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1.

Number of pages: 31
Posted: 16 Jan 2003

Accepted Paper Series

Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Downloads
42

2.

Number of pages: 8
Posted: 15 Nov 2002

Accepted Paper Series

Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads
38

3.

Number of pages: 25
Posted: 28 Jun 2007

Accepted Paper Series

University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Wilfrid Laurier University - School of Business & Economics

Downloads
37

4.

Number of pages: 17
Posted: 25 Apr 2002

Accepted Paper Series

Decision Synergy

Downloads
35

5.

Number of pages: 12
Posted: 20 Mar 2003

Accepted Paper Series

Lund University, Department of Economics

Downloads
35

6.

Number of pages: 10
Posted: 17 Dec 2002

Accepted Paper Series

Universite de Franche-Comte and Université de Franche-Comté - Laboratoire de Mathematiques

Downloads
35

7.

Number of pages: 27
Posted: 21 Sep 2004

Accepted Paper Series

University of Bath - School of Mathematical Sciences and University of Cambridge - Centre for Mathematical Sciences

Downloads
35

8.

Number of pages: 6
Posted: 12 Jun 2006

Accepted Paper Series

University of Vienna - Department of Statistics and Decision Support Systems

Downloads
34

9.

Number of pages: 22
Posted: 21 Sep 2004

Accepted Paper Series

Princeton University - Department of Electrical Engineering, Ecole Polytechnique Fédérale de Lausanne and Princeton University - Department of Electrical Engineering

Downloads
34

10.

Number of pages: 35
Posted: 28 Jun 2007

Accepted Paper Series

Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Downloads
33

11.

Number of pages: 26
Posted: 03 Jun 2004

Accepted Paper Series

Stockholm School of Economics - Swedish House of Finance and Aarhus University

Downloads
32

12.

Number of pages: 12
Posted: 23 Jul 2004

Accepted Paper Series

University of Kaiserslautern - Department of Mathematics and Goethe University Frankfurt

Downloads
32

13.

Number of pages: 20
Posted: 21 Jun 2006

Accepted Paper Series

Wayne State University - Department of Mathematics, University of Georgia - Department of Mathematics, Wayne State University - Department of Mathematics, University of Dayton - Department of Mathematics and Wayne State University - Department of Mathematics

Downloads
32

14.

Number of pages: 31
Posted: 13 Dec 2006

Accepted Paper Series

BNP Paribas Fixed Income, BNP Paribas Fixed Income, University of Geneva GSEM and GFRI and JP Morgan

There are 2 versions of this paper

FAME Working Paper No. 107

Number of pages: 42
Posted: 27 Feb 2005

Downloads
1,169

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007

Number of pages: 31
Posted: 13 Dec 2006

Downloads
32

Downloads
32

15.

Number of pages: 8
Posted: 22 Dec 2002

Accepted Paper Series

Universite de Franche-Comte and University of Karlsruhe

Downloads
31

16.

Number of pages: 13
Posted: 20 Mar 2003

Accepted Paper Series

Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department de Física Fonamental

Downloads
31

17.

Number of pages: 21
Posted: 08 May 2006

Accepted Paper Series

Technical University of Budapest - Dept. of Computer Science and Information Theory, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Downloads
31

18.

Number of pages: 17
Posted: 20 Mar 2003

Accepted Paper Series

California Institute of Technology - Division of the Humanities and Social Sciences, Purdue University - Department of Mathematics and University of Southern California - Department of Mathematics

Downloads
30

19.

Number of pages: 29
Posted: 12 Jun 2006

Accepted Paper Series

Imperial College London

Downloads
30

20.

Number of pages: 35
Posted: 08 May 2006

Accepted Paper Series

University of Texas at Austin - McCombs School of Business and Independent

Downloads
30

21.

Number of pages: 18
Posted: 06 Feb 2003

Accepted Paper Series

University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)

Downloads
30

22.

Number of pages: 25
Posted: 17 Jun 2004

Accepted Paper Series

Politechnika Warszawska

Downloads
30

23.

Number of pages: 13
Posted: 15 Jun 2005

Accepted Paper Series

Deutsche Bank AG - Risk Management

Downloads
29

24.

Number of pages: 29
Posted: 14 Sep 2007

Accepted Paper Series

ETH Zürich and ETH Zürich - Department of Mathematics

Downloads
29

25.

Number of pages: 26
Posted: 15 Nov 2002

Accepted Paper Series

Norwegian School of Economics (NHH) - Department of Business and Management Science

Downloads
29

26.

Number of pages: 17
Posted: 20 Mar 2003

Accepted Paper Series

Université Paris Est - Université Paris Est-Creteil

Downloads
29

27.

Number of pages: 48
Posted: 23 Mar 2005

Accepted Paper Series

Universidad Torcuato Di Tella - Departamento de Matemáticas y Estadística and Universidad Torcuato Di Tella

Downloads
29

28.

Number of pages: 22
Posted: 19 Dec 2007

Accepted Paper Series

Downloads
29

29.

Number of pages: 30
Posted: 11 Jul 2004

Accepted Paper Series

Heriot-Watt University - Department of Actuarial Science & Statistics

Downloads
28

30.

Number of pages: 11
Posted: 30 Dec 2004

Accepted Paper Series

University of Warwick

Downloads
28

31.

Number of pages: 30
Posted: 13 Apr 2004

Accepted Paper Series

Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences

Downloads
28

32.

Number of pages: 22
Posted: 21 Jun 2006

Accepted Paper Series

University of Alberta - Department of Mathematical and Statistical Sciences, University of Alberta - Department of Mathematical and Statistical Sciences, University of Missouri at Columbia - Department of Mathematics (Deceased) and Nanyang Technological University (NTU)

Downloads
28

33.

Number of pages: 9
Posted: 17 Dec 2002

Accepted Paper Series

Xiamen University - School of Economics, Tsinghua University and City University of Hong Kong (CityUHK) - Department of Computer Science

Downloads
28

34.

Number of pages: 18
Posted: 20 Mar 2003

Accepted Paper Series

University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics and University of Oslo - Department of Mathematics

Downloads
28

35.

Number of pages: 16
Posted: 19 Dec 2007

Accepted Paper Series

Universität Wien, Fakultät für Mathematik and Vienna University of Technology

Downloads
28

36.

Number of pages: 17
Posted: 08 May 2006

Accepted Paper Series

New York University (NYU) - Department of Information, Operations, and Management Sciences and Rider University - Management Sciences

Downloads
28

37.

Number of pages: 13
Posted: 19 Jan 2003

Accepted Paper Series

French National Institute for Research in Computer Science and Control (INRIA) and Morgan Stanley

Downloads
28

38.

Number of pages: 19
Posted: 24 Mar 2003

Accepted Paper Series

University of Pisa - Department of Economics, Academie des Sciences, University of Florence - Department of Economics and Management, University of Verona - Department of Economics and Universitaet Bonn - Institut fuer Angewandte Mathematik

Downloads
28

39.

Number of pages: 22
Posted: 02 Oct 2005

Accepted Paper Series

Université Paris Dauphine - CEREMADE

Downloads
27

40.

Number of pages: 32
Posted: 21 Jun 2006

Accepted Paper Series

National University of Singapore (NUS) - Business School and Risk Management Institute, Case Western Reserve University - Department of Banking & Finance and National City Bank

Downloads
27

41.

Number of pages: 30
Posted: 02 Oct 2005

Accepted Paper Series

Boston University - Department of Finance & Economics and Questrom School of Business, Boston University

Downloads
27

42.

Number of pages: 23
Posted: 08 May 2006

Accepted Paper Series

ORIE, Cornell University

Downloads
27

43.

Number of pages: 28
Posted: 08 May 2006

Accepted Paper Series

Northwestern University - Department of Industrial Engineering and Management Sciences

Downloads
27

44.

Number of pages: 29
Posted: 17 Jun 2004

Accepted Paper Series

University of Rome I - Department of Mathematics, University of Rome II and University of Perugia - Istituto di Mathmatica Finanziaria

Downloads
27

45.

Number of pages: 21
Posted: 22 Dec 2002

Accepted Paper Series

University of London - Economics, Mathematics and Statistics, Universidad Autónoma de Madrid - Department of Mathematics, University of Toronto and University of Toronto

Downloads
27

46.

Number of pages: 7
Posted: 23 Jul 2004

Accepted Paper Series

University of Florence - Dipartimento di Matematica

Downloads
27

47.

Number of pages: 38
Posted: 14 Sep 2007

Accepted Paper Series

Federal Reserve Bank of New York and Calico Science Consulting

Downloads
27

48.

Number of pages: 13
Posted: 23 Mar 2005

Accepted Paper Series

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Downloads
27

49.

Number of pages: 16
Posted: 18 Sep 2003

Accepted Paper Series

Independent, Université Paris VI Pierre et Marie Curie and Université Paris VII Denis Diderot

Downloads
26

50.

Number of pages: 17
Posted: 20 Mar 2003

Accepted Paper Series

Humboldt University of Berlin - Department of Mathematics

Downloads
26

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