OFRC Working Papers Series

From Oxford Financial Research Centre
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2004fe01: Econometrics of testing for jumps in financial economics using bipower variationÂ

Ole Barndorff-Nielsen and Neil Shephard

2004mf01: Option Pricing with Levy-Stable Processes

Álvaro Cartea and Sam Howison

2003fe16: A New Test of Capital Structure

Colin Mayer and Oren Sussman

2003fe15: Spending Less Time with the Family: The Decline of Family Ownership in the UK

Julian Franks, Colin Mayer and Stefano Rossi

2003fe14: Ownership: Evolution and Regulation

Julian Franks, Colin Mayer and Stefano Rossi

2003fe13: A Model to Analyse Financial Fragility

Charles A.E. Goodhart, Pojanart Sunirand and Dimitrios Tsomocos

2003fe12: Hard Debt, Soft CEO’s and Union Rents

Linus Wilson

2003fe11: Multinational Bank Capital Regulation with Deposit Insurance and Diversification Effects

Gyongyi Loranth and Alan Morrison

2003fe10: Modeling the Demand for Emerging Market Assets

Valpy FitzGerald and Derya Krolzig

2003mf08: Purely discontinuous Levy processes and power variation: inference for integrated volatility and the scale parameter

Jeannette H.C. Woerner

2003fe08: Equilibrium Analysis, Banking and Financial Instability

Dimitrios Tsomocos

2003mf07: An Option Pricing Formula for the GARCH diffusion model

Giovanni Barone-Adesi, Claudia Ravanelli and Henrik Rasmussen

2003fe07: Making Money out of Publicly Available Information

Alan Morrison and Nir Vulkan

2003mf06: On the Pricing and Hedging of Volatility Derivatives

Sam Howison, Avraam Rafailidis and Henrik Rasmussen

2003fe06: Procyclicality and the new Basel Accord - Banks' choice of loan rating system

Eva Catarineu-Rabell, Patricia Jackson and Dimitrios Tsomocos

2003mf05: Estimation of Integrated Volatility in Stochastic Volatility Models

Jeannette H.C. Woerner

2003fe05: Why are European IPOs so rarely priced outside the indicative price range?

William J. Wilhelm, Alan Morrison and Tim Jenkinson

2003mf04: Bounds for Floating-Strike Asian Options using Symmetry

Vicky Henderson, David Hobson, William Shaw and Rafal Wojakowski

2003fe04: E-Barter vs. Fiat Money: Will Central Banks Survive?

Dimitrios Tsomocos, F.H. Capie and Geoffrey E. Wood

2003fe03: Equilibrium Analysis, Banking, Contagion and Financial Fragility

Dimitrios Tsomocos

2003mf03: Using Options on Greeks as Liquidity Protection

David Bakstein and Sam Howison

2003mf02: A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation

Vicky Henderson, David Hobson, Sam Howison and Tino Kluge

2003fe02: Partnership Firms, Reputation and Human Capital

Alan Morrison and William J. Wilhelm, Jr.

2003mf01: Monte Carlo valuation of American Options

David Lamper and Sam Howison

2002fe08: The Economics of Capital Regulation in Financial Conglomerates

Alan Morrison

2002fe07: IPO Pricing in the Dot-com Bubble

William J. Wilhelm and Alexander Ljungqvist

2002fe06: Evidence of Information Spillovers in the Production of Investment Banking Services

Lawrence M. Benveniste, Alexander Ljungqvist, William J. Wilhelm and Xiaoyun Yu

2002fe05: Crises and Capital Requirements in Banking

Lucy White and Alan Morrison

2002mf05: Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models

Jeannette H.C. Woerner

2002fe04: Dynamics of trade-by-trade price movements: decomposition and models

Tina Hviid Rydberg and Neil Shephard

2002mf04: Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing

Álvaro Cartea and Sam Howison

2002fe03: Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics

Ole Barndorff-Nielsen and Neil Shephard

2002mf03: Analytical Comparisons of Option prices in Stochastic Volatility Models

Vicky Henderson

2002mf02: A Risk-Neutral Parametric Liquidity Model for Derivatives

David Bakstein and Sam Howison

2002fe02: Manipulation, the allocational role of prices and production externalities

Itay Goldstein and Alexander Gümbel

2002fe01: Stock Based Compensation: Firm-specific risk, Efficiency and Incentives

Vicky Henderson

2002mf01: Coupling and Option Price Comparisons in a Jump-Diffusion model

Vicky Henderson and David Hobson

2001fe17: Resource Margin Accounting: Empirical Results for US Manufacturing Companies 1983-1998

Peter Johnson

2001fe16: Resource Margin Accounting: A Theoretical Perspective

Peter Johnson

2001fe15: Sources of Funds and Investment Strategies of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK

Koen Schoors, Yishay Yafeh and Colin Mayer

2001fe14: New evidence of the impact of dividend taxation and on the identity of the marginal investor

Leonie Bell and Tim Jenkinson

2001fe13: Optimal exchange-rates: a market-microstructure approach

Alexander Gümbel and Oren Sussman

2001fe12: Emerging Markets and Entry by Actively Managed Funds

Alexander Gümbel

2001fe11: Ownership and Control of German Corporations

Julian Franks and Colin Mayer

2001fe10: Institutional Investment and Private Equity in the UK

Colin Mayer

2001fe09: Regulatory Principles and the Financial Services and Markets Act

Colin Mayer

2001mf09: A note on the pricing and hedging of volatility derivatives

Sam Howison, A. Rafailidis and H.O. Rasmussen

2001fe08: IPO Allocations: Discriminatory or Discretionary?

William Wilhelm and Alexander Ljungqvist

2001mf08: On the Equivalence of Floating and Fixed-Strike Asian Options

Vicky Henderson and Rafal Wojakowski

2001fe07: The Internet and Financial Market Structure

William Wilhelm