Centre for Mathematics and Its Applications
Financial Mathematics Research Reports 1998

Eckhard Platen (FMRR98-001)

A short term interest rate model

• Abstract
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Eckhard platen (FMRR98-002)

A financial market model

• Abstract
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Paul Fischer, Eckhard Platen and Wolfgang J. Runggaldier (FMRR98-003)

Risk minimizing hedging strategies under partial observation

• Published: Seminar on Stochastic Analysis, Random Fields and Applications (Ascona, 1996), 175-188, Progr. Probab., 45, Birkhäuser, Basel, 1999
• MR 2001b:91044

Robert Elliott, Paul Fischer and Eckhard Platen (FMRR98-004)

Filtering and parameter estimation for a mean reverting interest rate model

• Abstract
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• Published: Canad. Appl. Math. Quart. 7 (1999), no. 4, 381-400
• CMP 1 804 571 (2001:06)

Paul Fischer and Eckhard Platen (FMRR98-005)

Applications of the Balanced Method to Stochastic Differential Equations in Filtering

• Abstract
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• Published: Monte Carlo Methods Appl. 5 (1999), no. 1, 19--38
• MR 2000b:65011