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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121: A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

Anthony Hall and Nikolaus Hautsch

120: CAPM and Option Pricing with Elliptical Disbributions

Mahmoud Hamada and Emiliano Valdez

119: Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking

David Colwell, Nadima El-Hassan and Oh-Kang Kwon

118: A Survey of the Integral Representation of American Option Prices

Carl Chiarella, Adam Kucera and Andrew Ziogas

117: McKean's Methods Applied to American Call Options on Jump-Diffusion Processes

Carl Chiarella and Andrew Ziogas

116: On Tail Distributions of Supremum and Quadratic Variation of Local Martingales

R. Liptser and Alexander Novikov

115: Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process

K. Borovkov and Alexander Novikov

114: On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance

Nicola Bruti-Liberati and Eckhard Platen

113: A Benchmark Framework for Risk Management

Eckhard Platen

112: Merton for Dummies: A Flexible Way of Modelling Default Risk

Hans Byström

111: A Simple Continuous Measure of Credit Risk

Hans Byström and Oh-Kang Kwon

110: Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models

Eckhard Platen

109: First Passage Time of Filtered Poisson Process with Exponential Shape Function

Alexander Novikov, R. E. Melchers, E. Shinjikashvili and N. Kordzakhia

108: Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers

Carl Chiarella, Xuezhong (Tony) He and Peiyuan Zhu

107: Estimation of an Adaptive Stock Market Model with Heterogeneous Agents

Henrik Amilon

106: Fair Pricing of Weather Derivatives

Eckhard Platen and Jason West

105: Correlating Market Models

Bruce Choy, Tim Dun and Erik Schlogl

104: A Minimal Dissipation Type-Based Classification in Irreversible Thermodynamics and Microeconomics

A. M. Tsirlin, Valdimir Kazakov and N. A. Kolinko

103: Modeling the Volatility and Expected Value of a Diversified World Index

Eckhard Platen

102: The Risk Management of Minimum Return Guarantees

Antje Mahayni and Erik Schlogl

101: Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling

David Heath and Eckhard Platen

100: Average Relaxations of Extremal Problems

Anatoliy M. Tsirlin and Valdimir Kazakov

99: Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)

Anatoliy M. Tsirlin and Valdimir Kazakov

98: Tracking Error and Active Portfolio Management

Nadima El-Hassan and Paul Kofman

97: An Alternative Interest Rate Term Structure Model

Eckhard Platen

96: Estimating for Discretely Observed Diffusions Using Transform Functions

Leah Kelly, Eckhard Platen and Michael Sørensen

95: Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach

Xuezhong (Tony) He

94: A Survival Analysis of Australian Equity Mutual Funds

A. Cameron and Anthony Hall

93: The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons

Hans Byström

92: Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis

Hans Byström

91: A Structure for General and Specific Market Risk

Eckhard Platen and Gerhard Stahl

90: Symmetry Group Methods for Fundamental Solutions and Characteristic Functions

Mark Craddock and Eckhard Platen

89: A Dynamic Analysis of Speculation Across Two Markets

Carl Chiarella, Roberto Dieci and Laura Gardini

88: Nonparametric Statistical Inference of Value At Risk For Financial Time Series

Song Chen and Cheng Yong Tang

87: Diversified Portfolios in a Benchmark Framework

Eckhard Platen

86: Growth Optimal Investment Strategy Efficacy: An Application on Long Run Australian Equity Data

Benjamin Francis Hunt

85: Efficient Consumption Set Under Recursive Utility and Unknown Beliefs

Ali Lazrak and Fernando Zapatero

84: An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies

Carl Chiarella and Xuezhong (Tony) He

83: Evaluation of American Strangles

Carl Chiarella and Andrew Ziogas

82: A Benchmark Framework for Integrated Risk Management

Eckhard Platen

81: Benchmark Model with Intensity Based Jumps

Eckhard Platen

80: A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models

Ram Bhar, Carl Chiarella and Thuy Duong To

79: Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices

Erik Schlogl

78: Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model

David Heath and Eckhard Platen

77: A Benchmark Approach to Filtering in Finance

Eckhard Platen and Wolfgang Runggaldier

76: A Score Test for Discreteness in GARCH Models

Henrik Amilon

75: A Variance Reduction Technique Based on Integral Representations

David Heath and Eckhard Platen

74: A Discrete Time Benchmark Approach for Finance and Insurance

Hans Buhlmann and Eckhard Platen

73: A General Framework for the Construction and the Smoothing of Forward Rate Curves

Oh-Kang Kwon

72: Arbitrage in Continuous Complete Markets

Eckhard Platen