Centre for Mathematics and Its Applications
Financial mathematics Research Reports 1997

Simon R. Hurst and Eckhard Platen (FMRR97-001)

Intrinsic Market Time: An interpretation of global market volatility

John van der Hoek and Eckhard Platen (FMRR97-002)

A comparison with Leland's result on transaction costs

Eckhard Platen (FMRR97-003)

Axiomatic principles for a market economy

• Published: J. Appl. Probab. 36 (1999), no. 1, 295-300

Eckhard Platen (FMRR97-004)

A short-term forward rate model

M. Jeanblanc, J. Pitman and M. Yor (FMRR97-006)

The Feynman-Kac formula and decomposition of Brownian paths

• Published: Mat. Apl. Comput. 16 (1997), no. 1, 27-52
• MR 98f:60156

F. Delbaen and W. Schachermayer (FMRR97-007)

The fundamental theorem of asset pricing for unbounded stochastic processes

• Published: Math. Ann. 312 (1998), no. 2, 215-250
• MR 99k:60117

Silvia Floro and Wolfgang J. Runggaldier (FMRR97-008)

On hedging in finite security markets

Les Clewlow, Kin Pang and Chris Strickland (FMRR97-009)

Pricing without interest rate exotics using term structure consistent short rate trees

Les Clewlow, Kin Pang and Chris Strickland (FMRR97-010)

Efficient pricing of caps and swaptions in a multi-factor Gaussian interest rate model

Takeaki Kariya (FMRR97-011)

Valuation of time-deposit saving (CD) with transfer option

Tomasz R. Bielecki and Stanley R. Pliska (FMRR97-012)

Risk sensitive dynamic asset management

• Published: Appl. Math. Optim. 39 (1999), no. 3, 337-360
• MR 2000d:91062

Klaus Sandmann and Dieter Sondermann (FMRR97-013)

Discussion paper B-398 - Log-normal interest rate models: stability and methodology