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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171: The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method

Carl Chiarella and Chih-Ying Hsiao

170: Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps

Morten Christensen and Eckhard Platen

169: Parameterizing Unconditional Skewness in Models for Financial Time Series

Changli He, Annastiina Silvennoinen and Timo Teräsvirta

168: Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations

Annastiina Silvennoinen and Timo Teräsvirta

167: A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps

Carl Chiarella, Christina Nikitopoulos-Sklibosios and Erik Schlogl

166: Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework

Carl Chiarella, Roberto Dieci and Xuezhong (Tony) He

165: Panel Smooth Transition Regression Models

Andres Gonzalez, Timo Teräsvirta and Dick van Dijk

164: On the Strong Approximation of Pure Jump Processes

Nicola Bruti-Liberati and Eckhard Platen

163: Investments for the Short and Long Run

Eckhard Platen

162: Market Mood, Adaptive Beliefs and Asset Price Dynamics

Roberto Dieci, Ilaria Foroni, Laura Gardini and Xuezhong (Tony) He

161: Decentralised Portfolio Management: Analysis of Australian Accumulation Funds

Hazel Bateman and Susan Thorp

160: Asymmetric Risk and International Portfolio Choice

Susan Thorp and George Milunovich

159: Inferential Expectations

Gordon Menzies and Daniel Zizzo

158: Butter Mountains, Milk Lakes and Optimal Price Limiters

Ned Corron, Xuezhong (Tony) He and Frank Westerhoff

157: On the Strong Approximation of Jump-Diffusion Processes

Nicola Bruti-Liberati and Eckhard Platen

156: A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation

Nicola Bruti-Liberati, Filippo Martini, Massimo Piccardi and Eckhard Platen

155: Benchmarking and Fair Pricing Applied to Two Market Models

Hardy Hulley, Shane Miller and Eckhard Platen

154: Currency Derivatives under a Minimal Market Model with Random Scaling

David Heath and Eckhard Platen

153: On the Distributional Characterization of Log-returns of a World Stock Index

Kevin Fergusson and Eckhard Platen

152: The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

Carl Chiarella and Giulia Iori

151: The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach

Carl Chiarella, Hing Hung and Thuy-Duong To

150: The Multifactor Nature of the Volatility of the Eurodollar Futures Market

Carl Chiarella and Thuy-Duong To

149: A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate

Thuy-Duong To

148: Long Memory, Heterogeneity and Trend Chasing

Xuezhong (Tony) He and Youwei Li

147: Heterogeneity, Profitability and Autocorrelations

Xuezhong (Tony) He and Youwei Li

146: Relative Volume as a Doubly Stochastic Binomial Point Process

James McCulloch

145: Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions

Carl Chiarella and Andrew Ziogas

144: On the Role of the Growth Optimal Portfolio in Finance

Eckhard Platen

143: Capital Asset Pricing for Markets with Intensity Based Jumps

Eckhard Platen

142: Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment

Carl Chiarella, Xuezhong (Tony) He and Duo Wang

141: A Behavioural Asset Pricing Model with a Time-Varying Second Moment

Carl Chiarella, Xuezhong (Tony) He and Duo Wang

140: An Intraday Empirical Analysis of Electricity Price Behaviour

Eckhard Platen, Jason West and Wolfgang Breymann

139: A General Benchmark Model for Stochastic Jump Sizes

Morten Christensen and Eckhard Platen

138: A Benchmark Approach to Finance

Eckhard Platen

137: Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets

Martin T. Bohl and Pierre Siklos

136: Commodity Markets, Price Limiters and Speculative Price Dynamics

Xuezhong (Tony) He and Frank Westerhoff

135: A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Carl Chiarella, Erik Schlogl and Christina Nikitopoulos-Sklibosios

134: Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents

Carl Chiarella, Roberto Dieci and Laura Gardini

133: A Dynamic Analysis of Moving Average Rules

Carl Chiarella, Xuezhong (Tony) He and Cars Hommes

132: A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework

Carl Chiarella and Christina Nikitopoulos-Sklibosios

131: On an Effective Solution of the Optimal Stopping Problem for Random Walks

Alexander Novikov and Albert Shiryaev

130: Two-Factor Model for Low Interest Rate Regimes

Shane Miller and Eckhard Platen

129: Diversified Portfolios with Jumps in a Benchmark Framework

Eckhard Platen

128: Understanding the Implied Volatility Surface for Options on a Diversified Index

David Heath and Eckhard Platen

127: Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range

Charles Corrado and Cameron Truong

126: Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions

Carl Chiarella, Nadima El-Hassan and Adam Kucera

125: Intraday Empirical Analysis and Modeling of Diversified World Stock Indices

Wolfgang Breymann, Leah Kelly and Eckhard Platen

124: Local Volatility Function Models under a Benchmark Approach

David Heath and Eckhard Platen

123: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation

Hayette Gatfaoui

122: Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility

Thierry Chauveau and Hayette Gatfaoui