Mathematical Sciences Institute
Financial Mathematics Research Reports, 1995

D. Goldman, D. Heath, G. Kentwell and E. Platen (FMRR95-001)

Valuation of two-factor term structure models

Peter Hall, David Matthews and Eckhard Platen (FMRR95-002)

On fractal models for exchange rate data

• Note: also SRR95-022

Eckhard Platen and Rolando Rebolledo (FMRR95-003)

Principles for modelling financial markets

• Published: J. Appl. Probab. 33 (1996), no. 3, 601-613
• MR 97b:90026

E. Platen (FMRR95-004)

Workshop on stochastics and finance (Canberra, February 1995) Vol. 1

E. Platen (FMRR95-005)

Workshop on stochastics and finance (Canberra, February 1995) Vol. 2

Simon Hurst (FMRR95-006)

The characteristic function of the student t distribution

• Download paper (1.4Mb scanned PDF)
• Note: also SRR95-044

Norbert Hofmann and Eckhard Platen (FMRR95-007)

On the dynamics of large portfolios

Eckhard Platen and Martin Schweizer (FMRR95-008)

On feedback effects from hedging derivatives

• Published: Math. Finance 8 (1998), no. 1, 67-84
• MR 99e:90014

D. Heath and E. Platen (FMRR95-009)

Valuation of FX barrier options under stochastic volatility