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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273: The Financial Instability Hypothesis: A Stochastic Microfoundation Framework

Carl Chiarella and Corrado Di Guilmi

272: Option Valuation in Multivariate SABR Models

Jörg Kienitz and Manuel Wittke

271: Differences in Opinion and Risk Premium

Xuezhong (Tony) He and Lei Shi

270: Equity-Linked Pension Schemes with Guarantees

J. Aase Nielsen, Klaus Sandmann and Erik Schlogl

269: The British Russian Option

Kristoffer Glover, Goran Peskir and Farman Samee

268: Dynamics of Moving Average Rules in a Continuous-time Financial Market Model

Xuezhong (Tony) He and Min Zheng

267: Financialization, Crisis and Commodity Correlation Dynamics

Annastiina Silvennoinen and Susan Thorp

266: The Evaluation Of Barrier Option Prices Under Stochastic Volatility

Carl Chiarella, Boda Kang and Gunter H. Meyer

265: Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae

Katja Ignatieva and Eckhard Platen

264: Simulation of Diversified Portfolios in a Continuous Financial Market

Eckhard Platen and Renata Rendek

263: A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales

Hardy Hulley and Eckhard Platen

262: Real World Pricing of Long Term Contracts

Eckhard Platen

261: A Hybrid Commodity and Interest Rate

Kay Pilz and Erik Schlogl

260: Modelling and Estimating the Forward Price Curve in the Energy Market

Carl Chiarella, Les Clewlow and Boda Kang

259: Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes

Eckhard Platen and Renata Rendek

258: Quasi-exact Approximation of Hidden Markov Chain Filters

Eckhard Platen and Renata Rendek

257: On Fair Pricing of Emission-Related Derivatives

Juri Hinz and Alex Novikov

256: An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics

Gerald Cheang, Carl Chiarella and Andrew Ziogas

255: Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model

Carl Chiarella, Viviana Fanelli and Silvana Musti

254: A Framework for CAPM with Heterogenous Beliefs

Carl Chiarella, Roberto Dieci and Xuezhong (Tony) He

253: A Benchmark Approach to Investing and Pricing

Eckhard Platen

252: Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs

Xuezhong (Tony) He, Kai Li, Junjie Wei and Min Zheng

251: A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market

Carl Chiarella, Xuezhong (Tony) He and Paolo Pellizzari

250: Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales

Wolfgang Breymann, David Lüthi and Eckhard Platen

249: The British Asian Option

Kristoffer Glover, Goran Peskir and Farman Samee

248: Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement

Susan Thorp, Hardy Hulley, Rebecca McKibbin and Andreas Pedersen

247: Asset Markets and Monetary Policy

Eckhard Platen and Willi Semmler

246: On Explicit Probability Laws for Classes of Scalar Diffusions

Mark Craddock and Eckhard Platen

245: The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach

Carl Chiarella and Boda Kang

244: Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs

Xuezhong (Tony) He and Lei Shi

243: Heterogeneous Expectations and Exchange Rate Dynamics

Carl Chiarella, Xuezhong (Tony) He and Min Zheng

242: Alternative Defaultable Term Structure Models

Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen and Erik Schlogl

241: Viability of Markets with an Infinite Number of Assets

Constantinos Kardaras

240: Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies

Constantinos Kardaras and Eckhard Platen

238: A Visual Classification of Local Martingales

Hardy Hulley and Eckhard Platen

237: Real World Pricing for a Modified Constant Elasticity of Variance Model

Shane M Miller and Eckhard Platen

235: Exchange Options Under Jump-Diffusion Dynamics

Gerald H. L. Cheang and Carl Chiarella

234: On the Numerical Stability of Simulation Methods for SDES

Eckhard Platen and Lei Shi

233: Heterogeneity, Bounded Rationality and Market Dysfunctionality

Xuezhong (Tony) He and Lei Shi

232: Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model

Carl Chiarella, Viviana Fanelli and Silvana Musti

231: Heterogeneity, Market Mechanisms, and Asset Price Dynamics

Carl Chiarella, Roberto Dieci and Xuezhong (Tony) He

230: Minimizing the Expected Market Time to Reach a Certain Wealth Level

Constantinos Kardaras and Eckhard Platen

229: On Honest Times in Financial Modeling

Ashkan Nikeghbali and Eckhard Platen

228: Distributional Deviations in Random Number Generation in Finance

Sergio Chavez and Eckhard Platen

227: A Unifying Approach to Asset Pricing

Eckhard Platen

226: A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models

Leo Krippner

225: Quadratic Hedging of Basis Risk

Hardy Hulley and Thomas McWalter

224: A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse

Allan Brace, Mark Lauer and Milo Rado

223: Pricing Financial Derivatives on Weather Sensitive Assets

Jerzy Filar, Boda Kang and Malgorzata Korolkiewicz

222: Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations

Nicola Bruti-Liberati and Eckhard Platen