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Research Paper Series
from Quantitative Finance Research Centre, University of Technology, Sydney EDIRC .
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111: A Simple Continuous Measure of Credit Risk
Hans NE Byström and Oh-Kang Kwon 110: Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
Eckhard Platen 109: First Passage Time of Filtered Poisson Process with Exponential Shape Function
Alexander Novikov , R. E. Melchers , E. Shinjikashvili and N. Kordzakhia 108: Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
Carl Chiarella , Xuezhong He and Peiyuan Zhu 107: Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
Henrik Amilon 106: Fair Pricing of Weather Derivatives
Eckhard Platen and Jason West 105: Correlating Market Models
Bruce Choy , Tim Dun and Erik Schlogl 104: A Minimal Dissipation Type-Based Classification in Irreversible Thermodynamics and Microeconomics
A. M. Tsirlin , Valdimir Kazakov and N. A. Kolinko 103: Modeling the Volatility and Expected Value of a Diversified World Index
Eckhard Platen 102: The Risk Management of Minimum Return Guarantees
Antje Mahayni and Erik Schlogl 101: Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
David Heath and Eckhard Platen 100: Average Relaxations of Extremal Problems
Anatoliy M. Tsirlin and Valdimir Kazakov 99: Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)
Anatoliy M. Tsirlin and Valdimir Kazakov 98: Tracking Error and Active Portfolio Management
Nadima El-Hassan and Paul Kofman 97: An Alternative Interest Rate Term Structure Model
Eckhard Platen 96: Estimating for Discretely Observed Diffusions Using Transform Functions
Leah Kelly and Eckhard Platen 95: Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach
Xuezhong He 94: A Survival Analysis of Australian Equity Mutual Funds
Adrian Colin Cameron and Anthony David Hall 93: The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons
Hans NE Byström 92: Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
Hans NE Byström 91: A Structure for General and Specific Market Risk
Eckhard Platen and Gerhard Stahl 90: Symmetry Group Methods for Fundamental Solutions and Characteristic Functions
Mark Craddock and Eckhard Platen 89: A Dynamic Analysis of Speculation Across Two Markets
Carl Chiarella , Roberto Dieci and Laura Gardini 88: Nonparametric Statistical Inference of Value At Risk For Financial Time Series
Song Xi Chen and Cheng Yong Tang 87: Diversified Portfolios in a Benchmark Framework
Eckhard Platen 86: Growth Optimal Investment Strategy Efficacy: An Application on Long Run Australian Equity Data
Benjamin Francis Hunt 85: Efficient Consumption Set Under Recursive Utility and Unknown Beliefs
Ali Lazrak and Fernando Zapatero 84: An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
Carl Chiarella and Xuezhong He 83: Evaluation of American Strangles
Carl Chiarella and Andrew Ziogas 82: A Benchmark Framework for Integrated Risk Management
Eckhard Platen 81: Benchmark Model with Intensity Based Jumps
Eckhard Platen 80: A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
Ram Bhar , Carl Chiarella and Thuy Duong To 79: Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices
Erik Schlogl 78: Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
David Heath and Eckhard Platen 77: A Benchmark Approach to Filtering in Finance
Eckhard Platen and Wolfgang Runggaldier 76: A Score Test for Discreteness in GARCH Models
Henrik Amilon 75: A Variance Reduction Technique Based on Integral Representations
David Heath and Eckhard Platen 74: A Discrete Time Benchmark Approach for Finance and Insurance
Hans Buhlmann and Eckhard Platen 73: A General Framework for the Construction and the Smoothing of Forward Rate Curves
Oh-Kang Kwon 72: Arbitrage in Continuous Complete Markets
Eckhard Platen 71: Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
Erik Schlogl 70: Migration of Price Discovery With Constrained Futures Markets
Anthony David Hall , Paul Kofman and Steve Manaster 69: Filtering Equity Risk Premia From Derivative Prices
Ram Bhar , Carl Chiarella and Wolfgang Runggaldier 68: Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm
Ram Bhar , Carl Chiarella and Wolfgang Runggaldier 67: Modelling Structural Change in Money Demand Using a Fourier-Series Approximation
R. Becker , W. Enders and Stan Hurn 66: Geometric Lévy Process Pricing Model
Yoshio Miyahara and Alexander Novikov 65: On Filtering in Markovian Term Structure Models (An Approximation Approach)
Carl Chiarella , Sara Pasquali and Wolfgang Runggaldier 64: Return Interval, Dependence Structure and Multivariate Normality
Thierry Ané and Chiraz Labidi 63: Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market
Max Stevenson 62: Market Structure and Stock Splits
David Michayluk and Paul Kofman
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