OSU Mathematical Finance Research Projects.

Through this page, you can access PostScript or PDF versions for manuscripts and technical reports on research carried out by faculty and graduate students.

• Bhattacharya, R, E. Thomann, E. Waymire: A Note on the Distribution of Integrals of Geometric Brownian Motion. To appear in Statistics & Probability Letters (2001). PostScript or PDF version.
• Burnes, E., E. Thomann, E. Waymire: Arbitrage Free Valuation of Federal Timber Lease. Forest Science, Vol 45 No 4, Nov 1999, pp 473 - 483. Abstract (PostScript or PDF). Article (PostScript (374K), PDF (296K)). Figures (PostScript (92K), PDF (23K)).
  
• Carroll, R. (2000): Arbitrage Free Valuation of Alaska Commercial Salmon Fishing Contracts Under Different Stochastic Models PS (990K) pdf (640K)
• Constantinescu, C. (2003): Ruin Theory under Uncertain Investments. pdf (227K).
• Gould, R. (1999): The Distribution of the Integral of Exponential Brownian Motion. Article PDF (381K) or PostScript.
• Gruber, U. (1997): Pricing Barrier and Asian Options with an Emphasis on Monte Carlo Methods. Article (PostScript (999K), PDF (988K)).
• Haggard, S. (2000): Using Stochastic Models to Value Annuities. Article (PostScript (886K), PDF (469K)).
• Lawlor, K. (1999): Early Exercise Opportunities for American Options in a Discrete Time Setting. Article (PostScript (868K), PDF (476K)).
• Lin, Yuh-Der. (2002): Monte Carlo Simulation of Stochastic Differential Equations Models Applied in the Electricity Industry (PostScript (947K), PDF (518K) ).
• Shubert, E. (1997): The Theory of Option Pricing in a Discrete Setting. Abstract (PostScript or PDF). Article (PostScript (931K), PDF (518K) ).
• Thomann, E., E. Waymire (2001): Contingent Claims On Assets With Conversion Costs. To appear in the Journal of Statistical Planning and Inference. (PostScript or PDF).
• Youn, Hyungho (Paul) (2004): The Various Valuation Methods for Non-Attainable Contingent Claim. (Pdf ).