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PhD Thesis

From Finance Discipline Group, UTS Business School, University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia.
Contact information at EDIRC.

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A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions Downloads
Christina Nikitopoulos-Sklibosios
A Consistent Approach to Modelling the Interest Rate Market Anomalies Post the Global Financial Crisis Downloads
Yang Chang
Animal Spirits and Financial Instability - A Disequilibrium Macroeconomic Perspective Downloads
Tianhao Zhi
Asset Price Dynamics with Heterogeneous Beliefs and Time Delays Downloads
Kai Li
Asset Pricing Under Ambiguity and Heterogeneity Downloads
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 Downloads
Maurice Peat
Commodity Derivative Pricing Under the Benchmark Approach Downloads
Ke Du
Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market Downloads
Guojie Ma
Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility Downloads
Samuel Chege Maina
Essays in Market Microstructure and Investor Trading Downloads
Danny Lo
Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange Downloads
Jagjeev Dosanjh
Exchange Rate Forecasts and Stochastic Trend Breaks Downloads
David O'Toole
Financial Exclusion and Australian Domestic General Insurance: The Impact of Financial Services Reforms Downloads
Hugh Morris
Inference and Intraday Analysis of Diversified World Stock Indices Downloads
Leah Kelly
Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange Downloads
Matthew Clifton
Modeling Diversified Equity Indices Downloads
Renata Rendek
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios Downloads
Ming Xi Huang
Numerical Solution of Stochastic Differential Equations with Jumps in Finance Downloads
Nicola Bruti-Liberati
Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs Downloads
Lei Shi
Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches Downloads
Tao Peng
Price Discovery in US and Australian Stock and Options Markets Downloads
Vinay Patel
Price Discovery, Investor Distraction and Analyst Recommendations Under Continuous Disclosure Requirements in Australia Downloads
Leonardo Fernandez
Pricing American Options Using Fourier Analysis Downloads
Andrew Ziogas
Pricing of Contingent Claims Under the Real-World Measure Downloads
Shane Miller
Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model Downloads
Samson Assefa
RAROC-Based Contingent Claim ValuationAbstract: The present dissertation investigates the valuation of a contingent claim based on the criterion RAROC, an abbreviation of Risk-Adjusted Return on Capital. RAROC is defined as the ratio of expected return to risk, and may therefore be regarded as a performance measure. RAROC-based pricing theory can indeed be considered as a subclass of the broader ‘good-deal’ pricing theory, developed by Bernardo and Ledoit (2000) and Cochrane and Sa´a-Requejo (2000). By fixing some specific target value of RAROC, a RAROC-based good-deal 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 Black-Scholes 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 Value-at-Risk and Expected Shortfall. Subsequently, we allow continuous-time trading strategies, while remaining in the Black-Scholes framework. In this case we suppose that the initial price of the call option is limited to be below the Black-Scholes 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 RAROC-based good-deal prices. In particular, with reference to the dynamic good-deal pricing theory of Becherer (2009), such prices are required to satisfy certain dynamic conditions, so that inconsistent decision-making between different times can be avoided. This task is accomplished by constructing prices that behave like time-consistent 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 RAROC-based good-deal price for a call option. Furthermore, by following Becherer (2009), we derive the dynamics of RAROC-based good-deal prices as solutions for discrete-time backward stochastic difference equations. Finally, we introduce RAROC-based good-deal hedging strategies, and examine their representation in terms of discrete-time backward stochastic difference equations Downloads
Wayne King Ming Chan
Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options Downloads
Nicholas Andrew Yap Swee Guan
Repeated Dividend Increases: A Collection of Four Essays Downloads
Scott Walker
Stock Message Board Recommendations and Share Trading Activity Downloads
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 probability-theoretic 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 time-homogeneous 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 risk-neutral 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 risk-neutral 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) Downloads
Hardy Hulley
The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets Downloads
Edgardo Cayón
The Evaluation of Early Exercise Exotic Options Downloads
Jonathan Ziveyi
The Impact of Institutional Ownership: A Study of the Australian Equity Market Downloads
Danny Yeung
The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice Downloads
Wei-Ting Pan
The Microstructure of Trading Processes on the Singapore Exchange Downloads
Murphy Jun Jie Lee
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