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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373: Trading Heterogeneity Under Information Uncertainty

Xuezhong (Tony) He and Huanhuan Zheng

372: Calibrating Market Model to Commodity and Interest Rate Risk

Patrik Karlsson, Kay F Pilz and Erik Schlogl

371: Toward a General Model of Financial Markets

Nihad Aliyev and Xuezhong (Tony) He

370: Reversing Momentum: The Optimal Dynamic Momentum Strategy

Kai Li and Jun Liu

369: A PDE View of Games Options

Gunter H Meyer

368: Pricing American Options under Regime Switching Using Method of Lines

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?

Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl

366: Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Benjamin Cheng, Christina Nikitopoulos-Sklibosios and Erik Schlogl

365: Volatility Clustering: A Nonlinear Theoretical Approach

Xuezhong (Tony) He, Kai Li and Chuncheng Wan

364: The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30

Xuezhong (Tony) He and Youwei Li

363: Recovering the Real-World Density and Liquidity Premia From Option Data

Mathias Barkhagen, Jörgen Blomvall and Eckhard Platen

362: On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models

Andreea Röthig, Andreas Röthig and Carl Chiarella

361: Application of Maximum Likelihood Estimation to Stochastic Short Rate Models

Kevin Fergusson and Eckhard Platen

360: Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model

Leunglung Chan and Eckhard Platen

359: Risk Aversion in Modeling of Cap-and-Trade Mechanisms and Optimal Design of Emission Markets

Paolo Falbo, Juri Hinz and Cristian Pelizzari

358: Stochastic Switching for Partially Observable Dynamics and Optimal Asset Allocation

Juri Hinz

357: Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic

Kevin Fergusson and Eckhard Platen

356: Market Sentiment and Paradigm Shifts

Liya Chu, Xuezhong (Tony) He, Kai Li and Jun Tu

355: Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables

Otto Konstandatos, Timothy Kyng and Tobias Bienek

354: Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30

Xuezhong (Tony) He and Youwei Li

353: Optimal Time Series Momentum

Xuezhong (Tony) He, Kai Li and Youwei Li

352: Algorithms for Optimal Control of Stochastic Switching Systems

Juri Hinz and Nicholas Yap

351: Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach

Kevin Fergusson and Eckhard Platen

350: A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model

David Heath and Eckhard Platen

349: Position-Limit Design for the CSI 300 Futures Markets

Lijian Wei, Wei Zhang, Xiong Xiong and Lei Shi

348: A Consistent Framework for Modelling Basis Spreads in Tenor Swaps

Yang Chang and Erik Schlogl

347: Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model

KiHoon Jimmy Hong, Bin Peng and Xiaohui Zhang

346: Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?

KiHoon Jimmy Hong and Eliza Wu

345: Automated Liquidity Provision

Austin Gerig and David Michayluk

344: Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500

Carl Chiarella, Xuezhong (Tony) He and Remco Zwinkels

343: A Hybrid Model for Pricing and Hedging of Long Dated Bonds

Jan Baldeaux, Man Chung Fung, Katja Ignatieva and Eckhard Platen

342: A Behavioural Model of Investor Sentiment in Limit Order Markets

Carl Chiarella, Xuezhong (Tony) He, Lei Shi and Lijian Wei

341: Time Series Momentum and Market Stability

Xuezhong (Tony) He and Kai Li

340: Approximate Hedging of Options under Jump-Diffusion Processes

Karl Mina, Gerald Cheang and Carl Chiarella

339: Self-funding Instalment Warrants

Jeff Dewynne and Nadima El-Hassan

338: Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees

Kevin Fergusson and Eckhard Platen

337: Herding, Trend Chasing and Market Volatility

Corrado Di Guilmi, Xuezhong (Tony) He and Kai Li

336: The Return-Volatility Relation in Commodity Futures Markets

Carl Chiarella, Boda Kang, Christina Nikitopoulos-Sklibosios and Thuy-Duong To

335: Learning and Evolution of Trading Strategies in Limit Order Markets

Carl Chiarella, Xuezhong (Tony) He and Lijian Wei

334: Industry Concentration, Excess Returns and Innovation in Australia

David Gallagher, Katja Ignatieva and James McCulloch

333: Learning and Information Dissemination in Limit Order Markets

Lijian Wei, Wei Zhang, Xuezhong (Tony) He and Yongjie Zhang

332: Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level

KiHoon Jimmy Hong

331: Primer: The FST Theorem for Pricing with Foreign Collateral

Alan Brace

330: Primer: Curve Stripping with Full Collateralisation

Alan Brace

329: The Trade-off Theory Revisited: On the Effect of Operating Leverage

Kristoffer Glover and Gerhard Hambusch

328: Investigating Time-Efficient Methods to Price Compound Options in the Heston Model

Carl Chiarella, Susanne Griebsch and Boda Kang

327: Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics

Thomas Adolfsson, Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi

326: As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures

Hazel Bateman, Loretti Dobrescu, Ben R. Newell, Andreas Ortmann and Susan Thorp

325: Liability Driven Investments under a Benchmark Based Approach

Jan Baldeaux and Eckhard Platen

324: Credit Derivative Evaluation and CVA under the Benchmark Approach

Jan Baldeaux and Eckhard Platen