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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.

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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 He and Shen Lin
402: The Microstructure of Endogenous Liquidity Provision Downloads
F. Douglas Foster, Xuezhong He, Junqing Kang and Shen Lin
401: Economic Determinants of Oil Futures Volatility: A Term Structure Perspective Downloads
Boda Kang, Christina Sklibosios Nikitopoulos 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 He, Lei Shi and Marco Tolotti
390: Time-Varying Economic Dominance Through Bistable Dynamics Downloads
Xuezhong He, Kai Li and Chuncheng Wang
389: Heterogeneous Agent Models in Finance Downloads
Roberto Dieci and Xuezhong 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 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
373: Trading Heterogeneity Under Information Uncertainty Downloads
Xuezhong He and Huanhuan Zheng
372: Calibrating Market Model to Commodity and Interest Rate Risk Downloads
Patrik Karlsson, Kay F Pilz and Erik Schlogl
371: Toward a General Model of Financial Markets Downloads
Nihad Aliyev and Xuezhong He
370: Reversing Momentum: The Optimal Dynamic Momentum Strategy Downloads
Kai Li and Jun Liu
369: A PDE View of Games Options Downloads
Gunter H Meyer
368: Pricing American Options under Regime Switching Using Method of Lines Downloads
Carl Chiarella, Christina Nikitopoulos-Sklibosios, Erik Schlogl and Hongang Yang
367: Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? Downloads
Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl
366: Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates Downloads
Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl
365: Volatility Clustering: A Nonlinear Theoretical Approach Downloads
Xuezhong He, Kai Li and Chuncheng Wan
364: The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30 Downloads
Xuezhong He and Youwei Li
363: Recovering the Real-World Density and Liquidity Premia From Option Data Downloads
Mathias Barkhagen, Jörgen Blomvall and Eckhard Platen
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