Recent Submissions

  • An examination of alternative option hedging strategies in the presence of transaction costs 

    Chow, Vicky Siew See (2017)
    Substantial progress has been made in developing option hedging models that account for transaction costs. Previous analyses of option hedging strategies in the presence of transaction costs use a Monte Carlo simulation ...
  • Essays in international trade 

    Kharel, Paras (2017)
    This thesis comprises three independent papers on topics in international trade (Chapters 2-4). Chapter 2 revisits a prominent gravity model-based empirical literature on the effects of free trade agreements by accounting ...
  • Pricing long-dated equity derivatives under stochastic interest rates 

    Ranasinghe, Navin (2017)
    Although the effect of interest rate stochasticity can safely be ignored for short-dated exchange traded derivatives, this is not the case for the kind of long-dated over-the-counter derivatives often used by insurance ...

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