

 

Non-Gaussian OU based models and some of their uses in financial economics
Ole Barndorff-Nielsen, Neil Shephard
Journal of the Royal Statistical Society, Series B, 63, 167-241 (2001)

 

cond-mat

/0005152  

 

Crowd-anticrowd theory of the Minority Game
Michael Hart, Paul Jefferies, Neil Johnson, P.M. Hui

 

cond-mat

/0008387  

 

From market games to real-world markets
Paul Jefferies, Michael Hart, P.M. Hui, Neil Johnson

 

 
 
 
 
1999 Working Paper Series

 

1999-MF-24

Modelling Market Crashes: The Worst Case Scenario
Philip Hua, Paul Wilmott

 

1999-MF-23

 

Value-at-Risk and Market Crashes
Philip Hua, Paul Wilmott

 

1999-MF-22

 

Exercise Class
Hyungsok Ahn, Paul Wilmott

 

1999-MF-21

 

A Nonlinear Non-probabilistic Spot Interest Rate Model
David Epstein, Paul Wilmott

 

1999-MF-20

 

Pricing and Hedging Convertible Bonds Under Non-probabilistic Interest Rates
David Epstein, Richard Haber, Paul Wilmott

 

1999-MF-19

 

Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
A. Oztukel, P. Wilmott

 

1999-MF-16

 

Room for a View
R. Korn, P. Wilmott

 

1999-MF-15

 

Various Passport Options and Their Valuation
H. Ahn, A. Penaud, P. Wilmott

 

1999-MF-14

 

An American in Paris
R. Haber, P. Schonbucher, P. Wilmott

 

1999-MF-13

 

The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering
N. Mayor, P. Schonbucher, P. Wilmott, A.E. Whalley, D. Epstein

 

1999-MF-12

 

A General Framework for Hedging and Speculating with Options
R. Korn, P. Wilmott

 

1999-MF-10

 

The Yield Envelope: Price Ranges for Fixed Income Products
D. Epstein, P. Wilmott

 

1999-MF-09

 

Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure
A.E. Whalley, P. Wilmott

 

1999-MF-07

 

The Pricing of Risky Bonds: Current Models and Future Directions
H. Ahn, V. Khadem, P. Wilmott

 

1999-MF-06

 

Crash Modelling, Value at Risk and Optimal Hedging
P. Hua, P. Wilmott

 

1999-MF-04

 

A Model for the Value of a Business, Some Optimisation Problems in its Operating Procedure and the Valuation of its Debt
M.Z. Apabhai, N.I. Georgikopoulos, D. Hasnip, R.K.D. Jamie, M. Kim, P. Wilmott

 

1999-MF-03

 

Risk of Default in Latin American Brady Bonds
I. Blauer, P. Wilmott

 

1999-MF-02

 

On Trading American Options
H. Ahn, P. Wilmott

 

1999-MF-01

 

The Value of a Firm Advertising Optimally
D. Epstein, N. Mayor, P. Schonbucher, A.E. Whalley, P. Wilmott