Archive Working Papers

From Birkbeck, Department of Economics, Mathematics & Statistics
Malet Street, London WC1E 7HX, UK.
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030: Monetary Integration and Economic Convergence

Anne Sibert

029: Informed Trading, Investment and Welfare

James Dow and Rohit Rahi

028: Tax Policy and Financial Structure

John Hutton and Turalay Kenc

027: Portfolio Substitution and Exchange Rate Volatility

Anne Sibert and Jiming Ha

026: Real Options and Preemption

Bart Lambrecht and William Perraudin

025: Demography, Pensions and Welfare: Fertility Shocks and the Finnish Economy

Turalay Kenc and William Perraudin

024: Information Revelation and Market Incompleteness

Jose Marin and Rohit Rahi

023: Yield Curves with Jump Short Rates

Lina El-Jahel, Hans Lindberg and William Perraudin

022: Forecasting Single and Multiple Hazards: The Use of the Weibull Distribution with Application to Arrears Mortgages Facing Repossession Risks

Steve Satchell and Yongcheol Shin

021: Interest Rate Distributions, Yield Curve Modelling and Monetary Policy

Lina El-Jahel, Hans Lindberg and William Perraudin

020: Lower Partial Capital Asset Pricing Models: A Re-examination

Stephen Satchell

019: Financial Innovation and Delegation of Control

Norvald Instefjord

018: Pension Systems in Europe: A General Equilibrium Study

Turalay Kenc and William Perraudin

017: Interest Rate Setting in Floating Rate Mortgage Markets

Lara Cathcart and William Perraudin

016: Time to Default in the U.K. Mortgage Market

Bart Lambrecht, William Perraudin and Stephen Satchell

015: Multi-Unit Auctions Under Proprietary Information: Information Free Rides and Revenue Banking

Arup Daripa

014: Intertemporal Substitution, Time Preference and Portfolio Hedging Behavior in a Continuous Time Stochastic Model of the Economy

Peter Spencer

013: Strategic Trading by Market Makers on the London Stock Exchange

Oliver Hansch and A Neuberger

012: Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange

Oliver Hansch, N Naik and S Viswananthan

011: Market Allocation and the Impossibility of Provision of Costly Information

Arup Daripa

010: Modelling Exchange Rates in Continuous Time: Estimation and Option Pricing

Bent Sorenson and William Perraudin

009: Market Transparency, Immediacy and Financial Intermediation

Norvald Instefjord

008: Information, Liquidity and Capital Structure

Norvald Instefjord

007: The Simulation of Option Prices with Application to LIFFE Options on Futures

Stephen Satchell and George Christodoulakis

006: A Theory of Treasury Auctions

Arup Daripa