Published Paper Series

From Finance Discipline Group, UTS Business School, University of Technology, Sydney
PO Box 123, Broadway, NSW 2007, Australia.
Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().

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2002-2: The evaluation of active manager returns in a non-symmetrical environment

Ron Bird and David Gallagher

2002-1: Modelling Default Rate Dynamics in the CreditRisk+ Framework

Leif Boegelein, Alfred Hamerle, Robert Rauhmeier and Harald Scheule

2001-3: Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging

David Heath, Eckhard Platen and Martin Schweizer

2001-2: The prediction of earnings movements using accounting data: An update and extension of Ou and Penman

Ron Bird, Richard Gerlach and Anthony Hall

2001-1: Changes in the Behavior of Earnings Surprise: International Evidence & Implications

Ron Bird and John McKinnon

2000-2: Backtesting historical simulation value-at-risk for a selected portfolio of South African bonds

Gerhard Van de Venter

2000-1: A Global Perspective of Analysts' Earnings Forecasts

Ron Bird, Brett McElwee and John McKinnon

1999-3: Axiomatic principles for a market model

Eckhard Platen

1999-2: Option pricing for a logstable asset price model

S. R. Hurst, Eckhard Platen and S. T. Rachev

1999-1: The value of dividends: Evidence from cum-dividend trading in the ex-dividend period

Scott Walker and Graham Partington

1998-1: Balanced Implicit Methods for Stiff Stochastic Systems

G. N. Milstein, Eckhard Platen and H. Schurz

1997-1: The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects

Paul Brockman and David Michayluk

1996-4: Australian dividend reinvestment plans: An event study on discount rates

Keith Chan, Damien W. Mccolough and Michael Skully

1996-3: Principles for modelling financial markets

Eckhard Platen and Rolando Rebolledo

1996-2: On effects of discretization on estimators of drift parameters for diffusion processes

P. E. Kloeden, Eckhard Platen, H. Schurz and Michael Sørensen

1996-1: Valuation of FX barrier options under stochastic volatility

David Heath and Eckhard Platen

1995-1: Extrapolation Methods For The Weak Approximation Of Ito Diffusions

P. E. Kloeden, Eckhard Platen and N. Hofmann

1994-2: Pricing via anticipative stochastic calculus

Eckhard Platen and Rolando Rebolledo

1994-1: Stability of weak numerical schemes for stochastic differential equations

N. Hofmann and Eckhard Platen

1992-2: The approximation of multiple stochastic integrals

P. E. Kloeden, Eckhard Platen and I. W. Wright

1992-1: Higher-order implicit strong numerical schemes for stochastic differential equations

P. E. Kloeden and Eckhard Platen

1991-3: Rate of Convergence of the Euler Approximation for Diffusion Processes

Remigijus Mikulevicius and Eckhard Platen

1991-2: Stratonovich and Ito Stochastic Taylor Expansions

P. E. Kloeden and Eckhard Platen

1991-1: Relations between multiple ito and stratonovich integrals

P. E. Kloeden and Eckhard Platen

1990-1: A stop loss approach to portfolio insurance

Ron Bird, Davis Dennis and Mark Tippett

1989-1: A survey of numerical methods for stochastic differential equations

P. E. Kloeden and Eckhard Platen

1988-1: Time Discrete Taylor Approximations for Ito Processes with Jump Component

Remigijus Mikulevicius and Eckhard Platen

1983-1: Diagnostic tests as residual analysis

Adrian Pagan and Anthony Hall

1981-1: Financial Accounting Reports: A Market Model of Disclosure: Financial Accounting Reports

Ron Bird and Stuart M Locke

1977-1: Financial Ratios - An Empirical Study

Ron Bird and A J McHugh

1974-1: A Reappraisal of the Share Price Maximisation Criterion

Ron Bird