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2004 Research Papers

114. Bruti Liberati, N. and Platen, E., "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance", January 2004
Format: PDF, Size: 239 Kb

115. Borovkov, K. and Novikov, A., "Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process", January 2004
Format: PDF, Size: 274 Kb

116. Novikov, A. and Liptser, R., "On Tail Distributions of Supremum and Quadratic Variation of Local Martingales", January 2004
Format: PDF, Size: 325 Kb

117. Chiarella, C. and Ziogas, A., "McKean's Method Applied to American Call Options on Jump-Diffusion Processes", February 2004
Format: PDF, Size: 530 Kb

118. Chiarella, C. and Ziogas, A., "A Survey of the Integral Representation of American Option Prices", July 2004
Format: PDF, Size: 527 Kb