Details about Hardy Hulley

Access statistics for papers by Hardy Hulley.

Last updated 2026-05-11. Update your information in the RePEc Author Service.

Short-id: phu172

Working Papers

2022

1. Arbitrage Problems with Reflected Geometric Brownian Motion
   Papers, arXiv.org View citations (2)
   See also Journal Article Arbitrage problems with reflected geometric Brownian motion, Finance and Stochastics, Springer (2024) View citations (2) (2024)

2019

2. Short Selling with Margin Risk and Recall Risk
   Papers, arXiv.org View citations (1)
   See also Journal Article SHORT SELLING WITH MARGIN RISK AND RECALL RISK, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2022) (2022)
3. Weak Tail Conditions for Local Martingales
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (8)

2014

4. Optimal prediction of the last-passage time of a transient diffusion
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (3)

2011

5. Three-Dimensional Brownian Motion and the Golden Ratio Rule
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)

2010

6. M6 - On Minimal Market Models and Minimal Martingale Measures
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (52)
   See also Chapter M6—On Minimal Market Models and Minimal Martingale Measures, Springer Books, Springer (2010) View citations (2) (2010)
7. The Economic Plausibility of Strict Local Martingales in Financial Modelling
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (20)
   See also Chapter The Economic Plausibility of Strict Local Martingales in Financial Modelling, Springer Books, Springer (2010) (2010)

2009

8. A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)

2008

9. A Visual Classification of Local Martingales
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
10. Hedging for the Long Run
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (21)
11. Quadratic Hedging of Basis Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
    See also Journal Article Quadratic Hedging of Basis Risk, JRFM, MDPI (2015) View citations (2) (2015)

2007

12. Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)

2005

13. Benchmarking and Fair Pricing Applied to Two Market Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)

Journal Articles

2024

1. Arbitrage problems with reflected geometric Brownian motion
   Finance and Stochastics, 2024, 28, (1), 1-26 View citations (2)
   See also Working Paper Arbitrage Problems with Reflected Geometric Brownian Motion, Papers (2022) View citations (2) (2022)
2. How suitable are equity release mortgages as investments for pension funds?
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2024, 49, (2), 259-269
3. Investor Search and Asset Prices
   Quarterly Journal of Finance (QJF), 2024, 14, (04), 1-33

2023

4. A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages
   Journal of Demographic Economics, 2023, 89, (3), 349-372
   Also in JODE - Journal of Demographic Economics, 2023, 89, (3), 349-372 (2023)

2022

5. Financially constrained index futures arbitrage
   Journal of Futures Markets, 2022, 42, (9), 1688-1703 View citations (2)
6. SHORT SELLING WITH MARGIN RISK AND RECALL RISK
   International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (02), 1-33
   See also Working Paper Short Selling with Margin Risk and Recall Risk, Papers (2019) View citations (1) (2019)

2018

7. Are mutual fund investors paying for noise?
   International Review of Financial Analysis, 2018, 58, (C), 8-23 View citations (4)

2015

8. Quadratic Hedging of Basis Risk
   JRFM, 2015, 8, (1), 1-20 View citations (2)
   See also Working Paper Quadratic Hedging of Basis Risk, Research Paper Series (2008) View citations (6) (2008)

2013

9. Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement
   The Economic Record, 2013, 89, (284), 31-51 View citations (23)

Books

2009

1. Strict Local Martingales in Continuous Financial Market Models
   PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (13)

Chapters

2010

1. M6—On Minimal Market Models and Minimal Martingale Measures
   Springer View citations (2)
   See also Working Paper M6 - On Minimal Market Models and Minimal Martingale Measures, Quantitative Finance Research Centre, University of Technology, Sydney (2010) View citations (52) (2010)
2. The Economic Plausibility of Strict Local Martingales in Financial Modelling
   Springer
   See also Working Paper The Economic Plausibility of Strict Local Martingales in Financial Modelling, Quantitative Finance Research Centre, University of Technology, Sydney (2010) View citations (20) (2010)