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2008 Research Papers

213. Constantinos Kardaras and Eckhard Platen, "On Financial Markets where only Buy-And-Hold Trading is Possible." February 2008.
Format: PDF, Size 375 KB

214. Eckhard Platen and Hardy Hulley, "Hedging for the Long Run." February 2008.
Format: PDF, Size 352 KB

215. Eckhard Platen. "The Law of Minimum Price." 12 February 2008.
Format: PDF, Size 268 KB

216. Shane M. Miller and Eckhard Platen. "Analytic Pricing of Contingent Claims Under the Real-World Measure." 12 February 2008.
Format: PDF, Size 5.62 MB

217. Paolo Pellizzari. "The Toll of Subrational Trading in an Agent Based Economy"  March 2008
Format: PDF, Size 275 KB

218. Gerald H.L. Cheang and Carl Chiarella. "Hedge Portfolios in Markets with Price Discontinuities."
Format: PDF, Size 280 KB

219. Carl Chiarella, Boda Kang, Gunter H. Meyer and Andrew Ziogas. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines."
Format: PDF, Size: 665 KB

220. Louis R. Mercorelli, David Michayluk and Anthony D. Hall. " Modelling Adverse Selection on Electronic Order-Driven Markets." March 2008
Format: PDF, Size 180 KB

221. T. Marquardt, E. Platen, S. Jaschke. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach." 17 April 2008

222. Nicola Bruti-Liberati and Eckhard Platen. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations." 15 February 2008. Format PDF, Size 259 KB.

223. Jerzy Filar, Boda Kang and Malgorzata Korolkiewicz. "Pricing Financial Derivatives on Weather Sensitive Assets." Format PDF, Size 269 KB.

224. Alan Brace, Mark Lauer and Milo Rado. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse." August 2007. Format: PDF, Size 258 KB.

225. Hardy Hulley and T.A. McWalter. "Quadratic Hedging of Basis Risk" June 2008. Format: PDF, Size 323 KB.

226. Leo Krippner. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models." June 21 2008. Format: PDF, Size 448 KB.

227. Eckhard Platen. "A Unifying Approach to Asset Pricing." July 14 2008. Format: PDF, Size: 334 KB.

228. Sergio Chavez and Eckhard Platen. "Distributional Deviations in Random Number Generation in Finance." July 22 2008. Format: PDF, Size: 177 KB.

229. Ashkan Nikeghbali and Eckhard Platen. "On Honest Times in Financial Modeling." August 12 2008. Format: PDF, Size:1.23 MB

230. Constantinos Kardaras and Eckhard Platen. "Minimizing the Expected Market Time to Reach a Certain Wealth Level." July 10 2008. Format: PDF, Size:284 KB

231. Carl Chiarella, Roberto Dieci and Xue-Zhong He. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics." September 2008. Format: PDF, Size: 7.64 MB

232. Carl Chiarella, Viviana Fanelli and Silvana Musti. "Modelling the Evolution of Credit Spreads using the Cox Process within the HJM Framework: A CDS Option Pricing Model." October 2008 Format: PDF, Size: 688KB.

233. Xue-Zhong He and Lei Shi. "Heterogeneity, Bounded Rationality and Market Dysfunctionality." October 2008. Format: PDF, Size 539KB

234. Eckhard Platen and Lei Shi. "On the Numerical Stability of Simulation Methods for SDES." August 2008 Format: PDF Size:68KB

235. Gerald H.L. Cheang and Carl Chiarella. "Exchange Options Under Jump-Diffusion Dynamics." September 2008. Format PDF, Size 68KB.

237. Shane M. Miller and Eckhard Platen. Real World Pricing for a Modified Constant Elasticity of Variance Model. 14 November 2008. Format: PDF, Size 994KB.

238. Hardy Hulley and Eckhard Platen. A Visual Classification of Local Martingales. December 2008. Format: PDF, Size 381KB.

240. Constantinos Kardaras and Eckhard Platen. Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies. December 2008. Format: PDF, Size 267 KB.

241. Constantinos Kardaras. Viability of Markets with an Infinite Number of Assets. December 2008. Format: PDF, Size 252KB.