Research Paper Series

from Quantitative Finance Research Centre, University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia.
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57: Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience

Jeff M. Rogers and Pierre Siklos

56: Asset Price and Wealth Dynamics Under Heterogeneous Expectations

Carl Chiarella and Xuezhong He

55: Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case

Carl Chiarella and Xuezhong He

54: Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

Kestutis Kubilius and Eckhard Platen

53: Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case

Carl Chiarella and Xuezhong He

52: State Variables and the Affine Nature of Markovian HJM Term Structure Models

Carl Chiarella and Oh-Kang Kwon

51: Semiparametric Diffusion Estimation and Application to a Stock Market Model

Wolfgang Karl Härdle, Torsten Kleinow, Alexander Korostelev, Camille Logeay and Eckhard Platen

50: Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay

Uwe Kuchler and Eckhard Platen

49: Speculative Behaviour and Complex Asset Price Dynamics

Carl Chiarella, Roberto Dieci and Laura Gardini

48: A Minimal Financial Market Model

Eckhard Platen

47: A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information

Richard Gerlach, Ron Bird and Anthony David Hall

46: Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices

Volker Bohm and Carl Chiarella

45: Risk Premia and Financial Modelling Without Measure Transformation

Eckhard Platen

44: Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay

Uwe Kuchler and Eckhard Platen

43: A Complete Stochastic Volatility Model in the HJM Framework

Carl Chiarella and Oh-Kang Kwon

42: Infering Forward Looking Financial Market Risk Premia from Derivatives Prices

Ram Bhar and Carl Chiarella

41: Modeling the Currency Forward Risk Premium: Theory and Evidence

Ram Bhar, Carl Chiarella and Toan Pham

40: Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model

Tim Dunn, Erik Schlogl and Geoff Barton

39: The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology

Carl Chiarella, Mark Craddock and Nadima El-Hassan

38: Examining Intraday Returns with Buy/Sell Information

Shin-Juh Lin and Jian Yang

37: Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning

Carl Chiarella and Xuezhong He

36: The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option

Ram Bhar, Carl Chiarella, Nadima El-Hassan and Xiaosu Zheng

35: Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker

Carl Chiarella and Xuezhong He

34: A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility

Carl Chiarella and Oh-Kang Kwon

33: Imputation Methods for Incomplete Dependent Variables in Finance

Paul Kofman and Ian Sharpe

32: Bayesian Target Zones

Catherine S. Forbes and Paul Kofman

31: Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return

Anthony David Hall, S. Hwang and Steve Satchell

30: Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach

Shinn-Juh Lin and Jian Yang

29: Fourth Moment Structure of a Family of First-Order Exponential GARCH Models

C. He, Timo Teräsvirta and H. Malmsten

28: A Multi-Factor Model for Energy Derivatives

Les Clewlow and Chris Strickland

27: Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing

Mark Craddock, David Heath and Eckhard Platen

26: A Stochastic Approach to Modelling and Forecasting Dependent Time-Series

Craig Ellis and Pat Wilson

25: Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US

Pierre Siklos

24: A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data

Erik Schlogl and L. Schlögl

23: Hidden Markov Chain Filtering for Generalised Bessel Processes

R. Elliott and Eckhard Platen

22: On the Log-Return Distribution of Index Benchmarked Share Prices

Eckhard Platen

21: A Minimal Share Market Model with Stochastic Volatility

Eckhard Platen

20: A Multicurrency Extension of the Lognormal Interest Rate Market Models

Erik Schlogl

19: Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

A. Dudenhausen, Erik Schlogl and L. Schlögl

18: Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model

Carl Chiarella and Xuezhong He

17: Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model

R. Elliott, P. Fischer and Eckhard Platen

16: Applications of the Balanced Method to Stochastic Differential Equations in Filtering

P. Fischer and Eckhard Platen

15: A Financial Market Model with Trading Volume and Stochastic Volatility

Eckhard Platen

14: Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation

John van der Hoek and Eckhard Platen

13: Classes of Interest Rate Models Under the HJM Framework

Carl Chiarella and Oh-Kang Kwon

12: Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines

Carl Chiarella and Nadima El-Hassan

11: Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model

Shinn-Juh Lin and Max Stevenson

10: Valuing Energy Options in a One Factor Model Fitted to Forward Prices

Les Clewlow and Chris Strickland

9: A Financial Market Model

Eckhard Platen

8: On the Marginal Distribution of Trade Weighted Currency Indices

S. Hurst and Eckhard Platen

7: Modelling the Stochastic Dynamics of Volatility for Equity Indices

David Heath, S. Hurst and Eckhard Platen

6: An Introduction to Numerical Methods for Stochastic Differential Equations

Eckhard Platen

5: Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model

Carl Chiarella and Oh-Kang Kwon

4: The Small Noise Arbitrage Pricing Theory

Steve Satchell

3: Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits

Anthony David Hall, Paul Kofman and R. Guido

2: Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models

Les Clewlow and Chris Strickland

1: Comparison of Some Key Approches to Hedging in Incomplete Markets

David Heath, Eckhard Platen and M. Schweizer