Advanced Search
MyIDEAS: Login

Publications

by members of

School of Management
Curtin Business School
Curtin University
Perth, 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

2013

  1. Nikolai Dokuchaev, 2013. "Two unconditionally implied parameters and volatility smiles and skews," Papers 1303.4847, arXiv.org, revised Apr 2013.
  2. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
  3. Nikolai Dokuchaev, 2013. "Optimal replication of random claims by ordinary integrals with applications in finance," Papers 1301.0381, arXiv.org, revised Jan 2013.

2012

  1. Nikolai Dokuchaev, 2012. "On statistical indistinguishability of the complete and incomplete markets," Papers 1209.4695, arXiv.org, revised May 2013.
  2. Nikolai Dokuchaev, 2012. "Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance," Papers 1211.5858, arXiv.org, revised May 2014.

2011

  1. Nikolai Dokuchaev, 2011. "The structure of optimal portfolio strategies for continuous time markets," Papers 1105.1488, arXiv.org, revised Apr 2014.
  2. Nikolai Dokuchaev, 2011. "On martingale measures and pricing for continuous bond-stock market with stochastic bond," Papers 1108.0719, arXiv.org, revised Apr 2014.

2010

  1. Nikolai Dokuchaev, 2010. "On detecting the dependence of time series," Papers 1010.2576, arXiv.org.
  2. Nikolai Dokuchaev, 2010. "Controlled options: derivatives with added flexibility," Papers 1012.1412, arXiv.org, revised Oct 2011.

2009

  1. Nikolai Dokuchaev, 2009. "Mutual Fund Theorem for continuous time markets with random coefficients," Papers 0911.3194, arXiv.org.
  2. Georgellis, Yannis & Lange, Thomas, 2009. "Are Union Members Happy Workers after All? Evidence from Eastern and Western European Labor Markets," MPRA Paper 17020, University Library of Munich, Germany.

2008

  1. Nikolai Dokuchaev, 2008. "Optimal solution of investment problems via linear parabolic equations generated by Kalman filter," Papers 0804.4522, arXiv.org.

2002

  1. Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Papers math/0205120, arXiv.org.
  2. Nikolai Dokuchaev & Ulrich Haussmann, 2002. "Optimal portfolio selection and compression in an incomplete market," Papers math/0207260, arXiv.org.
  3. Nikolai Dokuchaev, 2002. "Maximin setting for investment problems and fixed income management with observable but non-predictable parameters," Papers math/0207259, arXiv.org.

2001

  1. Nikolai Dokuchaev, 2001. "A paradox of diffusion market model related with existence of winning combinations of options," Papers math/0103118, arXiv.org.

Journal articles

2013

  1. Nikolai Dokuchaev, 2013. "Continuously Controlled Options: Derivatives With Added Flexibility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(01), pages 1350003-1-1.
  2. Thomas Lange, 2013. "Evidence-based HRM: a scholarship perspective with a difference," Evidence-based HRM: A Global Forum for Empirical Scholarship, Emerald Group Publishing, vol. 1(1), pages 4-15.

2012

  1. Thomas Lange, 2012. "Job satisfaction and self-employment: autonomy or personality?," Small Business Economics, Springer, vol. 38(2), pages 165-177, February.

2011

  1. Nikolai Dokuchaev, 2011. "Option Pricing Via Maximization Over Uncertainty And Correction Of Volatility Smile," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 507-524.

2010

  1. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
  2. Nikolai Dokuchaev, 2010. "Optimal gradual liquidation of equity from a risky asset," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1305-1308.
  3. Thomas Lange, 2010. "Culture and life satisfaction in developed and less developed nations," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 901-906.
  4. Gail Pacheco & Thomas Lange, 2010. "Political participation and life satisfaction: a cross-European analysis," International Journal of Social Economics, Emerald Group Publishing, vol. 37(9), pages 686-702, September.

2009

  1. Nikolai Dokuchaev, 2009. "Multiple Rescindable Options And Their Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 545-575.

2008

  1. Nikolai Dokuchaev, 2008. "Price matching for multiple rescindable options and European options," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(5), pages 319-325.
  2. Scott Fargher & Stefan Kesting & Thomas Lange & Gail Pacheco, 2008. "Cultural heritage and job satisfaction in Eastern and Western Europe," International Journal of Manpower, Emerald Group Publishing, vol. 29(7), pages 630-650, November.
  3. Yannis Georgellis & Thomas Lange, 2008. "Introduction: subjective wellbeing and the labour market," International Journal of Manpower, Emerald Group Publishing, vol. 29(7), pages 588-590, November.

2007

  1. Nikolai Dokuchaev, 2007. "Bond pricing and two unconditionally implied parameters inferred from option prices," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(2), pages 109-113.
  2. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
  3. Nikolai Dokuchaev, 2007. "Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 319-337.
  4. Thomas Lange & Yannis Georgellis, 2007. "New perspectives on labour market intervention," International Journal of Manpower, Emerald Group Publishing, vol. 28(1), pages 4 - 6, January.
  5. Yannis Georgellis & Thomas Lange, 2007. "Intervention at the level of the firm: Employer-sponsored training and wage growth in post-unification Germany," International Journal of Manpower, Emerald Group Publishing, vol. 28(1), pages 62 - 74, August.

2006

  1. Nikolai Dokuchaev, 2006. "Two unconditionally implied parameters and volatility smiles and skews," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 199-204, May.
  2. Thomas Lange, 2006. "The Imprecise Science of Evaluating Scholarly Performance," Evaluation Review, , vol. 30(4), pages 505-532, August.

2004

  1. Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.

2002

  1. Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.

2001

  1. Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
  2. N. Dokuchaev & U. Haussmann, 2001. "Optimal portfolio selection and compression in an incomplete market," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 336-345.

1998

  1. Dokuchaev, Nikolai G. & Savkin, Andrey V., 1998. "The pricing of options in a financial market model with transaction costs and uncertain volatility," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 353-364, September.

1997

  1. Georgellis, Yannis & Lange, Thomas, 1997. "The Effect of Further Training on Wage Growth in West Germany, 1984-1992," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(2), pages 165-81, May.