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2015 Research Papers

352. Juri Hinz and Nicholas Yap Algorithms for Optimal Control of Stochastic Switching Systems  PDF 395 KB

353. Xue-Zhong He, Kai Li and Youwei Li Optimal Time Series Momentum  PDF 1.77 MB

354. Xue-Zhong He and Youwei Li Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30  PDF 613 KB

355. Otto Konstandatos, Timothy Kyng and Tobias Bienek Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables   PDF 779 KB

356. Liya Chu, Xue-Zhong He, Kai Li, Jun Tu Market Sentiment and Paradigm Shifts PDF 251 KB

357. Kevin Fergusson and Eckhard Platen Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic   PDF 633 KB

358. Juri Hinz Stochastic Switching for Partially Observable Dynamics and Optimal Asset Allocation   PDF 402 KB

359. Paolo Falbo, Juri Hinz and Cristian Pelizzari Risk Aversion in Modeling of Cap-and-Trade Mechanisms and Optimal Design of Emission Markets PDF 560 KB

360.  Leunglung Chan and Eckhard Platen Pricing Volatility Derivatives under the Modified Constant Elasticity of Variance Model PDF 455 KB 

361.  Kevin Fergusson and Eckhard Platen Application of Maximum Likelihood Estimation to Stochastic Short Rate Models PDF 1.438 MB

362.  Andreea Röthig, Andreas Röthig and Carl Chiarella On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models  PDF 1.57 MB

363. Mathias Barkhagen, Jörgen Blomvall and Eckhard Platen Recovering the Real-World Density and Liquidity Premia From Option Data PDF 982 KB 

364. Xue-Zhong He and Youwei Li The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30 PDF 1.03 MB

365. Xue-Zhong He, Kai Li and Chuncheng Wan Volatility Clustering: A Nonlinear Theoretical Approach PDF 340 KB

366. Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates PDF 340 KB