Peter P. Carr Papers
Call Number
RG.055
Date
1957-2005, inclusive
Creator
Extent
60 Linear Feet
Language of Materials
English .
About this Guide
This finding aid was produced using ArchivesSpace on 2023-08-22 10:08:09 -0400.
Using Describing Archives: A Content Standard
Language: Description is written in: English, Latin script.
Repository
Poly Archives at the Bern Dibner Library of Science and Technology, NYU Libraries
Series I: American Options, 1965-2002, inclusive
Extent
60 Linear Feet
An Exact Analytic Formula for the Value of an American Put Option on a Non-Dividend-Paying Stock, 1994-08-11
box: 1, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Bibliography on American Options, Undated
box: 1, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
American Derivatives - A Review, Aase, 1997-12-27
box: 1, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Ahn and Wilmott, On Trading American Options, OCIAM, Undated
box: 1, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Ait-Sahlia, F.; Optimal Stopping and Weak Convergence Methods for Some Problems in Financial Economics, 1995-03
box: 1, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Ait-Sahlia, F.; Corrected Random Walk Approximations for Contingent Claims Problems, Stanford University, Undated
box: 1, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Ait-Sahlia and Lai, Approximations for American Options, 1995-12-18
box: 1, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Albanese, Jaimungal, and Rubisov; Jumping in Line, 2000-07-28
box: 1, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Amin, Kaushik; Pricing American Options in a Term Structure Economy, Cornell Working Paper, 1988-11-07
box: 1, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Amin, K.I. & Bodurtha, J.N.; Discrete-Time Valuation of American Optics with Stochastic Interest Rates, University of Michigan, 1993-07-1995, inclusive
box: 1, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Amin/Khanna, Convergence of American Option Values from Discrete to Continuous Time Financial Models, 1992-04
box: 1, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Andersen and Broadie, A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options, 2001-07
box: 1, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Averbukh, V.; Pricing American Options Using Monte Carlo Simulation, Cornell University Working Paper, 1997
box: 1, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Avram, F.; A Method for Computing Double Band Policies for Switching Between Two Diffusions, 1996-03
box: 1, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Balakrishna, B.S.; Analytic Representations and Approximations to American Option Pricing, UC Boulder Working Paper, 1996-02
box: 1, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Barles, Burdeau, Romano, and Samsoen; Critical Stock Price Near Expiration, Mathematical Finance, 1995-04
box: 1, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Barles, G.; Convergence of Numerical Schemes for Parabolic Equations Arising in Finance Theory, Newton Institute - Cambridge, 1995-04
box: 1, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Barone-Adesi, Giovanni; American Path-Dependent Options, Undated
box: 1, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Barone-Adesi, Giovanni; The Free Boundary of American Puts, 1992-04-09
box: 1, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Baron-Adesi, Free Boundary Problems in the Valuation of Securities, 1989-11-14-1990-04-03, inclusive
box: 1, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
G. Barone-Adesi and M. Chesney, American Path-Dependent Options, Undated
box: 1, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Barone-Adesi/Elliot, Approximations for the Values of American Options, 1989-10-27
box: 1, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Barone-Adesi and Elliot, The Valuation of American Options, University of Alberta, 1989-10-05-1990-08-08, inclusive
box: 1, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Baron-Adesi/Whaley, Efficient Analytic Approximation of American Option Values, Journal of Finance, 1987, Undated
box: 1, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Barone-Adesi and Whaley, On the Valuation of American Put Options on Dividend-Paying Stocks, Undated
box: 1, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
J. Barraquand and D. Martineau, Numerical Valuation of High Dimensional Multivariate American Securities, Digital Equipment Corporation, 1994-04
box: 1, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Basso, Nardon, and Pianca; The Optimal Exercise Boundary of American Options, 2002-03-2002-04-19, inclusive
box: 1, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Basso, Nardon, and Pianca; An Analysis of the Effects of Continuous Dividends on the Exercise of American Options, Venice Working Paper, 2002-07-15
box: 1, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Basso, Nardon, and Pianca; Discrete and Continuous Time Approximations of the Optimal Exercise Boundary of American Options, 2002-03-25
box: 1, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Bates, D.; Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options, Review of Financial Studies, 1996
box: 1, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
A New Look at Optimal Stopping Problems Related, 1997
box: 1, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Bjerksund and Stensland, Closed-Form Approximation of American Options, Scandinavian Journal of Management, 1993
box: 1, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Black/Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Undated
box: 1, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Bodurtha, Courtadon; The Probability of Early Exercise: Foreign Currency Options and Foreign Currency Futures Options, 1993-01
box: 1, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Bossaerts, Peter; Simulation Estimators of Optimal Early Exercise, 1989-02
box: 1, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Beyarchenko, S.; Pricing of the American Put Under Levy Processes, University of Pennsylvania, 2002
box: 1, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Boyle, Phelim; Options: A Monte Carlo Approach, Journal of Financial Economics, 1977
box: 1, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Green, Richard; The Accelerated Binomial Option Pricing Model, 1991-06
box: 1, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Brennan & Schwartz, The Valuation of American Put Options, 1977-05
box: 1, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Brennan/Schwartz, Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis, 1978
box: 1, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Brill/Harriff, Pricing American Options: Managing Risk with Early Exercise, 1986
box: 1, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Broadie & Detemple, The Valuation of American Options on Multiple Assets, 1994
box: 1, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Broadie, M. and Detemple, J; American Capped Call Options on Dividend-Paying Assets, 1993-1995, inclusive
box: 1, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Broadie & Detemple, American Options on Dividend-Paying Assets, Undated
box: 1, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Broadie, M. and Detemple, J.; American Option Valuation: New Bonds, Approximations, and a Comparison of Existing Methods, 1995
box: 1, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Broadie, Detemple, Ghysels, & Torres; Nonparametric Estimation of American Options Exercise Boundaries and Call Prices, 1996
box: 1, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Broadie, Detemple, Ghysels & Torres; American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation, Undated
box: 1, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Broadie & Glasserman, Pricing American-Style Securities Using Simulation, Undated
box: 1, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Broader & Glasserman, A Stochastic Mesh Method for Pricing High-Dimensional American Options, 1997-11
box: 1, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Broader & Glasserman, Monte Carlo Methods for Pricing High-Dimensional American Options: An Overview, 1997-10
box: 1, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Bunch, D.S. & Johnson, H.; A Simple and Numerically Efficient Method for American Puts Using a Modified Geske-Johnson Approach, 1992-06
box: 1, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Bunch & Johnson, The American Put Option and Its Critical Stock Price, 2000-10
box: 1, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Cadenillas, Elliott, & Leger; On the Pricing of American Options When the Asset Follows a Mean-Reverting Process, 2002-06-23
box: 1, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Carr, Elliott, Geman, & Madan; Beyond the American Put, 1997-10
box: 1, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Chiarella, El-Hassan & Kucera; Evaluation of American Option Prices in a Path Integral Framework Using Fourier-Hermite Series Expansions, 1997-09
box: 1, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Chesney & Lefoll, Premature Exercise and American Put Evaluation, 1993-03
box: 1, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Carverhill/Webber, American Options: Theory and Numerical Analysis, 1988-07
box: 1, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Chang, Chung, & Stapleton; Richardson Extrapolation Techniques for Pricing American-Style Options, 2001-05-21
box: 1, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Chan, S.; Linear Complementarity and the American Put - A GAMS/PATH Implementation, 1998-09-03
box: 1, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Chen & Yeh, Analytical Upper Bounds for American Option Prices, 1999-12
box: 1, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Chesney, Marc; Pricing American Currency Options: An Analytical Approach, 1989
box: 1, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Chesney, Elliott, Gibson; Analytical Solutions to the Pricing of American Bond and Yield Options, 1991-05
box: 1, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
M. Chesney & R. Gibson, State Space Symmetry and Two Factor Option Pricing Models, IGBF IBFM #9402,1993, 1993-10
box: 1, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
Clarke & Parrott, The Multigrid Solution of Two-factor American Put Options, 1996-08
box: 1, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Clewlow/Carverhill, Efficient Monte Carlo Valuation and Hedging of Contingent Claims, 1992-03
box: 1, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Cornwall/Price, The Wise, For Cure, on Exercise Depend; Risk Magazine, Undated
box: 1, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Courtadon, G; A More Accurate Finite Difference Approximation for the Valuation of Options, Journal of Financial and Quantitative Analysis, 1982-12
box: 1, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Cox & Rubinstein, Options Markets, Undated
box: 1, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Curran, M.; Accelerating American Option Pricing in Lattices, 1994-12-06
box: 1, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Davis, M.H.A. & Zariphopoulou, T.; American Options and Transaction Fees, Undated
box: 1, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Dayanik, Savas; On the Optimal Stopping Problems for One-Dimensional Diffusions with Random Discounting, Undated
box: 1, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
Dayanik, S. & Karatzas, I.; On the Optimal Stopping Problem for One-Dimensional Diffusions, Undated
box: 1, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Decamps, J.P. & Rochet, J.C.; A Variational Approach for Pricing Options and Corporate Bonds, 1993-07-19
box: 1, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
Delbaen, F.; The Ratio of American & European Put Options When Time to Maturity is Small, 2000-05
box: 1, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
Dempster & Hutton, Fast Numerical Valuation of American, Exotic and Complex Options; Applied Mathematical Finance, 1997-01
box: 1, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Dempster & Hutton, Pricing American Stock Options by Linear Programming, 1999-08-24
box: 1, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
Dempster & Richards,Pricing Exotic American Options Fitting the Volatility Smile, 1999-03
box: 1, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Detemple, Feng, & Tian; The Valuation of American Options on the Minimum of Two Dividend-Paying Assets, 2001-02-05
box: 1, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
Detemple & Tian, The Valuation of American Options for a Class of Diffusion Processes, 2002-02
box: 1, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Dewynne, J. N. & Howison, S.D.; Some Mathematical Results in the Pricing of American Options, European Journal of Applied Mathematics 4, 1993
box: 1, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
Duan & Simonato, American Option Pricing under GARCH by a Markov Chain Approximation, 1997-05
box: 1, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
Karoui, N.E. & Karatzas, I.; The Optimal Stopping Problem for a General American Put-Option, Undated
box: 1, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Evans, Kuske, & Keller; American Options with Dividends Near Expiry, 2000-08-01
box: 1, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Firoozye, N.; An Explicit Formula for American Puts, Undated
box: 1, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Fischer, E.O.; Analytic Approximation for the Valuation of American Put Options on Stocks with Known Dividends, 1990-12
box: 1, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Flamouris, D.V. & Giamouridis, D.G.; "Estimating Implied PDFs from American Options: A New Semi-Parametric Approach", 2000-10-12
box: 1, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
Forsyth & Vetzal, Quadratic Convergence of a Penalty Method for Valuing American Options, Undated
box: 1, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Geske & Shastri, Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques, 1985-03
box: 1, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
Gandhi, Kooros, & Salkin; An Improved Analytic Approximation for American Option Pricing, 1993-03-01
box: 1, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
Garcia, D.; "A Monte Carlo Method for Pricing American Options", 1999-08-1999-09, inclusive
box: 1, folder: 90 (Material Type: Text)
Extent
60 Linear Feet
A Monte Carlo Method for Pricing American Options, 2000-08-30
box: 1, folder: 91 (Material Type: Text)
Extent
60 Linear Feet
Garman, M.; Semper Tempus Fugit, Risk Magazine, Undated
box: 1, folder: 92 (Material Type: Text)
Extent
60 Linear Feet
Gao, Huang, & Subrahmanyam; An Analytical Approach to the Valuation of American Path-Dependent Options, 1996-07-27
box: 1, folder: 93 (Material Type: Text)
Extent
60 Linear Feet
Gerber & Shiu, Martingale Approach to Pricing Perpetual American Options on Two Stocks, 1996
box: 1, folder: 94 (Material Type: Text)
Extent
60 Linear Feet
Geske, R.; The Valuation of Compound Options, Journal of Financial Economics, 1979
box: 1, folder: 95 (Material Type: Text)
Extent
60 Linear Feet
Geske and Johnson, The American Put Option Valued Analytically, Journal of Finance, Dec '84, Undated
box: 2, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Geske, Robert and Shastri, Kuldeep; The Early Exercise of American Puts, July 1981, Undated
box: 2, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Goldenberg and Schmidt, Estimating the Early Exercise Boundary and Pricing American Options, Undated
box: 2, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Goodman and Ostrov; On the Early Exercise Boundary of the American Put Option, 2000-08
box: 2, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Path-Dependent Options: Extending the Monte Carlo Simulation Approach, Working Paper, 1993-11-30
box: 2, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Grant, Vora and Weeks; Simulation and the Early-Exercise Option Problem, Journal of Financial Economics, Undated
box: 2, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Gukhal, Chandrasekhar; Efficient Numerical Methods for Pricing American Options, Working Paper, 1996-11
box: 2, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Gukhal, Reddy; The Analytical Valuation of American Options on Jump-Diffusion Processes, Columbia Working Paper, 1996
box: 2, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Gukhal, C.; A General Approach to the Analytical Valuation of American Options, 2001-11-24
box: 2, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Guo and Zhang, Closed-Form Solutions for Perpetual American Put Options with Regime Switching, Undated
box: 2, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Guth, Michael; Exercise by Numbers, 1992-02
box: 2, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Kamrad/Ritchken, "Multinomial Approximating Models for Options with k State Variables", Undated
box: 2, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Karatzas, Ioannis; Optimization Problems in the Theory of Continuous Trading, Undated
box: 2, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Karatzas, Ioannis; On the Pricing of American Options, Applied Mathematics and Optimization, 1988, Undated
box: 2, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Kelly, D.; Valuing and Hedging American Put Options Using Neural Networks, Carnegie Mellon University Working Paper, 1994-12-15
box: 2, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Khaliq, Voss, and Kazmi; Valuation of American Options via Penalty Methods, Undated
box: 2, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Kim, In Joon; The Analytic Valuation of American Options on Futures Contracts, 1989-10
box: 2, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Kim, In Joon; The Analytic Valuation of American Options, Working Paper S-90-15, 1989-03
box: 2, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Kim, J.; Analytic Approximation of the Optimal Exercise Boundaries for American Futures Options, Undated
box: 2, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Kim, J.; The Analytic Valuation of American Options, Review of Financial Studies, 1990, Undated
box: 2, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Kim, Hongshik; Predicting Early Exercise Premia in American Put Prices, 1994-09-06
box: 2, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Kim, Yu; A Simplified Approach to the Valuation of American Options and its Applications, 1993-02
box: 2, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Kuske and Keller, Optimal Exercise Boundary for an American Put Option, Applied Mathematical Finance 98, 2001
box: 2, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Kusuoka, S.; A Remark on American Securities, Undated
box: 2, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Lamberton, D.; Error Estimates for the Binomial Approximation of American Put Options, Annals of Applied Probability, 1998, Undated
box: 2, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Lamberton, Damien; Convergence of the Critical Price in the Approximation of American Options, 4/93, Undated
box: 2, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Lamberton, D.; Brownian Optimal Stopping and Random Walks, 1998
box: 2, folder: 27 (Material Type: Text)
Laurence, Peter; Course on American Options, 2001
box: 2, folder: 28 (Material Type: Text)
Laurence, P.; Bounds for the Price of an American Option on Several Assets: Index and Spread Options, 2001-03-11
box: 2, folder: 29 (Material Type: Text)
Laurence, Peter; Introduction to the Valuation of American Options: Qualitative Properties, Undated
box: 2, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Laurence, Peter; Bounds for the Price of an American Option on Several Assets: Index and Spread Options, 2001
box: 2, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Leisen, D.P.J.; The Random-Time Binomial Model, 1997
box: 2, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Lewis, Alan; Series Solution to the Critical Stock Price, 1995-01
box: 2, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Little, T.; The Early Exercise Boundary for the American Put-Option as the Solution of a Volterra Equation, 1998-02-17
box: 2, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Little, Pant & Hou; A New Integral Representation of the Early Exercise Boundary for American Put Options, 2000
box: 2, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Longstaff & Schwartz, Valuing American Options by Simulation: A Simple Least-Squares Approach, 1998-10
box: 2, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Hansen & Jorgensen, Analytical Valuation of American-Style Asian Options, 1997-11-12
box: 2, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Hansen & Mussavian, Dual American Option Pricing, 1997-12-12
box: 2, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Hansen & Osterby, Accelerating the Crank-Nicolson Method in American Option Pricing, 1998-04-07
box: 2, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Hirsa & Madan, Pricing American Options Under Variance Gamma, 2001-08-16
box: 2, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Ho, Stapleton & Subrahmanyam; A Simple Technique for the Valuation and Hedging of American Options, 1994
box: 2, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Ho, Stapleton & Subrahmanyam; A Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique, 1996-09-17
box: 2, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Hoffmann, C.; Valuation of American Options, 2000-10-08
box: 2, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Huang & Pang, An MPEC Approach to Inverse Pricing of American Options: The Case of an Implied Volatility Surface, 1999-11-21
box: 2, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Huang & Pang, Pricing American Options with Transaction Costs by Complementarity Methods, 1999-10
box: 2, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Huang & Pang, Option Pricing and Linear Complimentarity, 1998
box: 2, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Ibanez & Zapatero, Monte-Carlo Valuation of American Options Through Computation of the Optimal Exercise Frontier, 1999
box: 2, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Ibanez, A.; Valuation of Contingent Claims with Multiple Earlier Exercise Opportunities, 2000-04-03
box: 2, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Ingersoll, Jonathan E. Jr.; Approximating American Options and Other Financial Contracts Using "Barrier" Derivatives, 1997-05
box: 2, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Jacka, S.D.; Optimal Stopping and the American Put, 1991
box: 2, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Jackel & Rebonato, An Efficient and General Method to Value American-Style Equity and FX Options in the Presence of User-Defined Smiles and Time-Dependent Volatility, 2000-03-27
box: 2, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Jaillet, Lamberton & Lapeyre; Variational Inequalities and the Pricing of American Options, Undated
box: 2, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Jamshidian, Farshid; Formulas for American Options, 1989-1990, inclusive
box: 2, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Jamshidian, Farshid; An Analysis of American Options, 1993
box: 2, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Johnson, H.E.; An Analytic Approximation for the American Put Price, 1983
box: 2, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Jorgensen, P.L.; American Bond Option Pricing in One-Factor Dynamic Term Structure Models, 1997
box: 2, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Jorgensen, P.; American Option Pricing, 1994-11
box: 2, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Joubert & Rogers, Fast, Accurate and Inelegant Valuation of American Options, Undated
box: 2, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Jourdain & Martini, Yet Another Approximation of the American Put, 1999-12-23
box: 2, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Jourdan & Martini, American Prices Embedded in European Prices, 1999-11-20
box: 2, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Ju, Nengjiu; Pricing an American Option by Approximating Its Early Exercise Boundary As a Multi-Piece Exponential Function, 1997
box: 2, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Ju, Nengjiu; An Efficient and Reliable Approximate Formula for Pricing American Options, 1997
box: 2, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Ju & Zhong, An Approximate Formula for Pricing American Options, 1999
box: 2, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
MacMillan, L.W.; Analytic Approximation for the American Put Option, 1986
box: 2, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Maini & Fernandes, Successive Over Relaxation Method for American Options, 1995-03-23
box: 2, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; A Fully Explicit Analytic Approximation Formula for Pricing American Options, 1999-06
box: 2, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; The Early Exercise Boundary of American Options near Expiry, Undated
box: 2, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.; Asymptotic Behavior of Early Exercise Boundary, 1999-2000, inclusive
box: 2, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; A Put-Call Symmetric Analytic Approximation Formula for Pricing American Options, Undated
box: 2, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Menkveld & Vorst, A Pricing Model for American Options with Stochastic Interest Rates, Erasmus University, Undated
box: 2, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Marcozzi, M.; On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics; University of Nevada, Las Vegas; Working Paper, '99, Undated
box: 2, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
Mason, Scott; The Numerical Analysis of Certain Free Boundary Problems Arising in Financial Economics, 1977-12
box: 2, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Mastroeni and Matzeu, An Integro-Differential Parabolic Variational Inequality Connected with the Problem of the American Option Pricing, Zeit, Undated
box: 2, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
McDonald and Schroder, A Parity Result for American Options, 1990-11-15
box: 2, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
McMurray/Yadav, The Early Exercise Premium in American Option Prices Direct Empirical Evidence, 1993-06-18
box: 2, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Merton, Robert; Theory of Rational Option Pricing, Undated
box: 2, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
Meyer, Gunter H.; Front Tracking of Free Boundaries with Curvature Terms, 1991
box: 2, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Meyer, G.; The Numerical Valuation of Options with Underlying Jumps, Acta Mathematica Universitatis Comenianae, 1998
box: 2, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
Meyer and van der Hoek, The Evaluation of American Options with the Method of Lines, 1996
box: 2, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Pricing of the American Option, Stanford Working Paper, 1990-06
box: 2, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Pricing of the American Option, 1992
box: 2, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Optimal Exercise Boundary and the American Equity Put, 1989-08
box: 2, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Pricing of the American Option, Stanford Working Paper, 1990-06
box: 2, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Noubir, M.; "Pricing American and Bermudan Interest Rate Options in the Market Models," Credit Lyonnais-Risk Conferences, Undated
box: 2, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Omberg, Edward; The Valuation of American Put Options with Exponential Exercise Policies, Advances in Futures and Options Research, 1987
box: 2, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Omberg, Arbitraging Options: The Case of the Live Real Option and Dead Synthetic Option, 1989-01
box: 2, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
Parkinson, Michael JB; Option Pricing: The American Put, Undated
box: 2, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Rogers, L.C.G.; Monte Carlo Valuation of American Options, University of Bath, Undated
box: 2, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
Samuelson/McKean, Rational Theory of Warrant Pricing Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem in Mathematical Economics, Industrial Management Review, 1965
box: 2, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
Reddy, Verification of American Put, 1990-08-2000-06, inclusive
box: 3, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Salminen, Paavo; Optimal Stopping and American Put Options, Theory of Stochastic Processes, 1995
box: 3, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Schroder, Mark; A Reduction Method Applicable to Compound Option Formulas, Management Science, 1989
box: 3, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Schroder, M.; Computing Parity Results for American Options Using a Change of Measure, SUNY Buffalo Working Paper, 1996-05
box: 3, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Stapleton/Subrahmanyam, "The Valuation of American Options in Stochastic Interest Rate Economies", 1991-08
box: 3, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Stensland and Tjostheim, Optimal Investments Using Empirical Dynamic Programming with Application to Natural Resources, 1989-01
box: 3, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Stentoft, L.; Assessing the Least Squares Monte-Carlo Approach to American Option Valuation, 2001-08
box: 3, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Stentoft, L.; Convergence of the Least Squares Monte-Carlo Approach to American Option Valuation, 2002-06
box: 3, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Stentoft, Lars; Pricing American Options when the Underlying Stock Price Exhibits Time-Varying Volatility, 2002-06
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Extent
60 Linear Feet
Su, Yi: University of Maryland at Risk Conferences; "Pricing American Options via Simulation: A Comparison of Monte Carlo Simulation Approaches", Undated
box: 3, folder: 10 (Material Type: Text)
Subrahmanyam, M.G. & Yu, G.G.; Pricing and Hedging American Options: A Unified Method and its Efficient Implementation, Working Paper, 1993-09
box: 3, folder: 11 (Material Type: Text)
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box: 3, folder: 13 (Material Type: Text)
Tsitsiklis & Van Roy, Optimal Stopping of Markov Processes: Hilbert Space Theory, Approximation Algorithms, & an Application to Pricing High-Dimensional Financial Derivatives, 1998-10
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Tsitsiklis & Van Roy, Regression Methods for Pricing Complex American-Style Options, 2000-08
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Wei, Jason Z.; Valuing American Equity Options with a Stochastic Interest Rate: A Note, Undated
box: 3, folder: 20 (Material Type: Text)
Wu, L., Kwok, Y., Zhu, Y.; Fixed-Domain Finite Difference Methods for American Options, Undated
box: 3, folder: 21 (Material Type: Text)
Wu & Kwok, A Front-Fixing Finite Difference Method for the Valuation of American Options, Undated
box: 3, folder: 22 (Material Type: Text)
Yaksick, R.; Expected Optimal Exercise Time of a Perpetual American Option: A Closed-Form Solution, Undated
box: 3, folder: 23 (Material Type: Text)
Yang & Yuan, Another New Way to Price American Options by Using the Interior Point Method, 1999-08-05
box: 3, folder: 24 (Material Type: Text)
Yu, Gang; Valuation of American Options in Stochastic Interest Rate Economics, 1992-03
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Yu, Gang George; Essays on the Valuation of American Options, 1993-04
box: 3, folder: 26 (Material Type: Text)
Yu, Gang; Valuation of American Options: A Simplified Approach and Applications, 1992-12
box: 3, folder: 27 (Material Type: Text)
A Simplified Approach to the Valuation of American Options and Applications, Undated
box: 3, folder: 28 (Material Type: Text)
Yu, Kwok & Wu; Valuation of American Lookback Options, 1997-10
box: 3, folder: 29 (Material Type: Text)
Zhang, Xiao; Numerical Analysis of American Option Pricing in a Jump-Diffusion Model, Undated
box: 3, folder: 30 (Material Type: Text)
Bates, David; The Crash of '87, Relative Prices of OTM Calls & Puts under Standard Distributional Hypotheses, Undated
box: 3, folder: 31 (Material Type: Text)
T. Gayley, A Mathlink Program for Accessing Binary Files, Mathematica Journal, 1994
box: 3, folder: 32 (Material Type: Text)
A. Conze, European Path Dependent Options: The Case of Geometric Averages, 1989-09
box: 3, folder: 33 (Material Type: Text)
M. Curran, Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price, 1993-05
box: 3, folder: 34 (Material Type: Text)
D. Grant, G. Vora & D. Weeks; Path-Dependent Options: Extending the Monte Carlo Simulation Approach, 1993-11
box: 3, folder: 35 (Material Type: Text)
J. M. Haykov, A Better Control Variate for Pricing Standard Asian Options, Journal of Financial Engineering 2, 207-216, 1993-09
box: 3, folder: 36 (Material Type: Text)
J. Hull, Interest Rate Exotics, Risk Exotic Options Conference, 1994-04
box: 3, folder: 37 (Material Type: Text)
F. Jamshidian, Hedging Quantos, Differential Swaps and Ratios, 1993-05
box: 3, folder: 38 (Material Type: Text)
E. Reiner, Quanto Mechanics, Risk, Undated
box: 3, folder: 39 (Material Type: Text)
M. Rubenstein, Two Into One, Risk 4, #5, 1991-05
box: 3, folder: 40 (Material Type: Text)
M. York, On Some Exponential Functionals of Browian Motion, Advances in Applied Probability 24, 509-531, 1992
box: 3, folder: 41 (Material Type: Text)
P.P. Boyle & S.H. Lau, Bumping Up Against the Barrier with the Binomial Method, 1994
box: 3, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
G.L. Gastineau, An Introduction to Special-Purpose Derivatives: Roll Up Puts, Roll Down...J. Derivatives, 1994
box: 3, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
C.B. Huynh, Back to Baskets, Undated
box: 3, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
H.M. Kat, Contingent Premium Options, 1994
box: 3, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
S.H. Babbs, Binomial Valuation of Lookback Options, 1992-04
box: 3, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
C.A. Ball, W.N. Torous & A.E. Tschoegl; On Inferring Standard Deviations from Path Dependent Options, Economics Letters 18, 1985-01-15
box: 3, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
D. Beaglehole; Down and Out, Up and In Options, Undated
box: 3, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
R. Benson & N. Daniel; Up, Over and Out; Risk 4 No. 6, 1991-06
box: 3, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Y.Z. Bergman, Pricing Path Contingent Claims, Research In Finance 5, 1985
box: 3, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
M. Hudson, The Value in Going Out, Risk, Undated
box: 3, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
F. Jamshidian, Hedging and Evaluating Differential Swaps, 1993-04
box: 3, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Reiner, Valuation of Average-Dependent Options, Undated
box: 3, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
D.R. Rich, The Mathematical Foundations of Barrier Option Pricing Theory, Advances in Futures and Options Research, Forthcoming, 1994-01
box: 3, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
D.R. Rich & D.M. Chance, An Alternative Approach to the Pricing of Options on Multiple Assets, Journal of Financial Engineering 2, 1993
box: 3, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
M. Rubinstein & E. Reiner, Breaking Down the Barriers, Risk 4, No. 8, 1991-09
box: 3, folder: 56 (Material Type: Text)
J. Wei, Streams of Consequence, Risk 7, #1, 1994-01
box: 3, folder: 57 (Material Type: Text)
J.Z. Wei, Valuing Differential Swaps, 1993-01-08
box: 3, folder: 58 (Material Type: Text)
K.I. Amin, Jump Diffusion Option Valuation in Discrete Time, Journal of Finance Vol. XLVIII, #5, 1993-12
box: 3, folder: 59 (Material Type: Text)
G. Barone-Adesi & R.E. Whaley, Efficient Analytic Approximation of American Option Values, Journal of Finance Vol. XLII, 1987-06
box: 3, folder: 60 (Material Type: Text)
R. Breen, The Accelerated Binomial Option Pricing Model, Journal of Financial and Quantitative Analysis 26, #2, 1991-06
box: 3, folder: 61 (Material Type: Text)
A. Carverhill & N. Webber, American Options: Theory and Numerical Analysis, 1988-07
box: 3, folder: 62 (Material Type: Text)
M. Chesney, Pricing American Currency Options: An Analytical Approach, Centre HEC ISA, France, Undated
box: 3, folder: 63 (Material Type: Text)
N.J. Cutland & E. Kopp, From Discrete to Continuous Financial Models: New Convergence Results for Option Pricing, Mathematical Finance 3, #2, 101-123, 1993-04
box: 3, folder: 64 (Material Type: Text)
R. Geske & H.E. Johnson, The American Put Option Valued Analytically, Journal of Finance Vol. XXXIX, #5, 1984-12
box: 3, folder: 65 (Material Type: Text)
L.W. MacMillan, Analytic Approximation for the American Put Option, Advances in Futures and Options Research. Vol. 1, Part A, 119-139, 1986
box: 3, folder: 66 (Material Type: Text)
R.C. Merton, M.J. Brennan & E.S. Schwartz, The Valuation of American Put Options, Journal of Finance Vol. XXXII, #2, 1977-05
box: 3, folder: 67 (Material Type: Text)
E. Omberg, The Valuation of American Put Options with Exponential Exercise Policies, Advances in Futures and Options Research Vol 2: 117-142, 1987
box: 3, folder: 68 (Material Type: Text)
M.G. Subrahmanyam & G.G. Yu, Pricing and Hedging American Options: A Unified Method and its Efficient Implementation, 1993-09
box: 3, folder: 69 (Material Type: Text)
The Economics of the Reflection Principle and Girsanov's Theorem, Undated
box: 3, folder: 70 (Material Type: Text)
EPCS - European Put Call Symmetry, 1993-12-1994-05, inclusive
box: 3, folder: 71 (Material Type: Text)
Even Functions, Undated
box: 3, folder: 72 (Material Type: Text)
APCS Resubmit, 1996-11-1997-06, inclusive
box: 3, folder: 73 (Material Type: Text)
Letter from Bjerksund & Stensland, 1998-11-04
box: 3, folder: 74 (Material Type: Text)
Olsen & Stensland, Invariant Controls in Stochastic Allocation Problems, 1991
box: 3, folder: 75 (Material Type: Text)
Bjerksund & Stensland, American Exchange Options and a Put-Call Transformation: A Note, Journal of Business Finance and Accounting, 1993-09
box: 3, folder: 76 (Material Type: Text)
Bjerksund & Stensland, Closed-Form Approximation of American Options, Scandinavian Journal of Management, 1993
box: 3, folder: 77 (Material Type: Text)
Continuous Random Variable and Notes, Undated
box: 3, folder: 78 (Material Type: Text)
AMEX Letter, 1993-09-22-1993-12-16, inclusive
box: 3, folder: 79 (Material Type: Text)
American Put-Cdn Call Symmetry, Undated
box: 3, folder: 80 (Material Type: Text)
Margrabe's Web Site, 1999-08-03
box: 3, folder: 81 (Material Type: Text)
APC Pres, Undated
box: 3, folder: 82 (Material Type: Text)
APCS in Same Economy, Undated
box: 3, folder: 83 (Material Type: Text)
Barrier Option Typeups, Undated
box: 3, folder: 84 (Material Type: Text)
Chesney Rewrite, Undated
box: 3, folder: 85 (Material Type: Text)
Green's Function & PCS, Undated
box: 3, folder: 86 (Material Type: Text)
Hedging ITM UIC's with using PCS UIP's, Undated
box: 3, folder: 87 (Material Type: Text)
FX Options, Undated
box: 3, folder: 88 (Material Type: Text)
Installment Options, 1993-08-1993-10, inclusive
box: 3, folder: 89 (Material Type: Text)
Installment Stoptions (on Spot), Undated
box: 3, folder: 90 (Material Type: Text)
Installment Options, 1993-08-03
box: 3, folder: 91 (Material Type: Text)
(Installment) (St)options on Forward, Undated
box: 3, folder: 92 (Material Type: Text)
Journal Submission, 1995-07-26-1997-05-13, inclusive
box: 3, folder: 93 (Material Type: Text)
Linear Homogeneity, Undated
box: 3, folder: 94 (Material Type: Text)
Lookbacks, Undated
box: 3, folder: 95 (Material Type: Text)
Series II: APCS & AMOL, 1989-1998, inclusive
Manuscript, 1993-06-1996-11-13, inclusive
box: 3, folder: 96 (Material Type: Text)
Passthru Options, Undated
box: 3, folder: 97 (Material Type: Text)
Perpetual Options Counterexample, Undated
box: 3, folder: 98 (Material Type: Text)
Physical Interpretation of Put Call Symmetry, Undated
box: 3, folder: 99 (Material Type: Text)
Portfolio Ins / Zero Cost Collars, Undated
box: 3, folder: 100 (Material Type: Text)
Put Call Equivalence, Undated
box: 3, folder: 101 (Material Type: Text)
PCEE, 1994-05-20-1995-12-13, inclusive
box: 3, folder: 102 (Material Type: Text)
Put Call Symmetry for American Options, 1994-03
box: 3, folder: 103 (Material Type: Text)
Put Call Symmetry for European Options, 1996-09
box: 3, folder: 104 (Material Type: Text)
Proofs for EPCS, Undated
box: 3, folder: 105 (Material Type: Text)
Put Writing Strategy, 1992-08-20
box: 3, folder: 106 (Material Type: Text)
Stochastic Vol. Papers, 1993
box: 3, folder: 107 (Material Type: Text)
Stoptions, Undated
box: 3, folder: 108 (Material Type: Text)
Terminology & Notation, Undated
box: 3, folder: 109 (Material Type: Text)
Bergman, Grundy & Wiener; General Properties of Option Prices, 1996-01
box: 3, folder: 110 (Material Type: Text)
Li, Ritchken, Sankarasubramanian; Lattice Models for Pricing American Interest Rate Claims, 1993-11
box: 3, folder: 111 (Material Type: Text)
Rubinstein, M.; As Simple as One, Two, Three; Risk 8, #1, 1995-01
box: 3, folder: 112 (Material Type: Text)
Practical Issues in Using Interest Rate Models, Iris Financial Engineering & Systems, Inc., Undated
box: 3, folder: 113 (Material Type: Text)
Analytic Approxn. of Amer. Put Options (AAA), Undated
box: 3, folder: 114 (Material Type: Text)
Analytic Formulas for Barrier Options, Undated
box: 3, folder: 115 (Material Type: Text)
Crank Nicholson, Undated
box: 4, folder: 1 (Material Type: Text)
Dewynne & Wilmott, Undated
box: 4, folder: 2 (Material Type: Text)
Douglas Equations, Undated
box: 4, folder: 3 (Material Type: Text)
Duanmu Conversations, 1994
box: 4, folder: 4 (Material Type: Text)
Early Exercise Premium, 1994-05
box: 4, folder: 5 (Material Type: Text)
Financial Interpretations, Undated
box: 4, folder: 6 (Material Type: Text)
Funding, 1994-01
box: 4, folder: 7 (Material Type: Text)
Implied Vol. Fin. from America, 1990-08
box: 4, folder: 8 (Material Type: Text)
Interpolation, 1989
box: 4, folder: 9 (Material Type: Text)
Method of Lines, 1994
box: 4, folder: 10 (Material Type: Text)
Ode's Lit., Undated
box: 4, folder: 11 (Material Type: Text)
Parabolic PDE's Literature, Undated
box: 4, folder: 12 (Material Type: Text)
PDE's, Undated
box: 4, folder: 13 (Material Type: Text)
Richardson Extrapolation, Undated
box: 4, folder: 14 (Material Type: Text)
Remberg Integration, Undated
box: 4, folder: 15 (Material Type: Text)
Selling Code, 1993-01-06-1994-05-12, inclusive
box: 4, folder: 16 (Material Type: Text)
Similarity Solutions, Undated
box: 4, folder: 17 (Material Type: Text)
Space Discretization, Undated
box: 4, folder: 18 (Material Type: Text)
Spreadsheet - AMOL, Undated
box: 4, folder: 19 (Material Type: Mixed Materials)
State & Time Dependent Parameters, Undated
box: 4, folder: 20 (Material Type: Text)
Step Size, Undated
box: 4, folder: 21 (Material Type: Text)
Strikwerda, Undated
box: 4, folder: 22 (Material Type: Text)
Term Structure, Undated
box: 4, folder: 23 (Material Type: Text)
Two Free Boundaries, Undated
box: 4, folder: 24 (Material Type: Text)
Unequal Time Steps, Undated
box: 4, folder: 25 (Material Type: Text)
Getting Results for Caution Options, Undated
box: 4, folder: 26 (Material Type: Text)
Nguyen D., On a Free Boundary Problem for the Heat Equation, Undated
box: 4, folder: 27 (Material Type: Text)
Duffie & Glynn, Stanford University Working Paper, Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals, 1996-03-14
box: 4, folder: 28 (Material Type: Text)
Call Spread, Undated
box: 4, folder: 29 (Material Type: Text)
CEV, Undated
box: 4, folder: 30 (Material Type: Text)
Clipped Put, Undated
box: 4, folder: 31 (Material Type: Text)
Conferences, 1994-01-31-1996-01-08, inclusive
box: 4, folder: 32 (Material Type: Text)
Cons'n & Portfolio Strategies, Undated
box: 4, folder: 33 (Material Type: Text)
Convertible Bond, Undated
box: 4, folder: 34 (Material Type: Text)
Delayed Exercise Premium, Undated
box: 4, folder: 35 (Material Type: Text)
Diagonalizing Transformation, Undated
box: 4, folder: 36 (Material Type: Text)
European Put Closed Form, 1994-05
box: 4, folder: 37 (Material Type: Text)
Exponential Fixup, Undated
box: 4, folder: 38 (Material Type: Text)
Extensions/To Do, Undated
box: 4, folder: 39 (Material Type: Text)
Faguet, Dimitri, 1993-07-08-1995-02-27, inclusive
box: 4, folder: 40 (Material Type: Text)
Frolov, Dimitri 257-4925, Undated
box: 4, folder: 41 (Material Type: Text)
Futures Options, Undated
box: 4, folder: 42 (Material Type: Text)
Gear, Undated
box: 4, folder: 43 (Material Type: Text)
General BC's, Undated
box: 4, folder: 44 (Material Type: Text)
Geske & Johnson, Undated
box: 4, folder: 45 (Material Type: Text)
Hedging with Options, Undated
box: 4, folder: 46 (Material Type: Text)
Hedging Random Maturity Claims with Dynamic Trading in 3 Long-Lined Securities, Undated
box: 4, folder: 47 (Material Type: Text)
High Order CDE & European-Style Claims, 1995-02
box: 4, folder: 48 (Material Type: Text)
HP12C, Undated
box: 4, folder: 49 (Material Type: Text)
Implying Volatility, Undated
box: 4, folder: 50 (Material Type: Text)
Interest Rate Models, Undated
box: 4, folder: 51 (Material Type: Text)
Interpolation, Undated
box: 4, folder: 52 (Material Type: Text)
"Willed" Puts, Undated
box: 4, folder: 53 (Material Type: Text)
Linear Coeff's & Confluent Hypergeom's, 1995-08
box: 4, folder: 54 (Material Type: Text)
Valuing Corp. Debt with AMOL, Undated
box: 4, folder: 55 (Material Type: Text)
Widder, D.; Nov. '82; The Inversion of a Transform Related to the Laplace Transform and to Heat Conduction, 1998-05-14
box: 4, folder: 56 (Material Type: Text)
Series III: Basket Options, 1993-2005, inclusive
Zou, J.; A New Metric for Valuing and Ranking Equity Options: Strike-Adjusted Spread - Applications to Basket Options, Undated
box: 4, folder: 57 (Material Type: Text)
Zhang, P.; Chapter 27 of book, Basket Options, Undated
box: 4, folder: 58 (Material Type: Text)
Wilmott, P.; Ch. 11.4 in "Derivatives," Options on Many Underlyings, Undated
box: 4, folder: 59 (Material Type: Text)
Ware & Lari-Lavassani, Algorithms for Portfolio Options, 2000-09-13
box: 4, folder: 60 (Material Type: Text)
Wan, Henry; Pricing American-style Basket Options by Implied Binomial Tree, 2002-03
box: 4, folder: 61 (Material Type: Text)
Valdez & Dhaene, Bounds for Sums of Non-Independent Log-Elliptical Random Variables, 2003-05-25
box: 4, folder: 62 (Material Type: Text)
Nelken, I.; Ch. in "Pricing, Hedging & Trading Exotic Options" called Basket Options, Undated
box: 4, folder: 63 (Material Type: Text)
Naus, J.I.; The Distribution of the Logarithm of the Sum of Two Log-normal Variates, Undated
box: 4, folder: 64 (Material Type: Text)
Li & Zhang, ML Working Paper '97, Hurdles Removed, 1996-10-17
box: 4, folder: 65 (Material Type: Text)
Laurence & Wang, Sharp Distribution Free Bounds and Optimal Hedge Ratios for Basket Options, 2003-08-13
box: 4, folder: 66 (Material Type: Text)
Janson & Tysk, Properties of Options on Several Underlying Assets: Extended Summary, 2001-11-30
box: 4, folder: 67 (Material Type: Text)
Huynh, C. B.; Back to Baskets, Risk '98, Undated
box: 4, folder: 68 (Material Type: Text)
Bhansali, R.; Baskets and the Edgeworth Expansion, Undated
box: 4, folder: 69 (Material Type: Text)
Laurence & Wang, Sharp Upper and Lower Bounds for Basket Options, 2003-09-09
box: 4, folder: 70 (Material Type: Text)
Laurence & Wang, Valuing and Hedging Basket Options without Distributional Assumptions, 2003-06-01
box: 4, folder: 71 (Material Type: Text)
Lee, Wang & Karim; Index Volatility Surface via Moment-Matching Techniques, 2003-12
box: 4, folder: 72 (Material Type: Text)
Mitchell, R.; Permanence of the Log-Normal Distribution, Journal of the Optical Society of America 58 (1988)1267, 1999-05-14
box: 4, folder: 73 (Material Type: Text)
Musiela & Rutkowski, "Basket Options" in Martingale Methods in Financial Modelling, Undated
box: 4, folder: 74 (Material Type: Text)
Ouertani, N.; Basket Options on Heterogenous Underlying Assets, 2003-04
box: 4, folder: 75 (Material Type: Text)
Ravindran, K.; "The Basket Option Contract" chapter in Customized Derivatives, Undated
box: 4, folder: 76 (Material Type: Text)
Romeo, Da Costa & Bardou; Broad Distribution Effects in Sums of Lognormal Random Variables, 2002-11-14
box: 4, folder: 77 (Material Type: Text)
Safak, Aysel; Statistical Analysis of the Power Sum of Multiple Correlated Log-Normal Components, IEEE Transactions, 2003-02
box: 4, folder: 78 (Material Type: Text)
Schwartz & Yeh, On the Distribution Function and Moments of Power Sums with Log-Normal Components, Bell System Technical Journal, Undated
box: 4, folder: 79 (Material Type: Text)
Laurence & Wang, Valuing and Hedging Basket Options without Distributional Assumptions, 2003-06-07
box: 4, folder: 80 (Material Type: Text)
Laurence & Stredulinsky, A Comparison Principle for an American Option on Several Assets: Index and Spread Options, 2000-11
box: 4, folder: 81 (Material Type: Text)
Lamberton & Lapeyre, Hedging Index Options with Few Assets, Mathematical Finance, 1993-01
box: 4, folder: 82 (Material Type: Text)
Hat, H.; Ch. 4: Index-Linked Cash Flows, Undated
box: 4, folder: 83 (Material Type: Text)
Ju, N.; Pricing Asian and Basket Options via Taylor Expansion of the Underlying Volatility, 2000-09-14
box: 4, folder: 84 (Material Type: Text)
Jonasz, Miroslaw & Fournie, George; Correction to 41(1996)774 (Jun 96), Limnology & Oceanography (1996)1814, Undated
box: 4, folder: 85 (Material Type: Text)
Jonasz & Fournier, Approximation of the Size Distribution of Marine Particles by a Sum of Log-Normal Functions, Limnol. Oceanogr., 1996
box: 4, folder: 86 (Material Type: Text)
Hobson, Laurence & Wang, Static-Arbitrage Upper Bounds for the Prices of Basket Options, 2004-06-03-2005-02-18, inclusive
box: 4, folder: 87 (Material Type: Text)
Hamdan, M. A.; The Logarithm of the Sum of Two Correlated Log-Normal Variates, Journal of the American Statistical Association, 1971-03
box: 4, folder: 88 (Material Type: Text)
Grannis, Scott; An Idea Whose Time Has Come, Risk Magazine, Undated
box: 4, folder: 89 (Material Type: Text)
Gentle, David; Basket Weaving, Risk, 1993-06
box: 4, folder: 90 (Material Type: Text)
Fenton, L.; The Sum of Log-Normal Probability Distributions in Scatter Transmission Systems, IRE Transactions, Undated
box: 4, folder: 91 (Material Type: Text)
Falloon, W.; Basket Cases, Risk Magazine, 1998-03
box: 4, folder: 92 (Material Type: Text)
Deelstra, Liinev & Van Maele; Applied Probability Trust, 2002-11-15
box: 4, folder: 93 (Material Type: Text)
Dahl & Benth, Valuation of Asian Basket Options with Quasi-Monte Carlo Techniques and Singular Value Decomposition, 2001-01
box: 4, folder: 94 (Material Type: Text)
Curran, M.; Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price, Kidder, 1993-05-02
box: 4, folder: 95 (Material Type: Text)
d'Aspremont, A.; A Harmonic Analysis Solution to the Static Basket Arbitrage Problem, 2003-09-02
box: 4, folder: 96 (Material Type: Text)
Castellacci & Siclari, A Framework for Valuing Exotic Asian and Basket Options, 2001-10-10
box: 4, folder: 97 (Material Type: Text)
Beaulieu, Abu-Dayya & McLane; Estimating the Distribution of a Sum of Independent Lognormal Random Variables, IEEE Transactions, Undated
box: 4, folder: 98 (Material Type: Text)
Bos & Ware, Solving Multi-Asset Black-Scholes with Time Dependent Volatility, 2000-02-11
box: 4, folder: 99 (Material Type: Text)
Barakat, R.; Sums of Independent Lognormally Distributed Random Variables, Journal of the Optical Society of America, 1976
box: 4, folder: 100 (Material Type: Text)
Ashraff, Tarczan & Wu; Safe Crossing, Risk, 1995-07
box: 4, folder: 101 (Material Type: Text)
Basket Option, Mtgs/Email at Morgan Stanley, 1998-06-26-1998-09-29, inclusive
box: 4, folder: 102 (Material Type: Text)
Brigo, Mercurio, Rapisarda & Scotti; Approximated Moment-Matching Dynamics for Basket-Options Simulation, 2002-10-23
box: 4, folder: 103 (Material Type: Text)
Avellaneda, Boyer-Olson, Busca & Friz; Reconstructing Volatility, Risk, 2002-10
box: 4, folder: 104 (Material Type: Text)
Using Bessel Squared Process, Undated
box: 4, folder: 105 (Material Type: Text)
Imagine Guide Discussion of Basket Securities, Undated
box: 4, folder: 106 (Material Type: Text)
Book Discussions, Undated
box: 4, folder: 107 (Material Type: Text)
Sum of 2 Lognormals, 2000-12-15
box: 4, folder: 108 (Material Type: Text)
Book of American FX Basket Options, 1999-08-28
box: 4, folder: 109 (Material Type: Text)
Basket Options in EFP, 1999-03-09
box: 4, folder: 110 (Material Type: Text)
Series IV: Binomial Local Time (BLT), 1988-1991, inclusive
Finite Calculus, Undated
box: 5, folder: 1 (Material Type: Text)
BLT Root, Undated
box: 5, folder: 2 (Material Type: Text)
BLT Presentation, Undated
box: 5, folder: 3 (Material Type: Text)
Journal of Finance Submission, 1990-12-27-1991-02-27, inclusive
box: 5, folder: 4 (Material Type: Text)
Journal of Financial and Quantitative Analysis Submission, 1991-03-29
box: 5, folder: 5 (Material Type: Text)
Charges to Add, Undated
box: 5, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Literature Review, Undated
box: 5, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
BLT Press, Undated
box: 5, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Lates version of "European Option Valuation when Carrying Costs are Unknown", 1989-1990, inclusive
box: 5, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Journal of Financial and Quantitative Analysis Submission: "European Option valuation When Carrying Costs are Unknown", 1990-1991, inclusive
box: 5, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
EOV Presentation, Undated
box: 5, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
WFA Conference Submission, 1989-11-20
box: 5, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
EOV Comments, 1989
box: 5, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Derivations, Undated
box: 5, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Equivalence, Undated
box: 5, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Extensions, Undated
box: 5, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
TEX, Undated
box: 5, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Computer Searches, 1988-1989, inclusive
box: 5, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
EOV Originals, 1989
box: 5, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
EOV Print, 1989
box: 5, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Editorial Changes, Undated
box: 5, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Binomial Convergence, Undated
box: 5, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Binomial Model of Eur. Option Valuation with Exg Fwd Price, Undated
box: 5, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Draft EOV, 1989
box: 5, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Carr & Jarrow, The Stop-Loss Start-Gain Paradox and Option Valuation, 1988
box: 5, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Allowing Drift, 1988
box: 5, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Series V: Bonds with Detachable Warrants & Cox-Ingersall-Ross (CIR), 1973-2000, inclusive
Omberg, Edward; On the Theory of Perfect Heding, 1987-1988, inclusive
box: 5, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Omberg, Ed; Binary Trading Strategies, Brownian Local Time and the Tanaka Formulas, 1988
box: 5, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Options Bibliography, Undated
box: 5, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Exotics Bibliography, 1995-07-01
box: 5, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Lookback Options Bibliography, Undated
box: 5, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Volatility Bibliography, Undated
box: 5, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Brealey & Pyle, A Bibliography of Finance and Investment, 1973
box: 5, item: 1 (Material Type: Mixed Materials)
Extent
60 Linear Feet
Valuing Bonds with Detachable Warrants, Peter Carr, 1991
box: 5, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Popular Press, 1989-1990, inclusive
box: 5, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Valuing Bonds with Detachable Warrants; Carr, Peter (2), Undated
box: 5, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Comments on "Valuing Bonds with Detachable Warrants", 1990
box: 5, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Japanese Equity Warrant Publications, 1988-1990, inclusive
box: 5, folder: 37 (Material Type: Text)
Valuing Bonds w/ Detachable Warrants Manuscript & Floppy Disk, Undated
box: 5, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Japanese Financial Market Research, 1990-11
box: 5, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Conferences, 1990
box: 5, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Warrants Traded in UK, 1989
box: 5, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Peter Carr Bonds Floppy Disk, Undated
box: 5, folder: 42 (Material Type: Mixed Materials)
Extent
60 Linear Feet
Correspondence from Terry Lion, 1990-09-10
box: 5, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Decomposition into Intrinsic & Time Value, Undated
box: 5, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Personal Contacts, 1989-1990, inclusive
box: 5, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
IMCC & Avnet Prospectus, 1987-1988, inclusive
box: 5, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
North Holland Publishing Instructions, 1990
box: 5, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Revuz & Ver, Undated
box: 5, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
The Valuation of Options for Alternative Stochastic Processes, Cox & Ross, 1976
box: 5, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
A Theory of the Term Structure of Interest Rates; Cox, Ingersoll, Ross, 1983-1985
box: 5, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Le Gall, J.F.; Spatial Branching Processes, Random Snakes & PDE's, Undated
box: 6, folder: 1 (Material Type: Text)
Buhlman's Notes on CIR, Undated
box: 6, folder: 2 (Material Type: Text)
Stock Price as Difference of 2 Bessel Squared with Same Dimension, Undated
box: 6, folder: 3 (Material Type: Text)
Liuren's Tables, Undated
box: 6, folder: 4 (Material Type: Text)
Email - Liuren Wu, 1999-12
box: 6, folder: 5 (Material Type: Text)
Carr & Wu; Market Fear of Contagion, Diversification, and Option Pricing, 2000-02
box: 6, folder: 6 (Material Type: Text)
Carr & Wu, A Consistent Framework for Derivative Pricing, 1999-10-2000-01, inclusive
box: 6, folder: 7 (Material Type: Text)
Doodling with Liuren, Undated
box: 6, folder: 8 (Material Type: Text)
Results for BDW (Bonds with Detachable Warrants)/Warrants Paper, Undated
box: 6, folder: 9 (Material Type: Text)
CIR Bond Pricing, Undated
box: 6, folder: 10 (Material Type: Text)
Option on the Sum, 2000-08-22-2000-08-23, inclusive
box: 6, folder: 11 (Material Type: Text)
Bessel Squared Process & Basket Options, 2000-07-19
box: 6, folder: 12 (Material Type: Text)
Basket Options via Displaced Diffusion, 1999-04
box: 6, folder: 13 (Material Type: Text)
Basket Options for Stochastic Area, 2000-07-09-2000-07-19, inclusive
box: 6, folder: 14 (Material Type: Text)
A Basket of Basket Option Models, 2000-07-11
box: 6, folder: 15 (Material Type: Text)
Basket Options for Cox-Ross Model, Undated
box: 6, folder: 16 (Material Type: Text)
Vol's Approach to Reaction Diffusion/Quadratic Potential, 1999-10-23-1999-10-31, inclusive
box: 6, folder: 17 (Material Type: Text)
Series VI: Closed Form Barrier Option Valuation & Closed Form Option Volume with Smiles, 1994-2005, inclusive
Closed Form Barrier Option Valuation with Smiles, Peter Carr, 2002-08-07-2003-03-26, inclusive
box: 6, folder: 18 (Material Type: Text)
Solvable Potentials, 2002-04-23
box: 6, folder: 19 (Material Type: Text)
Manuscripts, 1999-04-11-2002-02-17, inclusive
box: 6, folder: 20 (Material Type: Text)
Closed Form Barrier Option Valuation with Smiles, 1999-10-2002-02, inclusive
box: 6, folder: 21 (Material Type: Text)
Detemple, J.; American Options: Symmetry Properties, 1999-03-02
box: 6, folder: 22 (Material Type: Text)
Roberts & Shortland, Pricing Barrier Options with Time Dependent Coefficients, Cambridge University Press, 1994
box: 6, folder: 23 (Material Type: Text)
Branoff, Paul, Undated
box: 6, folder: 24 (Material Type: Text)
Rogers, C.; The Joint Law of the Maximum and Terminal Value of a Martingale, University of Bath, Undated
box: 6, folder: 25 (Material Type: Text)
Arcsinhnomal Model Valuation of Barrier Options, 1999-04-10
box: 6, folder: 26 (Material Type: Text)
Depressed Cubic in Sinh Model Valuation of Barrier Options, 1999-04-10
box: 6, folder: 27 (Material Type: Text)
Andreasen, J.; Behind the Mirror, Risk, 2001-11
box: 6, folder: 28 (Material Type: Text)
Hedging Complex Barrier Options, 1997-10-25
box: 6, folder: 29 (Material Type: Text)
Enhanced Delta Hedging of Barrier Options, 2001-11-17
box: 6, folder: 30 (Material Type: Text)
Parity Preserving PDE, 2001-11-07-2001-11-10, inclusive
box: 6, folder: 31 (Material Type: Text)
Dobric Paper, 2001-07-31
box: 6, folder: 32 (Material Type: Text)
FPT Payer for Vol a Function of Price Alone, 1998-03-14-2000-10-17, inclusive
box: 6, folder: 33 (Material Type: Text)
FPT PDF's via Infinite Discontinuity of Delta^(1) at Bday, 2001-07-14
box: 6, folder: 34 (Material Type: Text)
Barrier Option Pricing Using Odd Functions of Process with Known PDF, 2001-03-31
box: 6, folder: 35 (Material Type: Text)
Barrier Option Pricing with Stochastic Vol, 2000-02-10
box: 6, folder: 36 (Material Type: Text)
Recovering Local Vol from Option Prices, 1999-04-06
box: 6, folder: 37 (Material Type: Text)
Barrier Options for Symmetric Mg Jump Processes, 2000-01-26-2000-02-04, inclusive
box: 6, folder: 38 (Material Type: Text)
Barrier Options via Stationary Solutions, 1999-01-19-1999-03-09, inclusive
box: 6, folder: 39 (Material Type: Text)
Static Hedging in Arcsinhnomal Model, 1999-03-26-1999-05-02, inclusive
box: 6, folder: 40 (Material Type: Text)
Int'g Calculations with SBM, Undated
box: 6, folder: 41 (Material Type: Text)
Static Hedging of Barrier Options for Constant Ahs Vol (Ahs at Origin), 1999-04-11
box: 6, folder: 42 (Material Type: Text)
Lerche, Hans; Boundary Crossing of Brownian Motion, Springer, 1986
box: 6, folder: 43 (Material Type: Text)
Barrier Options under Martingale Vol, 1999-01-11-1999-01-18, inclusive
box: 6, folder: 44 (Material Type: Text)
FPT for Time & Space Dependent Vol, 1999-02-25
box: 6, folder: 45 (Material Type: Text)
Time Dependent Bday for SBM, 1999-02-27
box: 6, folder: 46 (Material Type: Text)
SBM and PDE Notes, 2001-02-20-2002-02-22, inclusive
box: 6, folder: 47 (Material Type: Text)
Nonlinear PDE for Volatility, 2005-10-31
box: 6, folder: 48 (Material Type: Text)
Dominici, Nested: Derivatives: A Simple Method for Computing Series Expansions of Inverse Functions, Journal Not Given, 2005-01-04
box: 6, folder: 49 (Material Type: Text)
Mania & Tevzadze, Semimartingale Functions of a Class of Diffusion Processes, Vol 4s #2, TPA, 2001
box: 6, folder: 50 (Material Type: Text)
General Binomial Theorem, 2001-11-20-2001-11-22, inclusive
box: 6, folder: 51 (Material Type: Text)
Closed Form Rewrite, 2001-01-17-2001-11-24, inclusive
box: 6, folder: 52 (Material Type: Text)
Manuscript, 1999-12-05
box: 6, folder: 53 (Material Type: Text)
Models to Try, 2001-11-20
box: 6, folder: 54 (Material Type: Text)
Intuition on Auth. Indep., 2000-06-22
box: 6, folder: 55 (Material Type: Text)
Appendix on Uniqueness, 1999-03-23-1999-05-26, inclusive
box: 6, folder: 56 (Material Type: Text)
Conditions on Phi for Realistic Lognormal Vol, 1998-09-22-1999-02-14, inclusive
box: 6, folder: 57 (Material Type: Text)
Comments on "Closed Form Option Valuation", 1999-09-01-1999-10-22, inclusive
box: 6, folder: 58 (Material Type: Text)
Closed Form Option Valuations with Smiles, 1998-03-08-1999-04-05, inclusive
box: 6, folder: 59 (Material Type: Text)
Delta - Closed Form Option Valuation with Smiles, 1999-01-08-1999-01-10, inclusive
box: 6, folder: 60 (Material Type: Text)
Depressed Cubic, 1998-12-06-1999-03-20, inclusive
box: 6, folder: 61 (Material Type: Text)
Depressed Cubic in Sinh, Undated
box: 6, folder: 62 (Material Type: Text)
Deterministic Time Change, 1999-01-16
box: 6, folder: 63 (Material Type: Text)
Failed Models for Stock Price, 1998-12-30-1999-02-13, inclusive
box: 6, folder: 64 (Material Type: Text)
FPT for Ratio of Stock Price to Probability Density, 1998-09-08
box: 6, folder: 65 (Material Type: Text)
Fourier Inversion to Get g, 1998-09-26-1998-10-01, inclusive
box: 6, folder: 66 (Material Type: Text)
Functions of Bessel Processes, Undated
box: 6, folder: 67 (Material Type: Text)
Hyperbolic Functions, Undated
box: 6, folder: 68 (Material Type: Text)
Implications of SFC (Stock Flow Consistent) & Linearity, 1998-12-28
box: 6, folder: 69 (Material Type: Text)
Integrals of Derivative Securities, 1993-02-1999-01-11, inclusive
box: 6, folder: 70 (Material Type: Text)
Inversing s Function, 1999-02-07
box: 6, folder: 71 (Material Type: Text)
Journal Submissions, 1999-06-01-2000-06-06, inclusive
box: 6, folder: 72 (Material Type: Text)
Mapping Matrix to s(x,c), 1998-09-18-1998-09-21, inclusive
box: 6, folder: 73 (Material Type: Text)
Multiplying Original Payoff by Exponential, 1999-01-05
box: 6, folder: 74 (Material Type: Text)
Numerical Evaluation, 1999-01-11
box: 6, folder: 75 (Material Type: Text)
PDE for Variance, Undated
box: 6, folder: 76 (Material Type: Text)
PDF of Stock Price, 1999-02-15
box: 6, folder: 77 (Material Type: Text)
Sinh at Drifting BM, 1998-08-29
box: 6, folder: 78 (Material Type: Text)
Quadratic Payoff, Undated
box: 6, folder: 79 (Material Type: Text)
Sinh & [Equation], 1998-07-30-1998-08-13, inclusive
box: 6, folder: 80 (Material Type: Text)
Special Functions, 1999-02-07-1999-02-14, inclusive
box: 6, folder: 81 (Material Type: Text)
Stock Payoff is an Odd Function, 1999-02-06-1999-02-07, inclusive
box: 6, folder: 82 (Material Type: Text)
Stock Price as Cube of Sinh, 1998-12-30-1999-04-03, inclusive
box: 6, folder: 83 (Material Type: Text)
Stock Price as Linear Combination of Sinhs, 1999-02-07
box: 6, folder: 84 (Material Type: Text)
Stock Propl. to Absorbing BM, 1998-01-03-1999-01-03, inclusive
box: 6, folder: 85 (Material Type: Text)
Stock Payoff is Non-Monotonic Function of SBM, Undated
box: 6, folder: 86 (Material Type: Text)
Thaleia Zariphopoulou, 1999-05-11
box: 6, folder: 87 (Material Type: Text)
Taylor Series, 1998-01-04
box: 6, folder: 88 (Material Type: Text)
Transforming Solutions to the Heat Equation, 1999-10-19
box: 6, folder: 89 (Material Type: Text)
2 Boundaries, 1998-09-10
box: 6, folder: 90 (Material Type: Text)
Utility Based Approach, Undated
box: 6, folder: 91 (Material Type: Text)
On the Valuation of Corporate Liabilities Using Option Prices, 1998-09-15-1998-09-19, inclusive
box: 6, folder: 92 (Material Type: Text)
Series VII: Closed Form Option Valuation Extensions, 1980-2002, inclusive
ABM as Driver, 1999-11
box: 7, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Manuscripts - Volatility Surface, 1998
box: 7, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Arbitrary Stochastic Time Change, Undated
box: 7, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
CM Stock Payoffs, 1998
box: 7, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Driver is BM with Drift, Undated
box: 7, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
From Inverse Distribution Function to Option Prices, 1999
box: 7, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Elliptic Integrals, 1999-02
box: 7, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Explanation Why for Stochastic Pricing Functions (in Time), 1999-02
box: 7, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Fourier Transforms, 1998
box: 7, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Generating Explicity Invertible Payoffs by Composing Explicitly Invertible Operators, 1999
box: 7, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Depressed Cubic in Depressed Cubic, Undated
box: 7, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Depressed Cubic in Depressed Cubic in Sinh, 1999-04-06
box: 7, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Unlabeled Formula and Notes, Undated
box: 7, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
A Theory of the Volatility Surface, 1998
box: 7, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Approximating Basket Options, Undated
box: 7, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Hermite Polynomials, 1998-2002, inclusive
box: 7, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Integration in Finite Terms, 1999
box: 7, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Measurement Units, 1999-02-14
box: 7, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Oven Invertible Stock Pricing Functions, 1999-04-18
box: 7, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Option Pricing is a Cinch, 1999-02
box: 7, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Piecewise Globally Specification, 1999-02-09
box: 7, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Positive Processes, 2000-01-31
box: 7, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Quartic in Exp'l Quadratics, 1998-12-12
box: 7, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Quintic in SBM, 2002-01
box: 7, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Scale & Time Changes when Drift is Function of Price & Time, 1999-03
box: 7, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Similarity Solution for Sigma or c, 1998-1999, inclusive
box: 7, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Spun of G^1, Undated
box: 7, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Spine Specification of Stock Pricing Function, 1998-12-28
box: 7, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Stock Price as Positive Linear Combination of Exponents, 1998-1999, inclusive
box: 7, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Stock as Wtd Average of GBMs, 1998-1999, inclusive
box: 7, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Time Change & GT, 1999-03-15
box: 7, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Stock Payoff is Exp'l Quintatic less Constant, 1999-02-21
box: 7, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Stock is Constant & Proper Rational Function, 1999-02-22
box: 7, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Stock Process Driven by a Pair of SBMs, 1999
box: 7, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Stock Payoff is (1+ z/m)^m, z normal in real, 1999-02
box: 7, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Time Inversion, 1999-06-18
box: 7, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Time Value via Quintative, 1999-02-11
box: 7, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Stock Price is Odd Function of Process with Symmetric PDF, 2000-01
box: 7, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Stock Price is Even Function of Reflecting BM, 1999-03-14
box: 7, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Stock is Quartic of Ce^aw Divided by a Power less than or equal to 4, 1999-02
box: 7, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Modelling Payoff of Brownian Pricing Function, 1998-1999, inclusive
box: 7, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Uchiyama, K.; Brownian First Exist from & Sojourn over One Sided Moving Boundary and Application, 1980
box: 7, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Time Homogenous Vol Functions, 1999-03-06
box: 7, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Time Region Specification, 1998
box: 7, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Series VIII: Compound Exchange Options (CEO), 1986-1994, inclusive
A Sequential Exchange Option, 1994
box: 7, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
The Valuation of Sequential Exchange Opportunities Originals (1), 1986-1988, inclusive
box: 7, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
The Valuation of Sequential Exchange Opportunities Originals (2), 1987
box: 7, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
The Valuation of Sequential Exchange Opportunities Copies, 1988
box: 7, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Latest Session - CEO, 1988-01
box: 7, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Journal of Finance Correspondence - CEO, 1987-1988, inclusive
box: 7, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
CEO Revisions and Comments (1), 1986-1987, inclusive
box: 7, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
CEO Revisions and Comments (2), 1986
box: 7, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Compound Exchange Options Notes, Undated
box: 7, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Series IX: Conservative Fields & Hedging, 2001-2004, inclusive
Static Hedging & Exotic Options Notes, 2004-06-16
box: 7, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Semi-Static Hedging & Conservative Fields, 2002
box: 7, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Markov Assn. & Static Hedging, 2002-11-14
box: 7, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Vertical Static Hedge and Stochastic Vol., 2002
box: 7, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
FPT Payer, 2002-11-23
box: 7, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Representation of Results, 2002-11-24
box: 7, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Vertical Static Hedge, 2002-11-24
box: 7, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Dim I Analysis of PCR, 2002-04-25
box: 7, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Random Time/SV, 2002-07-03
box: 7, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Signing Call Delta & Gamma For Markov Semi-Martingales, 2001-2002, inclusive
box: 7, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
Higher Order Term Representations in Backward PIDE, 2002
box: 7, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
PCR Using Delta Functions & Gamma as Transition PDF, 2002
box: 7, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Interpreting BCP(I)DE as a FpP(I)DE, 2002
box: 7, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Semi-Static Hedging & Conservative Fields - Old Manuscripts, 2002
box: 7, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Series X: Convertible Bonds, 1996-2003, inclusive
Integration of PDE in Finite-Difference Scheme; Mane, S.R., 2003-04-20
box: 7, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; Discrete Dividends in a Finite-Difference Scheme, 2003-03-22
box: 7, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Kynex, 2000-2003, inclusive
box: 7, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Contingent Convertibles, 2001
box: 7, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
CVS, Undated
box: 7, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
DECS, Undated
box: 7, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
MBRM (Mamdoh Barakat Risk Management), Undated
box: 7, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
OAS, Undated
box: 7, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Soft Call, 2001
box: 7, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
Testing Against MBRM, 2001-04
box: 7, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Van Mtgs, 2001-03-12
box: 7, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
CB Proposal - Notes, 1997-2001, inclusive
box: 7, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
CBIFAC, 2001
box: 7, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
BofA, Equity Derivative Applications for Convertible Bond Investors, 2001-03
box: 7, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
Convertible Bonds Bibliography, Undated
box: 7, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Convertible Bond Decomposition into Bond Plus Amer. Call, 2001-11-30
box: 7, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Email on CBs at MS, 1998-07-27
box: 7, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Convertible Bonds MS, 1996-2001, inclusive
box: 7, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Tru-Calc, 2000-07-17
box: 7, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
Finite-Difference Methods for Two-Factor Models Reprint, 2001
box: 7, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Borrow Costs for Convert., Undated
box: 7, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
CB Model Testing, 2001
box: 7, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
Series XI: Convolution Transform, 1988-2004, inclusive
Pestana & Mendonça, Higher-Order Monotone Functions and Probability Theory, Undated
box: 7, folder: 90 (Material Type: Text)
Extent
60 Linear Feet
Intuition on Convolution Equations, 2004
box: 7, folder: 91 (Material Type: Text)
Extent
60 Linear Feet
PDEs for Jump Diffusions, 2000-2004, inclusive
box: 8, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Csordas & Varga, Integral Transforms and the Laguerre-Polya Class, 1989
box: 8, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Convolution Transform Notes, Undated
box: 8, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Cardon, D.A.; Convolution Operators and Zeros of Entire Functions, 2001-10-17
box: 8, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Carr & Mayo, On the Numerical Evaluation of Option Prices in Jump Diffusion Processes, Undated
box: 8, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Madan, D.B.; Approximating Levy Processes, 2004-12-16
box: 8, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Anita Mayo, Undated
box: 8, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Using Convolution Transforms to Create Enhanced Delta Hedge, Undated
box: 8, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Baumer, B.; On the Inversion of the Convolution and Laplace Transform, Undated
box: 8, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Zayed & Haimo, Inversion of an Integral Transform Related to a General Form of Heat Equation, 1988
box: 8, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Zayed & Haimo, Inversion of Integral Transforms Associated with a Class of Perturbed Heat Equations, 1992
box: 8, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Dulilip's Result for Local Levy Processes, Undated
box: 8, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
The Convolution Transform, Undated
box: 8, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Anita Mayo Notes, Undated
box: 8, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Solving for Static Hedges Using Convolution Transforms, 2004-07-16
box: 8, folder: 15 (Material Type: Text)
Dewy Integral in PIDE Implicitly Using Convolution Transforms, Undated
box: 8, folder: 16 (Material Type: Text)
Briani, La Chioma & Natalini; Convergence of Numerical Schemes for Viscosity Solutions to Integro-Differential Degenerate Parabolic Problems Arising in Financial Theory, Undated
box: 8, folder: 17 (Material Type: Text)
Carr, Geman, Madan & Yor; From Local Volatility to Local Levy Models, 2004-02
box: 8, folder: 18 (Material Type: Text)
Carr & Mayo, On the Numerical Evaluation of Option Prices in Jump Diffusion Processes, Undated
box: 8, folder: 19 (Material Type: Text)
Kou & Wang, First Passage Times of a Jump Diffusion Process, Advances in Applied Probability, 2003
box: 8, folder: 20 (Material Type: Text)
Kou, S.; A Jump-Diffusion Model for Option Pricing, 2002
box: 8, folder: 21 (Material Type: Text)
Kou & Wang, Option Pricing Under a Double Exponential Jump Diffusion Model, Columbia, 2001
box: 8, folder: 22 (Material Type: Text)
Mayo, Anita; Notes on Reducing the Solution of PIDEs in Exponential Jump Diffusion Models to the Solution of ODEs, Undated
box: 8, folder: 23 (Material Type: Text)
Papapantoleon & Senge, Option Pricing in a Jump Diffusion Model with Double Exponential Jumps, 2002-06-06
box: 8, folder: 24 (Material Type: Text)
Pensky & Vidakovic, Adaptive Wavelet Estimator for Nonparametric Density Deconvolution, Annals of Statistics, 1999
box: 8, folder: 25 (Material Type: Text)
Pinkus, A.; Spectral Properties of Totally Positive Kernels and Matrices, 1995
box: 8, folder: 26 (Material Type: Text)
Schoenberg, I.; On Totally Positive Functions, Laplace Integrals and Entire Functions of the Laguerre-Polya-Schur Type; Mathematics 1947, Undated
box: 8, folder: 27 (Material Type: Text)
Zayed, Ch. 17: The Convolution Transform, Undated
box: 8, frame: 28 (Material Type: Text)
Series XII: Covariance Contracting, 1989-1999, inclusive
Cov Between Futured Fixed Inc., 1999-07-06
box: 8, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
BIV BM Approximation, 1989-1997, inclusive
box: 8, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Quantics for Ajay, 1998-03-06
box: 8, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Amin, K.I.; JFQA; On the Computation of Continuous Time Option Prices Using Discrete Approximations, 1991-12
box: 8, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Currency Protected Securities (CPS), 1998
box: 8, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Implied Covariance Quantics, 1989-1998, inclusive
box: 8, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Quantics, 1997-1998, inclusive
box: 8, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Dimensioning in Cov Swap, Undated
box: 8, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
T-Bill Returns & Futures, 1999-07
box: 8, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Risk Submission, 1998-1999, inclusive
box: 8, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Burns, Engle & Mezrich; Correlations and Volatilities of Asynchronous Data, 1998
box: 8, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Engle & Mezrich, Garch for Groups, 1996-08
box: 8, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Currency Covariance Contracting, 1998
box: 8, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Wang, C.H.; The Geocultural, Economic, and Financial Reasons for International Equity Market, 1998-11-09
box: 8, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Idea Using Legendre Process, Undated
box: 8, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Gesser, V.; Correlation Risk, Undated
box: 8, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Beta Contracts, Undated
box: 8, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Covariance Contracting, 1997-1998, inclusive
box: 8, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Carr & Corso, Commodity Covariance Contracting, 1998-01-01
box: 8, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Correlation Contract, Undated
box: 8, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Series XIII: Constant Proportion Portfolio Insurance (CPPI), 1989-2006, inclusive
CPPI w/ Alexey Polishchuk Publication, 2005-2006, inclusive
box: 8, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Power Chain shown as Numerative & Being Consistent with Stress through Drift, 2005-02
box: 8, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Crash Showed Danger of Insured Assets, 1997-10-13
box: 8, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Renoux, Yann, 2006-02
box: 8, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
CPPI with Trading at Hitting Times, 2006-02
box: 8, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Chris Cummins, Undated
box: 8, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Discrete Hedging for CPPI, Undated
box: 8, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
CPPI Cush.dS, 2006-06-28
box: 8, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Alternative CPPI Strategies, Undated
box: 8, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Options in CPPI, 2005
box: 8, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Funds of Hedge Funds & Structured Products, 2006-09-02
box: 8, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
CPPI, 2005-2006, inclusive
box: 8, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
2D CPPI, 2006-02-28
box: 8, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Portfolio Insurance History (1), 1989-2006, inclusive
box: 8, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Portfolio Insurance History (2), 2001-2006, inclusive
box: 8, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
Zhu, Ernest; European Claims on CPPI, 2006-10-19
box: 8, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Zhu, E.; European Options in CPPI, 2005-11-29
box: 8, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Series XIV: D3 Non BS Path Dependent, 1990-2004, inclusive
Applications of Time Reversal to Asset Pricing Theory, 2001-04-07
box: 8, folder: 66 (Material Type: Text)
Applications of TR & PCR, 2001-07-09-2001-08-07, inclusive
box: 8, folder: 67 (Material Type: Text)
Applications for Calculating Bonds & Integrals, 2002-01-19-2002-01-22, inclusive
box: 8, folder: 68 (Material Type: Text)
Applications to MC Simulations, 2002-01-24
box: 8, folder: 69 (Material Type: Text)
What is an Adjoint?, 2002-02-03-2002-02-12, inclusive
box: 8, folder: 70 (Material Type: Text)
Application to Semi-Static Hedging, 2001-07-13-2002-01-26, inclusive
box: 8, folder: 71 (Material Type: Text)
Manuscript - Put Call Reversal, 2002-03-24
box: 8, folder: 72 (Material Type: Text)
Replicating Portfolios in Heston Using Stock, Bond & Variable Susps, 2004-11-20-2004-11-21, inclusive
box: 8, folder: 73 (Material Type: Text)
D3 for Cnr Touches, 2004-07-03-2004-07-07, inclusive
box: 8, folder: 74 (Material Type: Text)
Signing Delta, Gamma and Vega of a Call in the Heston Model, 2004-02-09
box: 8, folder: 75 (Material Type: Text)
Equations at Change of Dependent Variable to GT, 2004-07-03-2004-07-13, inclusive
box: 8, folder: 76 (Material Type: Text)
D3 for Time Homogenous Markov Processes, 2004-02-03-2004-07-07, inclusive
box: 8, folder: 77 (Material Type: Text)
DCC Greeks, 2004-07-03-2004-11-20, inclusive
box: 9, folder: 1 (Material Type: Text)
Symmetries in Heston Model, 2004-11-18
box: 9, folder: 2 (Material Type: Text)
HBKOG - Greek Calculation Methods, 2004-10-07-2004-11-20, inclusive
box: 9, folder: 3 (Material Type: Text)
American Options Greeks, 1999-08-13-2002-07-05, inclusive
box: 9, folder: 4 (Material Type: Text)
Asians Greeks, 1999-08-22
box: 9, folder: 5 (Material Type: Text)
Burner Claims Greeks, Undated
box: 9, folder: 6 (Material Type: Text)
Operator Solution for Claims Paying G(J) at fpt to Barrier, 1999-08-23-1999-09-06, inclusive
box: 9, folder: 7 (Material Type: Text)
Envelope Theorem, 2002-07-12
box: 9, folder: 8 (Material Type: Text)
Signing Delta, Gamma & Vega of a Call in the Heston Model, 2004-02-03
box: 9, folder: 9 (Material Type: Text)
Rate Greeks for Single Barrier Options, 1999-06-20
box: 9, folder: 10 (Material Type: Text)
UIC Greeks, 1999-08-27-1999-09-06, inclusive
box: 9, folder: 11 (Material Type: Text)
General Payoff at fpt of GBM, 1999-08-06
box: 9, folder: 12 (Material Type: Text)
FPT PDF for ABM, 1999-08-18-1999-09-04, inclusive
box: 9, folder: 13 (Material Type: Text)
Barrier Option Integration, 1999-08-23
box: 9, folder: 14 (Material Type: Text)
CJM, 1990-08
box: 9, folder: 15 (Material Type: Text)
Conference Submission, 1992-03-19-1993-04-08, inclusive
box: 9, folder: 16 (Material Type: Text)
FD's to Get Greeks at Americans, Undated
box: 9, folder: 17 (Material Type: Text)
Fugit Derivation & Financial Interpretation of Fugit, 1999-06-20-1999-08-26, inclusive
box: 9, folder: 18 (Material Type: Text)
Greeks when Vol is a Function of S & t, 1999-06-20
box: 9, folder: 19 (Material Type: Text)
Lewis, Keith; Option Pricing Using Levy Process, 2000-01
box: 9, folder: 20 (Material Type: Text)
Levy Processes, 2000-2002, inclusive
box: 9, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Lookback Options Greeks, 1999
box: 9, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Deriving Derivatives of Derivative Securities, 1999-08
box: 9, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Power Claim, Undated
box: 9, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Spatially Dep. Vol., 1999
box: 9, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Spatial Derivatives when Vol. Satisfies PDE, 1999-08
box: 9, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
State Variable Results, Undated
box: 9, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Perturbation Analysis, 2000-09
box: 9, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Vol., Undated
box: 9, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Deriving Derivatives of Derivative Securities Notes, 1994
box: 9, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Series XV: Determining Volatility Surfaces, 1998-2000, inclusive
Determining Volatility Surfaces and Option Values from an Implied Volatility Smile, 1998
box: 9, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
World Scientific, 1999
box: 9, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Correspondence with Thaleia/Team, 1998
box: 9, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Calculations on Volatility Surfaces, 1998
box: 9, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Adding or Subtracting a Positive Constant from Sinh Process, 1998-08
box: 9, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Affix Drift Transformation to SBM, 1998
box: 9, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Bonded Stock Payoffs, Undated
box: 9, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Calibration, 2000-02-01
box: 9, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Call Valuation, 1998
box: 9, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Change of Measure Plus Change of Stock Variables, 1998
box: 9, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Comments on Volatility Surfaces Talk, 1998-09-25
box: 9, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Conflicted Div. Function, Undated
box: 9, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Concentration Dependent Diffusion Media, 1998
box: 9, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Cons'n & Portfolio Problem, 1998
box: 9, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
D-Dimensional Driver, 1998-08
box: 9, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
D^3 Calculations, 1998-08-03
box: 9, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Examples of Terminal Vol. Smiles, 1998
box: 9, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Forward Propagation, 1998-07
box: 9, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Fourier Transforms, 1999-02-26
box: 9, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Gamma Functions, Undated
box: 9, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Implying Payoff Function, 1998-07
box: 9, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Intended Integrals of CDF, 1998-08-17
box: 9, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Linear Absolute Vol., 1998-08-22
box: 9, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Logger as Solution to Heat Equation, 1998-08-08
box: 9, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Lover Knockout Barnier for Equity, Undated
box: 9, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Martingales/Polynomials, 1998
box: 9, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Mill's Ratio, 1998-08
box: 9, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Modelling Vol./Gamma, 1998
box: 9, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Multiplicatively Separable Solutions, 1998-07
box: 9, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
(Application to) Numerical Methods, Undated
box: 9, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
One Dimenional Diffusion, 1998-08
box: 9, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Operator Calculus, Undated
box: 9, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
PCS with Vol. Smiles, Undated
box: 9, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
(Using) Other Assets Besides Stock to Get W, 1998-08
box: 9, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Pure Jump Processes as Driver, 1998-07
box: 9, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Recovery from Value, Vol., Divs, Undated
box: 9, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Rel. Vol. as a Function of C, Power of S or F Including Power=1, 1998-08
box: 9, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
RN PDF as Function of S or DF, 1998
box: 9, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Rel. Vol. as Function of Spot or Found, 1998-08
box: 9, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Rel. Vol. as Function of x=InF, x=InS, 1998-08
box: 9, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Specifying Log of Spot, 1998
box: 9, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Local Vol. Surface Derived from a Stochastic Local Vol. Smile, Undated
box: 9, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Stock Payoff Functions, Even Functions, 1998-08
box: 9, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
Stock Payoff Functions Monotonic, 1998
box: 9, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
Stock Pricing Function as Solution to Heat Equation, 1998
box: 9, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Stock Valuation, 1998-07
box: 9, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
Stock Price as Expected Value of PCS Payoff of T^1, 1998-09
box: 9, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Stock Vol. is a Derivative Security, 1998
box: 9, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
Strike Interpolation & Extrapolation, 1998-07-28
box: 9, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Time and/or Space Dep. Firm Vol., 1998-07
box: 9, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
Time Homogenous Diffusion as Driver, 1998-08-08
box: 9, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
To DC, Undated
box: 9, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
A Transformation of Abs Vol. Written as a Function of InS, 1998-08-07
box: 9, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Transformation to OU Process, 1998
box: 9, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Series XVI: Diffusions, 1989-2002, inclusive
Arcsinh-normal Model Results, Undated
box: 9, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Asset Correspondences in Backward & Forward Economy, 2002-06-21
box: 9, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
(Using) Backward SDE's, 2001-04
box: 9, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Backward Running SBM, 2001-07-03
box: 9, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
Bayes Rule for Getting q^, 2001-11-07
box: 9, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
BC PDE (in forward time), 2001-07
box: 9, folder: 90 (Material Type: Text)
Extent
60 Linear Feet
BP^ PDE, 2001-07-23
box: 9, folder: 91 (Material Type: Text)
Extent
60 Linear Feet
BS Model Results, 2001
box: 9, folder: 92 (Material Type: Text)
Extent
60 Linear Feet
(Proof of) Butterfly Spot Duality, 2001-2002, inclusive
box: 9, folder: 93 (Material Type: Text)
Extent
60 Linear Feet
Calibrating to Discrete Maturity Vol. Smiles Using Call Consistency, 2001-06-19
box: 9, folder: 94 (Material Type: Text)
Extent
60 Linear Feet
Call Consistency, 2001-2002, inclusive
box: 9, folder: 95 (Material Type: Text)
Extent
60 Linear Feet
Carrying Cost Duality, 2001-07
box: 9, folder: 96 (Material Type: Text)
Extent
60 Linear Feet
Constant Elasticity of Variance (CEV), 1989-03
box: 9, folder: 97 (Material Type: Text)
Extent
60 Linear Feet
Changing Measure Without Reversing Time, 2000-11-18
box: 9, folder: 98 (Material Type: Text)
Extent
60 Linear Feet
Changing Variables, 2002-06
box: 9, folder: 99 (Material Type: Text)
Extent
60 Linear Feet
Chapman Kolmogorov Interpretation, 2001-08
box: 9, folder: 100 (Material Type: Text)
Extent
60 Linear Feet
Series XVII: Diffusion Time Reversal and European Options, 2000-2002, inclusive
Constant Normal Vol. Model, 2001-07-11-2002-06-19, inclusive
box: 9, folder: 101 (Material Type: Text)
Conventions, 2001-07-18-2001-08-08, inclusive
box: 9, folder: 102 (Material Type: Text)
Delta Hedging Interpretations (in Forward & Backward Time), 2001-07-18-2002-06-27, inclusive
box: 9, folder: 103 (Material Type: Text)
Deriving q^ Dynamics from q Dynamics, 2001-07-05-2002-01-30, inclusive
box: 9, folder: 104 (Material Type: Text)
Delta=1/2 Characteristic, 2002-02-09
box: 9, folder: 105 (Material Type: Text)
Discretization, 2000-08-04-2001-08-08, inclusive
box: 9, folder: 106 (Material Type: Text)
Displaced Diffusion Counterexample, 2001-07-14
box: 9, folder: 107 (Material Type: Text)
PCS Holding Locally to PCR?, 2001-07-08
box: 9, folder: 108 (Material Type: Text)
Deciding Between Maturity Spreading & Maturity Randomization, 2001-08-04
box: 9, folder: 109 (Material Type: Text)
Duality, 2000-11-08-2002-01-22, inclusive
box: 9, folder: 110 (Material Type: Text)
Duality in Elliott's Book, Undated
box: 9, folder: 111 (Material Type: Text)
Duality Between Strike Randomization & Strike Diversification, 2001-08-04
box: 9, folder: 112 (Material Type: Text)
Forward & Backward PDE's as MG Condition on Image & Real Part, 2001-05-28-2001-07-28, inclusive
box: 9, folder: 113 (Material Type: Text)
(Deriving & Interpreting the) Forward Call PDE, 1999-11-08-2002-02-03, inclusive
box: 9, folder: 114 (Material Type: Text)
FC PDE, 2000-09-21-2002-01-29, inclusive
box: 9, folder: 115 (Material Type: Text)
FC PDE to Probabilistic Interpretation, 2001-06-16-2001-08-04, inclusive
box: 9, folder: 116 (Material Type: Text)
FC PDE (KFE-Kolmogorov Forward Equation), 2001-06-26-2001-08-01, inclusive
box: 9, folder: 117 (Material Type: Text)
Forward Equations in Fixed Income, 2002-09-05
box: 9, folder: 118 (Material Type: Text)
From Forward Price as Underlying to Spot, 2001-07-23
box: 9, folder: 119 (Material Type: Text)
Gamma Induced Backward Running Process, 2002-03-19-2002-03-24, inclusive
box: 9, folder: 120 (Material Type: Text)
Generating New Closed Form Solutions from Old Ones via Time Reversal, 2001-07-19
box: 9, folder: 121 (Material Type: Text)
Geometry of Time Reversal, 2002-01-19-2002-01-22, inclusive
box: 9, folder: 122 (Material Type: Text)
Jesper's Dissertation Discussion in Time Reversal, 2001-07-04
box: 9, folder: 123 (Material Type: Text)
Extent
60 Linear Feet
Jesper Email, 2002-03-18
box: 9, folder: 124 (Material Type: Text)
Extent
60 Linear Feet
Journal Submission, 2002-03-24
box: 9, folder: 125 (Material Type: Text)
Extent
60 Linear Feet
Line Integral Proof of PER, 2002-02-22
box: 9, folder: 126 (Material Type: Text)
Extent
60 Linear Feet
Kit Hybrid PDEs, 2001-07
box: 9, folder: 127 (Material Type: Text)
Extent
60 Linear Feet
Derivation of KBE & KFE, 2000-12-24
box: 9, folder: 128 (Material Type: Text)
Extent
60 Linear Feet
KFE Derivations, 2000-12
box: 9, folder: 129 (Material Type: Text)
Extent
60 Linear Feet
KFE from KBE, 2001-2002, inclusive
box: 9, folder: 130 (Material Type: Text)
Extent
60 Linear Feet
Markov Property Assn., 2002-06
box: 9, folder: 131 (Material Type: Text)
Extent
60 Linear Feet
Measure Changes, 2001-2002, inclusive
box: 9, folder: 132 (Material Type: Text)
Extent
60 Linear Feet
No Arb, Markov F>, Mg in Reverse Time, 2000-2001, inclusive
box: 9, folder: 133 (Material Type: Text)
Extent
60 Linear Feet
Numerical Tests of PCR, 2002
box: 9, folder: 134 (Material Type: Text)
Extent
60 Linear Feet
Moving Time Backward in Backwards Clock, Undated
box: 9, folder: 135 (Material Type: Text)
Extent
60 Linear Feet
Overview, 2000-2001, inclusive
box: 9, folder: 136 (Material Type: Text)
Extent
60 Linear Feet
Pathwise Relationship Between SIS^, 2001-07-08
box: 9, folder: 137 (Material Type: Text)
Extent
60 Linear Feet
PCR Under Trans'ns, 2001-07-14
box: 9, folder: 138 (Material Type: Text)
Extent
60 Linear Feet
PCR via Implied Vol, 2002-02-22
box: 9, folder: 139 (Material Type: Text)
Extent
60 Linear Feet
PCS, 2001-07-14
box: 9, folder: 140 (Material Type: Text)
Extent
60 Linear Feet
PDE in S & K, 2001-07-27
box: 9, folder: 141 (Material Type: Text)
Extent
60 Linear Feet
Philosophy, 2001
box: 9, folder: 142 (Material Type: Text)
Extent
60 Linear Feet
Proof of Equality of Probs, 2001-07
box: 9, folder: 143 (Material Type: Text)
Extent
60 Linear Feet
Proof of PCR, 2001-2002, inclusive
box: 9, folder: 144 (Material Type: Text)
Extent
60 Linear Feet
Put Call Equivalence, 2002-06-27
box: 9, folder: 145 (Material Type: Text)
Extent
60 Linear Feet
Quantering, 2001-07
box: 9, folder: 146 (Material Type: Text)
Extent
60 Linear Feet
Reversed SDE, 2001-2002, inclusive
box: 9, folder: 147 (Material Type: Text)
Extent
60 Linear Feet
Relationship of Stock Process to Stock Price Process - Assessing Measures Change Only, 2001-07-04
box: 9, folder: 148 (Material Type: Text)
Extent
60 Linear Feet
Results in Terms of Forwards Under Pos r, 2001-07
box: 9, folder: 149 (Material Type: Text)
Extent
60 Linear Feet
Semi Group Viewpoint, 2001-07-28
box: 9, folder: 150 (Material Type: Text)
Extent
60 Linear Feet
Single Stock Replication of European Call When Vol Time & Spatially Dependent, 2001-07-16
box: 9, folder: 151 (Material Type: Text)
Extent
60 Linear Feet
Sin Function, 2001-07-19
box: 9, folder: 152 (Material Type: Text)
Extent
60 Linear Feet
Space-Time Integrals of Calls, 2001-2002, inclusive
box: 9, folder: 153 (Material Type: Text)
Extent
60 Linear Feet
Spatially Dependent Carrying Costs, 2002-02-23
box: 9, folder: 154 (Material Type: Text)
Extent
60 Linear Feet
SIT Hybrid PDE, 2001
box: 9, folder: 155 (Material Type: Text)
Extent
60 Linear Feet
Starting Stochastic, 2001-07
box: 9, folder: 156 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Time Change & Time Reversal, 2001-07-31
box: 9, folder: 157 (Material Type: Text)
Extent
60 Linear Feet
Strike Process is Recip. of Reversal Stock Price Process (Wrong Lognormal Vol), 2001-07
box: 9, folder: 158 (Material Type: Text)
Extent
60 Linear Feet
Strike Maturity Relationship Among Standard European Options, 2001-08
box: 9, folder: 159 (Material Type: Text)
Extent
60 Linear Feet
Strike is Neg. of Reversal Spot (Possibly Translated) (Wrong), 2001
box: 9, folder: 160 (Material Type: Text)
Extent
60 Linear Feet
Strike Price is a Function of Stock Price, 2001-07
box: 9, folder: 161 (Material Type: Text)
Extent
60 Linear Feet
(Forward PDE in) SV Models, 2000-07-20
box: 9, folder: 162 (Material Type: Text)
Extent
60 Linear Feet
Time Integral Representations of Option Values, 2001-07
box: 9, folder: 163 (Material Type: Text)
Extent
60 Linear Feet
Time Reversed Process S^, 2001-07-17
box: 9, folder: 164 (Material Type: Text)
Extent
60 Linear Feet
Time Reversability of Semi-Martingales, 2002
box: 9, folder: 165 (Material Type: Text)
Extent
60 Linear Feet
Time Reversal Using Stratonovich Integral, 2001
box: 9, folder: 166 (Material Type: Text)
Extent
60 Linear Feet
Value Consistency, 2001-07
box: 9, folder: 167 (Material Type: Text)
Extent
60 Linear Feet
Why Dissect at q?, 2001
box: 9, folder: 168 (Material Type: Text)
Extent
60 Linear Feet
Series XVIII: Diffusion Transformation, 1998-2000, inclusive
Application of Symmetry in Finance, 2000-07-11
box: 9, folder: 169 (Material Type: Text)
Extent
60 Linear Feet
Closed Form Option Valuation with Smiles, 1999-2000, inclusive
box: 9, folder: 170 (Material Type: Text)
Extent
60 Linear Feet
Diffusion Transformation Notes (1), 2000-02
box: 10, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Doob's H Transform, 2000
box: 10, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Azema & Yor, Sur Les Zeros des Martingales Continues, Semi Prob. XXVI, Undated
box: 10, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Martingales Vanishing with SBM, 2000-02-08
box: 10, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Laplace Transformation of E 0 (WT), Undated
box: 10, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Implied as a Function of Local Vol. under PI, 2000-02
box: 10, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Some Even Models in PI Class, 2000
box: 10, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Spatial Derivatives, 2000
box: 10, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Doob's H Transforms via FT, 2000-02
box: 10, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Soluble Drifts, 1999-2000, inclusive
box: 10, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
X Explicit in S Only, 1999-2000, inclusive
box: 10, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
From Local Vol. to Option Prices, 1999-2000, inclusive
box: 10, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Gamma Closed Form Option Vol'n with Smiles, 1998-1999, inclusive
box: 10, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
R^3 as Driver, 2000
box: 10, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Consistency with (ln(k/F)/sigmaT) Behavior, 2000-02
box: 10, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Downward Displaced GBM, 2000-02
box: 10, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Generic Call Pricing Formula, 1998-1999, inclusive
box: 10, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Trader's Derivation of PDE for s, 1999-01-26
box: 10, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Stock Price as Function of W^sh's Instead of W, 1998-08
box: 10, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Noninvertible but Integrable Payoff Functions, 1999-02-07
box: 10, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Alex Lipton Notes, 2000-03
box: 10, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Lie Group Analysis of Parabolic Normal Form, 2000
box: 10, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Options & Other Nonlinear Operators as a Lie Algebra, 2000-04-09
box: 10, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Lie Groups, Time Integrals & American Options, 2000-03
box: 10, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Multivariable Diffusion & Lie Groups, Undated
box: 10, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Diffusion Transformation Notes (2), 2000-02-07
box: 10, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Bivariable Binary in 3 Parameter Arcsinh, 2000-02
box: 10, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Goldenberg in Arcsinhnormal Model, Undated
box: 10, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Calibration of Arcsinhnormal, Undated
box: 10, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Closed Form Valuation of Compound Options in the Arcsinhnormal Model, 2000
box: 10, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Absorbing Sinh Stock Price Processes, 1998-07-01-2000-02-07, inclusive
box: 10, folder: 31 (Material Type: Text)
Callable Call in Arcsinh Model, 1999-11-10-2000-01-09, inclusive
box: 10, folder: 32 (Material Type: Text)
Interpretation of x + a in 3 Parameter Arcsinh, 2000-01-18
box: 10, folder: 33 (Material Type: Text)
Share Economy in Arcsinhnormal Model, 2000-01-08-2000-01-31, inclusive
box: 10, folder: 34 (Material Type: Text)
Time Dependent CU as Driver, 2000-02-04
box: 10, folder: 35 (Material Type: Text)
Hyperbolas, 2000-01-31
box: 10, folder: 36 (Material Type: Text)
Three Parameter Arcsinhnormal, 1999-01-13-2000-02-05, inclusive
box: 10, folder: 37 (Material Type: Text)
Delta in 3 Parameter Arcsinhnormal Model, 2000-01
box: 10, folder: 38 (Material Type: Text)
CU as Driver, 2000-02-03
box: 10, folder: 39 (Material Type: Text)
Coth Drift, 2000-01-22-2000-02-01, inclusive
box: 10, folder: 40 (Material Type: Text)
Bivariate Normal in Matlab, 2000-01-02-2000-02-10, inclusive
box: 10, folder: 41 (Material Type: Text)
He Mchem Approach to ID Diffusions, 2000-02-18-2000-02-27, inclusive
box: 10, folder: 42 (Material Type: Text)
Scale Function & Probabilities Hitting Flat Boundaries, 1998-09-06-1998-09-08, inclusive
box: 10, folder: 43 (Material Type: Text)
Speed Measures, 1999-10-03
box: 10, folder: 44 (Material Type: Text)
Static Hedging & Scale Function, 1998-08-14
box: 10, folder: 45 (Material Type: Text)
Series XIX: Double Barriers, 1992-2000, inclusive
Kunitomo & Ikeda, Pricing Options with Curved Boundaries, 1992-10
box: 10, folder: 46 (Material Type: Text)
Rogers & Stapleton, Fast Accurate Binomial Pricing, Finance & Stochastics, 1997-02
box: 10, folder: 47 (Material Type: Text)
Sbuelz, A.; Semi-Static Hedging of Double Barrier Options, Tilburg University Working Paper, 2000-07
box: 10, folder: 48 (Material Type: Text)
Single Barrier Valuations, 1994-11-1995-07-31, inclusive
box: 10, folder: 49 (Material Type: Text)
Stability, Undated
box: 10, folder: 50 (Material Type: Text)
Static Hedging, 1999-06-30-1999-07-01, inclusive
box: 10, folder: 51 (Material Type: Text)
Financial Interpretation of Double Knockouts, Undated
box: 10, folder: 52 (Material Type: Text)
Input Spec's, 1994-05-17
box: 10, folder: 53 (Material Type: Text)
Kunitomo/Ikeda, Pricing Options with Curved Boundaries, 1992-06-1994-11-16, inclusive
box: 10, folder: 54 (Material Type: Text)
Method of Lines Workshop, 1995-04-24
box: 10, folder: 55 (Material Type: Text)
MCL Valuation of Single Barriers, 1994-05
box: 10, folder: 56 (Material Type: Text)
Method of Images, 1994-08
box: 10, folder: 57 (Material Type: Text)
Plots, Undated
box: 10, folder: 58 (Material Type: Text)
Proposal, 1994
box: 10, folder: 59 (Material Type: Text)
Timbrell, Richard, 1994-05-16
box: 10, folder: 60 (Material Type: Text)
Richard Skora's Two Barrier Options, 1993-09-08-1993-09-18, inclusive
box: 10, folder: 61 (Material Type: Text)
Term Structure, 1994
box: 10, folder: 62 (Material Type: Text)
Time Discretization, Undated
box: 10, folder: 63 (Material Type: Text)
Fugit of Perpetual Double Barrier, 1999-10-03
box: 10, folder: 64 (Material Type: Text)
Analytic Formula, Undated
box: 10, folder: 65 (Material Type: Text)
Barrier Randomization, Undated
box: 10, folder: 66 (Material Type: Text)
Binomial Correction & Aitken's O^2, Undated
box: 10, folder: 67 (Material Type: Text)
Binomial Valuation of Double Knockout, 1994-07
box: 10, folder: 68 (Material Type: Text)
Chernavsky, Alex, 1994-10-26
box: 10, folder: 69 (Material Type: Text)
Chase Double Knockin/out, Undated
box: 10, folder: 70 (Material Type: Text)
Double Knockout Call - Global, 1994-1995-07-20, inclusive
box: 10, folder: 71 (Material Type: Text)
Double Knockout Call - Local, Undated
box: 10, folder: 72 (Material Type: Text)
Double Knockout Put - Global, 1995-07-20
box: 10, folder: 73 (Material Type: Text)
Double Knockout Put - Local, Undated
box: 10, folder: 74 (Material Type: Text)
Embedded Ocufile Barriers, 1994-06-30
box: 10, folder: 75 (Material Type: Text)
Interpolation, Undated
box: 10, folder: 76 (Material Type: Text)
Series XX: Double Knockouts by Fourier, 1994-1998, inclusive
Correspondence from Ravi Bhagavatula, 1997-06-02
box: 10, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Double-Knockout Rewrite, 1997-1998, inclusive
box: 10, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
C PGMs, 1994-12
box: 10, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Correspondence with Ravi & Others, 1994-1997, inclusive
box: 10, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
Extensions, Undated
box: 10, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
Variance Term Structure Figures, Undated
box: 10, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Journal Submission Mathematical Finance, 1994-1995, inclusive
box: 10, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Valuing Double Barrier Options with Time-Dependent Parameters, 1995-1997, inclusive
box: 10, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Ravi's Earlier Work, 1992-1996, inclusive
box: 10, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Ravi's Resume, 1994-1997, inclusive
box: 10, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
Referee Reports, Undated
box: 10, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Section 3: Valuation Constant Parameters, Undated
box: 10, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
Time Dependent Rebates, Undated
box: 10, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
Section 4: Valuation with Time Dependent Parameters, Undated
box: 10, folder: 90 (Material Type: Text)
Extent
60 Linear Feet
Section 5.1 Convergence Issues, Undated
box: 10, folder: 91 (Material Type: Text)
Extent
60 Linear Feet
Section 5.2 Term Structure Effects, Undated
box: 10, folder: 92 (Material Type: Text)
Extent
60 Linear Feet
Series XXI: Early Exercise Results, 1989-1992, inclusive
American Put, 1990-1992, inclusive
box: 10, folder: 93 (Material Type: Text)
Extent
60 Linear Feet
Approximations, Undated
box: 10, folder: 94 (Material Type: Text)
Extent
60 Linear Feet
Arbitraging Mispricing, Undated
box: 10, folder: 95 (Material Type: Text)
Extent
60 Linear Feet
American Option Problem, Undated
box: 10, folder: 96 (Material Type: Text)
Extent
60 Linear Feet
Binomial Model, 1989
box: 10, folder: 97 (Material Type: Text)
Extent
60 Linear Feet
Bob's Notes, 1989
box: 10, folder: 98 (Material Type: Text)
Extent
60 Linear Feet
Calculus of Variations, Undated
box: 10, folder: 99 (Material Type: Text)
Extent
60 Linear Feet
Calculation of Boundary, Undated
box: 10, folder: 100 (Material Type: Text)
Extent
60 Linear Feet
Current Version of Carr Jarrow, 1989-10
box: 11, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Characterizing the Boundary, Undated
box: 11, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Characterization of Early Exercise, Undated
box: 11, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Copies of Carr Jarrow, 1989-10
box: 11, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Corrections to Carr-Myneni, 1989-09-21
box: 11, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Current version of Carr Myneni, 1989-09-21
box: 11, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Derivatives, Undated
box: 11, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Differentiability at Boundary, Undated
box: 11, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Discretizing Over Stock Prices, Undated
box: 11, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Dividends, Undated
box: 11, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Envelope Theorem, Undated
box: 11, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Equivalence of Cox Ross and Carr Jarrow for European Options, Undated
box: 11, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Equivalence of McKeon & Carr, Undated
box: 11, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Equivalence of McKeon & Myneni, Undated
box: 11, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Equivalence of Carr & Myneni, Undated
box: 11, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
European Call Valuation Under GBM, Undated
box: 11, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
European Put Valuation Under GBM, 1989-09-12
box: 11, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Exponential Spline, Undated
box: 11, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Extensions/Improvements, Undated
box: 11, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Extreme Values, Undated
box: 11, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
First Passage Time Density to Boundary, Undated
box: 11, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Fourier Solution of PDE, Undated
box: 11, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Futures Options, Undated
box: 11, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Geometric Brownian Motion, 1989
box: 11, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Geske Johnson in the Bin Model, Undated
box: 11, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Homogeneity Implications, Undated
box: 11, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Jamshidian Conversations, 1990-03-02
box: 11, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Cumberton's FAX, Undated
box: 11, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Letters of Faxes on Phone Calls with Ravi V. or Ravi M., 1989-09-20-1990-09-20, inclusive
box: 11, folder: 29 (Material Type: Text)
Lower Bound, Undated
box: 11, folder: 30 (Material Type: Text)
Numerical Evaluation of the Boundary, Undated
box: 11, folder: 31 (Material Type: Text)
American Put Mathematica Programs, 1990-08-08
box: 11, folder: 32 (Material Type: Text)
Numerical Results, 1989-09-15
box: 11, folder: 33 (Material Type: Text)
Probabilistic Development of McKeon, Undated
box: 11, folder: 34 (Material Type: Text)
Probabilistic Development of Myneni, Undated
box: 11, folder: 35 (Material Type: Text)
Perpetual Call Valuation Under GBM, Undated
box: 11, folder: 36 (Material Type: Text)
Perpetual Put Valuation Under GBM, Undated
box: 11, folder: 37 (Material Type: Text)
Perpetual Put in Binomial Model, Undated
box: 11, folder: 38 (Material Type: Text)
Proof of Theorem 1, Undated
box: 11, folder: 39 (Material Type: Text)
Put Replicating Strategies, Undated
box: 11, folder: 40 (Material Type: Text)
Ted Tregurtha's Work on American Puts, Undated
box: 11, folder: 41 (Material Type: Text)
SpeakEZ (Speakeasy), 1989
box: 11, folder: 42 (Material Type: Text)
Probabilistic Development of Carr, Undated
box: 11, folder: 43 (Material Type: Text)
Programs, 1989-10-09
box: 11, folder: 44 (Material Type: Mixed Materials)
Pseudo-American Put Valuation, Undated
box: 11, folder: 45 (Material Type: Text)
Title Page & Supplemental Material, 1989-12
box: 11, folder: 46 (Material Type: Text)
TTD on Carr Jarrow, Undated
box: 11, folder: 47 (Material Type: Text)
Upper Bound, Undated
box: 11, folder: 48 (Material Type: Text)
Valuing European Put Using a Moving Boundary, Undated
box: 11, folder: 49 (Material Type: Text)
Probabilistic Development of Carr, Undated
box: 11, folder: 50 (Material Type: Text)
Valuing the Early Exercise Premium, Undated
box: 11, folder: 51 (Material Type: Text)
Series XXII: Executive Stock Options (ESO), 1984-2003, inclusive
Bibliography on ESO's, Undated
box: 11, folder: 52 (Material Type: Text)
FNMA, 1996-12-31
box: 11, folder: 53 (Material Type: Text)
Microsoft ESO, Undated
box: 11, folder: 54 (Material Type: Text)
The Wall Street Journal Reports - Executive Pay, 1994-04-13
box: 11, folder: 55 (Material Type: Text)
Alternative Problem Formulations, Undated
box: 11, folder: 56 (Material Type: Text)
Amin, Kaushik; Jump-Diffusion Option Valuation in Discrete-Time, University of Michigan, Working Paper, 1993-03
box: 11, folder: 57 (Material Type: Text)
AMOL, Undated
box: 11, folder: 58 (Material Type: Text)
Carr & Linetsky, The Valuation of Executive Stock Options in an Intensity-Based Framework, European Finance Review, 2000
box: 11, folder: 59 (Material Type: Text)
Carr & Jarrow / CJM, Undated
box: 11, folder: 60 (Material Type: Text)
Concavity of Call Option in T, Undated
box: 11, folder: 61 (Material Type: Text)
Dead Ends, Undated
box: 11, folder: 62 (Material Type: Text)
DICALG, Undated
box: 11, folder: 63 (Material Type: Text)
(Indicator Intensity &) Exponential Exercise Boundary, Undated
box: 11, folder: 64 (Material Type: Text)
E^x e^uwt minus lambda gamma t, Undated
box: 11, folder: 65 (Material Type: Text)
Ex exp{-lambdaS1(wt>o)dt}, Undated
box: 11, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Executive Stock Options Literature, 1993
box: 11, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
FNMA ESC's, 1997-01
box: 11, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Flor, Frimor, & Munk; On the Optimality of Executive Stock Options, 2003-08-15
box: 11, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Fractional Integral Tables, Undated
box: 11, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Funding - Financial Research Foundation, 1993-12-03
box: 11, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
(Using) GT to Remove Drift, Undated
box: 11, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Greeks, Undated
box: 11, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
Harrison - Ch. 1, Undated
box: 11, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
Intensity is Call, Undated
box: 11, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Kennedy Equity Derivatives, 1997
box: 11, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
K & S Text, Undated
box: 11, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Trivariate Density of Brownian Motion, 1984
box: 11, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
Laplace's Rule of Succession, Undated
box: 11, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Laplace Transforms, Undated
box: 11, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
(Using) Local Time, Undated
box: 11, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
Leads, Undated
box: 11, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Martingale Methods, Undated
box: 11, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Occup. Time as Term in RN Deriv., Undated
box: 11, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Perpetual Executive Stock Options, Undated
box: 11, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Perpetual Callable Convertible, Undated
box: 11, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
Popular Press, 1993-12-13
box: 11, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Problem Statement, Undated
box: 11, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
SLSG - Stop Loss Start Gain, 1990
box: 11, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
Sircar & Xiong, Evaluating Incentive Options, 2003-08-20
box: 11, folder: 90 (Material Type: Text)
Extent
60 Linear Feet
Specifications of lamda t, Undated
box: 11, folder: 91 (Material Type: Text)
Extent
60 Linear Feet
(Using) Squared Bessel Process, Undated
box: 11, folder: 92 (Material Type: Text)
Extent
60 Linear Feet
TIBS, Undated
box: 11, folder: 93 (Material Type: Text)
Extent
60 Linear Feet
TSE, Undated
box: 11, folder: 94 (Material Type: Text)
Extent
60 Linear Feet
Woodruff, Kevin; Hedging ESO's, Management Science Working Paper, 1997
box: 11, folder: 95 (Material Type: Text)
Extent
60 Linear Feet
Zero Intensity; Exercise at Exponential Boundary, 1989-1993, inclusive
box: 11, folder: 96 (Material Type: Text)
Extent
60 Linear Feet
(Using) Last Exit time, 1993
box: 11, folder: 97 (Material Type: Text)
Extent
60 Linear Feet
Paper with Bob Jarrow, 1992
box: 11, folder: 98 (Material Type: Text)
Extent
60 Linear Feet
Accounting for Stock Options, 1992-1993, inclusive
box: 11, folder: 99 (Material Type: Text)
Extent
60 Linear Feet
Series XXIII: Exogenous Variance Swap Rate, 2002-2004, inclusive
Carr & Sun, A New Approach for Pricey Options under Stochastic Volatility, 2004
box: 11, folder: 100 (Material Type: Text)
Extent
60 Linear Feet
QD 3/2 Process Properties, Undated
box: 11, folder: 101 (Material Type: Text)
Extent
60 Linear Feet
Barrier Options (on both price & lcr QV), 2004-11-07
box: 11, folder: 102 (Material Type: Text)
Extent
60 Linear Feet
Asian Options under SV, 2004-11-22
box: 11, folder: 103 (Material Type: Text)
Extent
60 Linear Feet
QV Dependent Normal Vol., 2004-11
box: 11, folder: 104 (Material Type: Text)
Extent
60 Linear Feet
Separable Volatility, 2004-11
box: 11, folder: 105 (Material Type: Text)
Extent
60 Linear Feet
Trivariate Problem, 2004-11
box: 11, folder: 106 (Material Type: Text)
Extent
60 Linear Feet
Additive Functionals & 3/2 Process, 2004-11
box: 11, folder: 107 (Material Type: Text)
Extent
60 Linear Feet
Joint CFILT in Quad Drifts 3/2 Process, 2004-11
box: 11, folder: 108 (Material Type: Text)
Extent
60 Linear Feet
[Killig Killig] via Measure Change, 2004-11-21
box: 11, folder: 109 (Material Type: Text)
Extent
60 Linear Feet
Links to MR5 Process, 2004-11-22
box: 11, folder: 110 (Material Type: Text)
Extent
60 Linear Feet
PDF of QD 3/2 Process, 2004-11-16
box: 11, folder: 111 (Material Type: Text)
Extent
60 Linear Feet
Carr & Sun, Delta Hedge & Variance Swap, 2004-11
box: 11, folder: 112 (Material Type: Text)
Extent
60 Linear Feet
DES for Inst. Mean & Variance, 2004-11
box: 11, folder: 113 (Material Type: Text)
Extent
60 Linear Feet
CF of Xt in Prepared Model, 2004-10-2004-11, inclusive
box: 11, folder: 114 (Material Type: Text)
Extent
60 Linear Feet
Calibrating Y to ATM Implied, 2004-11-09
box: 11, folder: 115 (Material Type: Text)
Extent
60 Linear Feet
Always At-The-Money Non Dimensional Option Price as Stochastic Term Change, 2004-11-09
box: 12, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Strike Structures of Stochastic Term, 2004-11-07
box: 12, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
PDF of Process, 2004-11-06
box: 12, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Heston, S.L.; A Simple New Formula for Options with Stochastic Volatility, Washington University in St. Louis Working Paper, 2004-10
box: 12, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Implications of SVRH Maturity Independence DH for RN Drift of V, 2004-10-2004-11, inclusive
box: 12, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Variance Swap Rate under Quadratic Drift for V, 2004-10-2004-11, inclusive
box: 12, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Time Dependent PIQ & E, 2004-10-2004-11, inclusive
box: 12, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
SV Version of 3/2 Process, 2004-10
box: 12, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Accumulating Variance Swap in Quadratic Drift 3/2 Process, 2004-10-2004-11, inclusive
box: 12, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Credit Applications, 2004-10-26
box: 12, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Closed Form Solutions for Realized Variance Derivatives, 2004-10
box: 12, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Calibration, 2004-10
box: 12, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Quadratic Numerical Vol for W, 2004-10
box: 12, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Robust Option Replication, 2004-10
box: 12, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Wen, Fenghua (Anna); Pricing Options on Realized Variance, Undated
box: 12, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Pricing and Hedging Stochastic Volatility Models, Notes, 2004-11
box: 12, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Generalized Spectral Expansions & Functions of [Laguerre Polynomials], 2003-07
box: 12, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Symmetry Analysis of QD 3/2 Process, 2004-11
box: 12, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Det'c Term Warp, 2004-11-17
box: 12, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Term Warp, 2004-10-2004-11, inclusive
box: 12, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Time Reversing Generated Stochastic Exponentials, 2004-11-07-2004-11-10, inclusive
box: 12, folder: 21 (Material Type: Text)
Carr, Girsanov's Theorem for Semi-Martingales in a Nutshell, 2004-01-29-2004-11-07, inclusive
box: 12, folder: 22 (Material Type: Text)
Generalized Stochastic Exponential, 2004-03-10
box: 12, folder: 23 (Material Type: Text)
Protter, Philip; A Formula for Z + Eh(X), 2004-03-22
box: 12, folder: 24 (Material Type: Text)
Dividend Stripping, 2001-05-15-2004-11-07, inclusive
box: 12, folder: 25 (Material Type: Text)
3 Assets, 2003-07-05
box: 12, folder: 26 (Material Type: Text)
Turning One Linear Division Policy into Another, 2002-10-14-2003-07-05, inclusive
box: 12, folder: 27 (Material Type: Text)
Ross, Stephen A.; A Neoclassical Look at Behavioral Finance: Closed End Funds, 2002-09
box: 12, folder: 28 (Material Type: Text)
Ross, Stephen A.; A Simple Approach to the Valuation of Risky Streams, Journal of Business '78, Undated
box: 12, folder: 29 (Material Type: Text)
Stripping [Affirm] Dividends by using Generalized Stochastic Exponentials, 2004-11-08-2004-11-11, inclusive
box: 12, folder: 30 (Material Type: Text)
Extensions of Our Methodology, 2004-10-19
box: 12, folder: 31 (Material Type: Text)
Fourier Transfer of x and Laplace Transform of J in General Model, 2004-10
box: 12, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Feller Process & 3/2 Process, 2004-10-19
box: 12, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Merton Perpetual Warrant, 2004-10-17
box: 12, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
g(w)=Ew or dvt=p(t)vtdb + e sqrt(vt^3)dwt, 2004-10-19
box: 12, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Prob. Representation of Solution to Elliptic PDE, 2004-10
box: 12, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Hull White / Romano Touzi, 2004-10
box: 12, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Futures vs. Formed Variance Swap, Undated
box: 12, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
BVP's for Greeks, 2004-10-12
box: 12, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Volga, 2004-10
box: 12, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Related Papers, 2004-10
box: 12, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Calibration, 2004-10
box: 12, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Other Solvable Models, 2004-10-13
box: 12, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Robust Hedging with Variance Swaps / Vix futures, Realized Variance Futures, 2004
box: 12, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Implications of Term Warp for Robust Replication at Vol. Derivatives under Correlation, 2004-11
box: 12, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Series XXIV: Exotic Options Results A-D, 1992-2005, inclusive
(Exotics) Bibliography, Undated
box: 12, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
(Exotics) Book, 1993-08-05
box: 12, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Computer Search, 1993-02-24
box: 12, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
(Exotics) Conferences, 1993
box: 12, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
(Chase FX) Exotics, Undated
box: 12, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Chase; Mundane Problems, Exotic Solutions, 1992-08
box: 12, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Chase Manhattan Bank, Exotic Products Hedging and Marking-to-Model, Undated
box: 12, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
CSFP Capital Inc., Credit Suisse Financial Products, Undated
box: 12, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
(Lehman Bros), Exotics, Undated
box: 12, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
LeLand O'Brien Rubinstein Associates, Nonstandard Options, Undated
box: 12, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
SBCI Product Descriptions, 1992-12
box: 12, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
SBC Exotics; Overheads from Glenn Satly / SBC, Undated
box: 12, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Swiss Bank / O'Connor Overheads, Undated
box: 12, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
ABP Hedge, Undated
box: 12, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Accreting National, Undated
box: 12, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
American Options, 1996-06-21
box: 12, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Barrier Options (1), 1996
box: 12, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Barrier Options (2), 1992-1998, inclusive
box: 12, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
Bermuda Options, 1996-10-22
box: 12, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Best of Two Calls, 1997
box: 12, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
CB on Best of 3, 1999
box: 12, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Cheeser Option, 1996-10-22
box: 12, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Collars, 1999-01
box: 12, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Compound Options, Undated
box: 12, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Contingent Options, Undated
box: 12, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Convertible Bonds, 1994-1997, inclusive
box: 12, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
CPI Stucture, 1996
box: 12, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Daycount KOKI, 1996-12
box: 12, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
DECS, 1993-1994, inclusive
box: 12, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
DIVOC, 1995-1996
box: 12, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Digital Options, 1996-08
box: 12, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
DIV Protected Convertible, Undated
box: 12, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
DOP, Undated
box: 12, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
ELKS, 1993-02-12
box: 12, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Forward Start Exotics, Undated
box: 12, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
End Cdn Call, Undated
box: 12, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
EPO's, 1997-06
box: 12, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Pellccioli, Tiers, Lenhart, Gradinaru; Equity Structured Products Weekly Institutional Investors, JP Morgan, 2005-06-03
box: 12, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Extendible Call Spread, Undated
box: 12, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Flex Collars, Undated
box: 12, folder: 85 (Material Type: Text)
Floating Strike Put Where Strike Has Floor & Ceiling, Undated
box: 12, folder: 86 (Material Type: Text)
Forward Stating Option with Cap Determined in Another Currency, 1997-03-06-1997-03-11, inclusive
box: 12, folder: 87 (Material Type: Text)
Index Options, Undated
box: 12, folder: 88 (Material Type: Text)
Hull & White, Efficient Procedures for Valuing European and American Path-Dependent Options, Journal of Derivatives, 1994
box: 12, folder: 89 (Material Type: Text)
Interest Less Dividends, Undated
box: 12, folder: 90 (Material Type: Text)
Interest Rate Linked, 1996-07-29-1996-07-30, inclusive
box: 12, folder: 91 (Material Type: Text)
Ladder Call, Undated
box: 12, folder: 92 (Material Type: Text)
Lookback Options, 1993-04-28-1996-06-26, inclusive
box: 12, folder: 93 (Material Type: Text)
KOKI's, 1996-04-02-1997-03-31, inclusive
box: 12, folder: 94 (Material Type: Text)
Lock-in Option, Undated
box: 12, folder: 95 (Material Type: Text)
Series XXV: Exotic Options Results E-Z, 1990-2005, inclusive
LYONs, 1991
box: 12, folder: 96 (Material Type: Text)
Maximum Options, 1995-06-05
box: 12, folder: 97 (Material Type: Text)
Maximum of n Assets, Undated
box: 12, folder: 98 (Material Type: Text)
The European and American Option on the Maximum or Minimum of 2-Assets with Stochastic Exercise Price, and an Empirical Examination of the 2-D Free Boundary Problem: Implications for Issues of Irreversibility and Uncertainty, Undated
box: 12, folder: 99 (Material Type: Text)
Mini Premium Puts, 1994-05-10
box: 12, folder: 100 (Material Type: Text)
Miscellaneous Results, Undated
box: 12, folder: 101 (Material Type: Text)
Multiply Exercised Call, Undated
box: 12, folder: 102 (Material Type: Text)
Multivariate Options, 1990
box: 12, folder: 103 (Material Type: Text)
Outperformance Options, 1991-09-19-1996-08-02, inclusive
box: 13, folder: 1 (Material Type: Text)
Outperformance Basket Option, Undated
box: 13, folder: 2 (Material Type: Text)
Parisian Option, Undated
box: 13, folder: 3 (Material Type: Text)
Partial Barrier Options (1), Undated
box: 13, folder: 4 (Material Type: Text)
Partial Barrier Options (2), Undated
box: 13, folder: 5 (Material Type: Text)
Passport Options Term Sheet, 2004-04-30-2005-01-27, inclusive
box: 13, folder: 6 (Material Type: Text)
PEPS, 1996-03-04-1996-03-29, inclusive
box: 13, folder: 7 (Material Type: Text)
PERCs, Undated
box: 13, folder: 8 (Material Type: Text)
Perpetual Proportion Option, 1996-06-04-1996-06-06, inclusive
box: 13, folder: 9 (Material Type: Text)
PERQs, 1996-11-21-1996-12-13, inclusive
box: 13, folder: 10 (Material Type: Text)
Portfolio Insurance, 1996-04-19
box: 13, folder: 11 (Material Type: Text)
Power Options, 1996-02-15-2001-02-07, inclusive
box: 13, folder: 12 (Material Type: Text)
Quantos, Undated
box: 13, folder: 13 (Material Type: Text)
(BT) Quantos Compound Option, 1994-05-11
box: 13, folder: 14 (Material Type: Text)
(Currency Protected) Lookback, Undated
box: 13, folder: 15 (Material Type: Text)
(Currency Protected) Swaps, Undated
box: 13, folder: 16 (Material Type: Text)
Quantos to NMS, 1999-02-08-1999-02-22, inclusive
box: 13, folder: 17 (Material Type: Text)
Girsanov's Theorem for Semimartingales & Quantoing, 1999-10-04
box: 13, folder: 18 (Material Type: Text)
Quantoing in General Setting, 2000-02-21-2000-02-29, inclusive
box: 13, folder: 19 (Material Type: Text)
RNV via Quantoing, Undated
box: 13, folder: 20 (Material Type: Text)
Carr's Canopener, Undated
box: 13, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Reset Options, 1996
box: 13, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Reset KOKI, 1996
box: 13, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Resettable Convertible, 1996
box: 13, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Return on Best Sharpe Ratio, Undated
box: 13, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Return on Best Marhoush Object Function, Undated
box: 13, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Shout Derivatives, 1999
box: 13, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Single Stock Futures, 2001-04-19
box: 13, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
SPDA's, 1996
box: 13, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Sort-of American Call, Undated
box: 13, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Trax Option, 1996-03-01
box: 13, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Triple Play, Undated
box: 13, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Two Factor Exotic Options, Undated
box: 13, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Underperformance Option, 1996
box: 13, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Up & Out Call with Rebate, Undated
box: 13, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
VSR, 1996-10
box: 13, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Worst of 2 Puts, Undated
box: 13, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Zero Cost Collar Calc, 1996-03
box: 13, folder: 38 (Material Type: Text)
Series XXVI: Finite Differences Derivations, 1983-2006, inclusive
S.R. Mane; Shift of Interest Rates in a Finite-Difference Scheme, Undated
box: 13, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
General Finite Difference Programs, Undated
box: 13, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Approximation for American Ex Boundary in Finite-Difference Scheme, Undated
box: 13, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Pooley, Vetzal, Forsyth; Convergence Remedies for Non-Smooth Payoffs in Option Pricing, 2003
box: 13, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Smith, R.; Optimal and Near-Optimal Advection-Diffusion Finite-Difference Schemes III. Black-Scholes Equation, 2000
box: 13, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Yuste & Acedo, An Explicit Finite Difference Method and a New von Neumann-Type Stability Analysis for Fractional Diffusion Equations, Siam J. Numer. Anal., 2005
box: 13, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Zhang, J.; Rate of Convergence of Finite Difference Approximations for Degenerate Ordinary Differential Equations, 2006
box: 13, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Ali's Finite-Difference Model, Undated
box: 13, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Finite-Difference Tricks, Undated
box: 13, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Arb Constr's, 2000-05
box: 13, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
BC's for Options, 2000-06-17
box: 13, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Nakaki, Tomoeda; A Finite Difference Scheme for Some Nonlinear Diffusion Equations in Absorbing Medium, 2000-11-06
box: 13, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Finite Element, 1993-07
box: 13, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Finite Elements & First Order CDE in Time, Undated
box: 13, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Finite Elements, Undated
box: 13, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Binomial Programs, 1983
box: 13, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Cell Aug'g, Undated
box: 13, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Discretizing Potential Term, 2000-08-03
box: 13, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
FDB - Finite Difference Binomial, 1987
box: 13, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Finite Differences & Binomial Method, 1987
box: 13, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Finite Difference - Put Options, 1983-1984, inclusive
box: 13, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Finite Differences, 1994-01-11
box: 13, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Finite Differences Class, 1999
box: 13, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Finite Difference - Call Options, 1983
box: 13, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Forward PDE, Undated
box: 13, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
No Natural BC's, 1999-11-23
box: 13, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Functions, 1983
box: 13, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
d'Halluin, Forsyth & Vetzal; Robust Numerical Methods for Contingent Claims under Jump Diffusion Processes, 2003-12-08
box: 13, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Linear Multi-Step Formulas, 1993-1994, inclusive
box: 13, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Lookbacks, 1993-10
box: 13, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Operator Solution, 1993
box: 13, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Option Adapted Numerical Schemes, 2000-10-25
box: 13, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Probabilistic Interpretation, Undated
box: 13, folder: 71 (Material Type: Text)
Quadratic (TSE), Undated
box: 13, folder: 72 (Material Type: Text)
Using Quanting IGT to Eliminate Drift in Correction Dominated PDE's, 1999-02-24
box: 13, folder: 73 (Material Type: Text)
Sateesh Mane, 1998-11-25-2000-08-09, inclusive
box: 13, folder: 74 (Material Type: Text)
Separation of Variables, Undated
box: 13, folder: 75 (Material Type: Text)
Square Root Behavior, 1994-07-20
box: 13, folder: 76 (Material Type: Text)
Truncation Error, Undated
box: 13, folder: 77 (Material Type: Text)
Unit Source Code, Undated
box: 13, folder: 78 (Material Type: Text)
Series XXVII: First Passage, 1980-2003, inclusive
Kou & Wang, First Passage Times of a Jump Diffusion Process, 2002-04-16
box: 13, folder: 79 (Material Type: Text)
Novel Derivations of Barrier Options, 2002-03-19
box: 13, folder: 80 (Material Type: Text)
Pistorius, Martijn R.; Exit Problems of Lévy Processes with Applications in Finance, 2003-05-20
box: 13, folder: 81 (Material Type: Books)
Rich, Don, 1993-07-15
box: 13, folder: 82 (Material Type: Text)
Tuckwell & Wan, First-Passage Time of Markov Processes to Moving Barriers, J. Appl. Prob. 1984, Undated
box: 13, folder: 83 (Material Type: Text)
Lateral Chapman Kolmogorov, 2002-06-05-2002-06-07, inclusive
box: 13, folder: 84 (Material Type: Text)
(Univariate) First Passage Times, Undated
box: 13, folder: 85 (Material Type: Text)
FPT of C-U or Bessel, 1993-02-24
box: 13, folder: 86 (Material Type: Text)
Bivariate First Passage Times, 1980-01-01-1992-03-17, inclusive
box: 13, folder: 87 (Material Type: Text)
Kielson, Julian; The First Passage Time Density for Homogeneous Skip-free Walks on the Continuum, Annals of Mathematical Statistics September 1963, Undated
box: 13, folder: 88 (Material Type: Text)
Gikhman & Skorokhod, Introduction to the Theory of Random Processes, Undated
box: 13, folder: 89 (Material Type: Text)
Durbin, J.; The First-Passage Density of a Continuous Gaussian Process to a General Boundary, Journal of Applied Physics 22 1985, Undated
box: 13, folder: 90 (Material Type: Text)
Duanmu, Zhenyu; Ch. 3 - First Passage Time Density Approach to Pricing Barrier Options, Cornell Dissertation '93, Undated
box: 13, folder: 91 (Material Type: Text)
Static Hedging with Time Dependent Drift & Vol (Numerical), 1997-01-03-1997-03-15, inclusive
box: 13, folder: 92 (Material Type: Text)
Knockout Swaps, 1998-03-19-1998-03-22, inclusive
box: 13, folder: 93 (Material Type: Text)
European FX Up & Cut Put, Undated
box: 13, folder: 94 (Material Type: Text)
Carr, Peter; Static Replication of Path-dependent Derivatives, 1998-04-09
box: 13, folder: 95 (Material Type: Text)
Carr & Chou, Hedging Complex Barrier Options, 1997-04-01
box: 13, folder: 96 (Material Type: Text)
Deriving First Passage Time PDF from Options using FX Put Call Equivalence, 1998-07
box: 13, folder: 97 (Material Type: Text)
Girsanov's Theorem & Siegel's Paradox, 1997-02-1998-02, inclusive
box: 13, folder: 98 (Material Type: Text)
First Passage Time Puzzels, Undated
box: 13, folder: 99 (Material Type: Text)
Alternative First Passage Time Static Hedge, Undated
box: 13, folder: 100 (Material Type: Text)
Breaking Barriers, 1996-10-24-1996-11-14, inclusive
box: 13, folder: 101 (Material Type: Text)
Double Barrier Option, Undated
box: 13, folder: 102 (Material Type: Text)
Symmetry, Undated
box: 13, folder: 103 (Material Type: Text)
Static Hedging of First Passage Time Payer, Undated
box: 13, folder: 104 (Material Type: Text)
Creating a First Passage Time Payer, 1997-04-25-1997-04-26, inclusive
box: 13, folder: 105 (Material Type: Text)
Static Simplicity, Undated
box: 13, folder: 106 (Material Type: Text)
Static Hedging of Timing Risk, 1997-05-12-1997-05-20, inclusive
box: 13, folder: 107 (Material Type: Text)
First Exit Time & Static Hedging, Undated
box: 13, folder: 108 (Material Type: Text)
Series XXVIII: Fixed Barrier Forward Valuations, 1998-2005, inclusive
Presentations, 2003-04-2005-10-23, inclusive
box: 14, folder: 1 (Material Type: Text)
Integral FPIDE for European Call, 2002-03-02-2005-02-23, inclusive
box: 14, folder: 2 (Material Type: Text)
Put Call Ratio when Arrival Rates Depend on Spot, 2002-04-25-2005-02-01, inclusive
box: 14, folder: 3 (Material Type: Text)
Reference Reports, 2002-05-01-2002-09-12, inclusive
box: 14, folder: 4 (Material Type: Text)
Adjoint Interpretations of Put Call Reversal, 2005-02-20-2005-02-21, inclusive
box: 14, folder: 5 (Material Type: Text)
Forward Barrier Write-up, 2005-09-17
box: 14, folder: 6 (Material Type: Text)
Double Knockout Call Forward P(I)DE, 2003-03-23-2005-09-20, inclusive
box: 14, folder: 7 (Material Type: Text)
Penaud, Antony; Fast Valuation of a Portfolio of Barrier Options under Merton's Jump Diffusion Hypothesis, Wilmott 2004, Undated
box: 14, folder: 8 (Material Type: Text)
American Digital Puts & DCBC's, 2003-03-27-2003-10-13, inclusive
box: 14, folder: 9 (Material Type: Text)
American Digital Put Call Ratio, 2002-12-07
box: 14, folder: 10 (Material Type: Text)
Robert V. Kohn's Notes on FPIDE with Jumps, 2003
box: 14, folder: 11 (Material Type: Text)
Wystup, Uwe; The Market Price of Foreign Exchange One-Touch Options, Derivatives Week 2003, Undated
box: 14, folder: 12 (Material Type: Text)
(Applications to Valuing) Barrier Options, 2000-11-02-2001-07-21, inclusive
box: 14, folder: 13 (Material Type: Text)
American Digital Puts & ADC's, 2003-06-19
box: 14, folder: 14 (Material Type: Text)
FBCPIDE, 2002-06-19, inclusive
box: 14, folder: 15 (Material Type: Text)
Binary (European) Put Call Reversal, 2002-05-11-2002-05-17, inclusive
box: 14, folder: 16 (Material Type: Text)
Contingent Notional, 2002-10-14
box: 14, folder: 17 (Material Type: Text)
Contingent Notional Put Call Ratio, 2002-03-18
box: 14, folder: 18 (Material Type: Text)
FPDE for Down-and-In Binary Call/American Binary Put with Deferred Rebate, 2002-10-01-2002-10-18, inclusive
box: 14, folder: 19 (Material Type: Text)
American Binary Call/Put, 2002-01-24-2003-10-12, inclusive
box: 14, folder: 20 (Material Type: Text)
Down and Out Call, FP(I)DE, k > H, 2001-05-06-2003-10-12, inclusive
box: 14, folder: 21 (Material Type: Text)
DCC FPIDE, k < L, 2003-01-20-2003-10-12, inclusive
box: 14, folder: 22 (Material Type: Text)
DOP/C Reversal, 2002-03-20-2003-03-29, inclusive
box: 14, folder: 23 (Material Type: Text)
UoC Put Call Ratio, 2002-03-18
box: 14, folder: 24 (Material Type: Text)
Up & Out Call Forward PIDE, 2005-02-20-2005-02-21, inclusive
box: 14, folder: 25 (Material Type: Text)
Extracting First Passage Time Probability Density Function from Out Barrier Options, 2003-10-13
box: 14, folder: 26 (Material Type: Text)
PDE's for First Passage Time Probability Density Functions, 2001-07-14-2003-03-01, inclusive
box: 14, folder: 27 (Material Type: Text)
Forward Equation for First Passage Time Payer, 2002-04-30-2002-06-23, inclusive
box: 14, folder: 28 (Material Type: Text)
Moustakides, George V.; Extension of Wald's First Lemma to Markov Processes, 2001-11-13
box: 14, folder: 29 (Material Type: Text)
Borovkov, K. & Burq, Z.; Kendall's Identity for the First Crossing Time Revisited, Electronic Communications in Probability 2001, 2002-06-19
box: 14, folder: 30 (Material Type: Text)
Integrating Out First Passage Time Probability Density Function, 1998-04-04
box: 14, folder: 31 (Material Type: Text)
Last Exit Time & First Passage Time, 2001-07-25-2002-03-24, inclusive
box: 14, folder: 32 (Material Type: Text)
Model - Free Results, 2003-10-12
box: 14, folder: 33 (Material Type: Text)
Partial Barrier Options, 2000-07-25
box: 14, folder: 34 (Material Type: Text)
(Barrier Options from) Stop Options, 2003-02-16-2003-03-03, inclusive
box: 14, folder: 35 (Material Type: Text)
Series XXIX: Forward P(I)DE, 1986-2005, inclusive
Panayotov, G. & Madan, D.; The COGARCH Model and Option Pricing, 2005-10-31
box: 14, folder: 36 (Material Type: Text)
Time Reversal Literature for Processes with Jumps, 1999-11-08-2000-11-24, inclusive
box: 14, folder: 37 (Material Type: Text)
Literature on Duality, 1986
box: 14, folder: 38 (Material Type: Text)
Relevant Reviews, 2001-06-26
box: 14, folder: 39 (Material Type: Text)
Andersen, L. & Andreasen, J.; Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing, 2000-05-06
box: 14, folder: 40 (Material Type: Text)
Dellacherie, C.; Theorie Generale du Potentiel I, Undated
box: 14, folder: 41 (Material Type: Text)
Dynkin, E. B.; An Application of Flows to Time Shift and Time Reversal in Stochastic Processes 1985, Undated
box: 14, folder: 42 (Material Type: Text)
Errami, Russo & Vallois; Ito's Formula for C^1 lambda-Functions of a Cadlag Process and Related Calculus, 2001-02
box: 14, folder: 43 (Material Type: Text)
Jacod, J. & Protter, P.; Time Reversal on Lévy Processes, Annals of Probability 1988, Undated
box: 14, folder: 44 (Material Type: Text)
Madon, Dilip B.; The Instantaneous Profit and Loss Account, 2000-10-19-2002-03-13, inclusive
box: 14, folder: 45 (Material Type: Text)
Nagasawa, Masao; Time Reversion of Markov Processes, Nagoya Mathematical Journal 1964, Undated
box: 14, folder: 46 (Material Type: Text)
Picard, J. & Savona, C.; Smoothness of Harmonic Functions and Time Reversal of Markov Processes, Undated
box: 14, folder: 47 (Material Type: Text)
Savine, A.; A Theory of Volatility, BNP-Paribas, Undated
box: 14, folder: 48 (Material Type: Text)
BCPIDE, 2001-07-02-2002-02-24, inclusive
box: 14, folder: 49 (Material Type: Text)
BVPIDE, 2001-06-26-2002-04-12, inclusive
box: 14, folder: 50 (Material Type: Text)
Call Consistency to Backward and Forward PIDE's, 2001-07-20-2002-03-07, inclusive
box: 14, folder: 51 (Material Type: Text)
Derivation of Tanaka-Meyer from Taylor Series & Pure Jump Process, 2000-10
box: 14, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Delta Measure vs. Share Measure, 2002-05-11
box: 14, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Forward Call PIDE, 2000-2002, inclusive
box: 14, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Forward PIDE & Double Tail, 1999-2000, inclusive
box: 14, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
FQ PIDE, 2001-2002, inclusive
box: 14, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
FV PIDE, 2001-2002, inclusive
box: 14, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Higher Order Term Representations in FCPIDE, 2002-02-2002-03, inclusive
box: 14, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Implications of PCR, 2002-05
box: 14, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Intrinsic Value Decomposition for Jump Processes, 1999-2000, inclusive
box: 14, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Jumps, 2000-2002, inclusive
box: 14, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Jump Process Becomes Continuous?, 2002-05
box: 14, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Levy Process Results, 2001-07
box: 14, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
Local Double Tail & TR, 2001-07-28
box: 14, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Local Levy Density (& TR), 2001-2002, inclusive
box: 14, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Local Variation, 2000-10
box: 14, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Maturity Restrictions in One Factor Markov World, 2000-10
box: 14, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Nature of Options, 2000-2002, inclusive
box: 14, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
SLSG, 2001
box: 14, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Equivalences in Forward & Backward Economies, 2002-05
box: 14, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Local Vol. & Levy Density, 2000-10-24
box: 14, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Strike Process, 2001-06
box: 14, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Time Reversability of Markov Semi-martingales, 2002-03
box: 14, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
Time Value Invariance, 2001-2002, inclusive
box: 14, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
Why Only for Calls is FCPIDE Same Term as BCPIDE, 2001-06-2001-07, inclusive
box: 14, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Series XXX: Forward P(I)DE for American Put, 1992-2003, inclusive
A Forward PDE for American Puts in the Dupire Model, 2000-01-03-2003-03-12, inclusive
box: 14, folder: 76 (Material Type: Text)
Schroder, M.; Changes of Numeraire for Pricing Futures, Forwards, and Options; Review of Financial Studies 1999, Undated
box: 14, folder: 77 (Material Type: Text)
Arun's Put Call Relations, 2001-07-07-2001-07-18, inclusive
box: 15, folder: 1 (Material Type: Text)
Chriss, Neil; Transatlantic Trees, Risk July 1996, 2001-05-07
box: 15, folder: 2 (Material Type: Text)
Detemple, J.; American Options: Symmetry Properties, 1999-03-02
box: 15, folder: 3 (Material Type: Text)
Wystup, U.; Aspects of Symmetry, Homogeneity and Duality of the Black-Scholes Pricing Formula for European Style Put and Call Options, 1999-01-20
box: 15, folder: 4 (Material Type: Text)
Peskir & Shiryaev, A Note on the Call-Put Parity and a Call-Put Duality, Undated
box: 15, folder: 5 (Material Type: Text)
Lewis, A.; Duality and Changes of Numeraire, Undated
box: 15, folder: 6 (Material Type: Text)
FPDE for American Options in Heston Model, Undated
box: 15, folder: 7 (Material Type: Text)
American Call on Stock Paying Known Dividend, 2002-10-16-2002-10-21, inclusive
box: 15, folder: 8 (Material Type: Text)
Forward PDE for American Options via SLSG, 1992-02-2002-11-19, inclusive
box: 15, folder: 9 (Material Type: Text)
American FCPDE (True), 2001-06-08-2002-04-30, inclusive
box: 15, folder: 10 (Material Type: Text)
American Put Call Ratio, 2001-07-19-2003-03-04, inclusive
box: 15, folder: 11 (Material Type: Text)
Envelope Theorem Approach, 2000-11-17-2003-03-02, inclusive
box: 15, folder: 12 (Material Type: Text)
Forward PDE for American Options via Forward PDE for European Options, 2001-04-14
box: 15, folder: 13 (Material Type: Text)
Forward PDE for American Call with Continuous Ex Opp's, 2000-11-16
box: 15, folder: 14 (Material Type: Text)
(Forward PDE for) American Calls in Terms of European Options, 2002-01-12-2002-01-19, inclusive
box: 15, folder: 15 (Material Type: Text)
(Using) Complex Variables, 2000-11-08-2001-03-28, inclusive
box: 15, folder: 16 (Material Type: Text)
Schrodinger Equation, 2001-05-08
box: 15, folder: 17 (Material Type: Text)
Complex SBM via Time Reversal, 2001-03-21-2001-03-31, inclusive
box: 15, folder: 18 (Material Type: Text)
Using Time Reversal to Create Adaptive Mesh or Tree, Undated
box: 15, folder: 19 (Material Type: Text)
Binomial Model, 2002-01-18-2002-01-19, inclusive
box: 15, folder: 20 (Material Type: Text)
Binomial or Trinomial Illustration of Strike Maturity Arbitrage, 2001-07-25-2001-08-04, inclusive
box: 15, folder: 21 (Material Type: Text)
Derman & Kani, Riding on a Smile, Risk February 1994, Undated
box: 15, folder: 22 (Material Type: Text)
Derman & Kani, The Volatility Smile and Its Implied Tree, 1993-12-29
box: 15, folder: 23 (Material Type: Text)
Derman, Kani & Zou; The Local Volatility Surface: Unlocking the Information in Index Option Prices, Financial Analysts Journal July/August 1996, Undated
box: 15, folder: 24 (Material Type: Text)
Kani, Derman & Kamal; Trading and Hedging Local Volatility, 1996-08
box: 15, folder: 25 (Material Type: Text)
Williams, Todd; Branching Process Stock Model, 2001 Dissertation, 2001-07-19
box: 15, folder: 26 (Material Type: Text)
Put Call Reversal Paper, 2002-02-22-2002-03-07, inclusive
box: 15, folder: 27 (Material Type: Text)
Series XXXI: Frequently Asked Questions, 1993-2000, inclusive
Arbitrage in BS Model with Unknown Vol., 2000-10-20
box: 15, folder: 28 (Material Type: Text)
FAQ Revision for Journal of Derivatives, 2000-07-13-2000-12-12, inclusive
box: 15, folder: 29 (Material Type: Text)
Journals, 2000-01-12-2000-01-26, inclusive
box: 15, folder: 30 (Material Type: Text)
Mistake in BS Derivation, 1999-12-21
box: 15, folder: 31 (Material Type: Text)
Manuscript, 1999-12-21
box: 15, folder: 32 (Material Type: Text)
MMI & RNV, 1999-06-13
box: 15, folder: 33 (Material Type: Text)
Eliminating Market Price of Risk, Undated
box: 15, folder: 34 (Material Type: Text)
RNV as Quantoing, 1999-05-30-1999-06-01, inclusive
box: 15, folder: 35 (Material Type: Text)
Law of the Unconscious Finance Professor (1), 1999-08-27
box: 15, folder: 36 (Material Type: Text)
How Does Quantoing Work?, Undated
box: 15, folder: 37 (Material Type: Text)
Why Does RNV Work?, Undated
box: 15, folder: 38 (Material Type: Text)
Continuing Ed Credit, 1999-04-15
box: 15, folder: 39 (Material Type: Text)
Law of the Unconscious Finance Professor (2), 1999-06-09
box: 15, folder: 40 (Material Type: Text)
Irrelevance of Expected Return, 1999-03-29-1999-06-10, inclusive
box: 15, folder: 41 (Material Type: Text)
Bergman, Yaacov; A Characterization of Self-Financing Portfolio Strategies, Undated
box: 15, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Andreasen, Jensen & Poulsen; New Skin for the Old Ceremony: Eight Different Derivations of the Black-Scholes Formula, 1996-11-20
box: 15, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Beck, Thomas; Black-Scholes Revisited: Some Important Details, 1993-02
box: 15, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
RNV as Change of Numerative, Undated
box: 15, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Hedging Trinomial Process in a Feasible Market, Undated
box: 15, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
FAQ's at NMS, 1999
box: 15, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
FAQ's in Option Pricing Theory, 1997-03-27
box: 15, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
GT & Time Dependent Drifts, Undated
box: 15, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Girsanov's Time & Quantity Randomization, Undated
box: 15, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
FAQ's, 1998
box: 15, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Girsanov's Theorem & Exchange Rates, Undated
box: 15, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Siegel's Paradox for Stocks, Undated
box: 15, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Girsanov's Theorem, Undated
box: 15, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Ajay's Question, 1998-11-21
box: 15, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Series XXXII: Futures Exotic, 1993-1994, inclusive
Galeeva, Roza; Evaluation of Forward Start Options in the Mean Reverting Environment, Undated
box: 15, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Part I: Overview of Valuation Techniques and Exotic Structures (1), Undated
box: 15, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Carr, Peter; Asian Options; Overheads for Mobil Course, Undated
box: 15, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Carr, Peter; Rainbow Options; Overheads for Mobil Course, Undated
box: 15, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Part I: Overview of Valuation Techniques and Exotic Structures (2), Undated
box: 15, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Carr, Peter; American Futures Options; Overheads for Mobil Course, Undated
box: 15, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Carr, Peter; Static Hedges for Barrier Options; Overheads for Mobil Course, Undated
box: 15, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Appendix: Valuation of European Call on the Maximum of Two Futures Prices, Undated
box: 15, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
Mobil Seminar Receipts & Notes, 1994-09
box: 15, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Mobil Seminar Overview, Undated
box: 15, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Barrier Options, Undated
box: 15, folder: 66 (Material Type: Text)
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60 Linear Feet
Asian Spread Option Valuation, 1993
box: 15, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Rainbow Options, Undated
box: 15, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Series XXXIII: Going with the Flow, 1957-2000, inclusive
Contingent Accrual Notes, 1998-1999, inclusive
box: 15, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Cont. Cash Flow Rewrite, 2000-07-14
box: 15, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Alternative Approach Rewrite, 2000-06
box: 15, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
Rollercoaster Puts, 1993-1998, inclusive
box: 15, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Pay as You Go on Futures, 1997-2000, inclusive
box: 15, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
Journal of Finance Submission, 1999-11-1999-12, inclusive
box: 15, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
Pant, V.; PriceWaterhouseCoopers Risk Converence, A PDE Method for Computing Moments, Undated
box: 15, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Fitzsimmons, P. & Pitman, J.; Kac's Moment Formula and the Feynman-Kac Formula for Additive Functionals of a Markov Process, 1998-05-29
box: 15, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
Representing an Option as a Time Strip of Options, 1999-09
box: 15, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Miller, J.C.P.; Note on the General Solution of the Confluent Hypergeometric Equation, 1957
box: 15, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
CEV Special Case, 1999-04
box: 15, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Linetsky & Davydov; Pricing Options on One-Dimensional Diffusions Unified Approach, 1999-03
box: 15, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
SL Equations, 1999-04-04
box: 16, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Pay as You Go on Spot, 1998-1999, inclusive
box: 16, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Second Order Linear CDE's with No Middle Term, Undated
box: 16, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Pay as You Go Corridor, Undated
box: 16, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Ju, Nengjiu; Pricing an American Option by Approximating Its Early Exercise Boundary As a Multi-Piece Exponential Function, 1997-08-12
box: 16, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Expl's of Cont. Paid Cash Flow, 1998-04
box: 16, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Time Dependent Cash Flow, 1998
box: 16, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Lewis, A.L.; Applications of Eigenfunction Expansions in Continuous-Time Finance, 1998-10
box: 16, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Swap Pay-offs Involving Exterior, 1999-03-13
box: 16, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Deferred Payout on Futures, 1998-1999, inclusive
box: 16, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Nikkei Linked to Dollar/Yen, 1998-01-1998-02, inclusive
box: 16, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Links with Asians, Undated
box: 16, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Static Hedging of TIBS, 1998-02-14
box: 16, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Broadie, Glasserman & Kou; A Continuity Correction for Discrete Barrier Options, 1995-08
box: 16, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Series XXXIV: Half Baked Ideas, 1970-1995, inclusive
Extent
60 Linear Feet
Upper Bd on American Options, 1995-04
box: 16, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Two Valued Drift, Undated
box: 16, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Lognormal Wealth-log Util., Undated
box: 16, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Poisson Branching Process, Undated
box: 16, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Paper with Roni, Undated
box: 16, folder: 19 (Material Type: Text)
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60 Linear Feet
Paper with John Abowd, 1991-11-01-1991-11-02, inclusive
box: 16, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Paper with Bruce Tuckman, 1992-05-1992-08, inclusive
box: 16, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Paper with Francis, 1990-1991, inclusive
box: 16, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Paper with Rajna, Undated
box: 16, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Paper with Ren-Row, 1993-10-07
box: 16, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Paper with Dave Heath, Undated
box: 16, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Paper with Dave Shimko, 1992
box: 16, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Paper with Bill Ziemba, 1990-1991, inclusive
box: 16, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Spot Rate as Bessel, Undated
box: 16, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Compound Options, 1990-08
box: 16, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Am Bin (American Binomials), 1992-02-19
box: 16, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Ideas for Papers, 1986-1993, inclusive
box: 16, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Assets Paying $1 at Random Times, Undated
box: 16, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Understanding the CAPM, Undated
box: 16, folder: 33 (Material Type: Text)
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60 Linear Feet
Exog. Process for Defaultible Coporate Debt, Undated
box: 16, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Liquidity, Undated
box: 16, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Option Pricing with Discrete Rebalancing, Undated
box: 16, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Serial Correlation & Options, Undated
box: 16, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Compound Option Pricing under Interest Rate Uncertainty, Undated
box: 16, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Call on Exchange Option, Undated
box: 16, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Volatility Signalling, Undated
box: 16, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Currency & Interest Rate Swaps, Undated
box: 16, folder: 41 (Material Type: Text)
The Effect of Asset Substitution on the Liabilities of the Firm, Undated
box: 16, folder: 42 (Material Type: Text)
Brownian Bridge Where Instantaneous Variance is a Function of Time, Undated
box: 16, folder: 43 (Material Type: Text)
Generalized Asset Pricing, Undated
box: 16, folder: 44 (Material Type: Text)
Foreign Currency & International Rate Options, 1985-11-07-1986-01-06, inclusive
box: 16, folder: 45 (Material Type: Text)
Generalized Options, Undated
box: 16, folder: 46 (Material Type: Text)
Bond Options, 1971-04-16-1972-05-15, inclusive
box: 16, folder: 47 (Material Type: Text)
Long Rate as Single Factor, Undated
box: 16, folder: 48 (Material Type: Text)
Duration of Contingent Claims, Undated
box: 16, folder: 49 (Material Type: Text)
Imperfect Loan Guarantee, Undated
box: 16, folder: 50 (Material Type: Text)
Futures Prices with Stochastic International Rates, 1987-03-16-1987-04-17, inclusive
box: 16, folder: 51 (Material Type: Text)
Convertible Bonds, 1970-04-20-1986-06-30, inclusive
box: 16, folder: 52 (Material Type: Text)
Comments & Revisions on Convertible Bonds, 1986-07, inclusive
box: 16, folder: 53 (Material Type: Text)
Series: XXXV: Hedging Barrier Options, 1999-2007, inclusive
Elliot, Wang & Chen; Alternative Characterizations of American Options with Fractional Brownian Motion, 2002-12
box: 16, folder: 54 (Material Type: Text)
Bjork, T. & Hult, H.; A Note on the Self-Financing Condition for the Fractional Black-Scholes Model, 2003-02-20
box: 16, folder: 55 (Material Type: Text)
Replicating Barrier Options Under Poisson Jumps, 2006-12-16-2007-01-04, inclusive
box: 16, folder: 56 (Material Type: Text)
Borges, C.F. & Peters C.S.; Computing Approximate Stationary Distributions for Discrete Markov Processes with Banded Infinitesimal Generators, 2007-01-02
box: 16, folder: 57 (Material Type: Text)
Steutel, F.W.; Poisson Processes and A Bessel Function Integral, 1985 Society for Industrial and Applied Mathematics, 2006-12-06
box: 16, folder: 58 (Material Type: Text)
Bermin, H.P.; Comment on 'Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk', 1999
box: 16, folder: 59 (Material Type: Text)
Skellam Distribution, 2007-01-01
box: 16, folder: 60 (Material Type: Text)
Karlis, D. & Ntzoufras, I.; Bayesian Analysis of the Differences of Count Data, Statistics in Medicine, 2005
box: 16, folder: 61 (Material Type: Text)
Semi-Static Hedging of Barrier Options Under Poisson Jumps, 2007-01-02
box: 16, folder: 62 (Material Type: Text)
Dengler, H. & Jarrow, R.A.; Option Pricing using a Binomial Model with Random Time Steps (A Formal Model of Gamma Hedging), 1997, Undated
box: 16, folder: 63 (Material Type: Text)
Difference of 2 Poissons, 2001-01-01-2001-01-11, inclusive
box: 16, folder: 64 (Material Type: Text)
Sequential Barrier Options, 2006-04-13
box: 16, folder: 65 (Material Type: Text)
Static Hedging of Barrier Options, 2006-08-11
box: 16, folder: 66 (Material Type: Text)
Static Hedging of a One Touch with Payment at Expiry in the Black-Scholes Model with Jump to Default, 2005-10-05-2006-11-02, inclusive
box: 16, folder: 67 (Material Type: Text)
Vanna-Volga Method, 2005-09-06-2005-09-21, inclusive
box: 16, folder: 68 (Material Type: Text)
Carr, P. & Verma, A.; Pricing Barrier Options using Vanna-Volga Method, October 2005, 2005-11-01
box: 16, folder: 69 (Material Type: Text)
Vanna-Volga Approach, 2006-10-11
box: 16, folder: 70 (Material Type: Text)
Castagna, A. & Mercurio, F.; The Vanna-Volga Method for Implied Volatilities: Tractability and Robustness, Undated
box: 16, folder: 71 (Material Type: Text)
Castagna, A. & Mercurio, F.; Consistent Pricing of FX Options, Undated
box: 16, folder: 72 (Material Type: Text)
Semi Static Super & Sub Replication with Signed Asymmetry, Undated
box: 16, folder: 73 (Material Type: Text)
Boundary Barrier Option Values by Boundary Skew to First Passage Time to Barrier, 2005-02-28
box: 16, folder: 74 (Material Type: Text)
Hedging Barriers, 2006-03
box: 16, folder: 75 (Material Type: Text)
Regression to Determine Market Price and Risk, Undated
box: 16, folder: 76 (Material Type: Text)
One Touch Hedge, 2005-10-05
box: 16, folder: 77 (Material Type: Text)
Carr, P. & Wu, L; Hedging Barriers, 2006-01-27-2006-04-20, inclusive
box: 16, folder: 78 (Material Type: Text)
Series XXXVI: HP12C Calculator, 1984-1998, inclusive
Service Agreement, Undated
box: 17, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Books - Coupon, Undated
box: 17, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Programmable Calculators Article, 1993-09
box: 17, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
HP17B Calculator, 1993-08-1995-09, inclusive
box: 17, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
HP19B II Calculator, 1993-11-29
box: 17, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
List of Calculators, 1992
box: 17, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Accessories for Calculators, 1990-1991, inclusive
box: 17, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
A Calculator Program for Option Values and Implied Standard Deviations, 1998
box: 17, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Chapter 3 - Calculator Notes & Financial Functions, Undated
box: 17, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Black Scholes Formula for FX Call, Undated
box: 17, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
HP12C Software, 1984
box: 17, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Basic Option Pricing Program 72 lines, Undated
box: 17, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Basic Option Pricing Program 69 lines, Undated
box: 17, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Basic Option Pricing Program 73 lines, Undated
box: 17, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Black Formula for Call & All Derivatives, Undated
box: 17, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Black Scholes Formula for Call and All Derivatives (No Dividends), Undated
box: 17, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Derivatives, Undated
box: 17, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Duration Program, Undated
box: 17, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
User Friendly Option Program, Undated
box: 17, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Growing Annuities Trick, Undated
box: 17, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
JFED Paper, 1988
box: 17, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Copies of ISD Program, Undated
box: 17, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Two Asset Portfolio Mean and Standard Deviation, Undated
box: 17, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Series XXXVII: Ideas A-F, 1986-1999, inclusive
Calculus of Variations Approximation of American Put, 1999-06-13
box: 17, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
AMOL Results, 1996-03-28
box: 17, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Appendix: Useful Facts About Normal Distributions, 1995-02-12
box: 17, folder: 26 (Material Type: Text)
Academic vs. Practitioner Perspectives, Undated
box: 17, folder: 27 (Material Type: Text)
Adding Dividends to a Model, 1997-06-19
box: 17, folder: 28 (Material Type: Text)
Analytic Valuation of Time Dependent Barrier Options, Undated
box: 17, folder: 29 (Material Type: Text)
Approximations, Undated
box: 17, folder: 30 (Material Type: Text)
Arbitrage Pricing vs. Liquidity Trader, Undated
box: 17, folder: 31 (Material Type: Text)
Valuing American Put in BS Model via T(S), Undated
box: 17, folder: 32 (Material Type: Text)
Myneni, Ravi; Notes on the American Equity Put Option, 1989-08-1997-07-29, inclusive
box: 17, folder: 33 (Material Type: Text)
Little, Tom; Untitled - Free Boundary for American Put in BS Model, 1997-11-25
box: 17, folder: 34 (Material Type: Text)
Elliott, Geman & Madan; Beyond the American Put, 1997
box: 17, folder: 35 (Material Type: Text)
Linz, Peter; Numerical Methods for Volterra Integral Equations with Singular Kernels, September 1969, 1998-01-19
box: 17, folder: 36 (Material Type: Text)
Azema Martingales, Undated
box: 17, folder: 37 (Material Type: Text)
From Transforms of Problems to Option Process, Undated
box: 17, folder: 38 (Material Type: Text)
Barrier Options in Non-lognormal Processes, Undated
box: 17, folder: 39 (Material Type: Text)
Binary Calls, Undated
box: 17, folder: 40 (Material Type: Text)
Balter Binomial Model, Undated
box: 17, folder: 41 (Material Type: Text)
Cap Structure, 1997-12-18
box: 17, folder: 42 (Material Type: Text)
Shapiro/Titman, An Integrated Approach to Corporate Risk Management, Undated
box: 17, folder: 43 (Material Type: Text)
Titman, Sheridan; The Effect of Forward Markets on the Debt-Equity Mix of Investor Portfolios and the Optimal Capital Structure of Firms, JFQA March 1985, Undated
box: 17, folder: 44 (Material Type: Text)
Titman, Sheridan; The Effect of Capital Structure on a Firm's Liquidation Decision, JFE 1984, Undated
box: 17, folder: 45 (Material Type: Text)
Madan & Soubra, Design and Marketing of Financial Products, RFS 1991, Undated
box: 17, folder: 46 (Material Type: Text)
Titman, Sheridan; Interest Rate Swaps and Corporate Financing Choices, 1990-06
box: 17, folder: 47 (Material Type: Text)
CEV Dynamics and Randomization, Undated
box: 17, folder: 48 (Material Type: Text)
CAPM & Risk Neutral Pricing, Undated
box: 17, folder: 49 (Material Type: Text)
CEV Barrier Option & Lecture Notes in Statistics by Hans Rudolf Lerche, 1986-1995, inclusive
box: 17, folder: 50 (Material Type: Books)
CIR & AMOL, 1990-12
box: 17, folder: 51 (Material Type: Text)
Concentrated Stock Risk, 1997-12-09
box: 17, folder: 52 (Material Type: Text)
Complex Analysis in Finance, 1998-10-30
box: 17, folder: 53 (Material Type: Text)
Convergence at Binomial Models, Undated
box: 17, folder: 54 (Material Type: Text)
Correlation, 1996-12-05-1997-07-28, inclusive
box: 17, folder: 55 (Material Type: Text)
Credit Risk Paper, Undated
box: 17, folder: 56 (Material Type: Text)
Dividends, 1997-09-25-1997-09-26, inclusive
box: 17, folder: 57 (Material Type: Text)
Dividend Protected Convertible, Undated
box: 17, folder: 58 (Material Type: Text)
Spatially Dependent or Discrete Dividends, Undated
box: 17, folder: 59 (Material Type: Text)
Dynamic Basket Options, 1997-11-07
box: 17, folder: 60 (Material Type: Text)
Options on Fixed Weight Portfolios, US Options on Fixed Share Portfolios, Undated
box: 17, folder: 61 (Material Type: Text)
Duality Between Volatility & Options, 1998-04-30
box: 17, folder: 62 (Material Type: Text)
Electricity Derivatives, Undated
box: 17, folder: 63 (Material Type: Text)
Entropy Maximization, 1996-12-19
box: 17, folder: 64 (Material Type: Text)
Exponential Polynomials, Undated
box: 17, folder: 65 (Material Type: Text)
Feynman-Kac, Undated
box: 17, folder: 66 (Material Type: Text)
FIJI, 1996-11-1998-09-28, inclusive
box: 17, folder: 67 (Material Type: Text)
Jarrow & Madan, Hedging Contingent Claims on Semimartingales, Undated
box: 17, folder: 68 (Material Type: Text)
Filtering Volatility, 1997-02-11
box: 17, folder: 69 (Material Type: Text)
Forward PDC's, Undated
box: 17, folder: 70 (Material Type: Text)
Future Valuation Theory, Undated
box: 17, folder: 71 (Material Type: Text)
Series XXXVIII: Ideas G-Q, 1989-1998, inclusive
Fundamental Role of Duration of American Options, Untitled
box: 17, folder: 72 (Material Type: Text)
Fast Fourier Transform's (FFT's) in BS Model, 1997-08-08-1997-11-21, inclusive
box: 17, folder: 73 (Material Type: Text)
Fourier Basis, 1997-11-06
box: 17, folder: 74 (Material Type: Text)
Probabilistic Interpretation of Fourier Inversion, Undated
box: 17, folder: 75 (Material Type: Text)
Financial Interpretation of Fourier Series, Undated
box: 17, folder: 76 (Material Type: Text)
Complex Probabilities, Undated
box: 17, folder: 77 (Material Type: Text)
Hedging, Undated
box: 17, folder: 78 (Material Type: Text)
Using HCC to Determine Boundary of Call, Undated
box: 17, folder: 79 (Material Type: Text)
Using HCC to Determine Boundary, Undated
box: 17, folder: 80 (Material Type: Text)
Duffie, Darrell; An Extension of the Black-Scholes Model of Security Valuation, Journal of Economic Theory 1988, Undated
box: 17, folder: 81 (Material Type: Text)
Fundamental Power Options, Undated
box: 17, folder: 82 (Material Type: Text)
Static Hedging with Drift, Undated
box: 17, folder: 83 (Material Type: Text)
Hedging Paper with Sheridan, 1996-03-16
box: 17, folder: 84 (Material Type: Text)
Hedging with the Wrong Volatility, Undated
box: 17, folder: 85 (Material Type: Text)
Hedging Asian Put with European Put, Undated
box: 17, folder: 86 (Material Type: Text)
Hedging Exotics with Vanillas, Undated
box: 17, folder: 87 (Material Type: Text)
Hedging Arbitrary Timing Risk, Undated
box: 17, folder: 88 (Material Type: Text)
Hedging Multivariate Options with Univariate Options, Undated
box: 17, folder: 89 (Material Type: Text)
Historical vs. Implieds, Undated
box: 17, folder: 90 (Material Type: Text)
Introduction to Probability Theory for Physicists, Undated
box: 17, folder: 91 (Material Type: Text)
Jumps & Correlation, 1997-01-22
box: 17, folder: 92 (Material Type: Text)
Jumps Forecaster & Trader, Undated
box: 17, folder: 93 (Material Type: Text)
Laplace Transform in Space, Undated
box: 17, folder: 94 (Material Type: Text)
Liquidity Reserves, Undated
box: 17, folder: 95 (Material Type: Text)
Long Term Desk Volatility, Undated
box: 17, folder: 96 (Material Type: Text)
Market Span, Undated
box: 17, folder: 97 (Material Type: Text)
Model Risk, 1997-11
box: 17, folder: 98 (Material Type: Text)
Monte Carlo of Randomization, Undated
box: 17, folder: 99 (Material Type: Text)
Monthly Newsletter, 1996-05-16-1996-10-21, inclusive
box: 17, folder: 100 (Material Type: Mixed Materials)
Neuro-Dynamic Programming, Undated
box: 17, folder: 101 (Material Type: Text)
O'Connor Notes, 1989-10-05-1990-08-17, inclusive
box: 17, folder: 102 (Material Type: Text)
One Parameter Exponential Family, Undated
box: 17, folder: 103 (Material Type: Text)
Operators & Options, Undated
box: 17, folder: 104 (Material Type: Text)
Options on Merging Stocks, 1997-09-09
box: 17, folder: 105 (Material Type: Text)
Optimal Static Hedging, Undated
box: 17, folder: 106 (Material Type: Text)
Path-Dependent Options & Local Times, Undated
box: 17, folder: 107 (Material Type: Text)
Karatzas & Shreve, Trivariate Density of Brownian Motion, Its Local and Occupation Times, with Application to Stochastic Control; Annals of Probability 1984, Undated
box: 17, folder: 108 (Material Type: Text)
Path Dependent Arrow Debreu Securities, Undated
box: 17, folder: 109 (Material Type: Text)
Political Risk, Undated
box: 17, folder: 110 (Material Type: Text)
Portfolios of Derivatives, 1998-10-14
box: 17, folder: 111 (Material Type: Text)
Power Options, Undated
box: 17, folder: 112 (Material Type: Text)
Preferences Based Pricing for Real Options, Undated
box: 17, folder: 113 (Material Type: Text)
Pricing Corp. Securities Relative to Options, Undated
box: 17, folder: 114 (Material Type: Text)
Pricing as a Markov Central Problem, Undated
box: 17, folder: 115 (Material Type: Text)
Extent
60 Linear Feet
Process Free Arbitrage, Undated
box: 17, folder: 116 (Material Type: Text)
Extent
60 Linear Feet
Pseudo-European Options, Undated
box: 17, folder: 117 (Material Type: Text)
Extent
60 Linear Feet
Prop Trading, 1997-12-16
box: 17, folder: 118 (Material Type: Text)
Extent
60 Linear Feet
Quadratic Richardson, Undated
box: 17, folder: 119 (Material Type: Text)
Extent
60 Linear Feet
Series XXXIX: Ideas R-Z, 1988-1998, inclusive
Randomization & Transforms, Undated
box: 18, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Random Time Stop Binomial Model, Undated
box: 18, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Randomized Rebalancing, Undated
box: 18, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Randomization & Trading when Delta moves by X, Undated
box: 18, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Rule of Convergence of Option Value to Payoff, Undated
box: 18, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Regression Analysis of DOP, Undated
box: 18, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Resettable Collar, 1997
box: 18, folder: 7 (Material Type: Text)
Extent
60 Linear Feet
Resistance Levels, Undated
box: 18, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Rho Bucketing, 1997-04
box: 18, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Richardson Extrapolation of Bushy Trees, Undated
box: 18, folder: 10 (Material Type: Text)
Extent
60 Linear Feet
Risk as Quadratic Variation, Undated
box: 18, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Risk Neutral Valuation, Undated
box: 18, folder: 12 (Material Type: Text)
Extent
60 Linear Feet
Ross, Stephen; Samuelson's Fallacy of Large Numbers Revisited, 1998-03
box: 18, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
WLLN & RN Problems, Undated
box: 18, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Siegel's Paradox, Undated
box: 18, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
STARCH Model, Undated
box: 18, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Settlement Delays, Undated
box: 18, folder: 17 (Material Type: Text)
Extent
60 Linear Feet
Shew BM, Undated
box: 18, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Static Hedge as a Central Variate, Undated
box: 18, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Static Hedging of Final Income Derivs, Undated
box: 18, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Static Hedging of Exotic Options, Undated
box: 18, folder: 21 (Material Type: Text)
Extent
60 Linear Feet
Static Hedging of Int. Rate Options, 1997-07-31
box: 18, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Björk, Di Masi, Kabanov, & Runggaldier; Towards a General Theory of Bond Markets, 1997
box: 18, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Static Hedging & Jumps, Undated
box: 18, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Vol. - Misc., Undated
box: 18, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Stock Loan Rebates, Undated
box: 18, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Stopping Time at Occup Time, Undated
box: 18, folder: 27 (Material Type: Text)
Extent
60 Linear Feet
Spanning with Options, Undated
box: 18, folder: 28 (Material Type: Text)
Extent
60 Linear Feet
Student t Process, Undated
box: 18, folder: 29 (Material Type: Text)
Extent
60 Linear Feet
Swaps, 1998-01-06
box: 18, folder: 30 (Material Type: Text)
Extent
60 Linear Feet
Telegrapher's Equation, Undated
box: 18, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
TIBS, 1994
box: 18, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Shimko, David C.; The Valuation of Multiple Claim Insurance Contracts, 1992-06
box: 18, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Brown & Company, Deep Discounts for the Qualified Investor, 1990-11-30
box: 18, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Tax Option, 1998-07-20
box: 18, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Time Dependent CEV, 1988-1998, inclusive
box: 18, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Time Wave Decomposition, Undated
box: 18, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Trinomial Processes, Undated
box: 18, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Vol. Trading of MS, 1997-12-15
box: 18, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Vol. Forecasting, 1995-1996, inclusive
box: 18, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Volatility Probes, Undated
box: 18, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Vol. Smile, 1994-1996, inclusive
box: 18, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Which Volatility to Hedge With?, Undated
box: 18, folder: 43 (Material Type: Text)
Series XL: Implied Correlation, 1997-2005, inclusive
Implied Correlation, 2004-2005, inclusive
box: 18, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
COV Swap Revisited, 2004-12
box: 18, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Implied Correlation of (-1, 1) as an Arbitrage Indicator, 2004-12-20
box: 18, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Positive Definite Functions, Undated
box: 18, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Local Vol. Models with 3 Currency Pairs, 2004-12-13
box: 18, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Straddle Process & Distance Measures, 2004-12-16
box: 18, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Stochastic Exponentials as Exchange Rates, 2005-01-19
box: 18, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
FX IV Constraints, 2004-12-15
box: 18, folder: 51 (Material Type: Text)
Carr-Lee to [?] Options on the Cross?, 2004-12-15
box: 18, folder: 52 (Material Type: Text)
Asea & Ncube, Heterogenous Information Arrival and Option Pricing, 1997-03
box: 18, folder: 53 (Material Type: Text)
Bruno's FX A b Talk, 2005-01-24
box: 18, folder: 54 (Material Type: Text)
Series XLI: Implied Volatility, 1999-2005, inclusive
Notes, 2004-11-17-2004-12-08, inclusive
box: 18, folder: 55 (Material Type: Text)
P&L from Delta Hedging a Call at its Running Implied Volatility, Undated
box: 18, folder: 56 (Material Type: Text)
ATM d(subscript 1) = c, Undated
box: 18, folder: 57 (Material Type: Text)
FVAs, 1999-07-28-2004-11-29, inclusive
box: 18, folder: 58 (Material Type: Text)
Supported Stochastic IV Modelling, 2004-09-15-2004-11-26, inclusive
box: 18, folder: 59 (Material Type: Text)
MJD Delta Hedging, 2004-10-28
box: 18, folder: 60 (Material Type: Text)
FX Options Delta - J, 2004-10-13
box: 18, folder: 61 (Material Type: Text)
Risk Neutral Drift of Various Selection of (ATM) Implied, 2004-12
box: 18, folder: 62 (Material Type: Text)
Effect of IV Skew Level on IV Skew Dynamics, 2004-11-04
box: 18, folder: 63 (Material Type: Text)
Delta Hedging of Running QV, 2004-11-02-2004-11-03, inclusive
box: 18, folder: 64 (Material Type: Text)
Barone-Adesi, Engle & Mancini; GARCH Options in Incomplete Markets, 2004-10
box: 18, folder: 65 (Material Type: Text)
Static Hedging Rewrite, 2004-05-20-2004-09-02, inclusive
box: 18, folder: 66 (Material Type: Text)
Carr & Wu, Static Hedging of Standard Options, 2004-05-19-2004-05-20, inclusive
box: 18, folder: 67 (Material Type: Text)
Revision of Static Hedging of Standard Options, Version 14, 2002-11-26-2003-05-17, inclusive
box: 18, folder: 68 (Material Type: Text)
Robust Representation of Var Swap Using Dynamic Trading in Underlying Factor at the Median Call, 2004-11-26-2004-12-13, inclusive
box: 18, folder: 69 (Material Type: Text)
Sticky Strike, 2005-03-09
box: 18, folder: 70 (Material Type: Text)
ATM FI > FVd Swap, 2004-12-06
box: 18, folder: 71 (Material Type: Text)
Replicating Vol. Swap, Trading in ATMF Straddle in Bachelier?, 2004-12-06
box: 18, folder: 72 (Material Type: Text)
Bachelier Results, 2004-12-01-2004-12-05, inclusive
box: 18, folder: 73 (Material Type: Text)
FVA & Market Models of IV, Undated
box: 18, folder: 74 (Material Type: Text)
Risk Reversals in Bachelier, 2004-12-06
box: 18, folder: 75 (Material Type: Text)
Skewness Swap, 2004-11-29-2004-12-08, inclusive
box: 18, folder: 76 (Material Type: Text)
Comments Pg. 5-6, 2005-01
box: 18, folder: 77 (Material Type: Text)
Economic Relevance of Implied Volatility, 2002-12-12-2004-02-09, inclusive
box: 18, folder: 78 (Material Type: Text)
Carr & Lee, Put Call Symmetry Revisited 2003, 2004-01-05
box: 18, folder: 79 (Material Type: Text)
Gatheral, Jim; Lecture 3: Jumps, Lecture 7: Replication of QV Based Payoffs, 2003
box: 18, folder: 80 (Material Type: Text)
Verma, Arun; Formulating Implied Volatility in Terms of Characteristic Function, 2003-12-15
box: 18, folder: 81 (Material Type: Text)
FT Call and Implied Volatility, 2003-12-13-2003-12-16, inclusive
box: 18, folder: 82 (Material Type: Text)
Approximating IV in Terms of Option Price, Undated
box: 18, folder: 83 (Material Type: Text)
Lee, Roger; Implied Volatility: Statistics, Dynamics, and Probabilistic Interpretation, 2002-11-22
box: 18, folder: 84 (Material Type: Text)
Local Volatility and Implied, 2002-2003, inclusive
box: 18, folder: 85 (Material Type: Text)
Matytsin, Andrew; Overheads, 1999-09-25-2000-01-29, inclusive
box: 18, folder: 86 (Material Type: Text)
Gatheral, Jim; Modeling the Implied Volatility Surface, 2003-05-22
box: 18, folder: 87 (Material Type: Text)
Gatheral, Jim; Replication of Volatility Derivatives, 2003-12-09
box: 18, folder: 88 (Material Type: Text)
Weierstrass Transform & Implied Vol., 2003-07-13-2003-07-31, inclusive
box: 18, folder: 89 (Material Type: Text)
Interpreting Implied, 2000-10-22-2001-11-07, inclusive
box: 18, folder: 90 (Material Type: Text)
Stochastic IV as Stochastic Time Change, 2000-09-25-2001-08-06, inclusive
box: 18, folder: 91 (Material Type: Text)
Economic Interpretation of Implied Vol., 2002-05-21
box: 18, folder: 92 (Material Type: Text)
Misc. IV, 2001-12-25
box: 18, folder: 93 (Material Type: Text)
Generalized Inverse Gaussian Distribution, 2005-12-16-2005-12-19, inclusive
box: 18, folder: 94 (Material Type: Text)
Seshadri & Wesolowski, Mutual Characterizations of the Gamma and the Generalized Inverse Gaussian Laws by Constancy of Regression, circa 2001
box: 18, folder: 95 (Material Type: Text)
Types of Financial Calculation, O.C.I.A.M Presentation, Undated
box: 18, folder: 96 (Material Type: Text)
Implied Total Variance as the Inverse of Generalized Incomplete Gamma Function, 2005-06-15-2005-12-25, inclusive
box: 18, folder: 97 (Material Type: Text)
Gaussian Inverse, Gaussian Formulation, 2005-12-14-2005-12-16, inclusive
box: 18, folder: 98 (Material Type: Text)
Bachelier IV & Special Functions, 2005-12-09-2005-12-17, inclusive
box: 18, folder: 99 (Material Type: Text)
Implied Volatility Approximation in Black with JTD, 2005-11-28
box: 18, folder: 100 (Material Type: Text)
Incomplete Gamma Function Inversion, 2005-12-10
box: 18, folder: 101 (Material Type: Text)
Inverse Gaussian / Wald Distribution Function Inverse / Percentage Points, 2005-12-16-2005-12-20, inclusive
box: 18, folder: 102 (Material Type: Text)
AMOL for Bachelier, 2005-12-02-2005-12-05, inclusive
box: 18, folder: 103 (Material Type: Text)
AMOL for Black IV, 2005-12-02
box: 18, folder: 104 (Material Type: Text)
Implied Volatility Restriction for FI, 2003-10-17-2004-03-23, inclusive
box: 18, folder: 105 (Material Type: Text)
Econ Rel of IV Rewrite, 2004-02-09-2004-06-01, inclusive
box: 18, folder: 106 (Material Type: Text)
Trading and Hedging Options, 2001-07
box: 18, folder: 107 (Material Type: Text)
Biv TSE of Black as an Improved Implied Volatility, 2002-10-22-2002-10-23, inclusive
box: 18, folder: 108 (Material Type: Text)
