Research Paper Series

from Quantitative Finance Research Centre, University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia.
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328: Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

Carl Chiarella and Susanne Griebsch

327: Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics

Thomas Adolfsson, Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi

326: As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures

Hazel Bateman, Loretti Isabella Dobrescu, Ben R. Newell, Andreas Ortmann and Susan Thorp

325: Liability Driven Investments under a Benchmark Based Approach

Jan Baldeaux and Eckhard Platen

324: Credit Derivative Evaluation and CVA under the Benchmark Approach

Jan Baldeaux and Eckhard Platen

323: Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds

Edgardo Cayon and Susan Thorp

322: The Affine Nature of Aggregate Wealth Dynamics

Eckhard Platen and Renata Rendek

321: Modeling of Oil Prices

Ke Du, Eckhard Platen and Renata Rendek

320: Forecasting Bank Leverage

Gerhard Hambusch and Sherrill Shaffer

319: Local Risk-Minimization under the Benchmark Approach

Francesca Biagini, Alessandra Cretarola and Eckhard Platen

318: A Tractable Model for Indices Approximating the Growth Optimal Portfolio

Jan Baldeaux, Katja Ignatieva and Eckhard Platen

317: Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time

Ingo Beyna, Carl Chiarella and Boda Kang

316: Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets

Xuezhong He

315: An Evolutionary CAPM Under Heterogeneous Beliefs

Carl Chiarella, Roberto Dieci, Xuezhong He and Kai Li

314: Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting

Kristoffer Glover and Gerhard Hambusch

313: Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition

Michael Gnewuch and Jan Baldeaux

312: Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH

Mardi Dungey, George Milunovich, Susan Thorp and Minxian Yang

311: Fractal Market Time

James McCulloch

310: Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets

Erik Schlogl and Yang Chang

309: A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model

Susanne Griebsch and Kay Pilz

308: Humps in the Volatility Structure of the Crude Oil Futures Market

Carl Chiarella, Boda Kang, Christina Nikitopoulos-Sklibosios and Thuy-Duong To

307: Quasi-Monte Carol Methods for the Heston Model

Jan Baldeaux and Dale Roberts

306: Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

Jan Baldeaux and Alexander Badran

305: Alternative Term Structure Models for Reviewing Expectations Puzzles

Christina Nikitopoulos-Sklibosios and Eckhard Platen

304: Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios

Carl Chiarella, Chi-Fai Lo and Ming Xi Huang

303: Heterogeneous Beliefs and the Cross-Section of Asset Returns

Xuezhong He and Lei Shi

302: Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs

Xuezhong He, Lei Shi and Min Zheng

301: Heterogeneous Beliefs and the Performances of Optimal Portfolios

Xuezhong He and Lei Shi

300: Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods

Stephen Satchell, Susan Thorp and Oliver Williams

299: Particle Filters for Markov Switching Stochastic Volatility Models

Yun Bao, Carl Chiarella and Boda Kang

298: Stochastic Correlation and Risk Premia in Term Structure Models

Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong To

297: The Small and Large Time Implied Volatilities in the Minimal Market Model

Zhi Guo and Eckhard Platen

296: Three-Benchmarked Risk Minimization for Jump Diffusion Markets

Ke Du and Eckhard Platen

295: Three-Dimensional Brownian Motion and the Golden Ratio Rule

Kristoffer Glover, Hardy Hulley and Goran Peskir

294: Limit Distribution of Evolving Strategies in Financial Markets

Carl Chiarella and Corrado Di Guilmi

293: Credit Derivative Pricing with Stochastic Volatility Models

Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos-Sklibosios

292: Two Stochastic Volatility Processes - American Option Pricing

Carl Chiarella and Jonathan Ziveyi

291: Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model

Xuezhong He and Kai Li

290: Estimating Behavioural Heterogeneity Under Regime Switching

Carl Chiarella, Xuezhong He, Weihong Huang and Huanhuan Zheng

289: Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics

Eckhard Platen and Stefan Tappe

288: The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching

Carl Chiarella, Les Clewlow and Boda Kang

287: A Modern View on Merton's Jump-Diffusion Model

Gerald Cheang and Carl Chiarella

286: Calibration of Multicurrency LIBOR Market Models

Kay Pilz and Erik Schlogl

285: Adaptive Forecasting of Exchange Rates with Panel Data

Leonardo Morales-Arias and Alexander Dross

284: Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

Katja Ignatieva, Eckhard Platen and Renata Rendek

283: Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos-Sklibosios

282: Simulation of Diversified Portfolios in a Continuous Financial Market

Eckhard Platen and Renata Rendek

281: Approximating the Numeraire Portfolio by Naive Diversification

Eckhard Platen and Renata Rendek

280: M6 - On Minimal Market Models and Minimal Martingale Measures

Hardy Hulley and Martin Schweizer

279: The Economic Plausibility of Strict Local Martingales in Financial Modelling

Hardy Hulley