The restrictions dealt with application of traditional methods of the analysis of equities are considered. It is shown that the methods of analysis, which have recommended themselves well in natural sciences, cannot be directly used in financial market study. The objective of this article is to...

Liberalization of Singapore's financial sector causes its fund management industry to expand rapidly. As of December 1, 1998 there were 191 unit trusts to choose from. Eventually, Singapore, like the USA and Hong Kong, will have more unit trusts than stocks listed on its exchange. Many...

A pure exchange economy with a financial market is studied where aggregate dividends are modeled as a diffusion. The dynamics of the diffusion are allowed to depend on factors which are unobservable to the agents and have to be estimated. With perfect information, the asset market would be...

This paper introduces a new method for evaluating a trading system based on its past performance. The method is a hypothesis test that asks whether the system is making random trades. The test controls for price behavior during the test period and the trade characteristics of the system being...

An exact integral representation is derived for the American option price. It is not easily solvable, but it leads to an efficient approximation scheme. The results obtained are very satisfactory and comparable to those available from other methods. In this method, critical stock prices can be...

The popular press attaches particular significance to certain numerical values of the Dow-Jones index. These magic numbers are referred to as `resistance levels' or `psychological barriers.' We examine 38 years of closing values of this index to see if it is of any help in predicting future...

This paper extends the field of index number theory to the case of risk, by deriving the Divisia index from the Euler equations under risk, rather than from the first order conditions under perfect certainty, as was done by Francois Divisia. The result is an extended Divisia index which corrects...

Virtually all existing continuous-time, single-factor term structure models are based on a short rate process that has a linear drift function. However, there is no strong a priori argument in favor of linearity, and Stanton (1997) and Ait-Sahalia (1996) employ nonparametric estimation...

This paper examines the impact of the Internet on financial markets

This paper proposes a simple and unifying model to price the interest rate contingent claims in a complete market where trading can be made in continuous time. The underlying dynamics of the yield curve is modelled by a random string whose trajectory produces a random surface described by a...