EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Research Paper Series
from Quantitative Finance Research Centre, University of Technology, Sydney EDIRC .
Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series .
157: On the Strong Approximation of Jump-Diffusion Processes
Nicola Bruti-Liberati and Eckhard Platen 156: A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
Nicola Bruti-Liberati , Filippo Martini , Massimo Piccardi and Eckhard Platen 155: Benchmarking and Fair Pricing Applied to Two Market Models
Hardy Hulley , Shane Miller and Eckhard Platen 154: Currency Derivatives under a Minimal Market Model with Random Scaling
David Heath and Eckhard Platen 153: On the Distributional Characterization of Log-returns of a World Stock Index
Kevin Fergusson and Eckhard Platen 152: The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
Carl Chiarella and Giulia Iori 151: The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
Carl Chiarella , Hing Hung and Thuy-Duong To 150: The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
Carl Chiarella and Thuy-Duong To 149: A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
Thuy-Duong To 148: Long Memory, Heterogeneity and Trend Chasing
Xuezhong He and Youwei Li 147: Heterogeneity, Profitability and Autocorrelations
Xuezhong He and Youwei Li 146: Relative Volume as a Doubly Stochastic Binomial Point Process
James McCulloch 145: Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions
Carl Chiarella and Andrew Ziogas 144: On the Role of the Growth Optimal Portfolio in Finance
Eckhard Platen 143: Capital Asset Pricing for Markets with Intensity Based Jumps
Eckhard Platen 142: Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
Carl Chiarella , Xuezhong He and Duo Wang 141: A Behavioural Asset Pricing Model with a Time-Varying Second Moment
Carl Chiarella , Xuezhong He and Duo Wang 140: An Intraday Empirical Analysis of Electricity Price Behaviour
Eckhard Platen , Jason West and Wolfgang Breymann 139: A General Benchmark Model for Stochastic Jump Sizes
Morten Christensen and Eckhard Platen 138: A Benchmark Approach to Finance
Eckhard Platen 137: Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
Martin T. Bohl and Pierre Siklos 136: Commodity Markets, Price Limiters and Speculative Price Dynamics
Xuezhong He and Frank Westerhoff 135: A Markovian Defaultable Term Structure Model with State Dependent Volatilities
Carl Chiarella , Erik Schlogl and Christina Nikitopoulos-Sklibosios 134: Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents
Carl Chiarella , Roberto Dieci and Laura Gardini 133: A Dynamic Analysis of Moving Average Rules
Carl Chiarella , Xuezhong He and Cars Hommes 132: A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
Carl Chiarella and Christina Nikitopoulos-Sklibosios 131: On an Effective Solution of the Optimal Stopping Problem for Random Walks
Alexander Novikov and Albert Shiryaev 130: Two-Factor Model for Low Interest Rate Regimes
Shane Miller and Eckhard Platen 129: Diversified Portfolios with Jumps in a Benchmark Framework
Eckhard Platen 128: Understanding the Implied Volatility Surface for Options on a Diversified Index
David Heath and Eckhard Platen 127: Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range
Charles Joseph Corrado and Cameron Truong 126: Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions
Carl Chiarella , Nadima El-Hassan and Adam Kucera 125: Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
Wolfgang Breymann , Leah Kelly and Eckhard Platen 124: Local Volatility Function Models under a Benchmark Approach
David Heath and Eckhard Platen 123: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
Hayette Gatfaoui 122: Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
Thierry Chauveau and Hayette Gatfaoui 121: A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
Anthony David Hall and Nikolaus Hautsch 120: CAPM and Option Pricing with Elliptical Disbributions
Mahmoud Hamada and Emiliano A. Valdez 119: Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
D. Colwell , Nadima El-Hassan and Oh-Kang Kwon 118: A Survey of the Integral Representation of American Option Prices
Carl Chiarella , Adam Kucera and Andrew Ziogas 117: McKean's Methods Applied to American Call Options on Jump-Diffusion Processes
Carl Chiarella and Andrew Ziogas 116: On Tail Distributions of Supremum and Quadratic Variation of Local Martingales
R. Liptser and Alexander Novikov 115: Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process
K. Borovkov and Alexander Novikov 114: On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
Nicola Bruti-Liberati and Eckhard Platen 113: A Benchmark Framework for Risk Management
Eckhard Platen 112: Merton for Dummies: A Flexible Way of Modelling Default Risk
Hans NE Byström 111: A Simple Continuous Measure of Credit Risk
Hans NE Byström and Oh-Kang Kwon 110: Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
Eckhard Platen 109: First Passage Time of Filtered Poisson Process with Exponential Shape Function
Alexander Novikov , R. E. Melchers , E. Shinjikashvili and N. Kordzakhia 108: Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
Carl Chiarella , Xuezhong He and Peiyuan Zhu
EconPapers is hosted by the
Swedish Business School at Örebro University.