This paper introduces a "dual" way to price American options, based on simulating the paths of the option payoff, and of a judiciously chosen Lagrangian martingale. Taking the pathwise maximum of the payoff less the martingale provides an upper bound for the price of the option, and this bound...

It is possible to specify a model for interest rates in various ways, by giving the dynamics of the spot rate or of the forward rates, for example. A less well-developed approach is to specify the law of the state-price density process directly. In abstract, the state-price density process is a...

Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long-range dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an...

Volatility estimators based on high, low, opening and closing prices have been developed, and perform well on simulated data, but on real data they frequently give lower values for volatility than the simple open-close estimator. This may be due to the fact that for real data, the maximum (or...

Let ([Pi]t) be a counting process on + with the property that for any t, T with 0[less-than-or-equals, slant]t[less-than-or-equals, slant]T the distribution of [Pi]T given the past t is Pascal (negative binomial) with one parameter being [Pi]t+1 and the probability parameter depending only on t...

We consider optimal selection problems, where the number N1 of candidates for the job is random, and the times of arrival of the candidates are uniformly distributed in [0, 1]. Such best choice problems are generally harder than the fixed-N counterparts, because there is a learning process going...

If Y = (Y 1,…,Y N) are the log-returns of an asset on succeeding days, then under the assumptions of the Black-Scholes option pricing formula, these are independent normal random variables with common mean and variance in the risk-neutral measure. If we can show empirically that Y does not...

In recent years western aid agencies have come to embrace the language and practices of "ownership". This signals a shift away from conditionality as the dominant mode of relationship between these agencies and recipient states. The principle concern of this paper is to locate this shift in the...

This paper has been inspired by a suggestion made by Margaret Canovan that liberalism should be understood as a 'project to be realized'. It argues that we should follow Canovan by having an expendet account of what 'liberalism' might be that focuses on the connection between liberal theory and...