Publications at Quantitative Finance Research Centre<BR> School of Finance and Economics<BR> University of Technology<BR> Sydney, Australia

This file is part of IDEAS, which uses RePEc data

Publications

by members of

Quantitative Finance Research Centre
School of Finance and Economics
University of Technology
Sydney, Australia

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2009

Carl Chiarella & Xue-Zhong He & Min Zheng, 2009. "Heterogeneous Expectations and Exchange Rate Dynamics," Research Paper Series 243, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Lei Shi, 2009. "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series 244, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009. "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series 251, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009. "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series 252, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Boda Kang, 2009. "The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach," Research Paper Series 245, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009. "The Representation of American Options Prices under Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series 256, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009. "Modelling the Evolution of Credit Spreads using the Cox process within the HJM framework: A CDS Option Pricing Model," Research Paper Series 255, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Mark Craddock & Eckhard Platen, 2009. "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series 246, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Quantitative Finance Papers 0904.1903, arXiv.org. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Quantitative Finance Papers 0901.2080, arXiv.org. [Downloadable!]
Wolfgang Breymann & David Lüthi & Eckhard Platen, 2009. "Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales," Research Paper Series 250, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009. "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Ron Bird & Gordon Menzies & Peter Dixon & Maureen Rimmer, 2009. "The Aggregate Economic Costs of US Stock Mispricing," Working Paper Series 4, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009. "Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement," Research Paper Series 248, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009. "Means-Tested Income Support, Portfolio Choice And Decumulation In Retirement," CAMA Working Papers 2009-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

2008

Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Giulia Iori & Josep Perello, 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," City University Economics Discussion Papers 08/04, Department of Economics, City University, London. [Downloadable!]
Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gerald H.L. Cheang & Carl Chiarella, 2008. "Hedge Portfolios in Markets with Price Discontinuities," Research Paper Series 218, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Viviana Fanelli & Silvana Musti, 2008. "Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model," Research Paper Series 232, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gerald H. L. Cheang & Carl Chiarella, 2008. "Exchange Options Under Jump-Diffusion Dynamics," Research Paper Series 235, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
T. Marquardt & Eckhard Platen & S. Jaschke, 2008. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series 221, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "Minimizing the Expected Market Time to Reach a Certain Wealth Level," Research Paper Series 230, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies," Research Paper Series 240, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hardy Hulley & Eckhard Platen, 2008. "A Visual Classification of Local Martingales," Research Paper Series 238, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Shane M Miller & Eckhard Platen, 2008. "Real World Pricing for a Modified Constant Elasticity of Variance Model," Research Paper Series 237, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Quantitative Finance Papers 0803.1890, arXiv.org, revised Nov 2009. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Quantitative Finance Papers 0812.0033, arXiv.org. [Downloadable!]
Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Stephen Satchell & Susan Thorp, 2008. "Discounting And Consumption Over An Uncertain Horizon: Draw-Down Plans For Family Trusts," CAMA Working Papers 2008-02, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Stephen Satchell & Susan Thorp, 2008. "Scenario Analysis With Recursive Utility: Dynamic Consumption Plans For Charitable Endowments," CAMA Working Papers 2008-03, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research. [Downloadable!]
Gordon Menzies & Jonathan Pratt & Susan Thorp & Peter Docherty, 2008. "Piloting a Peer Feedback Program in the Faculty of Business at UTS," Working Paper Series 154, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

2007

Jian Gao & Gang Gong & Xue-Zhong He, 2007. "Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy," Research Paper Series 199, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Toichiro Asada & Carl Chiarella & Peter Flaschel & Christian R. Proaño, 2007. "Keynesian AD-AS, Quo Vadis?," Working Paper Series 151, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Eckhard Platen, 2007. "The History of the Quantitative Methods in Finance Conference Series. 1992-2007," Research Paper Series 207, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Quantitative Finance Papers 0711.3581, arXiv.org. [Downloadable!]
Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Damir Filipovic & Eckhard Platen, 2007. "Consistent Market Extensions under the Benchmark Approach," Research Paper Series 189, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series 191, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Uwe Küchler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hazel Bateman & Susan Thorp, 2007. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," Research Paper Series 200, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hazel Bateman & Susan Thorp, 2007. "Choices and constraints over retirement income streams: comparing rules and regulations," Discussion Papers 2007-29, School of Economics, The University of New South Wales. [Downloadable!]
Stephen Satchell & Susan Thorp, 2007. "Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts," Research Paper Series 210, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Stephen Satchell & Susan Thorp, 2007. "Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments," Research Paper Series 209, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Konstantin Petrichev & Susan Thorp, 2007. "The Private Value of Public Pensions," Research Paper Series 211, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

2006

Carl Chiarella & Xue-Zhong He & Roberto Dieci & University of Technology Sydney, 2006. "A Dynamic Heterogeneous Beliefs CAPM," Computing in Economics and Finance 2006 181, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Andreas Röthig & Carl Chiarella, 2006. "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series 172, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2006. "Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy," Working Paper Series 147, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pu Chen & Carl Chiarella & Peter Flaschel & Hing Hung, 2006. "Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations," Working Paper Series 146, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Andreas Röthig & Carl Chiarella, 2006. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics 167, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2006. "American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach," Research Paper Series 174, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2006. "Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics," Computing in Economics and Finance 2006 44, Society for Computational Economics.
Thuy Duong To & Carl Chiarella & Hing Hung, 2006. "The Volatility Structure of the Fixed Income Markets under the HJM Framework," Computing in Economics and Finance 2006 260, Society for Computational Economics.
Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Me, 2006. "Numerical Methods for American Spread Options under Jump Diffusion Processes," Computing in Economics and Finance 2006 137, Society for Computational Economics.
Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 180, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

2005

Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Tony He & Cars H. Hommes, 2005. "A Dynamic Analysis of Moving Average Rules," Tinbergen Institute Discussion Papers 05-057/1, Tinbergen Institute. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
Youwei Li & Xue-Zhong (Tony) He, 2005. "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005 244, Society for Computational Economics.
Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2005. "Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions," Research Paper Series 145, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Giulia Iori, 2005. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Andrew Ziogas & Carl Chiarella, 2005. "Pricing American Options under Stochastic Volatility," Computing in Economics and Finance 2005 77, Society for Computational Economics.
C. Chiarella & C. Hsiao, 2005. "Intertemporal Asset Allocation with Inflation-Indexed Bonds," Computing in Economics and Finance 2005 168, Society for Computational Economics.
Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas, 2005. "The Valuation Of American Exchange Options Under," Computing in Economics and Finance 2005 483, Society for Computational Economics.
W. Semmler & P. Chen & C. Chiarella, 2005. "Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach," Computing in Economics and Finance 2005 211, Society for Computational Economics. [Downloadable!]
A. Ziogas & G. Cheang & C. Chiarella, 2005. "The Valuation of Multiple Asset American Options under Jump Diffusion Processes," Computing in Economics and Finance 2005 83, Society for Computational Economics.
Carl Chiarella & Chih-Ying Hsiao, 2005. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Research Paper Series 171, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hazel Bateman & Susan Thorp, 2005. "Decentralised Portfolio Management: Analysis of Australian Accumulation Funds," Research Paper Series 161, Quantitative Finance Research Centre, University of Technology, Sydney.
George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics. [Downloadable!]

2004

Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Cars Hommes & Carl Chiarella & Xue-Zhong He, 2004. "A Dynamical Analysis of Moving Average Rules," Computing in Economics and Finance 2004 238, Society for Computational Economics.
Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004. "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers 04-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2004. "McKean's Methods Applied to American Call Options on Jump-Diffusion Processes," Research Paper Series 117, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.
Andrew Ziogas & Carl Chiarella, 2004. "Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions," Computing in Economics and Finance 2004 177, Society for Computational Economics.
Carl Chiarella & Roberto Dieci, 2004. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004 261, Society for Computational Economics.
C. Chiarella & P. Chen, 2004. "Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach," Computing in Economics and Finance 2004 149, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Chih-ying Hsiao, 2004. "Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming," Computing in Economics and Finance 2004 73, Society for Computational Economics.
Thuy Duong To & Carl Chiarella, 2004. "Estimation of the Volatility Structure of the Fixed Income Market," Econometric Society 2004 Australasian Meetings 219, Econometric Society.
Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA. [Downloadable!]
Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, EconWPA. [Downloadable!]
Toichiro Asada & Pu Chen & Carl Chiarella & Peter Flaschel, 2004. "Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach," Macroeconomics 0409001, EconWPA. [Downloadable!]
Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Shenhuai Gao, 2004. "Continuous Time Model Estimation," Working Paper Series 138, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Toichiro Asada & Pu Chen & Carl Chiarella & Peter Flaschel, 2004. "Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model," Working Paper Series 139, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
D. Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society. [Downloadable!]
Geoffrey Kingston & Susan Thorp, 2004. "Annuitization and Asset Allocation with HARA Utlity," Econometric Society 2004 Australasian Meetings 248, Econometric Society.

2003

Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Peiyuan Zhu & Carl Chiarella & Tony He, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Computing in Economics and Finance 2003 31, Society for Computational Economics.
Carl Chiarella & Xue-Zhong He & Peiyuan Zhu, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Research Paper Series 108, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series 94, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
M. Gilli & C. Chiarella & J. Dewynne, 2003. "Issues in Evaluating Multifactor Options in a PDE Framework," Computing in Economics and Finance 2003 110, Society for Computational Economics.
Andrew Ziogas & Carl Chiarella, 2003. "McKean’s Method applied to American Call Options on Jump-Diffusion Processes," Computing in Economics and Finance 2003 39, Society for Computational Economics.
To, Thuy Duong & Carl Chiarella, 2003. "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003 205, Royal Economic Society. [Downloadable!]
Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003. "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003 201, Society for Computational Economics.
Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
T. Asada & Carl Chiarella & Peter Flaschel & Reiner Franke, 2003. "Interacting Two-Country Business Fluctuations," Working Paper Series 128, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "The Structure of Keynesian Macrodynamics: A Framework for Future Research," Working Paper Series 129, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
T. Asada & Carl Chiarella & Peter Flaschel, 2003. "Keynes-Metzler-Goodwin Model Building: The Closed Economy," Working Paper Series 124, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2003. "Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum," Working Paper Series 125, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 2003. "Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation," Working Paper Series 127, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model," Working Paper Series 96, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 2003. "Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation," Working Paper Series 97, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2003. "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series 101, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "Diversified Portfolios in a Benchmark Framework," Research Paper Series 87, Quantitative Finance Research Centre, University of Technology, Sydney.
Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Research Paper Series 91, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Leah Kelly & Eckhard Platen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

2002

Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
Giulia Iori & Carl Chiarella, 2002. "A simple microstructure model of double auction markets," Computing in Economics and Finance 2002 44, Society for Computational Economics.
Carl Chiarella & Peter Flaschel & Gang Gong & Willi Semmler, 2002. "Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules," Computing in Economics and Finance 2002 89, Society for Computational Economics.
Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Price Dynamics And Diversification Under Heterogeneous Expectations," Computing in Economics and Finance 2002 88, Society for Computational Economics.
Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2002. "A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models," Computing in Economics and Finance 2002 261, Society for Computational Economics.
Carl Chiarella & Silvana Musti, 2002. "Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility," Computing in Economics and Finance 2002 84, Society for Computational Economics.
Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2002. "The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions," Computing in Economics and Finance 2002 292, Society for Computational Economics.
Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2002. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computing in Economics and Finance 2002 222, Society for Computational Economics.
G.I. Bischi, & C. Chiarella & M. Kopel, 2002. "On Market Games with Misspecified Demand Functions : Long Run Outcomes and Global Dynamics," Computing in Economics and Finance 2002 27, Society for Computational Economics.
Carl Chiarella & Peter Flaschel & G. Gong & Willi Semmler, 2002. "Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model," Working Paper Series 120, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2002. "Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach," Working Paper Series 123, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Research Paper Series 83, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & S. Gao, 2002. "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series 115, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & S. Gao, 2002. "Type I Spurious Regression in Econometrics," Working Paper Series 114, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & S. Gao, 2002. "Solving the Price-Earnings Puzzle," Working Paper Series 116, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2002. "Benchmark Model with Intensity Based Jumps," Research Paper Series 81, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2002. "A Benchmark Framework for Integrated Risk Management," Research Paper Series 82, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

2001

Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Carl Chiarella and Xue-Zhong He, 2001. "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations," Computing in Economics and Finance 2001 39, Society for Computational Economics.
Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 2001. "Asset Price and Wealth Dynamics Under Heterogeneous Expectations," Research Paper Series 56, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Peter Flaschel & Carl Chiarella & Reiner Franke & Willi Semmler, 2001. "Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies," CeNDEF Workshop Papers, January 2001 1B.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2001. "Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market," Working Paper Series 112, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 2001. "State Variables and the Affine Nature of Markovian HJM Term Structure Models," Research Paper Series 52, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 2001. "Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient," Working Paper Series 111, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm," Research Paper Series 68, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Roberto Dieci & Laura Gardini, 2001. "Speculative Behaviour and Complex Asset Price Dynamics," Research Paper Series 49, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 2001. "A Benchmark Model for Financial Markets," Research Paper Series 59, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2001. "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series 61, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Model," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Kestutis Kubilius & Eckhard Platen, 2001. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series 54, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
Uwe Kuchler & Eckhard Platen, 2001. "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 50, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

2000

Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 2000. "Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning," Research Paper Series 37, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Anthony D. Hall & S. Hwang & Steve Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return," Research Paper Series 31, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Richard Gerlach & Ron Bird & Anthony D. Hall, 2000. "A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information," Research Paper Series 47, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Anthony Hall & Soosung Hwang & Stephen E. Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Econometric Society World Congress 2000 Contributed Papers 1213, Econometric Society. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 2000. "Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems," Working Paper Series 76, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Alexander Khomin, 2000. "Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics," Working Paper Series 102, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 2000. "Price Flexibility and Debt Dynamics in a High Order AS-AD Model," Working Paper Series 109, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Volker Bohm & Carl Chiarella, 2000. "Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices," Research Paper Series 46, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2000. "Output, Financial Markets and Growth," Working Paper Series 108, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella, Nadima El-Hassan & Adam Kucera, 2000. "The Evaluation Of Multiasset European And American Options Via Fourier Hermite Series Expansions," Computing in Economics and Finance 2000 287, Society for Computational Economics.
Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Uwe Kuchler & Eckhard Platen, 2000. "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 44, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]

1999

Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Tony He, 1999. "Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model," Research Paper Series 18, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 1999. "The Dynamics of the Cobweb when Producers are Risk Averse Learners," Working Paper Series 90, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation," Computing in Economics and Finance 1999 714, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 1999. "The Macrodynamics of Debt Deflation," SCEPA Working Papers 1999-04, Schwartz Center for Economic Policy Analysis (SCEPA), The New School. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model," Working Paper Series 94, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Ferenz Szidarovszky, 1999. "The Birth of Limit Cycles in Nonlinear Oligipolies with Continuously Distributed Information Lags," Working Paper Series 87, School of Finance and Economics, University of Technology, Sydney.
Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: I The Starting Model," Working Paper Series 93, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues," Working Paper Series 95, School of Finance and Economics, University of Technology, Sydney.
Carl Chiarella & Peter Flaschel & G. Groh & C. Köper & Willi Semmler, 1999. "Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions," Working Paper Series 98, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 1999. "Classes of Interest Rate Models Under the HJM Framework," Research Paper Series 13, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives," Working Paper Series 85, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & G. Groh & C. Köper & Willi Semmler, 1999. "Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution," Working Paper Series 99, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 1999. "On the Log-Return Distribution of Index Benchmarked Share Prices," Research Paper Series 22, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "A Financial Market Model with Trading Volume and Stochastic Volatility," Research Paper Series 15, Quantitative Finance Research Centre, University of Technology, Sydney.
R. Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "A Financial Market Model," Research Paper Series 9, Quantitative Finance Research Centre, University of Technology, Sydney.
David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
P. Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.
S. Hurst & Eckhard Platen, 1999. "On the Marginal Distribution of Trade Weighted Currency Indices," Research Paper Series 8, Quantitative Finance Research Centre, University of Technology, Sydney.
John van der Hoek & Eckhard Platen, 1999. "Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation," Research Paper Series 14, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
R. Elliott & P. Fischer & Eckhard Platen, 1999. "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model," Research Paper Series 17, Quantitative Finance Research Centre, University of Technology, Sydney.

1998

Anthony D. Hall & Paul Kofman & R. Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998. "A nonlinear time series model of El Niño," Working Paper Series in Economics and Finance 263, Stockholm School of Economics.
David Heath & Eckhard Platen & M. Schweizer, 1998. "Comparison of Some Key Approches to Hedging in Incomplete Markets," Research Paper Series 1, Quantitative Finance Research Centre, University of Technology, Sydney.
Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany. [Downloadable!]

1997

Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Nadima El-Hassan, 1997. "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series 75, School of Finance and Economics, University of Technology, Sydney.
Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B 398, University of Bonn, Germany. [Downloadable!]

1996

Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates," Working Paper Series 63, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Alexander Khomin, 1996. "Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates," Working Paper Series 64, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1996. "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series 66, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

1995

Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.
Ram Bhar & Carl Chiarella, 1995. "Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach," Working Paper Series 56, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1995. "Keynesian Monetary Growth Dynamics: The Missing Prototype," Working Paper Series 52, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Koji Okuguchi, 1995. "A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets," Working Paper Series 43, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996. [Downloadable!]
K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany. [Downloadable!]
Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B 291, University of Bonn, Germany, revised Mar 1995. [Downloadable!]
Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]
K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany. [Downloadable!]

1994

Platen, Eckhard & Martin Schweizer, 1994. "On Smile and Skewness," Discussion Paper Serie B 302, University of Bonn, Germany.
D. Sondermann & Sandmann, K., 1994. "On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures," Discussion Paper Serie B 263, University of Bonn, Germany. [Downloadable!]
Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B 308, University of Bonn, Germany. [Downloadable!]

1993

K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany. [Downloadable!]
Sandmann, K. & E. Schlögl, 1993. "Zustandspreise und die Modellierung des Zinsänderungsrisikos," Discussion Paper Serie B 238, University of Bonn, Germany.
Reimer, Matthias & Klaus Sandmann, 1993. "Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie," Discussion Paper Serie B 239, University of Bonn, Germany.

1992

Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella, 1992. "Developments in Nonlinear Economic Dynamics: Past, Present and Future," Working Paper Series 14, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.

1991

Carl Chiarella, 1991. "The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays," Working Paper Series 11, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Toan Pham & Ah Boon Sim & Madeleine Tan, 1991. "The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context," Working Paper Series 4, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Toan Pham & Ah Boon Sim & Madeleine Tan, 1991. "Determinants of Corporate Capital Structure: Australian Evidence," Working Paper Series 3, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella, 1991. "Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics," Working Paper Series 6, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

1990

H. M. Anderson & C. W.J. Granger & A. D. Hall, 1990. "Treasury Bill Yield Curves and Cointegration," University of California at San Diego, Economics Working Paper Series 90-24, Department of Economics, UC San Diego.
Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.

Undated

Carl Chiarella & Alexander Khomin, . "Adaptive Rational Expectations in Models of Monetary Dynamics," Computing in Economics and Finance 1997 97, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Peter Flaschel, . "A Model of Monetary Growth for a Small Open Economy," Computing in Economics and Finance 1997 138, Society for Computational Economics. [Downloadable!]
Toichiro Asada & Carl Chiarella & Peter Flaschel & Reiner Franke, . "Interacting Two-Country Business Fluctuations," Modeling, Computing, and Mastering Complexity 2003 02, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Alexander Khomin, . "Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems," Computing in Economics and Finance 1997 109, Society for Computational Economics. [Downloadable!]
Carl Chiarella, Nadima El-Hassan, & Adam Kucera, . "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics. [Downloadable!]
E. Platen, . "A Benchmark Model for Financial Markets," Sonderforschungsbereich 373 2001-52, Humboldt Universitaet Berlin.
U. Küchler & E. Platen, . "Strong discrete time approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 1999-25, Humboldt Universitaet Berlin.
H. Gilsing & U. Küchler & E. Platen, . "Über die Stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," Sonderforschungsbereich 373 2001-20, Humboldt Universitaet Berlin.
E. Platen, . "Risk Premia and Financial Modelling Without Measure Transformation," Sonderforschungsbereich 373 2000-92, Humboldt Universitaet Berlin.
U. Küchler & E. Platen, . "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 2001-30, Humboldt Universitaet Berlin.
E. Platen & M. Schweizer, . "On Feedback Effects from Hedging Derivatives," Sonderforschungsbereich 373 1997-83, Humboldt Universitaet Berlin.
E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
Glenn Stevens & Susan Thorp & John Anderson, . "The Australian Demand Function for Money: Another Look at Stability," RBA Research Discussion Papers rdp8701, Reserve Bank of Australia.
Glenn Stevens & Susan Thorp, . "The Relationship between Financial Indicators and Economic Activity: Some Further Evidence," RBA Research Discussion Papers rdp8903, Reserve Bank of Australia.
Michele Bullock & Glenn Stevens & Susan Thorp, . "Do Financial Aggregates Lead Activity?A Preliminary Analysis," RBA Research Discussion Papers rdp8803, Reserve Bank of Australia.
Robert Trevor & Susan Thorp, . "VAR Forecasting Models of the Australian Economy:A Preliminary Analysis," RBA Research Discussion Papers rdp8802, Reserve Bank of Australia.
Adrian Blundell-Wignall & Susan Thorp, . "Money Demand, Own Interest Rates and Deregulation," RBA Research Discussion Papers rdp8703, Reserve Bank of Australia.
Sandmann,Klaus, . "An intertemporal interest rate market model: Complete markets," Discussion Paper Serie B 94, University of Bonn, Germany.
Sandmann,Klaus, . "The pricing of options with an uncertain interest rate: A discrete time approach," Discussion Paper Serie B 114, University of Bonn, Germany.
Sandmann,Klaus & Sondermann,Dieter, . "Zur Bewertung von Caps und Floors," Discussion Paper Serie B 98, University of Bonn, Germany.
Sandmann,Klaus & Sondermann,Dieter, . "A term structure model and the pricing of interest rate options," Discussion Paper Serie B 129, University of Bonn, Germany.
von Borries,Daniel & Sandmann,Klaus, . "Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten," Discussion Paper Serie B 241, University of Bonn, Germany.

Journal articles

2009

Carl Chiarella & Andrew Ziogas, 2009. "American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach," Applied Mathematical Finance, Taylor and Francis Journals, vol. 16(1), pages 37-79. [Downloadable!] (restricted)
Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April. [Downloadable!] (restricted)
Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2009. "The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 393-425. [Downloadable!] (restricted)
Ramaprasad Bhar & Carl Chiarella, 2009. "Inference on forward exchange rate risk premium: reviewing signal extraction methods," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 115-125, January. [Downloadable!] (restricted)
Damir Filipović & Eckhard Platen, 2009. "Consistent Market Extensions Under The Benchmark Approach," Mathematical Finance, Blackwell Publishing, vol. 19(1), pages 41-52. [Downloadable!] (restricted)

2008

Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 59-79. [Downloadable!] (restricted)
Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer, vol. 32(1), pages 55-72, September. [Downloadable!] (restricted)
Wolfgang Härdle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 81-92. [Downloadable!] (restricted)
Shane M. Miller & Eckhard Platen, 2008. "Analytic Pricing Of Contingent Claims Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 841-867. [Downloadable!] (restricted)
Petrichev, Konstantin & Thorp, Susan, 2008. "The private value of public pensions," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1138-1145, June. [Downloadable!] (restricted)
Hazel Bateman & Susan Thorp, 2008. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages S17-S31, 09. [Downloadable!] (restricted)
Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Blackwell Publishing, vol. 9, pages 207-231, 05. [Downloadable!] (restricted)
Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor and Francis Journals, vol. 15(4), pages 331-354. [Downloadable!] (restricted)
Hans-Peter Bermin & Peter Buchen & Otto Konstandatos, 2008. "Two Exotic Lookback Options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 15(4), pages 387-402. [Downloadable!] (restricted)

2007

Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March. [Downloadable!] (restricted)
He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October. [Downloadable!] (restricted)
Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007. "Butter mountains, milk lakes and optimal price limiters," Applied Economics Letters, Taylor and Francis Journals, vol. 14(15), pages 1131-1136. [Downloadable!] (restricted)
Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August. [Downloadable!] (restricted)
Ron Bird & Anthony D. Hall & Francesco MomentÃ¨ & Francesco Reggiani, 2007. "What Corporate Social Responsibility Activities are Valued by the Market?," Journal of Business Ethics, Springer, vol. 76(2), pages 189-206, December. [Downloadable!] (restricted)
Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal asset allocation when the underlying factors are unobservable," Computational Economics, Springer, vol. 29(3), pages 383-418, May. [Downloadable!] (restricted)
Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor and Francis Journals, vol. 14(5), pages 365-399. [Downloadable!] (restricted)
Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik SchlãGl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202. [Downloadable!] (restricted)
Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer, vol. 29(3), pages 283-312, May. [Downloadable!] (restricted)
Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 25-43, March. [Downloadable!] (restricted)
Morten Mosegaard Christensen & Eckhard Platen, 2007. "Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364. [Downloadable!] (restricted)
Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July. [Downloadable!] (restricted)
Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," European Journal of Finance, Taylor and Francis Journals, vol. 13(8), pages 769-793. [Downloadable!] (restricted)
Ron Bird & Lorenzo Casavecchia, 2007. "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing, vol. 3(3), pages 229-262, July. [Downloadable!] (restricted)
Bateman, Hazel & Thorp, Susan, 2007. "Decentralized investment management: an analysis of non-profit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(01), pages 21-44, March. [Downloadable!]
Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 275-289, October. [Downloadable!] (restricted)
Susan Thorp & George Milunovich, 2007. "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does It Pay To Switch?," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 30(3), pages 355-377. [Downloadable!] (restricted)

2006

Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753. [Downloadable!] (restricted)
Chiarella, Carl & He, Xue-Zhong & Hung, Hing & Zhu, Peiyuan, 2006. "An analysis of the cobweb model with boundedly rational heterogeneous producers," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 750-768, December. [Downloadable!] (restricted)
Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January. [Downloadable!] (restricted)
Asada, Toichiro & Chen, Pu & Chiarella, Carl & Flaschel, Peter, 2006. "Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 90-130, March. [Downloadable!] (restricted)
Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786. [Downloadable!] (restricted)
Agliari, Anna & Chiarella, Carl & Gardini, Laura, 2006. "A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 60(4), pages 526-552, August. [Downloadable!] (restricted)
Carl Chiarella & Chih-Ying Hsiao, 2006. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Computational Economics, Springer, vol. 28(2), pages 113-137, September. [Downloadable!] (restricted)
Carl Chiarella & Thuy-Duong Tô, 2006. "The Multifactor Nature of the Volatility of Futures Markets," Computational Economics, Springer, vol. 27(2), pages 163-183, May. [Downloadable!] (restricted)
Carl Chiarella & Peter Flaschel & Hing Hung, 2006. "Interacting Business Cycle Fluctuations: A Two-Country Model," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 365-394. [Downloadable!] (restricted)
Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 197-206, June. [Downloadable!] (restricted)
Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Blackwell Publishing, vol. 16(1), pages 131-151. [Downloadable!] (restricted)
Truc Le & Eckhard Platen, 2006. "Approximating the growth optimal portfolio with a diversified world stock index," Journal of Risk Finance, Emerald Group Publishing, vol. 7(5), pages 559-574, November. [Downloadable!] (restricted)
Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September. [Downloadable!] (restricted)
Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006. "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, vol. 2(3), pages 303-325, July. [Downloadable!] (restricted)

2005

He, Xue-Zhong & Westerhoff, Frank H., 2005. "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September. [Downloadable!] (restricted)
Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 17-52, March. [Downloadable!] (restricted)
Chiarella, Carl & Ziogas, Andrew, 2005. "Evaluation of American strangles," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 31-62, January. [Downloadable!] (restricted)
Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2005. "Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model," Icfai University Journal of Monetary Economics, Icfai Press, vol. 0(3), pages 6 - 49, August.
Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Blackwell Publishing, vol. 15(1), pages 61-97. [Downloadable!] (restricted)
Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March. [Downloadable!] (restricted)
Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Blackwell Publishing, vol. 44(4), pages 365-388, December. [Downloadable!] (restricted)
Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March. [Downloadable!] (restricted)
Eckhard Platen, 2005. "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735. [Downloadable!] (restricted)
David Heath & Eckhard Platen, 2005. "Currency Derivatives Under A Minimal Market Model With Random Scaling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1157-1177. [Downloadable!] (restricted)
Azzi, Sarah & Bird, Ron, 2005. "Prophets during boom and gloom downunder," Global Finance Journal, Elsevier, vol. 15(3), pages 337-367, February. [Downloadable!] (restricted)
Susan Thorp, 2005. "'That Courage is not Inconsistent with Caution': Currency Hedging for Superannuation Funds," The Economic Record, The Economic Society of Australia, vol. 81(252), pages 38-50, 03. [Downloadable!] (restricted)
Kingston, Geoffrey & Thorp, Susan, 2005. "Annuitization and asset allocation with HARA utility," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(03), pages 225-248, November. [Downloadable!]
Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Blackwell Publishing, vol. 15(2), pages 245-259. [Downloadable!] (restricted)

2004

Hall, A.D., Szidarovszky, F. & Zhao, J., 2004. "Some notes on a dynamic model of international fishing," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 15(1), pages 45-54.
Chiarella, Carl & Szidarovszky, Ferenc, 2004. "Dynamic oligopolies without full information and with continuously distributed time lags," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 495-511, August. [Downloadable!] (restricted)
Chiarella, Carl & Gao, Shenhuai, 2004. "The value of the S&P 500--A macro view of the stock market adjustment process," Global Finance Journal, Elsevier, vol. 15(2), pages 171-196, August. [Downloadable!] (restricted)
Ramaprasad Bhar & Carl Chiarella & Wolfgang J. Runggaldier, 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(1). [Downloadable!]
David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
Shane Miller & Eckhard Platen, 2004. "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 107-133, March. [Downloadable!] (restricted)
Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)

2003

Chiarella, Carl & He, Xue-Zhong, 2003. "Dynamics of beliefs and learning under aL-processes -- the heterogeneous case," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 503-531, January. [Downloadable!] (restricted)
Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 87-127, September. [Downloadable!] (restricted)
Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer, vol. 22(2), pages 113-138, October. [Downloadable!] (restricted)
Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer, vol. 22(2), pages 213-223, October. [Downloadable!] (restricted)
Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, vol. 6(2), pages 129-155, May. [Downloadable!] (restricted)
Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September. [Downloadable!]
Chiarella, Carl & Flaschel, Peter & Wells, Graeme, 2003. "The Dynamics Of Keynesian Monetary Growth," Macroeconomic Dynamics, Cambridge University Press, vol. 7(03), pages 473-475, June. [Downloadable!]
Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 449-473, June. [Downloadable!]

2002

Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Springer, vol. 19(1), pages 95-132, February. [Downloadable!]
Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October. [Downloadable!] (restricted)
Carl Chiarella & Willi Semmler & Stefan Mittnik & Peiyuan Zhu, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 6(1). [Downloadable!]
D. Heath & E. Platen, 2002. "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor and Francis Journals, vol. 2(6), pages 459-467, June. [Downloadable!] (restricted)
Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370. [Downloadable!] (restricted)

2001

Carl Chiarella & Oh Kang Kwon, 2001. "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, vol. 5(2), pages 237-257. [Downloadable!] (restricted)
David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 385-413. [Downloadable!] (restricted)

2000

Chiarella, Carl & Flaschel, Peter, 2000. "High order disequilibrium growth dynamics: Theoretical aspects and numerical features," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 935-963, June. [Downloadable!] (restricted)
Ramaprasad Bhar, Carl Chiarella, 2000. "Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 113-125, June. [Downloadable!] (restricted)

1999

Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September. [Downloadable!] (restricted)
Eckhard Platen, 1999. "A short term interest rate model," Finance and Stochastics, Springer, vol. 3(2), pages 215-225. [Downloadable!] (restricted)

1998

Chiarella, Carl & Flaschel, Peter, 1998. "Dynamics Of Natural Rates Of Growth And Employment," Macroeconomic Dynamics, Cambridge University Press, vol. 2(03), pages 345-368, September. [Downloadable!]

1997

R. Bhar, C. Chiarella, 1997. "Transformation of Heath–Jarrow–Morton models to Markovian systems," European Journal of Finance, Taylor and Francis Journals, vol. 3(1), pages 1-26, March. [Downloadable!] (restricted)
Ramaprasad Bhar, Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 181-199, December. [Downloadable!] (restricted)
Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May. [Downloadable!] (restricted)
Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-30, March. [Downloadable!] (restricted)

1996

Chiarella, Carl & Flaschel, Peter, 1996. "Real and monetary cycles in models of Keynes-Wicksell type," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 327-351, September. [Downloadable!] (restricted)
M. Streit & D. Schneider & T. Tietenberg & R. Kollmann & C. Chiarella & R. Bommer & E. Plassmann & V. Valli, 1996. "Book reviews," Journal of Economics, Springer, vol. 63(2), pages 213-235, June. [Downloadable!] (restricted)
J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan Journals, vol. 21(1), pages 65-102, June. [Downloadable!] (restricted)

1995

Hall, A D & Vella, Francis, 1995. "The Wage-Hours Profile for Young Australians: How Meaningful Are Labour Supply Functions Estimated from Micro Data?," Australian Economic Papers, Blackwell Publishing, vol. 34(64), pages 50-61, June.
Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July. [Downloadable!] (restricted)

1992

Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February. [Downloadable!] (restricted)
Chiarella, Carl, 1992. "Economic dynamics : Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper)," Journal of Economic Behavior & Organization, Elsevier, vol. 18(3), pages 443-445, August. [Downloadable!] (restricted)
C. Seidl & G. Nöldeke & H. Zink & K. Sandmann & Y. Ishii & H. Welsch & F. Winden & K. Laski, 1992. "Book reviews," Journal of Economics, Springer, vol. 55(2), pages 221-244, June. [Downloadable!] (restricted)

1991

Chiarella, Carl, 1991. "The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy," European Journal of Political Economy, Elsevier, vol. 7(1), pages 65-78, April. [Downloadable!] (restricted)
Chiarella, C., 1991. "The birth of limit cycles in Cournot oligopoly models with time delays," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 2(2-3), pages 81-92.

1990

Hall, A. D., 1990. "Worldwide Rankings of Research Activity in Econometrics: An Update: 1980?1988," Econometric Theory, Cambridge University Press, vol. 6(01), pages 1-16, March. [Downloadable!]
Chiarella, Carl, 1990. "Excessive exchange rate variability : A possible explanation using nonlinear economic dynamics," European Journal of Political Economy, Elsevier, vol. 6(3), pages 315-352, December. [Downloadable!] (restricted)
Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark, 1990. "Portfolio insurance: a simulation under different market conditions," Insurance: Mathematics and Economics, Elsevier, vol. 9(1), pages 1-19, March. [Downloadable!] (restricted)

1989

Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.
Chiarella, Carl & Kemp, Murray C. & van Long, Ngo, 1989. "Innovation and the transfer of technology : A leader-follower model," Economic Modelling, Elsevier, vol. 6(4), pages 452-456, October. [Downloadable!] (restricted)
Chiarella, Carl, 1989. "The dynamic behaviour of workers' enterprises," European Journal of Political Economy, Elsevier, vol. 5(2-3), pages 317-331. [Downloadable!] (restricted)

1988

Pesaran, M. H. & Hall, A. D., 1988. "Tests of non-nested linear regression models subject to linear restrictions," Economics Letters, Elsevier, vol. 27(4), pages 341-348. [Downloadable!] (restricted)
Chiarella, Carl, 1988. "The cobweb model: Its instability and the onset of chaos," Economic Modelling, Elsevier, vol. 5(4), pages 377-384, October. [Downloadable!] (restricted)
Trevor, R G & Thorp, S J, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," Australian Economic Papers, Blackwell Publishing, vol. 27(0), pages 108-20, Supplemen.

1987

Hall, A. D., 1987. "Worldwide Rankings of Research Activity in Econometrics: 1980?1985," Econometric Theory, Cambridge University Press, vol. 3(02), pages 171-194, April. [Downloadable!]
Bird, Ron & McCrae, Michael & Beggs, John J, 1987. "Are Gamblers Really Risk Takers?," Australian Economic Papers, Blackwell Publishing, vol. 26(49), pages 237-53, December.

1986

Chiarella, Carl, 1986. "Perfect foresight models and the dynamic instability problem from a higher viewpoint," Economic Modelling, Elsevier, vol. 3(4), pages 283-292, October. [Downloadable!] (restricted)
Chiarella, Carl & Sertel, Murat R., 1986. "Competitive capitalism and cooperative labor management in a dynamic nutshell," European Journal of Political Economy, Elsevier, vol. 2(4), pages 499-519. [Downloadable!] (restricted)

1984

Chiarella, Carl, et al, 1984. "On the Economics of International Fisheries," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 85-92, February. [Downloadable!] (restricted)

1983

Pagan, A R & Hall, A D & Trivedi, P K, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Blackwell Publishing, vol. 50(4), pages 585-96, October. [Downloadable!] (restricted)
Hall, A. D., 1983. "Confidence contours for two test statistics for non-nested regression models," Journal of Econometrics, Elsevier, vol. 21(1), pages 155-160, January. [Downloadable!] (restricted)
A. R. Pagan & A. D. Hall, 1983. "Reply," Econometric Reviews, Taylor and Francis Journals, vol. 2(2), pages 249-254. [Downloadable!] (restricted)
A. R. Pagan & A. D. Hall, 1983. "Diagnostic tests as residual analysis," Econometric Reviews, Taylor and Francis Journals, vol. 2(2), pages 159-218. [Downloadable!] (restricted)

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Quantitative Finance Research Centre School of Finance and Economics University of Technology Sydney, Australia

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Quantitative Finance Research Centre
School of Finance and Economics
University of Technology
Sydney, Australia