

PhD Thesis
From Finance Discipline Group, UTS Business School, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC. Series data maintained by Duncan Ford (). Access Statistics for this book series.
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 A Class of Markovian Models for the Term Structure of Interest Rates Under JumpDiffusions
 Christina NikitopoulosSklibosios
 A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis
 Yang Chang
 Animal Spirits and Financial Instability  A Disequilibrium Macroeconomic Perspective
 Tianhao Zhi
 Asset Price Dynamics with Heterogeneous Beliefs and Time Delays
 Kai Li
 Asset Pricing Under Ambiguity and Heterogeneity
 Qi Nan Zhai
 Bankruptcy Probability: A Theoretical and Empirical ExaminationAbstract: Early Bankruptcy classification models were developed to demonstrate the usefulness of information contained in financial statements. The majority of classification models developed have used a pool of financial ratios combined with statistical variable selection techniques to maximise the accuracy of the classifier being employed. Rather than follow an "ad hoc" variable selection process, this thesis seeks to provide an economic bl!sis for the selection of variables for inclusion in bankruptcy models, which are based on accounting information. An implicit assumption underlying this work is that the probability of default is endogenous. That is, the decisions of a firm's management have a direct impact on the probability of bankruptcy. These decisions and th~ir resultant effects can be identified through analysis of financial statements. A model of a firm facing an uncertain environment with the possibility of bankruptcy is developed and analysed. In the model, a firm is created with given initial equity. These funds can be invested in productive resources or held as cash balances. The productive resources are used to earn random earnings in any period. If earnings are positive, they can be used to pay dividends to shareholders, invest in new productive resources, repay outstanding debt or increase the firm's cash balance. The firm is able to borrow and repay funds up to a credit limit. When the cash position of the firm falls to zero the firm is bankrupt. The firm attempts to maximise the stream of dividends paid to shareholders during its life. The solutions of the model and the associated bankruptcy probability expressions are derived by application of the dynamic programming algorithm
 Maurice Peat
 Commodity Derivative Pricing Under the Benchmark Approach
 Ke Du
 Corporate Behaviour and Market Integration: Evidence from the AsiaPacific Real Estate Market
 Guojie Ma
 Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility
 Samuel Chege Maina
 Essays in Market Microstructure and Investor Trading
 Danny Lo
 Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange
 Jagjeev Dosanjh
 Exchange Rate Forecasts and Stochastic Trend Breaks
 David O'Toole
 Financial Exclusion and Australian Domestic General Insurance: The Impact of Financial Services Reforms
 Hugh Morris
 Inference and Intraday Analysis of Diversified World Stock Indices
 Leah Kelly
 Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and ExpirationDay Procedures on the London Stock Exchange
 Matthew Clifton
 Modeling Diversified Equity Indices
 Renata Rendek
 Modelling Default Correlations in a TwoFirm Model with Dynamic Leverage Ratios
 Ming Xi Huang
 Numerical Solution of Stochastic Differential Equations with Jumps in Finance
 Nicola BrutiLiberati
 Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs
 Lei Shi
 Portfolio Credit Risk Modelling and CDO Pricing  Analytics and Implied Trees from CDO Tranches
 Tao Peng
 Price Discovery in US and Australian Stock and Options Markets
 Vinay Patel
 Price Discovery, Investor Distraction and Analyst Recommendations Under Continuous Disclosure Requirements in Australia
 Leonardo Fernandez
 Pricing American Options Using Fourier Analysis
 Andrew Ziogas
 Pricing of Contingent Claims Under the RealWorld Measure
 Shane Miller
 Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model
 Samson Assefa
 RAROCBased Contingent Claim ValuationAbstract: The present dissertation investigates the valuation of a contingent claim based on the criterion RAROC, an abbreviation of RiskAdjusted Return on Capital. RAROC is defined as the ratio of expected return to risk, and may therefore be regarded as a performance measure. RAROCbased pricing theory can indeed be considered as a subclass of the broader ‘gooddeal’ pricing theory, developed by Bernardo and Ledoit (2000) and Cochrane and Sa´aRequejo (2000). By fixing some specific target value of RAROC, a RAROCbased gooddeal price for a contingent claim is determined as follows: upon charging the counterparty with this price and using available funds, we are able to construct a hedging portfolio such that the maximum achievable RAROC of our hedged position meets the target RAROC. As a first step, we consider the standard BlackScholes model, but allow only static hedging strategies. Assuming that the contingent claim in question is a call option, we examine the behavior of maximum value of RAROC as a function of initial call price, as well as the corresponding optimal static hedging strategy. In this analysis we consider two specifications for the risk component of RAROC, namely ValueatRisk and Expected Shortfall. Subsequently, we allow continuoustime trading strategies, while remaining in the BlackScholes framework. In this case we suppose that the initial price of the call option is limited to be below the BlackScholes price. Perfect hedging is thus impossible, and the position must contain some residual risk. For ease of analysis, we restrict our attention to a specific class of hedging strategies and examine the maximum RAROC for each strategy in this class. In the interest of tractability, the version of RAROC adopted risk is measured simply as expected loss. While the previous approach only permits us to examine the constrained maximum RAROC over a specific class of hedging strategies, we would like to employ a more general method in order to study the global maximum RAROC over all hedging strategies. To do so, we introduce the notion of dynamic RAROCbased gooddeal prices. In particular, with reference to the dynamic gooddeal pricing theory of Becherer (2009), such prices are required to satisfy certain dynamic conditions, so that inconsistent decisionmaking between different times can be avoided. This task is accomplished by constructing prices that behave like timeconsistent dynamic coherent risk measures. As soon as the construction process is finished, we set up a discrete time incomplete market, and demonstrate how to determine the dynamic RAROCbased gooddeal price for a call option. Furthermore, by following Becherer (2009), we derive the dynamics of RAROCbased gooddeal prices as solutions for discretetime backward stochastic difference equations. Finally, we introduce RAROCbased gooddeal hedging strategies, and examine their representation in terms of discretetime backward stochastic difference equations
 Wayne King Ming Chan
 Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to MultipleExercise Options
 Nicholas Andrew Yap Swee Guan
 Repeated Dividend Increases: A Collection of Four Essays
 Scott Walker
 Stock Message Board Recommendations and Share Trading Activity
 Kiran Thapa
 Strict Local Martingales in Continuous Financial Market ModelsAbstract: It is becoming increasingly clear that strict local martingales play a distinctive and important role in stochastic finance. This thesis presents a detailed study of the effects of strict local martingales on financial modelling and contingent claim valuation, with the explicit aim of demonstrating that some of the apparently strange features associated with these processes are in fact quite intuitive, if they are given proper consideration. The original contributions of the thesis may be divided into two parts, the first of which is concerned with the classical probabilitytheoretic problem of deciding whether a given local martingale is a uniformly integrable martingale, a martingale, or a strict local martingale. With respect to this problem, we obtain interesting results for general local martingales and for local martingales that take the form of timehomogeneous diffusions in natural scale. The second area of contribution of the thesis is concerned with the impact of strict local martingales on stochastic finance. We identify two ways in which strict local martingales may appear in asset price models: Firstly, the density process for a putative equivalent riskneutral probability measure may be a strict local martingale. Secondly, even if the density process is a martingale, the discounted price of some risky asset may be a strict local martingale under the resulting equivalent riskneutral probability measure. The minimal market model is studied as an example of the first situation, while the constant elasticity of variance model gives rise to the second situation (for a particular choice of parameter values)
 Hardy Hulley
 The Effects of Contagion During the Global Financial Crisis in GovernmentRegulated and Sponsored Assets in Emerging Markets
 Edgardo Cayón
 The Evaluation of Early Exercise Exotic Options
 Jonathan Ziveyi
 The Impact of Institutional Ownership: A Study of the Australian Equity Market
 Danny Yeung
 The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice
 WeiTing Pan
 The Microstructure of Trading Processes on the Singapore Exchange
 Murphy Jun Jie Lee



