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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221: Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach

T. Marquardt, Eckhard Platen and S. Jaschke

220: Modelling Adverse Selection on Electronic Order-Driven Markets

Louis R. Mercorelli, David Michayluk and Anthony Hall

219: The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines

Carl Chiarella, Boda Kang, Gunter H. Meyer and Andrew Ziogas

218: Hedge Portfolios in Markets with Price Discontinuities

Gerald H.L. Cheang and Carl Chiarella

217: The Toll of Subrational Trading in an Agent Based Economy

Paolo Pellizzari

216: Analytic Pricing of Contingent Claims Under the Real-World Measure

Shane Miller and Eckhard Platen

215: The Law of Minimal Price

Eckhard Platen

214: Hedging for the Long Run

Eckhard Platen and Hardy Hulley

213: On Financial Markets where only Buy-And-Hold Trading is Possible

Constantinos Kardaras and Eckhard Platen

212: Some Effects of Transaction Taxes Under Different Microstructures

Paolo Pelizzari and Frank Westerhoff

211: The Private Value of Public Pensions

Konstantin Petrichev and Susan Thorp

210: Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts

Stephen Satchell and Susan Thorp

209: Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments

Stephen Satchell and Susan Thorp

208: The Stochastic Dynamics of Speculative Prices

Carl Chiarella, Xuezhong (Tony) He and Min Zheng

207: The History of the Quantitative Methods in Finance Conference Series. 1992-2007

Carl Chiarella and Eckhard Platen

206: Optimal Dispatch in Electricity Markets

Vladimir Kazakov and Anatoly M. Tsirlin

205: Martingales and First Passage Times of AR(1) Sequences

Alex Novikov and Nino Kordzakhia

204: A Causal Framework for Credit Default Theory

Wilson Sy

203: Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options

Hardy Hulley and Eckhard Platen

202: Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model

Samson Assefa

201: Optimal VWAP Trading Strategy and Relative Volume

James McCulloch and Vladimir Kazakov

200: Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations

Hazel Bateman and Susan Thorp

199: Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy

Jian Gao, Gang Gong and Xuezhong (Tony) He

198: Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models

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

197: Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model

Samson Assefa

196: Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution

Jennifer Chan, S.T. Boris Choy and Udi Makov

195: Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities

Uwe Küchler and Eckhard Platen

194: Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices

Eckhard Platen and Renata Rendek

193: Pricing of Defaultable Securities Under Stochastic Interest

Nina Kordzakhia and Alex Novikov

192: Intertemporal Investment Strategies Under Inflation Risk

Carl Chiarella, Chih-Ying Hsiao and Willi Semmler

191: A Benchmark Approach to Portfolio Optimization under Partial Information

Eckhard Platen and Wolfgang Runggaldier

190: Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing

Erik Schlogl and Lutz Schlögl

189: Consistent Market Extensions under the Benchmark Approach

Damir Filipovic and Eckhard Platen

188: On the Group Level Swiss Solvency Test

Damir Filipovic and Michael Kupper

187: Optimal Numeraires for Risk Measures

Damir Filipovic

186: Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis

Carl Chiarella, Roberto Dieci and Xuezhong (Tony) He

185: On the Pricing and Hedging of Long Dated Zero Coupon Bonds

Eckhard Platen

184: Approximating the Growth Optimal Portfolio with a Diversified World Stock Index

Truc Le and Eckhard Platen

183: Lie Group Symmetries as Integral Transforms of Fundamental Solutions

Mark Craddock and Kelly A Lennox

182: Valuation of Options in a Setting with Happiness-Augmented Preferences

Stephen Satchell and Vincenzo Merella

181: Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation

Stephen Satchel and Wei Xia

180: Approximating the Growth Optimal Portfolio with a Diversified World Stock Index

Truc Le and Eckhard Platen

179: On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance

Nicola Bruti-Liberati and Eckhard Platen

178: On a Solution of the Optimal Stopping Problem for Processes with Independent Increments

Alexander Novikov and Albert Shiryaev

177: Information processing and measures of integration: New York, London and Tokyo

Susan Thorp and George Milunovich

176: Approximation of Jump Diffusions in Finance and Economics

Nicola Bruti-Liberati and Eckhard Platen

175: Volatility Forecast Comparison using Imperfect Volatility Proxies

Andrew Patton

174: American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach

Carl Chiarella and Andrew Ziogas

173: Hedging, Speculation, and Investment in Balance-Sheet Triggered Currency Crises

Andreas Röthig, Willi Semmler and Peter Flaschel

172: Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models

Andreas Röthig and Carl Chiarella