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2010 Research Papers

266. Carl Chiarella, Boda Kang and Gunter H. Meyer. The Evaluation Of Barrier Option Prices Under Stochastic Volatility, Format PDF, Size 2.27 MB

267. Annastiina Silvennoinen and Susan Thorp. Financialization, Crisis and Commodity Correlation Dynamics Format PDF, Size 1.28 MB

268. Xue‐Zhong He and Min Zheng. Dynamics of Moving Average Rules in a Continuous-time Financial Market Model Format PDF, Size 1.81 MB

269. Kristoffer Glover, Goran Peskir and Farman Samee.The British Russian Option Format PDF, Size 523 KB

270. J. Aase Nielsen, Klaus Sandmann and Erik Schlögl. Equity-Linked Pension Schemes with Guarantees Format PDF, Size 865 KB

271. Xue-Zhong He and Lei Shi. Differences in Opinion and Risk Premium Format PDF, Size 850 KB

272.Jörg Kienitz and Manuel Wittke. Option Valuation in Multivariate SABR Models  Format PDF, Size 626 KB

273. Carl Chiarella and Corrado Di Guilmi. The Financial Instability Hypothesis:a Stochastic Microfoundation Framework  Format PDF, Size 777 KB

274. Mark Craddock and Kelly A. Lennox. Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions Format PDF, Size 633.09 KB

275. Carl Chiarella, Roberto Dieci and Xue-Zhong He. Time-Varying Beta: A Boundedly  Rational Equilibrium Approach Format PDF, Size 761 KB

276. Carl Chiarella and Chih-Ying Hsiao.  Optimal Investment Strategies under Stochastic Volatility – Estimation and Applications Format PDF, Size 319 KB

277. Carl Chiarella, Chih-Ying Hsia and Ming Xi Huang. A Survey of Non-linear Methods for No-arbitrage Bond Pricing Format PDF, Size 319.KB

278. Andreas Röthig  and Carl Chiarella. Small Traders in Currency Futures Markets Format PDF, Size 1006.KB

279. Hardy Hulley. The Economic Plausibility of Strict Local Martingales in Financial Modelling  PDF, Size 2.5 .MB

280. Hardy Hulley and Martin Schweizer. M6 - On Minimal Market Models and Minimal Martingale Measures  PDF,   Size 497 KB

281. Eckhard Platen and Renata Rendek,  Approximating the Numéraire Portfolio by Naive Diversification
This paper has been published in the Journal of Asset Management 13(1), pp. 34-50, 2012.

282. Eckhard Platen and Renata Rendek Simulation of Diversified Portfolios in a Continuous Financial Market  PDF Size 1.89 MB

283. Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos Sklibosios Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility PDF 719 KB

284. Katja Ignatieva, Eckhard Platen and Renata Rendek Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index PDF 1.56 MB

285. Leonardo Morales-Arias and Alexander Dross Adaptive Forecasting of Exchange Rates with Panel Data PDF 391 KB

286. Kay Pilz and Erik Schlögl Calibration of Multicurrency LIBOR Market Models PDF 1 MB