Mathematical Sciences Institute
Financial mathematics Research Reports, 1996

Simon R. Hurst, Eckhard Platen and Svetlozar T. Rachev (FMRR96-002)

Subordinated market index models: a comparison

David Heath, Eckhard Platen and Martin Schweizer (FMRR96-003)

Comparison of some key approaches to hedging in incomplete markets

• Abstract
• Download paper (116K gzipped PostScript file)

Simon R. Hurst, Eckhard Platen and Svetlozar T. Rachev (FMRR96-004)

Option pricing for a logstable asset price model

• Published: Math. Comput. Modelling 29 (1999), no. 10-12, 105-119
• MR 2000f:91034

Norbert Hofmann and Eckhard Platen (FMRR96-005)

Approximation of large diversified portfolios

John van der Hoek and Eckhard Platen (FMRR96-006)

Pricing and hedging in the presence of transaction costs

Eckhard Platen (FMRR96-007)

Workshop on quantitative methods in finance. Volume one. (Canberra, 15-17 February, 1996)

Eckhard Platen (FMRR96-008)

Workshop on quantitative methods in finance. Volume two. (Canberra, 15-17 February, 1996)

Heinz Cremers and Willi Schwarz (FMRR96-009)

Interpolation of discount factors