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2013 Research Papers

 323. Edgardo Cayon and Susan Thorp Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds  PDF 893 KB

 324. Jan Baldeaux and Eckhard Platen Credit Derivative Evaluation and CVA under the Benchmark Approach PDF 655 KB

 325. Jan Baldeaux and Eckhard Platen Liability Driven Investments under a Benchmark Based Approach PDF 625 KB
 
 326.
 Hazel Bateman, Isabella Dobrescu, Ben Newell, Andreas Ortmann and Susan Thorp As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures PDF 1.115 MB

 327. Thomas Adolfsson, Carl Chiarella, Andrew Ziogas and Jonathan Ziveyi Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics  PDF 905 KB

328. Carl Chiarella, Susanne Griebsch and Boda Kang Investigating Time-Efficient Methods to Price Compound Options in the Heston Model PDF 593 KB

329.  Kristoffer Glover and Gerhard Hambusch The Trade-off Theory Revisited: On the Effect of Operating Leverage PDF 776 KB

330.  Alan Brace Primer: Curve Stripping with Full Collateralisation PDF 643 KB

331.  Alan Brace Primer: The FST Theorem for Pricing with Foreign Collateral PDF 589 KB

332.  KiHoon Jimmy Hong Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level PDF 589 KB

333.  Lijian Wei, Wei Zhang, Xue-Zhong He and Yongjie Zhang Learning and Information Dissemination in  Limit Order Markets PDF 815 KB

334. David R. Gallagher, Katja Ignatieva and James McCulloch Industry Concentration, Excess Returns and Innovation in Australia PDF 363 KB

335. Carl Chiarella, Xue-Zhong He and Lijian Wei  Learning and Evolution of Trading Strategies in Limit Order Markets PDF 1.265MB

336. Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulosa, Thuy Duo The Return-Volatility Relation in Commodity Futures Markets PDF 2.26 MB

337. Corrado Di Guilmi, Xue-Zhong He and Kai Li, Herding, Trend Chasing and Market Volatility PDF 3.03 MB

338. Kevin Fergusson Eckhard Platen Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees PDF 901 KB

339. Jeff Dewynne and Nadima el-Hassan Self-funding Instalment Warrants PDF 1.44 MB

340. Karl Mina, Gerald H.L. Cheang and Carl Chiarella Approximate Hedging of Options under Jump-Diffusion Processes PDF 699 KB