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2002 Working Paper Series
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2002-MF-05
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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)
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2002-MF-04
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Distinguished
limits of Levy-Stable processes and applications to option pricing
Alvaro Cartea, Sam Howison
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2002-MF-03
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Analytical Comparisons of Option prices in Stochastic Volatility Models
Vicky Henderson
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2002-MF-02
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A Risk-Neutral Parametric Liquidity Model for Derivatives
David Bakstein, Sam Howison
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2002-MF-01
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Coupling and Option Price Comparisons in a Jump-Diffusion model
Vicky Henderson, David Hobson
Stochastics and
Stochastic Reports (to appear)
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cond-mat
/0201540 |
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Anatomy of extreme
events in a complex adaptive system
Paul Jefferies, David Lamper, Neil Johnson
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cond-mat
/0207588 |
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An Investigation
of Crash Avoidance in a Complex System
Michael Hart, David Lamper, Neil Johnson
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cond-mat
/0207523 |
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Designing
agent-based market models
Paul Jefferies, Neil Johnson
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2001 Working Paper Series
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2001-MF-09
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A note on the pricing and hedging of volatility derivatives
Sam Howison, A. Rafailidis, H.O. Rasmussen
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2001-MF-08
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On the Equivalence of Floating and Fixed-Strike Asian Options
Vicky Henderson, Rafal Wojakowski
published in Journal of Applied
Probability, 39, 391-394
(2002) |
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2001-MF-06
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Default Hazards and the Term Structure of Credit Spreads in a Duopoly
Varqa Khadem, William Perraudin
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2001-MF-05
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The Pricing of Derivatives in Illiquid Markets (removed)
David Bakstein
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2001-MF-04
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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)
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2001-MF-03
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Trading Volume and Stochastic Volatility
Sam Howison, David Lamper
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2001-MF-02
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From market games to real-world markets
Paul Jefferies, Michael Hart, P.M. Hui, Neil Johnson
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2001-MF-01
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Predictability of large future changes in a competitive evolving population
David Lamper, Sam Howison, Neil Johnson
Physical Review Letters 88, (2002)
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cond-mat
/0103259 |
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Deterministic
dynamics in the Minority Game
Paul Jefferies, Michael Hart, Neil Johnson
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cond-mat
/0102384 |
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Dynamics of the
Time Horizon Minority Game
Michael Hart, Paul Jefferies, Neil Johnson
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cond-mat
/0105258 |
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Predictability of
large future changes in a competitive evolving population
David Lamper, Sam Howison, Neil Johnson
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cond-mat
/0105303 |
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Application of
multi-agent games to the prediction of financial time-series
Neil Johnson, David Lamper, Paul Jefferies, Michael
Hart, Sam Howison
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2000 Working Paper Series
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2000-MF-03
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Trading Volumes in Models of Financial Derivatives
Sam Howison, David Lamper
Applied Mathematical Finance 8, 119-135 (2001)
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2000-MF-02
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Likelihood inference for discretely observed non-linear diffusions
Ola Elerian, Siddhartha Chib, Neil Shephard
Econometrica 69, 959-993 (2001)
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2000-MF-01
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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)
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cond-mat
/0005152 |
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Crowd-anticrowd
theory of the Minority Game
Michael Hart, Paul Jefferies, Neil Johnson, P.M. Hui
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cond-mat
/0008387 |
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From market games
to real-world markets
Paul Jefferies, Michael Hart, P.M. Hui, Neil Johnson
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1999 Working Paper Series
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1999-MF-24
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Modelling Market Crashes: The Worst Case Scenario
Philip Hua, Paul Wilmott
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1999-MF-23
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Value-at-Risk and Market Crashes
Philip Hua, Paul Wilmott
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1999-MF-22
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Exercise Class
Hyungsok Ahn, Paul Wilmott
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1999-MF-21
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A Nonlinear Non-probabilistic Spot Interest Rate Model
David Epstein, Paul Wilmott
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1999-MF-20
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Pricing and Hedging Convertible Bonds Under Non-probabilistic Interest Rates
David Epstein, Richard Haber, Paul Wilmott
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1999-MF-19
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Uncertain Parameters, an Empirical Stochastic Volatility Model and
Confidence Limits
A. Oztukel, P. Wilmott
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1999-MF-16
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Room for a View
R. Korn, P. Wilmott
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1999-MF-15
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Various Passport Options and Their Valuation
H. Ahn, A. Penaud, P. Wilmott
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1999-MF-14
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An American in Paris
R. Haber, P. Schonbucher, P. Wilmott
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1999-MF-13
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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
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1999-MF-12
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A General Framework for Hedging and Speculating with Options
R. Korn, P. Wilmott
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1999-MF-10
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The Yield Envelope: Price Ranges for Fixed Income Products
D. Epstein, P. Wilmott
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1999-MF-09
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Optimal Hedging of Options with Small but Arbitrary Transaction Cost
Structure
A.E. Whalley, P. Wilmott
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1999-MF-07
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The Pricing of Risky Bonds: Current Models and Future Directions
H. Ahn, V. Khadem, P. Wilmott
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1999-MF-06
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Crash Modelling, Value at Risk and Optimal Hedging
P. Hua, P. Wilmott
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1999-MF-04
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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
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1999-MF-03
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Risk of Default in Latin American Brady Bonds
I. Blauer, P. Wilmott
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1999-MF-02
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On Trading American Options
H. Ahn, P. Wilmott
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1999-MF-01
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The Value of a Firm Advertising Optimally
D. Epstein, N. Mayor, P. Schonbucher, A.E. Whalley, P. Wilmott
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