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f rationality and market efficiency” Econometric Review, 8, pp151-186.
 
Hall and Miles (1992),”Measuring efficiency and risk in the major bond markets” Oxford economic papers, 44,
pp. 599-625.
 
DATA SOURCE: DataStream, Ecowin

PRICING DERIVATIVES USING MONTE CARLO TECHNIQUES
ISSUES:
 
Pricing non standard derivatives is a complex process. Monte Carlo techniques offer a way of dealing with
this problem in some circumstances. There are issue of bias in some monte carlo techniques and ways of
minimising or eliminating this. Do these pricing formulas give higher profits on average than simple
approximation formulas? This project requires extensive programming.
 
SELECTED READING:
 
Boyle (1977), “Options, a monte carlo approach”, Journal of Financial Economics, 4, pp 323-338.
 
Broadie and Glasserman (1997), “Pricing American style securities using simulation”, Journal of economic
dynamics and control, 21,8-9, pp 1323- 1353.
 
Boyle, Broadie and Glassman (1997), “Monte carlo methods for security pricing”,  Journal of economic
dynamics and Control, 21, 8-9, pp 1267-1323
 
DATA SOURCE: No Data Required
 TESTING THE BEHAVIOUR OF FOREIGN EXCHANGE MARKETS

ISSUES:
Testing PPP, UIP, Market fundamentals, linkages between exchange rates, causality between markets.
Techniques include standard estimation techniques, structural modelling of fundamental models,
cointegration between markets, causality tests. High frequency data issues and Chaos.
 
SELECTED READING:
 
Frankel (1979), “On the mark: A theory of floating  exchange rates based on real interest differentials”
American Economic Review, 69, 4, pp 610-622.
 
Baillie and Selover (1987), “Cointegration and models of exchange rate determination” International Journal
of Forecasting, 3, pp 43-52.
 
DATA SOURCE: DataStream, Ecowin

CONVERGENCE IN FINANCIAL MARKETS

ISSUES:
 
Defining convergence, convergence and market efficiency, structural change and convergence in markets,
convergence in trading and political blocks (e.g. ASEAN, Europe, EMU, Eastern Europe and West Europe).
Project involves econometric techniques such as regression analysis, Kalman filters, and Time varying
parameters.
 SELECTED READING:
 
Barro and Sala-I-Martin (1992), “Convergence”, Journal of Political Economy, 100, pp 223-251.
 
Giavazzi and Giovannini (1989), “Limiting Exchange rate flexibility”, Cambridge MA, MIT press.
Hall, Robertson and Wickens (1997), “Measuring economic Convergence”, International Journal of Finance
and Economics, 2 (2), pp 131-145.
 
DATA SOURCE: DataStream, Ecowin

BIDDING STRATEGIES IN TAKEOVERS

ISSUES:
 
What price should a bidder offer when attempting to takeover a target firm? If this price is too low, the
takeover may fail. If it is too high, the bidder’s shareholders will spend too much money. The bidding price
may depend, among others, on the synergies forecasted by the bidder, on the target firm’s ownership
structure, and on whether or not another bidder may enter a takeover 本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。