OFRC Working Papers Series

From Oxford Financial Research Centre
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2001fe06: Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors

Alexander Ljungqvist, Tim Jenkinson and William Wilhelm

2001mf06: Default Hazards and the Term Structure of Credit Spreads in a Duopoly

Varqa Khadem and William Perraudin

2001mf05: The Pricing of Derivatives in Illiquid Markets

David Bakstein

2001fe05: A Theory of the Syndicate: Form Follows Function

Pegaret Pichler and William Wilhelm

2001mf04: Application of multi-agent games to the prediction of financial time-series

Neil F. Johnson, David Lamper, Paul Jefferies, Michael L. Hart and Sam Howison

2001fe04: The Role of Capital Adequacy Requirements in Sound Banking Systems

Lucy White and Alan Morrison

2001mf03: Trading Volume in Models of Financial Derivatives

Sam Howison and David Lamper

2001fe03: Emerging Market Spreads: Then Versus Now

Paolo Mauro, Yishay Yafeh and Nathan Sussman

2001mf02: From market games to real-world markets

Paul Jefferies, Michael Hart, Neil Johnson and P.M. Hui

2001fe02: Business Groups and Risk Sharing around the World

Tarun Khanna and Yishay Yafeh

2001fe01: Credit Derivatives, Disintermediation and Investment Decisions

Alan Morrison

2001mf01: Predictability of large future changes in a competitive evolving population

David Lamper, Sam Howison and Neil Johnson

2000fe08: Risk Averse Banks and Uncertain Correlation Values: A Theory of Rational Bank Panics

Alan Morrison

2000fe07: Regulator Reputation and Optimal Banking Competition Policy

Alan Morrison

2000fe06: Active agents, passive principals; the role of the chief executive in corporate strategy formulation and implementation

Clara Raposo and James Dow

2000fe05: Myopic Traders, Efficiency and Taxation

Alexander Gümbel

2000fe04: Has the introduction of bookbuilding increased the efficiency of international IPOs?

Tim Jenkinson, William Wilhelm and Alexander Ljungqvist

2000fe03: Firm Value and Managerial Incentives: A Stochastic Frontier Approach

Michel Habib and Alexander Ljungqvist

2000mf03: Trading Volume in Models of Financial Derivatives

Sam Howison and David Lamper

2000mf02: Likelihood inference for discretely observed non-linear diffusions

Ola Elerian, Siddhartha Chib and Neil Shephard

2000fe02: Strategic Hedging and Investment Efficiency

Clara Raposo

2000fe01: Corporate Hedging and Optimal Disclosure

Clara Raposo

2000mf01: Non-Gaussian OU based models and some of their uses in financial economics

Ole Barndorff-Nielsen and Neil Shephard

1999mf24: Modelling Market Crashes: The Worst Case Scenario

Philip Hua and Paul Wilmott

1999mf23: Value-at-Risk and Market Crashes

Philip Hua and Paul Wilmott

1999mf22: Exercise Class

Hyungsok Ahn and Paul Wilmott

1999mf21: A Nonlinear Non-probabilistic Spot Interest Rate Model

David Epstein and Paul Wilmott

1999mf20: Pricing and Hedging Convertible Bonds Under Non-probabilistic Interest Rates

David Epstein, Richard Haber and Paul Wilmott

1999mf19: Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits

A. Oztukel and P. Wilmott

1999mf16: Room for a View

R. Korn and P. Wilmott

1999mf15: Various Passport Options and Their Valuation

H. Ahn, A. Penaud and P. Wilmott

1999mf14: An American in Paris

R. Haber, Philipp Schönbucher and P.Wilmott

1999mf13: The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering

N. Mayor, Philipp Schönbucher, P.Wilmott, A.E. Whalley and D. Epstein

1999mf12: A General Framework for Hedging and Speculating with Options

R. Korn and P. Wilmott

1999fe11: The Seven Percent Solution? An International Perspective on Underwriting Spreads

Alexander Ljungqvist and William J. Wilhelm

1999mf10: The Yield Envelope: Price Ranges for Fixed Income Products

D. Epstein and P. Wilmott

1999fe10: Trading on Short-Term Information

Alexander Gumbel

1999fe09: Finance, Investment and Growth

Wendy Carlin and Colin Mayer

1999mf09: Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure

A.E. Whalley and P. Wilmott

1999fe08: How Do Financial Systems Affect Economic Performance?

Wendy Carlin and Colin Mayer

1999mf07: The Pricing of Risky Bonds: Current Models and Future Directions

Hyungsok Ahn, Varqa Khadem and Paul Wilmott

1999fe07: Firm Control

Colin Mayer

1999fe06: Water: The 1999 Price Review

Colin Mayer

1999mf06: Crash Modelling, Value at Risk and Optimal Hedging

Philip Hua and Paul Wilmott

1999fe05: An investigation of clean surplus value-added pricing models using time series methods for the UK 1983-1996

Peter Johnson

1999fe04: IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists in the Creation of Public Companies

Alexander Ljungqvist

1999mf04: Model for the Value of a Business, Some Optimisation Problems in its Operating Procedures and the Valuation of its Debt

M.Z. Apabhai, N.I. Georgikopoulos, D. Hasnip, R.K.D. Jamie and M. Kim

1999fe03: Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence

Michel Habib and Alexander Ljungqvist

1999mf03: Risk of Default in Latin American Brady Bonds

I.Blauer and P.Wilmott

1999mf02: On Trading American Options

Hyungsok Ahn and Paul Wilmott

1999fe02: The Role of Hostile Stakes in German Corporate Governance

Tim Jenkinson and Alexander Ljungqvist

1999mf01: The Valuation of a Firm Advertising Optimally

D. Epstein, N.Mayor, Philipp Schönbucher, A.E. Whalley and P. Wilmott

1999fe01: Who Disciplines Management in Poorly Performing Companies?

Luc Renneboog, Julian Franks and Colin Mayer