Printed from https://ideas.repec.org/s/uts/rpaper2.html
Content
2008
- 222 Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
by Nicola Bruti-Liberati & Eckhard Platen - 221 Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
by T. Marquardt & Eckhard Platen & S. Jaschke - 220 Modelling Adverse Selection on Electronic Order-Driven Markets
by Louis R. Mercorelli & David Michayluk & Anthony D. Hall - 219 The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines
by Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas - 218 Hedge Portfolios in Markets with Price Discontinuities
by Gerald H.L. Cheang & Carl Chiarella - 217 The Toll of Subrational Trading in an Agent Based Economy
by Paolo Pellizzari - 216 Analytic Pricing of Contingent Claims Under the Real-World Measure
by Shane Miller & Eckhard Platen - 215 The Law of Minimal Price
by Eckhard Platen - 214 Hedging for the Long Run
by Eckhard Platen & Hardy Hulley - 213 On Financial Markets where only Buy-And-Hold Trading is Possible
by Constantinos Kardaras & Eckhard Platen
2007
- 212 Some Effects of Transaction Taxes Under Different Microstructures
by Paolo Pelizzari & Frank Westerhoff - 211 The Private Value of Public Pensions
by Konstantin Petrichev & Susan Thorp - 210 Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts
by Stephen Satchell & Susan Thorp - 209 Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments
by Stephen Satchell & Susan Thorp - 208 The Stochastic Dynamics of Speculative Prices
by Carl Chiarella & Xue-Zhong He & Min Zheng - 207 The History of the Quantitative Methods in Finance Conference Series. 1992-2007
by Carl Chiarella & Eckhard Platen - 206 Optimal Dispatch in Electricity Markets
by Vladimir Kazakov & Anatoly M. Tsirlin - 205 Martingales and First Passage Times of AR(1) Sequences
by Alex Novikov & Nino Kordzakhia - 204 A Causal Framework for Credit Default Theory
by Wilson Sy - 203 Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
by Hardy Hulley & Eckhard Platen - 202 Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model
by Samson Assefa - 201 Optimal VWAP Trading Strategy and Relative Volume
by James McCulloch & Vladimir Kazakov - 200 Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations
by Hazel Bateman & Susan Thorp - 199 Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy
by Jian Gao & Gang Gong & Xue-Zhong He - 198 Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen - 197 Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model
by Samson Assefa - 196 Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
by Jennifer Chan & Boris Choy & Udi Makov - 195 Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
by Uwe Küchler & Eckhard Platen - 194 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
by Eckhard Platen & Renata Rendek - 193 Pricing of Defaultable Securities Under Stochastic Interest
by Nina Kordzakhia & Alex Novikov - 192 Intertemporal Investment Strategies Under Inflation Risk
by Carl Chiarella & Chih-Ying Hsiao & Willi Semmler - 191 A Benchmark Approach to Portfolio Optimization under Partial Information
by Eckhard Platen & Wolfgang Runggaldier - 190 Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing
by Erik Schlögl & Lutz Schlögl - 189 Consistent Market Extensions under the Benchmark Approach
by Damir Filipovic & Eckhard Platen - 188 On the Group Level Swiss Solvency Test
by Damir Filipovic & Michael Kupper - 187 Optimal Numeraires for Risk Measures
by Damir Filipovic
2006
- 186 Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 185 On the Pricing and Hedging of Long Dated Zero Coupon Bonds
by Eckhard Platen - 184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
by Truc Le & Eckhard Platen - 183 Lie Group Symmetries as Integral Transforms of Fundamental Solutions
by Mark Craddock & Kelly A Lennox - 182 Valuation of Options in a Setting with Happiness-Augmented Preferences
by Stephen Satchell & Vincenzo Merella - 181 Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation
by Stephen Satchel & Wei Xia - 180 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
by Truc Le & Eckhard Platen - 179 On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
by Nicola Bruti-Liberati & Eckhard Platen - 178 On a Solution of the Optimal Stopping Problem for Processes with Independent Increments
by Alexander Novikov & Albert Shiryaev - 177 Information processing and measures of integration: New York, London and Tokyo
by Susan Thorp & George Milunovich - 176 Approximation of Jump Diffusions in Finance and Economics
by Nicola Bruti-Liberati & Eckhard Platen - 175 Volatility Forecast Comparison using Imperfect Volatility Proxies
by Andrew Patton - 174 American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
by Carl Chiarella & Andrew Ziogas - 173 Hedging, Speculation, and Investment in Balance-Sheet Triggered Currency Crises
by Andreas Röthig & Willi Semmler & Peter Flaschel - 172 Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
by Andreas Röthig & Carl Chiarella
2005
- 171 The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
by Carl Chiarella & Chih-Ying Hsiao - 170 Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
by Morten Christensen & Eckhard Platen - 169 Parameterizing Unconditional Skewness in Models for Financial Time Series
by Changli He & Annastiina Silvennoinen & Timo Teräsvirta - 168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
by Annastiina Silvennoinen & Timo Teräsvirta - 167 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl - 166 Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 165 Panel Smooth Transition Regression Models
by Andres Gonzalez & Timo Terasvirta & Dick van Dijk - 164 On the Strong Approximation of Pure Jump Processes
by Nicola Bruti-Liberati & Eckhard Platen - 163 Investments for the Short and Long Run
by Eckhard Platen - 162 Market Mood, Adaptive Beliefs and Asset Price Dynamics
by Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He - 161 Decentralised Portfolio Management: Analysis of Australian Accumulation Funds
by Hazel Bateman & Susan Thorp - 160 Asymmetric Risk and International Portfolio Choice
by Susan Thorp & George Milunovich - 159 Inferential Expectations
by Gordon Menzies & Daniel John Zizzo - 158 Butter Mountains, Milk Lakes and Optimal Price Limiters
by Ned Corron & Xue-Zhong He & Frank Westerhoff - 157 On the Strong Approximation of Jump-Diffusion Processes
by Nicola Bruti-Liberati & Eckhard Platen - 156 A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
by Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen - 155 Benchmarking and Fair Pricing Applied to Two Market Models
by Hardy Hulley & Shane Miller & Eckhard Platen - 154 Currency Derivatives under a Minimal Market Model with Random Scaling
by David Heath & Eckhard Platen - 153 On the Distributional Characterization of Log-returns of a World Stock Index
by Kevin Fergusson & Eckhard Platen - 152 The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
by Carl Chiarella & Giulia Iori - 151 The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
by Carl Chiarella & Hing Hung & Thuy-Duong To - 150 The Multifactor Nature of the Volatility of the Eurodollar Futures Market
by Carl Chiarella & Thuy-Duong To - 148 Long Memory, Heterogeneity and Trend Chasing
by Xue-Zhong He & Youwei Li - 147 Heterogeneity, Profitability and Autocorrelations
by Xue-Zhong He & Youwei Li - 146 Relative Volume as a Doubly Stochastic Binomial Point Process
by James McCulloch - 145 Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions
by Carl Chiarella & Andrew Ziogas - 144 On the Role of the Growth Optimal Portfolio in Finance
by Eckhard Platen
2004
- 149 A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
by Thuy-Duong To - 143 Capital Asset Pricing for Markets with Intensity Based Jumps
by Eckhard Platen - 142 Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
by Carl Chiarella & Xue-Zhong He & Duo Wang - 141 A Behavioural Asset Pricing Model with a Time-Varying Second Moment
by Carl Chiarella & Xue-Zhong He & Duo Wang - 140 An Intraday Empirical Analysis of Electricity Price Behaviour
by Eckhard Platen & Jason West & Wolfgang Breymann - 139 A General Benchmark Model for Stochastic Jump Sizes
by Morten Christensen & Eckhard Platen - 138 A Benchmark Approach to Finance
by Eckhard Platen - 137 Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
by Martin T. Bohl & Pierre Siklos - 136 Commodity Markets, Price Limiters and Speculative Price Dynamics
by Xue-Zhong He & Frank H. Westerhoff - 135 A Markovian Defaultable Term Structure Model with State Dependent Volatilities
by Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios - 134 Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents
by Carl Chiarella & Roberto Dieci & Laura Gardini - 133 A Dynamic Analysis of Moving Average Rules
by Carl Chiarella & Xue-Zhong He & Cars Hommes - 132 A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
by Carl Chiarella & Christina Nikitopoulos-Sklibosios - 131 On an Effective Solution of the Optimal Stopping Problem for Random Walks
by Alexander Novikov & Albert Shiryaev - 130 Two-Factor Model for Low Interest Rate Regimes
by Shane Miller & Eckhard Platen - 129 Diversified Portfolios with Jumps in a Benchmark Framework
by Eckhard Platen - 128 Understanding the Implied Volatility Surface for Options on a Diversified Index
by David Heath & Eckhard Platen - 127 Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range
by Charles Corrado & Cameron Truong - 126 Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions
by Carl Chiarella & Nadima El-Hassan & Adam Kucera - 125 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
by Wolfgang Breymann & Leah Kelly & Eckhard Platen - 124 Local Volatility Function Models under a Benchmark Approach
by David Heath & Eckhard Platen - 123 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
by Hayette Gatfaoui - 122 Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
by Thierry Chauveau & Hayette Gatfaoui - 121 A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
by Anthony D. Hall & Nikolaus Hautsch - 120 CAPM and Option Pricing with Elliptical Disbributions
by Mahmoud Hamada & Emiliano A. Valdez - 119 Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
by David Colwell & Nadima El-Hassan & Oh-Kang Kwon - 118 A Survey of the Integral Representation of American Option Prices
by Carl Chiarella & Adam Kucera & Andrew Ziogas - 117 McKean's Methods Applied to American Call Options on Jump-Diffusion Processes
by Carl Chiarella & Andrew Ziogas - 116 On Tail Distributions of Supremum and Quadratic Variation of Local Martingales
by R. Liptser & Alexander Novikov - 115 Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process
by K. Borovkov & Alexander Novikov - 114 On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
by Nicola Bruti Liberati & Eckhard Platen
2003
- 113 A Benchmark Framework for Risk Management
by Eckhard Platen - 112 Merton for Dummies: A Flexible Way of Modelling Default Risk
by Hans Byström - 111 A Simple Continuous Measure of Credit Risk
by Hans Byström & Oh-Kang Kwon - 110 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
by Eckhard Platen - 109 First Passage Time of Filtered Poisson Process with Exponential Shape Function
by Alexander Novikov & R. E. Melchers & E. Shinjikashvili & N. Kordzakhia - 108 Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
by Carl Chiarella & Xue-Zhong He & Peiyuan Zhu - 107 Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
by Henrik Amilon - 106 Fair Pricing of Weather Derivatives
by Eckhard Platen & Jason West - 105 Correlating Market Models
by Bruce Choy & Tim Dun & Erik Schlögl - 104 A Minimal Dissipation Type-Based Classification in Irreversible Thermodynamics and Microeconomics
by A. M. Tsirlin & Valdimir Kazakov & N. A. Kolinko - 103 Modeling the Volatility and Expected Value of a Diversified World Index
by Eckhard Platen - 102 The Risk Management of Minimum Return Guarantees
by Antje Mahayni & Erik Schlögl - 101 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
by David Heath & Eckhard Platen - 100 Average Relaxations of Extremal Problems
by Anatoliy M. Tsirlin & Valdimir Kazakov - 99 Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)
by Anatoliy M. Tsirlin & Valdimir Kazakov - 98 Tracking Error and Active Portfolio Management
by Nadima El-Hassan & Paul Kofman - 97 An Alternative Interest Rate Term Structure Model
by Eckhard Platen - 96 Estimating for Discretely Observed Diffusions Using Transform Functions
by Leah Kelly & Eckhard Platen & Michael Sorensen - 95 Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach
by Xue-Zhong He - 94 A Survival Analysis of Australian Equity Mutual Funds
by A. Colin Cameron & Anthony D. Hall - 93 The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons
by Hans Byström - 92 Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
by Hans Byström - 91 A Structure for General and Specific Market Risk
by Eckhard Platen & Gerhard Stahl - 90 Symmetry Group Methods for Fundamental Solutions and Characteristic Functions
by Mark Craddock & Eckhard Platen - 89 A Dynamic Analysis of Speculation Across Two Markets
by Carl Chiarella & Roberto Dieci & Laura Gardini - 88 Nonparametric Statistical Inference of Value At Risk For Financial Time Series
by Song Xi Chen & Cheng Yong Tang - 87 Diversified Portfolios in a Benchmark Framework
by Eckhard Platen
2002
- 86 Growth Optimal Investment Strategy Efficacy: An Application on Long Run Australian Equity Data
by Benjamin Francis Hunt - 85 Efficient Consumption Set Under Recursive Utility and Unknown Beliefs
by Ali Lazrak & Fernando Zapatero - 84 An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
by Carl Chiarella & Xue-Zhong He - 83 Evaluation of American Strangles
by Carl Chiarella & Andrew Ziogas - 82 A Benchmark Framework for Integrated Risk Management
by Eckhard Platen - 81 Benchmark Model with Intensity Based Jumps
by Eckhard Platen - 80 A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
by Ram Bhar & Carl Chiarella & Thuy Duong To - 79 Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices
by Erik Schlögl - 78 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
by David Heath & Eckhard Platen - 77 A Benchmark Approach to Filtering in Finance
by Eckhard Platen & Wolfgang Runggaldier - 76 A Score Test for Discreteness in GARCH Models
by Henrik Amilon - 75 A Variance Reduction Technique Based on Integral Representations
by David Heath & Eckhard Platen - 74 A Discrete Time Benchmark Approach for Finance and Insurance
by Hans Buhlmann & Eckhard Platen - 73 A General Framework for the Construction and the Smoothing of Forward Rate Curves
by Oh-Kang Kwon
2001
- 72 Arbitrage in Continuous Complete Markets
by Eckhard Platen - 71 Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
by Erik Schlögl - 70 Migration of Price Discovery With Constrained Futures Markets
by Anthony D. Hall & Paul Kofman & Steve Manaster - 69 Filtering Equity Risk Premia From Derivative Prices
by Ram Bhar & Carl Chiarella & Wolfgang Runggaldier - 68 Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm
by Ram Bhar & Carl Chiarella & Wolfgang Runggaldier - 67 Modelling Structural Change in Money Demand Using a Fourier-Series Approximation
by Ralf Becker & Walter Enders & Stan Hurn - 66 Geometric Lévy Process Pricing Model
by Yoshio Miyahara & Alexander Novikov - 65 On Filtering in Markovian Term Structure Models (An Approximation Approach)
by Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier - 64 Return Interval, Dependence Structure and Multivariate Normality
by Thierry Ané & Chiraz Labidi - 63 Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market
by Max Stevenson - 62 Market Structure and Stock Splits
by David Michayluk & Paul Kofman - 61 Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model
by David Heath & Eckhard Platen - 60 Benchmark Pricing of Credit Derivatives Under a Standard Market Model
by Mark Craddock & Eckhard Platen - 59 A Benchmark Model for Financial Markets
by Eckhard Platen - 58 Testing for Time Dependence in Parameters
by Ralf Becker & Walter Enders & A. Stan Hurn - 57 Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience
by Jeff M. Rogers & Pierre Siklos - 56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations
by Carl Chiarella & Xue-Zhong He - 55 Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
by Carl Chiarella & Xue-Zhong He - 54 Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
by Kestutis Kubilius & Eckhard Platen - 53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
by Carl Chiarella & Xue-Zhong He - 52 State Variables and the Affine Nature of Markovian HJM Term Structure Models
by Carl Chiarella & Oh-Kang Kwon - 51 Semiparametric Diffusion Estimation and Application to a Stock Market Index
by Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen - 50 Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
by Uwe Kuchler & Eckhard Platen - 49 Speculative Behaviour and Complex Asset Price Dynamics
by Carl Chiarella & Roberto Dieci & Laura Gardini - 48 A Minimal Financial Market Model
by Eckhard Platen
2000
- 47 A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information
by Richard Gerlach & Ron Bird & Anthony D. Hall - 46 Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices
by Volker Bohm & Carl Chiarella - 45 Risk Premia and Financial Modelling Without Measure Transformation
by Eckhard Platen - 44 Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay
by Uwe Kuchler & Eckhard Platen - 43 A Complete Stochastic Volatility Model in the HJM Framework
by Carl Chiarella & Oh-Kang Kwon - 42 Infering Forward Looking Financial Market Risk Premia from Derivatives Prices
by Ram Bhar & Carl Chiarella - 41 Modeling the Currency Forward Risk Premium: Theory and Evidence
by Ram Bhar & Carl Chiarella & Toan Pham - 40 Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model
by Tim Dunn & Erik Schlögl & Geoff Barton - 39 The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
by Carl Chiarella & Mark Craddock & Nadima El-Hassan - 38 Examining Intraday Returns with Buy/Sell Information
by Shinn-Juh Lin & Jian Yang - 37 Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
by Carl Chiarella & Xue-Zhong He - 36 The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option
by Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng - 35 Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker
by Carl Chiarella & Xue-Zhong He - 34 A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
by Carl Chiarella & Oh-Kang Kwon - 33 Imputation Methods for Incomplete Dependent Variables in Finance
by Paul Kofman & Ian Sharpe - 32 Bayesian Target Zones
by Catherine S. Forbes & Paul Kofman - 31 Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
by Anthony D. Hall & Soosung Hwang & Steve Satchell
1999
- 30 Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach
by Shinn-Juh Lin & Jian Yang - 29 Fourth Moment Structure of a Family of First-Order Exponential GARCH Models
by Changli He & Timo Terasvirta & Hans Malmsten - 28 A Multi-Factor Model for Energy Derivatives
by Les Clewlow & Chris Strickland - 27 Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
by Mark Craddock & David Heath & Eckhard Platen - 26 A Stochastic Approach to Modelling and Forecasting Dependent Time-Series
by Craig Ellis & Pat Wilson - 25 Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US
by Pierre Siklos