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Research Paper Series
from Quantitative Finance Research Centre, University of Technology, Sydney EDIRC .
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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 200: Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations
Hazel Bateman and Susan Thorp 199: Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy
Jian Gao , Gang Gong and Xuezhong He 198: Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
Nicola Bruti-Liberati , Christina Nikitopoulos-Sklibosios and Eckhard Platen 197: Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model
Samson Assefa 196: Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
Jennifer S.K. Chan , S.T. Boris Choy and Udi Makov 195: Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
Uwe Küchler and Eckhard Platen 194: Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
Eckhard Platen and Renata Rendek 193: Pricing of Defaultable Securities under Stochastic Interest
Nina Kordzakhia and Alex Novikov 192: Intertemporal Investment Strategies under Inflation Risk
Carl Chiarella , Chih-Ying Hsiao and Willi Semmler 191: A Benchmark Approach to Portfolio Optimization under Partial Information
Eckhard Platen and Wolfgang Runggaldier 190: Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing
Erik Schlogl and Lutz Schlögl 189: Consistent Market Extensions under the Benchmark Approach
Damir Filipovic and Eckhard Platen 188: On the Group Level Swiss Solvency Test
Damir Filipovic and Michael Kupper 187: Optimal Numeraires for Risk Measures
Damir Filipovic 186: Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
Carl Chiarella , Roberto Dieci and Xuezhong He 185: On the Pricing and Hedging of Long Dated Zero Coupon Bonds
Eckhard Platen 184: Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
Truc Le and Eckhard Platen 183: Lie Group Symmetries as Integral Transforms of Fundamental Solutions
Mark Craddock and Kelly A Lennox 182: Valuation of Options in a Setting with Happiness-Augmented Preferences
Stephen Satchel and Vincenzo Merella 181: Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation
Stephen Satchel and Wei Xia 180: Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
Truc Le and Eckhard Platen 179: On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
Nicola Bruti-Liberati and Eckhard Platen 178: On a Solution of the Optimal Stopping Problem for Processes with Independent Increments
Alexander Novikov and Albert Shiryaev 177: Information processing and measures of integration: New York, London and Tokyo
Susan Thorp and George Milunovich 176: Approximation of Jump Diffusions in Finance and Economics
Nicola Bruti-Liberati and Eckhard Platen 175: Volatility Forecast Comparison using Imperfect Volatility Proxies
Andrew Patton 174: American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
Carl Chiarella and Andrew Ziogas 173: Hedging, Speculation, and Investment in Balance-Sheet Triggered Currency Crises
Andreas Röthig , Willi Semmler and Peter Flaschel 172: Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
Andreas Röthig and Carl Chiarella 171: The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
Carl Chiarella and Chih-Ying Hsiao 170: Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
Morten Christensen and Eckhard Platen 169: Parameterizing Unconditional Skewness in Models for Financial Time Series
Changli He , Annastiina Silvennoinen and Timo Teräsvirta 168: Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Annastiina Silvennoinen and Timo Teräsvirta 167: A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
Carl Chiarella , Christina Nikitopoulos-Sklibosios and Erik Schlogl 166: Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
Carl Chiarella , Roberto Dieci and Xuezhong He 165: Panel Smooth Transition Regression Models
Andres Gonzalez , Timo Teräsvirta and Dick van Dijk 164: On the Strong Approximation of Pure Jump Processes
Nicola Bruti-Liberati and Eckhard Platen 163: Investments for the Short and Long Run
Eckhard Platen 162: Market Mood, Adaptive Beliefs and Asset Price Dynamics
Roberto Dieci , Ilaria Foroni , Laura Gardini and Xuezhong He 161: Decentralised Portfolio Management: Analysis of Australian Accumulation Funds
Hazel Bateman and Susan Thorp 160: Asymmetric Risk and International Portfolio Choice
Susan Thorp and George Milunovich 159: Inferential Expectations
Gordon Menzies and Daniel John Zizzo 158: Butter Mountains, Milk Lakes and Optimal Price Limiters
Ned Corron , Xuezhong He and Frank Westerhoff
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