The picture shows myself (#1342) and Danny Linger
(#0573) about to finish the second London Marathon. We are the middle pair of
the four runners in the foreground, I'm on the left of that pair wearing pale
blue. The appalling time , 3:33:40, was due to Danny getting severe
cramps at about 17 miles. We stopped at two pubs on the Isle of Dogs and had
at least a pint of guiness in each. Although I had a £5 note pinned to my
vest it remained unspent, East End hospitality was on full throttle that day.
However, the beer didn't stop the cramps and we jogged and walked the last
nine miles. Danny raised some £500 for St Christopher's Hospice by completing
this run.
- A minimum variance result
under Market Conditions This paper introduces the idea of market
conditions and analyses an abstract case of these. It is one of a series of
papers which explore restrictions on trading within a complete market. This
kind of incompleteness is easier to handle than the "dimensional " kind
arising when there are more sources of uncertainty than those driving the
tradable assets.
- Halts in Trading
II This another paper on Market Conditions. Here, you are not allowed to
trade for certain periods during the life of a contingent claim. We find a
trading strategy which allows a hedger to meet their obligations without
arbitrage. An interesting point is that the price of this claim does not
depend upon when the halts in trading occur, only their aggregate length.
Although the results obtained don't reach over to the continuous time case the
methods employed do. That material will appear in another paper along with
a discussion of random halting times.
- Option Pricing withTransaction Costs This
takes (another ) look at the question of hedging in the presense of a
bid-offer spread. The result has features in common with other work in this
area but we have not tried to compare with other work directly. This paper
is not yet finished, so don't nick it! I've got almost all the way through
the stochastic bid-offer version.
- Resources for
Students of Mathematical Finance
- Problems (and
solutions) for Stochastic Processes I
- Back to the
homepage
Chris Barnett
Centre for
Quantitative Finance
Imperial College
London SW7 2AZ
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