May 27, 1998
Mark Davis, Valuation and Hedging of Securities
with Default Risk
April 29, 1998
• Donald McLeish (University of Waterloo),
Some simple Properties of High, Low, Open, Close:
Simulating Financial Time series and tracking volatility
• Ioannis Karatzas (Columbia University)
Maximizing the Probability of a Perfect Hedge
in the Presence of Uncertainty
March 25, 1998
• Marti G. Subrahmanyam (NYU, Leonard N. Stern School of Business),
Arbitrage Restrictions and Multi-Factor Models
of the Term Structure of Interest
• Moshe Arye Milevsky (York University, Schulich School of
Business)
The Valuation and Application of Asian Options
February 25, 1998
• Stephen Figlewski (NYU, Leonard N. Stern School of Business)
A New Approach to Efficient Option Pricing
• Yan Jin (Columbia University)
Equilibrium Positive Interest Rates: A Unified
View
November 26, 1997
• Christian Gourieroux ;
Econometric Specification of the Risk Neutral
Valuation Model
• Peter Forsyth,
A Finite Element Approach for Two Factor Exotic
Option Pricing
October 29, 1997
• Carol Alexander,
Practical Methods of Incorporating Kurtosis
and Skewness into VAR measures and the Pricing and Hedging of Derivatives
• David Bates, Post-'87 Crash Fears in
S&P 500 Futures Options
September 24, 1997
• Yacine Aït-Sahalia (Graduate School of Business, University
of Chicago)
Do Interest Rates Really Follow Continuous-Time
Markov Diffusions?
• Bruce D. Grundy (The Wharton School)
The Analysis of Deltas, State Prices and VaR:
A New Approach
