It has been argued that the lack of transparency on the London Stock Exchange, caused by the practice of delaying publication of large trades, has adverse consequences for the market in traded share options on LIFFE. This hypothesis is investigated in two ways. First, the structure of equity...

This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first to study the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form model and the...

This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to Or researchers, the main types of financial market problem amenable to OR are identified, and some of the many problems solved using OR are documented.

This paper uses cointegration techniques to test the hypothesis that the forward rate for the Greek drachma-US dollar exchange rate is an unbiased predictor of the future spot rate.

Both the UK spot and futures markets in short term interest rates are found to react strongly to surprises in the scheduled announcements of the repo rate and RPI. Therefore these announcements should also affect the market for options on short term interest rates. Because the repo rate and RPI...