Publications

Below is a list of publications originating from the Mathematical Finance group in Manchester.

Peter Duck, David Newton & Martin Widdicks

A. Andricopoulos, P. Duck, D. Newton & M. Widdicks (2005) Extending quadrature methods to value multi-asset and complex path-dependent options, Journal of Financial Economics, forthcoming.
Y. Leung, P. Duck, D. Newton & M. Widdicks (2005) Enhancing the accuracy of pricing American/Bermudan options, Journal of Derivatives, 12, 34-44.
N. Sharp, P. Duck & D. Newton (2005) Analyitic approximation of a fixed-rate mortgage valuation model, working paper
A. Andricopoulos, P. Duck, D. Newton & M. Widdicks (2005) The Black-Scholes equation revisited: asymptotic expressions and singular perturbations, Mathematical Finance, 15, 373-391.
A. Andricopoulos, P. Duck, D. Newton & M. Widdicks (2004) Curtailing the range for lattice and grid methods, Journal of Derivatives, 12, 55-61.
D. Newton, J. Azevedo-Pereira & D. Paxson (2004) Fixed rate endowment mortgage and mortgage indemnity valuation, Journal of Real Estate Finance and Economics, 26, 197-221.
D. Newton, D. Paxson & M. Widdicks (2004) Real R & D options, International Journal of Management Review, 6, 113-130.
L. Yu, D. Newton, P. Duck & P. Johnson (2003) Pricing credit risk as ParAsian options with stochastic recovery rate of corporate bonds, working paper
A. Andricopoulos, P. Duck, D. Newton & M. Widdicks (2003) Universal option pricing using quadrature, Journal of Financial Economics, 67, 447-471.
A. Andricopoulos, P. Duck, D. Newton & M. Widdicks (2002) On the enhanced convergence of standard lattice methods for option pricing, Journal of Futures Markets, 22, 315-338.
J. Azevedo-Pereira, D. Newton & D. Paxson (2002) UK fixed rate repayment mortgage and mortgage indemnity valuation, Real Estate Economics, 30, 185-211.
R. Doctor, D. Newton & A. Pearson (2001) Managing uncertainty in research & development, Technovation, 21, 79-90.
J. Azevedo-Pereira, D. Newton & D. Paxson (2000) Numerical solution of a two state variable contingent claims mortgage valuation model, Portuguese Review of Financial Markets, 3, 35-65.
D. Newton & D. Wood (1999) Asset liability and value at risk perspectives on capital adequacy, ASCI Journal of Management, 29, 9-22.
D. Newton, D. Paxson and A. Pearson (1996) Real R & D options, in R & D decisions: Strategy, policy and innovations, ed. A. Belcher et al., 273-282, Routledge.
D. Newton & A. Pearson (1994) Application of option pricing theory to R & D, R & D Management, 24, 83-89.

Sergei Fedotov

S. Fedotov & A. Tan (2005) Long memory stochastic volatility in option pricing, Int. J. Theoretical and Applied Finance 8, 381-392.
S. Fedotov & S. Panayides (2005) An adaptive method for valuing an option on assets with stochastic volatility, (cond-mat/0405646).
S. Fedotov & S. Panayides (2005) Stochastic arbitrage return and its implication for option pricing, Physica A 345, 207-217.
S. Fedotov & S. Mikhailov (2001) Option pricing for incomplete markets via stochastic optimization: transaction costs, adaptive control, and forecast, Intern. J. Theoretical and Applied Finance, 4, 179-195.

Goran Peskir

G. Peskir & A. N. Shiryaev (2006) Optimal stopping and free-boundary problems. Lectures in Mathematics, ETH Zurich, Birkhauser. To appear.
G. Peskir & J. du Toit (2005) The trap of complacency in predicting the maximum. Research Report No. 2, Probab. Statist. Group Manchester. Submitted.
G. Peskir (2005) On the American option problem. Math. Finance 15, 169-181.
G. Peskir (2005) The Russian option: Finite horizon. Finance Stoch. 9, 251-267.
G. Peskir & N. Uys (2005) On Asian options of American type. In "Exotic Option Pricing and Advanced Levy Models" (Eindhoven, 2004), Wiley, 217-235.
G. Peskir & J. Shorish (2002) Market forces and dynamic asset pricing. Stochastic Anal. Appl. 20, 1027-1082.
G. Peskir & A. N. Shiryaev (2001) A note on the call-put parity and a call-put duality. Theory Probab. Appl. 46, 181-183.
G. Peskir (2001) A true buyer's risk and classification of options. Inform. Technol. Econom. Management 1 (inaugural issue), 1-20.
G. Peskir, S. E. Graversen & A. N. Shiryaev (2000) Stopping Brownian motion without anticipation as close as possible to its ultimate maximum. Theory Probab. Appl. 45, 125-136.
G. Peskir (1999) Designing options given the risk: The optimal Skorokhod embedding problem. Stochastic Process. Appl. 81, 25-38.

Erik Ekström

E. Ekström & S. Villeneuve (2005) On the value of optimal stopping games. Research Report No. 24, Probability and Statistics Group Manchester. Submitted.
E. Ekström & J. Tysk (2005) Properties of option prices in a jump diffusion model. Research Report No. 22, Probability and Statistics Group Manchester. Submitted.
E. Ekström & J. Tysk (2005) A boundary point lemma for Black-Scholes type equations. Research Report No. 23, Probability and Statistics Group Manchester. To appear in Commun. Pure Appl. Anal.
E. Ekström & J. Tysk Comparison of two methods for superreplication. Submitted for publication.
E. Ekström & J. Tysk The American put is log-concave in the log-price. To appear in J. Math. Anal. Appl.
E. Ekström Properties of game options. To appear in Math. Methods Oper. Res. 63.
E. Ekström (2004) Convexity of the optimal stopping boundary for the American put option. J. Math. Anal. Appl. 299, 147-156.
E. Ekström, S. Janson & J. Tysk (2005) Superreplication of options on several underlying assets. J. Appl. Probab. 42, 27-38.
E. Ekström & J. Tysk (2004) Options written on stocks with known dividends. Int. J. Theor. Appl. Finance 7, 901-907.
E. Ekström (2004) Russian options with a finite time horizon. J. Appl. Probab. 41, 313-326.
E. Ekström (2004) Properties of American option prices. Stochastic Process. Appl. 114, 265-278.
E. Ekström (2003) Perpetual American put options in a level-dependent volatility model. J. Appl. Probab. 40, 783-789.

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