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2012 Research Papers

 299.  Yun Bao, Carl Chiarella and Boda Kang Particle Filters for Markov Switching Stochastic Volatility Models PDF 1.69 MB

 300.  Stephen Satchell, Susan Thorp and Oliver Williams Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods PDF 662 KB

 301.  X. He and L. Shi  Heterogeneous Beliefs and the Performances of Optimal Portfolios PDF 478 KB

 302.  X. He, L. Shi and M. Zheng  Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs PDF 1,633 KB

 303.  X. He and L. Shi  Heterogeneous Beliefs and the Cross-Section of Asset Returns PDF 1,773 KB

 304.  Carl Chiarella, Chi-Fai Lo and Ming Xi Huang Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios PDF 564 KB

 305. Christina Nikitopoulos Sklibosios and Eckhard Platen  Alternative Term Structure Models for Reviewing Expectations Puzzles PDF 876 KB 

 306.  Jan Baldeaux and Alexander Badran Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model PDF 303 KB

 307.  Jan Baldeaux and Dale Roberts Quasi-Monte Carol Methods for the Heston Model PDF 551 KB

 308.  Carl Chiarella, Boda Kang, Christina Nikitopoulos Sklibosios and Thuy-Duong To Humps in the Volatility Structure of the Crude Oil Futures Market PDF 1.4 MB

 309.  Susanne A. Griebsch and Kay F. Pilz A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model PDF 719 KB

 310.  Yang Chang and Erik Schlögl Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets PDF 923 KB

 311.  James McCulloch Fractal Market Time PDF 1.95 MB

 312.  Mardi Dungey, George Milunovich, Susan Thorp and Minxian Yang Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH PDF 4.49 MB

 313.  Jan Baldeaux and Michael Gnewuch Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition PDF 408 KB

 314.  Kristoffer J. Glover and Gerhard Hambusch Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting PDF 484 KB

 315. Carl Chiarella, Roberto Dieci, Xue-Zhong He and Kai Li An Evolutionary CAPM Under Heterogeneous Beliefs PDF 5.39 MB 

 316.  Xue-Zhong He Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets PDF 1.34 MB

 317. Ingo Benya, Carl Chiarella and Boda Kang  Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time Dependent Volatility PDF 1.22 MB

 318. Jan Baldeaux, Katja Ignatieva, Eckhard Platen  A Tractable Model for Indices Approximating the Growth Optimal Portfolio PDF 954 KB

 319. Francesca Biagini, Alessandra Cretarola and Eckhard Platen Local Risk-Minimization under the Benchmark Approach PDF 802 KB

 320. Gerhard Hambusch and Sherrill Shaffer Forecasting Bank Leverage PDF 576 KB

 321. Ke Du, Eckhard Platen and Renata Rendek Modeling of Oil Prices PDF 1.42 MB

 322. Eckhard Platen The Affine Nature of Aggregate Wealth Dynamics PDF  2.14 MB