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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423: The Reflectionless Properties of Toeplitz Waves and Hankel Waves: An Analysis via Bessel Functions

Kevin Burrage, Pamela Burrage and Shev MacNamara

422: A Computational Approach to Sequential Decision Optimization in Energy Storage and Trading

Paolo Falbo, Juri Hinz, Piyachat Leelasilapasart and Cristian Pelizzari

421: On Approximate Solutions for Partially Observable Decision Problems

Juri Hinz

420: Short Rate Dynamics: A Fed Funds and SOFR Perspective

Karol Gellert and Erik Schlogl

419: The Fast and the Furious: Exchange Latency and Ever-fast Trading

Xuezhong (Tony) He, Junqing Kang and Xuan Zhou

418: Fair-value Analytical Valuation of Reset Executive Stock Options Consistent with IFRS9 Requirements

Otto Konstandatos

417: The Economic Impact of Volatility Persistence on Energy Markets

Christina Nikitopoulos-Sklibosios, Alice Thomas and Jianxin Wang

416: Wind Generation and the Dynamics of Electricity Prices in Australia

Muthe Mathias Mwampashi, Christina Nikitopoulos-Sklibosios, Otto Konstandatos and Alan Rai

415: Forecasting Commodity Markets Volatility: HAR or Rough?

Mesias Alfeus and Christina Nikitopoulos-Sklibosios

414: Kernel Density Estimation with Linked Boundary Conditions

Matthew J. Colbrook, Zdravko I. Botev, Karsten Kuritz and Shev MacNamara

413: On Using Equities to Produce Pension Payouts

Giovanni Barone Adesi, Eckhard Platen and Carlo Sala

412: Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models

Eckhard Platen and Stefan Tappe

411: The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios

Eckhard Platen and Stefan Tappe

410: No-Arbitrage Concepts in Topological Vector Lattices

Eckhard Platen and Stefan Tappe

409: Stochastic Modelling of the COVID-19 Epidemic

Eckhard Platen

408: Resilience Analysis for Double Spending via Sequential Decision Optimization

Juri Hinz

407: An Application of High-Dimensional Statistics to Predictive Modeling of Grade Variability

Juri Hinz, Igor Grigoryev and Alexander Novikov

406: Variables Reduction in Sequential Resource Allocation Problems

Juri Hinz and Tiziano Vargiolu

405: Score Test for Marks in Hawkes Processes

Kylie-Anne Richards, William T. M. Dunsmuir and Gareth W. Peters

404: Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters and Kylie-Anne Richards

403: Reinforcement Learning in Limit Order Markets

Xuezhong (Tony) He and Shen Lin

402: The Microstructure of Endogenous Liquidity Provision

F. Douglas Foster, Xuezhong (Tony) He, Junqing Kang and Shen Lin

401: Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Boda Kang, Christina Nikitopoulos-Sklibosios and Marcel Prokopczuk

400: Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach

Alex Backwell, Andrea Macrina, Erik Schlogl and David Skovmand

399: Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies

Jin Sun and Eckhard Platen

398: Dynamics of a Well-Diversified Equity Index

Eckhard Platen and Renata Rendek

397: The Impact of Jumps on American Option Pricing: The S&P 100 Options Case

Boda Kang, Christina Nikitopoulos-Sklibosios, Erik Schlogl and Blessing Taruvinga

396: Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries

Otto Konstandatos

395: Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso and Erik Schlogl

394: Pricing American Options with Jumps in Asset and Volatility

Blessing Taruvinga, Boda Kang and Christina Nikitopoulos-Sklibosios

393: Model Risk Measurement Under Wasserstein Distance

Yu Feng and Erik Schlogl

392: Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation

Karol Gellert and Erik Schlogl

391: Are We Better-off for Working Hard?

Xuezhong (Tony) He, Lei Shi and Marco Tolotti

390: Time-Varying Economic Dominance Through Bistable Dynamics

Xuezhong (Tony) He, Kai Li and Chuncheng Wang

389: Heterogeneous Agent Models in Finance

Roberto Dieci and Xuezhong (Tony) He

388: On Numerical Methods for Spread Options

Mesias Alfeus and Erik Schlogl

387: Regime Switching Rough Heston Model

Mesias Alfeus and Ludger Overbeck

386: Market Efficiency and the Growth Optimal Portfolio

Eckhard Platen and Renata Rendek

385: Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps

Claudio Fontana, Markus Pelger and Eckhard Platen

384: A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

Mesias Alfeus, Martino Grasselli and Erik Schlogl

383: Ambiguous Market Making

Nihad Aliyev and Xuezhong (Tony) He

382: Fast Quantization of Stochastic Volatility Models

Ralph Rudd, Thomas McWalter, Jorg Kienitz and Eckhard Platen

381: Investing for the Long Run

Dietmar P.J. Leisen and Eckhard Platen

380: Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions

Mark Craddock

379: Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts

Eckhard Platen and David Taylor

378: Detecting Money Market Bubbles

Jan Baldeaux, Katja Ignatieva and Eckhard Platen

377: Lie Symmetry Methods for Local Volatility Models

Mark Craddock and Martino Grasselli

376: Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl

375: Hedging Futures Options with Stochastic Interest Rates

Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl

374: A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds

Alessandro Gnoatto, Martino Grasselli and Eckhard Platen