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Research Paper Series

From Quantitative Finance Research Centre, 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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423: The Reflectionless Properties of Toeplitz Waves and Hankel Waves: An Analysis via Bessel Functions Downloads
Kevin Burrage, Pamela Burrage and Shev MacNamara
422: A Computational Approach to Sequential Decision Optimization in Energy Storage and Trading Downloads
Paolo Falbo, Juri Hinz, Piyachat Leelasilapasart and Cristian Pelizzari
421: On Approximate Solutions for Partially Observable Decision Problems Downloads
Juri Hinz
420: Short Rate Dynamics: A Fed Funds and SOFR Perspective Downloads
Karol Gellert and Erik Schlogl
419: The Fast and the Furious: Exchange Latency and Ever-fast Trading Downloads
Xuezhong (Tony) He, Junqing Kang and Xuan Zhou
418: Fair-value Analytical Valuation of Reset Executive Stock Options Consistent with IFRS9 Requirements Downloads
Otto Konstandatos
417: The Economic Impact of Volatility Persistence on Energy Markets Downloads
Christina Sklibosios Nikitopoulos, Alice Thomas and Jianxin Wang
416: Wind Generation and the Dynamics of Electricity Prices in Australia Downloads
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos, Otto Konstandatos and Alan Rai
415: Forecasting Commodity Markets Volatility: HAR or Rough? Downloads
Mesias Alfeus and Christina Sklibosios Nikitopoulos
414: Kernel Density Estimation with Linked Boundary Conditions Downloads
Matthew J. Colbrook, Zdravko I. Botev, Karsten Kuritz and Shev MacNamara
413: On Using Equities to Produce Pension Payouts Downloads
Giovanni Barone Adesi, Eckhard Platen and Carlo Sala
412: Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models Downloads
Eckhard Platen and Stefan Tappe
411: The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios Downloads
Eckhard Platen and Stefan Tappe
410: No-Arbitrage Concepts in Topological Vector Lattices Downloads
Eckhard Platen and Stefan Tappe
409: Stochastic Modelling of the COVID-19 Epidemic Downloads
Eckhard Platen
408: Resilience Analysis for Double Spending via Sequential Decision Optimization Downloads
Juri Hinz
407: An Application of High-Dimensional Statistics to Predictive Modeling of Grade Variability Downloads
Juri Hinz, Igor Grigoryev and Alexander Novikov
406: Variables Reduction in Sequential Resource Allocation Problems Downloads
Juri Hinz and Tiziano Vargiolu
405: Score Test for Marks in Hawkes Processes Downloads
Kylie-Anne Richards, William T. M. Dunsmuir and Gareth W. Peters
404: Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes Downloads
Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters and Kylie-Anne Richards
403: Reinforcement Learning in Limit Order Markets Downloads
Xuezhong (Tony) He and Shen Lin
402: The Microstructure of Endogenous Liquidity Provision Downloads
F. Douglas Foster, Xuezhong (Tony) He, Junqing Kang and Shen Lin
401: Economic Determinants of Oil Futures Volatility: A Term Structure Perspective Downloads
Boda Kang, Christina Nikitopoulos-Sklibosios and Marcel Prokopczuk
400: Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach Downloads
Alex Backwell, Andrea Macrina, Erik Schlogl and David Skovmand
399: Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies Downloads
Jin Sun and Eckhard Platen
398: Dynamics of a Well-Diversified Equity Index Downloads
Eckhard Platen and Renata Rendek
397: The Impact of Jumps on American Option Pricing: The S&P 100 Options Case Downloads
Boda Kang, Christina Nikitopoulos-Sklibosios, Erik Schlogl and Blessing Taruvinga
396: Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries Downloads
Otto Konstandatos
395: Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models Downloads
Yu Feng, Ralph Rudd, Christopher Baker, Qaphela Mashalaba, Melusi Mavuso and Erik Schlogl
394: Pricing American Options with Jumps in Asset and Volatility Downloads
Blessing Taruvinga, Boda Kang and Christina Nikitopoulos-Sklibosios
393: Model Risk Measurement Under Wasserstein Distance Downloads
Yu Feng and Erik Schlogl
392: Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation Downloads
Karol Gellert and Erik Schlogl
391: Are We Better-off for Working Hard? Downloads
Xuezhong (Tony) He, Lei Shi and Marco Tolotti
390: Time-Varying Economic Dominance Through Bistable Dynamics Downloads
Xuezhong (Tony) He, Kai Li and Chuncheng Wang
389: Heterogeneous Agent Models in Finance Downloads
Roberto Dieci and Xuezhong (Tony) He
388: On Numerical Methods for Spread Options Downloads
Mesias Alfeus and Erik Schlogl
387: Regime Switching Rough Heston Model Downloads
Mesias Alfeus and Ludger Overbeck
386: Market Efficiency and the Growth Optimal Portfolio Downloads
Eckhard Platen and Renata Rendek
385: Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps Downloads
Claudio Fontana, Markus Pelger and Eckhard Platen
384: A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors Downloads
Mesias Alfeus, Martino Grasselli and Erik Schlogl
383: Ambiguous Market Making Downloads
Nihad Aliyev and Xuezhong (Tony) He
382: Fast Quantization of Stochastic Volatility Models Downloads
Ralph Rudd, Thomas McWalter, Jorg Kienitz and Eckhard Platen
381: Investing for the Long Run Downloads
Dietmar P.J. Leisen and Eckhard Platen
380: Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions Downloads
Mark Craddock
379: Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts Downloads
Eckhard Platen and David Taylor
378: Detecting Money Market Bubbles Downloads
Jan Baldeaux, Katja Ignatieva and Eckhard Platen
377: Lie Symmetry Methods for Local Volatility Models Downloads
Mark Craddock and Martino Grasselli
376: Empirical Hedging Performance on Long-Dated Crude Oil Derivatives Downloads
Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl
375: Hedging Futures Options with Stochastic Interest Rates Downloads
Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl
374: A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds Downloads
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
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