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2007 Research Papers

212. Paolo Pelizzari and Frank Westerhoff, "Some effects of transaction taxes under different microstructures." December 2007.
Format: PDF, Size 371 KB

211. Konstantin Petrichev and Susan Thorp, "The private value of public pensions." 14 December 2007
Format: PDF, Size 365 KB

210. Stephen Satchell and Susan Thorp, " Discounting and Consumption over an uncertain horizon: Draw-down plans for family trusts." December 2007.
Format: PDF, Size 278 KB

209. Stephen Satchell and Susan Thorp, "Scenario Analysis with recursive utility: Dynamic consumption plans for charitable endowments." , December 2007
Format: PDF, Size 1.13MB

208. Carl Chiarella, Xue-Zhong He and Min Zheng, "The Stochastic Dynamics of Speculative Prices."3 December 2007.
Format: PDF, Size 1.58 MB

207. Carl Chiarella and Eckhard Platen, "The History of the Quantitative Methods in Finance Conference Series. 1992-2007.", December 2007
Format: PDF, Size 1.87 MB

206. Vladimir Kazakov and Anatoly M. Tsirlin, "Optimal Dispatch in Electricity Markets", October 2007
Format: PDF, Size: 330 Kb

205.Alex Novikov and Nino Kordzakhia, "Martingales and First Passage Times of AR(1) Sequences", October 2007
Format: PDF, Size: 270 Kb

204. Wilson Sy, "A Causal Framework for Credit Default Theory", October 2007
Format: PDF, Size: 250 Kb

203.Hardy Hulley and Eckhard Platen, "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options", October 2007
Format: PDF, Size: 3 Mb

202. Samson Assefa, "Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model", September 2007
Format: PDF, Size: 420 Kb

201. James McCulloch and Vladimir Kazakov, "Optimal VWAP Trading Strategy and Relative Volume", September 2007
Format: PDF, Size: 500 Kb

200. Hazel Bateman and Susan Thorp, "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations", August 2007
Format: PDF, Size: 400 Kb

199. Jian Gao, Gang Gong and Xue-Zhong He, "Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy", July 2007
Format: PDF, Size: 500 Kb

198. Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios and Eckhard Platen, "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models", June 2007
Format: PDF, Size: 700 Kb

197. Samson Assefa, "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model", June 2007
Format: PDF, Size: 550 Kb

196. Jennifer Chan, Boris Choy and Udi Makov, "Robust Bayesian analysis of loss reserves data using the generalized-t distribution", May 2007
Format: PDF, Size: 810 Kb

195. Uwe Küchler and Eckhard Platen, "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities", April 2007
Format: PDF, Size: 650 Kb

194. Eckhard Platen and Renata Sidorowicz, "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices", March 2007
Format: PDF, Size: 1.1 Mb

193. Nino Kordzakhia and Alexander Novikov, "Pricing of Defaultable Securities under Stochastic Interest", February 2007
Format: PDF, Size: 260 Kb

192. Carl Chiarella, Chih-Ying Hsiao and Willi Semmler, "Intertemporal Investment Strategies under Inflation Risk", January 2007
Format: PDF, Size: 530 Kb

191. Eckhard Platen and Wolfgang Runggaldier, "A Benchmark Approach to Portfolio Optimization under Partial In
Formation"
, January 2007
Format: PDF, Size: 290 Kb

190. Erik Schlögl and Lutz Schlögl, "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing", January 2007
Format: PDF, Size: 300 Kb

189. Damir Filipovic and Eckhard Platen, "Consistent Market Extensions under the Benchmark Approach", January 2007
Format: PDF, Size: 270 Kb

188. Damir Filipovic and Michael Kupper, "On the Group Level Swiss Solvency Test", January 2007
Format: PDF, Size: 310 Kb

187. Damir Filipovic, "Optimal Numeraires for Risk Measures", January 2007
Format: PDF, Size: 220 Kb