Research Paper Series

from Quantitative Finance Research Centre, University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia.
Contact information at EDIRC.
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252: Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs

Xuezhong He, Kai Li, Junjie Wei and Min Zheng

251: A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market

Carl Chiarella, Xuezhong He and Paolo Pellizzari

250: Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales

Wolfgang Breymann, David Lüthi and Eckhard Platen

249: The British Asian Option

Kristoffer Glover, Goran Peskir and Farman Samee

248: Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement

Susan Thorp, Hardy Hulley, Rebecca McKibbin and Andreas Pedersen

247: Asset Markets and Monetary Policy

Eckhard Platen and Willi Semmler

246: On Explicit Probability Laws for Classes of Scalar Diffusions

Mark Craddock and Eckhard Platen

245: The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach

Carl Chiarella and Boda Kang

244: Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs

Xuezhong He and Lei Shi

243: Heterogeneous Expectations and Exchange Rate Dynamics

Carl Chiarella, Xuezhong He and Min Zheng

242: Alternative Defaultable Term Structure Models

Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen and Erik Schlogl

241: Viability of Markets with an Infinite Number of Assets

Constantinos Kardaras

240: Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies

Constantinos Kardaras and Eckhard Platen

238: A Visual Classification of Local Martingales

Hardy Hulley and Eckhard Platen

237: Real World Pricing for a Modified Constant Elasticity of Variance Model

Shane M Miller and Eckhard Platen

235: Exchange Options Under Jump-Diffusion Dynamics

Gerald H. L. Cheang and Carl Chiarella

234: On the Numerical Stability of Simulation Methods for SDES

Eckhard Platen and Lei Shi

233: Heterogeneity, Bounded Rationality and Market Dysfunctionality

Xuezhong He and Lei Shi

232: Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model

Carl Chiarella, Viviana Fanelli and Silvana Musti

231: Heterogeneity, Market Mechanisms, and Asset Price Dynamics

Carl Chiarella, Roberto Dieci and Xuezhong He

230: Minimizing the Expected Market Time to Reach a Certain Wealth Level

Constantinos Kardaras and Eckhard Platen

229: On Honest Times in Financial Modeling

Ashkan Nikeghbali and Eckhard Platen

228: Distributional Deviations in Random Number Generation in Finance

Sergio Chavez and Eckhard Platen

227: A Unifying Approach to Asset Pricing

Eckhard Platen

226: A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models

Leo Krippner

225: Quadratic Hedging of Basis Risk

Hardy Hulley and Thomas Andrew McWalter

224: A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse

Allan Brace, Mark Lauer and Milo Rado

223: Pricing Financial Derivatives on Weather Sensitive Assets

Jerzy Filar, Boda Kang and Malgorzata Korolkiewicz

222: Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations

Nicola Bruti-Liberati and Eckhard Platen

221: Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach

T. Marquardt, Eckhard Platen and S. Jaschke

220: Modelling Adverse Selection on Electronic Order-Driven Markets

Louis R. Mercorelli, David Michayluk and Anthony David Hall

219: The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

Carl Chiarella, Boda Kang, Gunter H. Meyer and Andrew Ziogas

218: Hedge Portfolios in Markets with Price Discontinuities

Gerald H.L. Cheang and Carl Chiarella

217: The Toll of Subrational Trading in an Agent Based Economy

Paolo Pellizzari

216: Analytic Pricing of Contingent Claims Under the Real-World Measure

Shane Miller and Eckhard Platen

215: The Law of Minimum Price

Eckhard Platen

214: Hedging for the Long Run

Eckhard Platen and Hardy Hulley

213: On Financial Markets where only Buy-And-Hold Trading is Possible

Constantinos Kardaras and Eckhard Platen

212: Some Effects of Transaction Taxes Under Different Microstructures

Paolo Pelizzari and Frank Westerhoff (Paolo Pellizzari)

211: The Private Value of Public Pensions

Konstantin Petrichev and Susan Thorp

210: Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts

Stephen Satchell and Susan Thorp

209: Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments

Stephen Satchell and Susan Thorp

208: The Stochastic Dynamics of Speculative Prices

Carl Chiarella, Xuezhong He and Min Zheng

207: The History of the Quantitative Methods in Finance Conference Series. 1992-2007

Carl Chiarella and Eckhard Platen

206: Optimal Dispatch in Electricity Markets

Vladimir Kazakov and Anatoly M. Tsirlin

205: Martingales and First Passage Times of AR(1) Sequences

Alex Novikov and Nino Kordzakhia

204: A Causal Framework for Credit Default Theory

Wilson Sy

203: Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options

Hardy Hulley and Eckhard Platen

202: Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model

Samson Assefa

201: Optimal VWAP Trading Strategy and Relative Volume

James McCulloch and Vladimir Kazakov