Items where Research Group is "Mathematical and Computational Finance Group" and Year is 2003
Jump to: Article Number of items: 5. ArticleBakstein, David and Howison, Sam (2003) A non-arbitrage liquidity model with observable parameters for derivatives. Mathematical Finance . (Submitted) Hambly, B. M. and Meinshausen, N. (2003) Monte Carlo methods for the valuation of multiple exercise options. Mathematical Finance . (In Press) Henderson, Vicky and Hobson, David and Howison, Sam and Kluge, Tino (2003) A comparison of option prices under different pricing measures in a stochastic volatility model with correlation. Review of Derivatives Research . (In Press) Howison, Sam and Rafailidis, Avraam and Rasmussen, Henrik (2003) On the pricing and hedging of volatility derivatives. Applied Mathematical Finance . (In Press) Monoyios, Michael (2003) Efficient option pricing with transaction costs. Journal of Computational Finance, 7 (1). pp. 107-128. |