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OFRC Working Papers Series

From Oxford Financial Research Centre
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2001mf06: Default Hazards and the Term Structure of Credit Spreads in a Duopoly Downloads
Varqa Khadem and William Perraudin
2001fe06: Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors Downloads
Alexander Ljungqvist, Tim Jenkinson and William Wilhelm
2001mf05: The Pricing of Derivatives in Illiquid Markets Downloads
David Bakstein
2001fe05: A Theory of the Syndicate: Form Follows Function Downloads
Pegaret Pichler and William Wilhelm
2001fe04: The Role of Capital Adequacy Requirements in Sound Banking Systems Downloads
Lucy White and Alan Morrison
2001mf04: Application of multi-agent games to the prediction of financial time-series Downloads
Neil F. Johnson, David Lamper, Paul Jefferies, Michael L. Hart and Sam Howison
2001fe03: Emerging Market Spreads: Then Versus Now Downloads
Paolo Mauro, Yishay Yafeh and Nathan Sussman
2001mf03: Trading Volume in Models of Financial Derivatives Downloads
Sam Howison and David Lamper
2001mf02: From market games to real-world markets Downloads
Paul Jefferies, Michael Hart, Neil Johnson and P.M. Hui
2001fe02: Business Groups and Risk Sharing around the World Downloads
Tarun Khanna and Yishay Yafeh
2001mf01: Predictability of large future changes in a competitive evolving population Downloads
David Lamper, Sam Howison and Neil Johnson
2001fe01: Credit Derivatives, Disintermediation and Investment Decisions Downloads
Alan Morrison
2000fe08: Risk Averse Banks and Uncertain Correlation Values: A Theory of Rational Bank Panics Downloads
Alan Morrison
2000fe07: Regulator Reputation and Optimal Banking Competition Policy Downloads
Alan Morrison
2000fe06: Active agents, passive principals; the role of the chief executive in corporate strategy formulation and implementation Downloads
Clara Raposo and James Dow
2000fe05: Myopic Traders, Efficiency and Taxation Downloads
Alexander Gümbel
2000fe04: Has the introduction of bookbuilding increased the efficiency of international IPOs? Downloads
Tim Jenkinson, William Wilhelm and Alexander Ljungqvist
2000mf03: Trading Volume in Models of Financial Derivatives Downloads
Sam Howison and David Lamper
2000fe03: Firm Value and Managerial Incentives: A Stochastic Frontier Approach Downloads
Michel Habib and Alexander Ljungqvist
2000fe02: Strategic Hedging and Investment Efficiency Downloads
Clara Raposo
2000mf02: Likelihood inference for discretely observed non-linear diffusions Downloads
Ola Elerian, Siddhartha Chib and Neil Shephard
2000mf01: Non-Gaussian OU based models and some of their uses in financial economics Downloads
Ole Barndorff-Nielsen and Neil Shephard
2000fe01: Corporate Hedging and Optimal Disclosure Downloads
Clara Raposo
1999mf24: Modelling Market Crashes: The Worst Case Scenario Downloads
Philip Hua and Paul Wilmott
1999mf23: Value-at-Risk and Market Crashes Downloads
Philip Hua and Paul Wilmott
1999mf22: Exercise Class Downloads
Hyungsok Ahn and Paul Wilmott
1999mf21: A Nonlinear Non-probabilistic Spot Interest Rate Model Downloads
David Epstein and Paul Wilmott
1999mf20: Pricing and Hedging Convertible Bonds Under Non-probabilistic Interest Rates Downloads
David Epstein, Richard Haber and Paul Wilmott
1999mf19: Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits Downloads
A. Oztukel and P. Wilmott
1999mf16: Room for a View Downloads
R. Korn and P. Wilmott
1999mf15: Various Passport Options and Their Valuation Downloads
H. Ahn, A. Penaud and P. Wilmott
1999mf14: An American in Paris Downloads
R. Haber, Philipp Schönbucher and P.Wilmott
1999mf13: The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering Downloads
N. Mayor, Philipp Schönbucher, P.Wilmott, A.E. Whalley and D. Epstein
1999mf12: A General Framework for Hedging and Speculating with Options Downloads
R. Korn and P. Wilmott
1999fe11: The Seven Percent Solution? An International Perspective on Underwriting Spreads Downloads
Alexander Ljungqvist and William J. Wilhelm
1999mf10: The Yield Envelope: Price Ranges for Fixed Income Products Downloads
D. Epstein and P. Wilmott
1999fe10: Trading on Short-Term Information Downloads
Alexander Gumbel
1999mf09: Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure Downloads
A.E. Whalley and P. Wilmott
1999fe09: Finance, Investment and Growth Downloads
Wendy Carlin and Colin Mayer
1999fe08: How Do Financial Systems Affect Economic Performance? Downloads
Wendy Carlin and Colin Mayer
1999mf07: The Pricing of Risky Bonds: Current Models and Future Directions Downloads
Hyungsok Ahn, Varqa Khadem and Paul Wilmott
1999fe07: Firm Control Downloads
Colin Mayer
1999fe06: Water: The 1999 Price Review Downloads
Colin Mayer
1999mf06: Crash Modelling, Value at Risk and Optimal Hedging Downloads
Philip Hua and Paul Wilmott
1999fe05: An investigation of clean surplus value-added pricing models using time series methods for the UK 1983-1996 Downloads
Peter Johnson
1999mf04: Model for the Value of a Business, Some Optimisation Problems in its Operating Procedures and the Valuation of its Debt Downloads
M.Z. Apabhai, N.I. Georgikopoulos, D. Hasnip, R.K.D. Jamie and M. Kim
1999fe04: IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists in the Creation of Public Companies Downloads
Alexander Ljungqvist
1999fe03: Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence Downloads
Michel Habib and Alexander Ljungqvist
1999mf03: Risk of Default in Latin American Brady Bonds Downloads
I.Blauer and P.Wilmott
1999mf02: On Trading American Options Downloads
Hyungsok Ahn and Paul Wilmott
1999fe02: The Role of Hostile Stakes in German Corporate Governance Downloads
Tim Jenkinson and Alexander Ljungqvist
1999fe01: Who Disciplines Management in Poorly Performing Companies? Downloads
Luc Renneboog, Julian Franks and Colin Mayer
1999mf01: The Valuation of a Firm Advertising Optimally Downloads
D. Epstein, N.Mayor, Philipp Schönbucher, A.E. Whalley and P. Wilmott
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