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2009 Research Papers

242. Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios, Eckhard Platen and Erik Schlögl. Alternative Defaultable Term Structure Models. January 2009 . Format: PDF, Size 67.9 KB

243. Carl Chiarella, Xue-Zhong He and Min Zheng. Heterogeneous Expectations and Exchange Rate Dynamics. January 2009. Format PDF, Size 67.6KB

244.  Xue-Zhong He and Lei Shi. Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs. January 2009. Format PDF, Size 827.55KB

245.  Carl Chiarella and Boda Kang.The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. February 2009. Format PDF, Size 2.05MB

246.  Mark Craddock and Eckhard Platen. On Explicit Probability Laws for Classes of Scalar Diffusions. March 2009. Format PDF, Size 572.03KB

247.  Eckhard Platen and Willi Semmler. Asset Markets and Monetary Policy Format PDF, Size 416.12 KB

248.  Susan Thorp, Hardy Hulley, Rebecca McKibbin, Andreas Pedersen Means-tested Income Support, Portfolio Choice and Decumulation in Retirement . Format PDF, Size 599.218 KB

249. Kristoffer Glover, Goran Peskir & Farman Samee.  The British Asian Option. Format PDF, Size 497 KB

250. Wolfgang Breymann, David Lüthi and Eckhard Platen.  Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales. Format PDF, Size 1557KB

251. Carl Chiarella, Xue-Zhong He and Paolo Pellizzari. A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market . Format PDF, Size 1558KB

252. Xue-Zhong He, Kai Li, Junjie Wei and Min Zheng. Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. Format PDF, Size 1558KB

253. Eckhard Platen. A Benchmark Approach to Investing and Pricing. Format PDF, Size 169KB

254. Carl Chiarella, Roberto Dieci and Xue-Zhong He. A Framework for CAPM with Heterogenous Beliefs . Format PDF, Size 212 KB

255. Carl Chiarella, Viviana Fanelli and Silvana Musti. Modelling the Evolution of Credit Spreads using the Cox process within the HJM framework: a CDS Option Pricing Model . Format PDF, Size 567 KB

256. Gerald Cheang, Carl Chiarella and Andrew Ziogas. An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics Format PDF, Size 312 KB

257. Juri Hinz and Alex Novikov. On Fair Pricing of Emission-Related Derivatives. Format PDF, Size 246 KB

258. Eckhard Platen and Renata Rendek. Quasi-exact Approximation of Hidden Markov Chain Filters Format PDF, Size 219 KB

259. Eckhard Platen and Renata Rendek. Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes . Format PDF, Size 219 KB

260. Carl Chiarella, Les Chewlow and Boda King. Modelling and Estimating the Forward Price Curve in the Energy Market . Format PDF, Size 2.03 MB

261. K.F. Pilz and Erik Schlögl. A Hybrid Commodity and Interest Rate . PDF, Size 815.02 KB

262. Eckhard Platen. Real World Pricing of Long Term Contracts. Format PDF, Size 603.27 KB

263. Hardy Hulley and Eckhard Platen. A Visual Criterion for Identifying Itˆo Diffusions as Martingalesor Strict Local Martingales. Format PDF, Size 546 KB

264. Eckhard Platen and Renata Rendek. Simulation of Diversified Portfolios in a Continuous Financial Market Format PDF, Size 323 KB

265. Katja Ignatieva and Eckhard Platen. Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae, Format PDF, Size 1.60 MB