Quantitative Finance Research Centre, University of Technology, Sydney

For technical questions regarding this series, please contact (Duncan Ford)
Series handle: repec:uts:rpaper

2009

• 259 Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes
  by Eckhard Platen & Renata Rendek [Downloadable!]
• 258 Quasi-exact Approximation of Hidden Markov Chain Filters
  by Eckhard Platen & Renata Rendek [Downloadable!]
• 257 On Fair Pricing of Emission-Related Derivatives
  by Juri Hinz & Alex Novikov [Downloadable!]
• 256 The Representation of American Options Prices under Stochastic Volatility and Jump-Diffusion Dynamics
  by Gerald Cheang & Carl Chiarella & Andrew Ziogas [Downloadable!]
• 255 Modelling the Evolution of Credit Spreads using the Cox process within the HJM framework: A CDS Option Pricing Model
  by Carl Chiarella & Viviana Fanelli & Silvana Musti [Downloadable!]
• 254 A Framework for CAPM with Heterogenous Beliefs
  by Carl Chiarella & Roberto Dieci & Xue-Zhong He [Downloadable!]
• 253 A Benchmark Approach to Investing and Pricing
  by Eckhard Platen [Downloadable!]
• 252 Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs
  by Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng [Downloadable!]
• 251 A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
  by Carl Chiarella & Xue-Zhong He & Paolo Pellizzari [Downloadable!]
• 250 Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales
  by Wolfgang Breymann & David Lüthi & Eckhard Platen [Downloadable!]
• 249 The British Asian Option
  by Kristoffer Glover & Goran Peskir & Farman Samee [Downloadable!]
• 248 Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement
  by Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen [Downloadable!]
• 247 Asset Markets and Monetary Policy
  by Eckhard Platen & Willi Semmler [Downloadable!]
• 246 On Explicit Probability Laws for Classes of Scalar Diffusions
  by Mark Craddock & Eckhard Platen [Downloadable!]
• 245 The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
  by Carl Chiarella & Boda Kang [Downloadable!]
• 244 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
  by Xue-Zhong He & Lei Shi [Downloadable!]
• 243 Heterogeneous Expectations and Exchange Rate Dynamics
  by Carl Chiarella & Xue-Zhong He & Min Zheng [Downloadable!]
• 242 Alternative Defaultable Term Structure Models
  by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl [Downloadable!]

• 241 Viability of Markets with an Infinite Number of Assets
  by Constantinos Kardaras [Downloadable!]
• 240 Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies
  by Constantinos Kardaras & Eckhard Platen [Downloadable!]
• 238 A Visual Classification of Local Martingales
  by Hardy Hulley & Eckhard Platen [Downloadable!]
• 237 Real World Pricing for a Modified Constant Elasticity of Variance Model
  by Shane M Miller & Eckhard Platen [Downloadable!]
• 235 Exchange Options Under Jump-Diffusion Dynamics
  by Gerald H. L. Cheang & Carl Chiarella [Downloadable!]
• 234 On the Numerical Stability of Simulation Methods for SDES
  by Eckhard Platen & Lei Shi [Downloadable!]
• 233 Heterogeneity, Bounded Rationality and Market Dysfunctionality
  by Xue-Zhong He & Lei Shi [Downloadable!]
• 232 Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
  by Carl Chiarella & Viviana Fanelli & Silvana Musti [Downloadable!]
• 231 Heterogeneity, Market Mechanisms, and Asset Price Dynamics
  by Carl Chiarella & Roberto Dieci & Xue-Zhong He [Downloadable!]
• 230 Minimizing the Expected Market Time to Reach a Certain Wealth Level
  by Constantinos Kardaras & Eckhard Platen [Downloadable!]
• 229 On Honest Times in Financial Modeling
  by Ashkan Nikeghbali & Eckhard Platen [Downloadable!]
• 228 Distributional Deviations in Random Number Generation in Finance
  by Sergio Chavez & Eckhard Platen [Downloadable!]
• 227 A Unifying Approach to Asset Pricing
  by Eckhard Platen [Downloadable!]
• 226 A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
  by Leo Krippner [Downloadable!]
• 225 Quadratic Hedging of Basis Risk
  by Hardy Hulley & T. A. McWalter [Downloadable!]
• 224 A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse
  by Allan Brace & Mark Lauer & Milo Rado [Downloadable!]
• 223 Pricing Financial Derivatives on Weather Sensitive Assets
  by Jerzy Filar & Boda Kang & Malgorzata Korolkiewicz [Downloadable!]
• 222 Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
  by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!]
• 221 Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
  by T. Marquardt & Eckhard Platen & S. Jaschke [Downloadable!]
• 220 Modelling Adverse Selection on Electronic Order-Driven Markets
  by Louis R. Mercorelli & David Michayluk & Anthony D. Hall [Downloadable!]
• 219 The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines
  by Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas [Downloadable!]
• 218 Hedge Portfolios in Markets with Price Discontinuities
  by Gerald H.L. Cheang & Carl Chiarella [Downloadable!]
• 217 The Toll of Subrational Trading in an Agent Based Economy
  by Paolo Pellizzari [Downloadable!]
• 216 Analytic Pricing of Contingent Claims Under the Real-World Measure
  by Shane Miller & Eckhard Platen [Downloadable!]
• 215 The Law of Minimum Price
  by Eckhard Platen [Downloadable!]
• 214 Hedging for the Long Run
  by Eckhard Platen & Hardy Hulley [Downloadable!]
• 213 On Financial Markets where only Buy-And-Hold Trading is Possible
  by Constantinos Kardaras & Eckhard Platen [Downloadable!]

• 212 Some Effects of Transaction Taxes Under Different Microstructures
  by Paolo Pelizzari & Frank Westerhoff [Downloadable!]
• 211 The Private Value of Public Pensions
  by Konstantin Petrichev & Susan Thorp [Downloadable!]
• 210 Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts
  by Stephen Satchell & Susan Thorp [Downloadable!]
• 209 Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments
  by Stephen Satchell & Susan Thorp [Downloadable!]
• 208 The Stochastic Dynamics of Speculative Prices
  by Carl Chiarella & Xue-Zhong He & Min Zheng [Downloadable!]
• 207 The History of the Quantitative Methods in Finance Conference Series. 1992-2007
  by Carl Chiarella & Eckhard Platen [Downloadable!]
• 206 Optimal Dispatch in Electricity Markets
  by Vladimir Kazakov & Anatoly M. Tsirlin [Downloadable!]
• 205 Martingales and First Passage Times of AR(1) Sequences
  by Alex Novikov & Nino Kordzakhia [Downloadable!]
• 204 A Causal Framework for Credit Default Theory
  by Wilson Sy [Downloadable!]
• 203 Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
  by Hardy Hulley & Eckhard Platen [Downloadable!]
• 202 Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model
  by Samson Assefa [Downloadable!]
• 201 Optimal VWAP Trading Strategy and Relative Volume
  by James McCulloch & Vladimir Kazakov [Downloadable!]
• 200 Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations
  by Hazel Bateman & Susan Thorp [Downloadable!]
• 199 Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy
  by Jian Gao & Gang Gong & Xue-Zhong He [Downloadable!]
• 198 Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
  by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen [Downloadable!]
• 197 Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model
  by Samson Assefa [Downloadable!]
• 196 Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
  by Jennifer Chan & Boris Choy & Udi Makov [Downloadable!]
• 195 Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
  by Uwe Küchler & Eckhard Platen [Downloadable!]
• 194 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
  by Eckhard Platen & Renata Rendek [Downloadable!]
• 193 Pricing of Defaultable Securities under Stochastic Interest
  by Nina Kordzakhia & Alex Novikov [Downloadable!]
• 192 Intertemporal Investment Strategies under Inflation Risk
  by Carl Chiarella & Chih-Ying Hsiao & Willi Semmler [Downloadable!]
• 191 A Benchmark Approach to Portfolio Optimization under Partial Information
  by Eckhard Platen & Wolfgang Runggaldier [Downloadable!]
• 190 Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing
  by Erik Schlögl & Lutz Schlögl [Downloadable!]
• 189 Consistent Market Extensions under the Benchmark Approach
  by Damir Filipovic & Eckhard Platen [Downloadable!]
• 188 On the Group Level Swiss Solvency Test
  by Damir Filipovic & Michael Kupper [Downloadable!]
• 187 Optimal Numeraires for Risk Measures
  by Damir Filipovic [Downloadable!]

• 186 Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
  by Carl Chiarella & Roberto Dieci & Xue-Zhong He [Downloadable!]
• 185 On the Pricing and Hedging of Long Dated Zero Coupon Bonds
  by Eckhard Platen [Downloadable!]
• 184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
  by Truc Le & Eckhard Platen [Downloadable!]
• 183 Lie Group Symmetries as Integral Transforms of Fundamental Solutions
  by Mark Craddock & Kelly A Lennox [Downloadable!]
• 182 Valuation of Options in a Setting with Happiness-Augmented Preferences
  by Stephen Satchel & Vincenzo Merella [Downloadable!]
• 181 Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation
  by Stephen Satchel & Wei Xia [Downloadable!]
• 180 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
  by Truc Le & Eckhard Platen [Downloadable!]
• 179 On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
  by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!]
• 178 On a Solution of the Optimal Stopping Problem for Processes with Independent Increments
  by Alexander Novikov & Albert Shiryaev [Downloadable!]
• 177 Information processing and measures of integration: New York, London and Tokyo
  by Susan Thorp & George Milunovich [Downloadable!]
• 176 Approximation of Jump Diffusions in Finance and Economics
  by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!]
• 175 Volatility Forecast Comparison using Imperfect Volatility Proxies
  by Andrew Patton [Downloadable!]
• 174 American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
  by Carl Chiarella & Andrew Ziogas [Downloadable!]
• 173 Hedging, Speculation, and Investment in Balance-Sheet Triggered Currency Crises
  by Andreas Röthig & Willi Semmler & Peter Flaschel [Downloadable!]
• 172 Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
  by Andreas Röthig & Carl Chiarella [Downloadable!]

• 171 The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
  by Carl Chiarella & Chih-Ying Hsiao [Downloadable!]
• 170 Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
  by Morten Christensen & Eckhard Platen [Downloadable!]
• 169 Parameterizing Unconditional Skewness in Models for Financial Time Series
  by Changli He & Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
• 168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
  by Annastiina Silvennoinen & Timo Teräsvirta [Downloadable!]
• 167 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
  by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl [Downloadable!]
• 166 Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
  by Carl Chiarella & Roberto Dieci & Xue-Zhong He [Downloadable!]
• 165 Panel Smooth Transition Regression Models
  by Andres Gonzalez & Timo Terasvirta & Dick van Dijk [Downloadable!]
• 164 On the Strong Approximation of Pure Jump Processes
  by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!]
• 163 Investments for the Short and Long Run
  by Eckhard Platen [Downloadable!]
• 162 Market Mood, Adaptive Beliefs and Asset Price Dynamics
  by Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He [Downloadable!]
• 161 Decentralised Portfolio Management: Analysis of Australian Accumulation Funds
  by Hazel Bateman & Susan Thorp
• 160 Asymmetric Risk and International Portfolio Choice
  by Susan Thorp & George Milunovich [Downloadable!]
• 159 Inferential Expectations
  by Gordon Menzies & Daniel John Zizzo [Downloadable!]
• 158 Butter Mountains, Milk Lakes and Optimal Price Limiters
  by Ned Corron & Xue-Zhong He & Frank Westerhoff [Downloadable!]
• 157 On the Strong Approximation of Jump-Diffusion Processes
  by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!]
• 156 A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
  by Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen [Downloadable!]
• 155 Benchmarking and Fair Pricing Applied to Two Market Models
  by Hardy Hulley & Shane Miller & Eckhard Platen [Downloadable!]
• 154 Currency Derivatives under a Minimal Market Model with Random Scaling
  by David Heath & Eckhard Platen [Downloadable!]
• 153 On the Distributional Characterization of Log-returns of a World Stock Index
  by Kevin Fergusson & Eckhard Platen [Downloadable!]
• 152 The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
  by Carl Chiarella & Giulia Iori [Downloadable!]
• 151 The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
  by Carl Chiarella & Hing Hung & Thuy-Duong To [Downloadable!]
• 150 The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
  by Carl Chiarella & Thuy-Duong To [Downloadable!]
• 148 Long Memory, Heterogeneity and Trend Chasing
  by Xue-Zhong He & Youwei Li [Downloadable!]
• 147 Heterogeneity, Profitability and Autocorrelations
  by Xue-Zhong He & Youwei Li [Downloadable!]
• 146 Relative Volume as a Doubly Stochastic Binomial Point Process
  by James McCulloch [Downloadable!]
• 145 Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions
  by Carl Chiarella & Andrew Ziogas [Downloadable!]
• 144 On the Role of the Growth Optimal Portfolio in Finance
  by Eckhard Platen [Downloadable!]

• 149 A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
  by Thuy-Duong To [Downloadable!]
• 143 Capital Asset Pricing for Markets with Intensity Based Jumps
  by Eckhard Platen [Downloadable!]
• 142 Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
  by Carl Chiarella & Xue-Zhong He & Duo Wang [Downloadable!]
• 141 A Behavioural Asset Pricing Model with a Time-Varying Second Moment
  by Carl Chiarella & Xue-Zhong He & Duo Wang [Downloadable!]
• 140 An Intraday Empirical Analysis of Electricity Price Behaviour
  by Eckhard Platen & Jason West & Wolfgang Breymann [Downloadable!]
• 139 A General Benchmark Model for Stochastic Jump Sizes
  by Morten Christensen & Eckhard Platen [Downloadable!]
• 138 A Benchmark Approach to Finance
  by Eckhard Platen [Downloadable!]
• 137 Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
  by Martin T. Bohl & Pierre Siklos [Downloadable!]
• 136 Commodity Markets, Price Limiters and Speculative Price Dynamics
  by Xue-Zhong He & Frank H. Westerhoff [Downloadable!]
• 135 A Markovian Defaultable Term Structure Model with State Dependent Volatilities
  by Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios [Downloadable!]
• 134 Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents
  by Carl Chiarella & Roberto Dieci & Laura Gardini [Downloadable!]
• 133 A Dynamic Analysis of Moving Average Rules
  by Carl Chiarella & Xue-Zhong He & Cars Hommes [Downloadable!]
• 132 A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
  by Carl Chiarella & Christina Nikitopoulos-Sklibosios [Downloadable!]
• 131 On an Effective Solution of the Optimal Stopping Problem for Random Walks
  by Alexander Novikov & Albert Shiryaev [Downloadable!]
• 130 Two-Factor Model for Low Interest Rate Regimes
  by Shane Miller & Eckhard Platen [Downloadable!]
• 129 Diversified Portfolios with Jumps in a Benchmark Framework
  by Eckhard Platen [Downloadable!]
• 128 Understanding the Implied Volatility Surface for Options on a Diversified Index
  by David Heath & Eckhard Platen [Downloadable!]
• 127 Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range
  by Charles Corrado & Cameron Truong [Downloadable!]
• 126 Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions
  by Carl Chiarella & Nadima El-Hassan & Adam Kucera
• 125 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
  by Wolfgang Breymann & Leah Kelly & Eckhard Platen [Downloadable!]
• 124 Local Volatility Function Models under a Benchmark Approach
  by David Heath & Eckhard Platen [Downloadable!]
• 123 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
  by Hayette Gatfaoui
• 122 Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
  by Thierry Chauveau & Hayette Gatfaoui [Downloadable!]
• 121 A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
  by Anthony D. Hall & Nikolaus Hautsch [Downloadable!]
• 120 CAPM and Option Pricing with Elliptical Disbributions
  by Mahmoud Hamada & E. Valdez [Downloadable!]
• 119 Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking
  by D. Colwell & Nadima El-Hassan & Oh-Kang Kwon [Downloadable!]
• 118 A Survey of the Integral Representation of American Option Prices
  by Carl Chiarella & Adam Kucera & Andrew Ziogas [Downloadable!]
• 117 McKean's Methods Applied to American Call Options on Jump-Diffusion Processes
  by Carl Chiarella & Andrew Ziogas [Downloadable!]
• 116 On Tail Distributions of Supremum and Quadratic Variation of Local Martingales
  by R. Liptser & Alexander Novikov [Downloadable!]
• 115 Explicit Bounds for Approximation Rates for Boundary Crossing Probabilities for the Wiener Process
  by K. Borovkov & Alexander Novikov [Downloadable!]
• 114 On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
  by Nicola Bruti Liberati & Eckhard Platen [Downloadable!]

• 113 A Benchmark Framework for Risk Management
  by Eckhard Platen [Downloadable!]
• 112 Merton for Dummies: A Flexible Way of Modelling Default Risk
  by Hans Byström [Downloadable!]
• 111 A Simple Continuous Measure of Credit Risk
  by Hans Byström & Oh-Kang Kwon [Downloadable!]
• 110 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
  by Eckhard Platen [Downloadable!]
• 109 First Passage Time of Filtered Poisson Process with Exponential Shape Function
  by Alexander Novikov & R. E. Melchers & E. Shinjikashvili & N. Kordzakhia [Downloadable!]
• 108 Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
  by Carl Chiarella & Xue-Zhong He & Peiyuan Zhu [Downloadable!]
• 107 Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
  by Henrik Amilon [Downloadable!]
• 106 Fair Pricing of Weather Derivatives
  by Eckhard Platen & Jason West [Downloadable!]
• 105 Correlating Market Models
  by Bruce Choy & Tim Dun & Erik Schlögl [Downloadable!]
• 104 A Minimal Dissipation Type-Based Classification in Irreversible Thermodynamics and Microeconomics
  by A. M. Tsirlin & Valdimir Kazakov & N. A. Kolinko [Downloadable!]
• 103 Modeling the Volatility and Expected Value of a Diversified World Index
  by Eckhard Platen [Downloadable!]
• 102 The Risk Management of Minimum Return Guarantees
  by Antje Mahayni & Erik Schlögl [Downloadable!]
• 101 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
  by David Heath & Eckhard Platen [Downloadable!]
• 100 Average Relaxations of Extremal Problems
  by Anatoliy M. Tsirlin & Valdimir Kazakov [Downloadable!]
• 99 Irreversibility Factor and Limiting Performance of Financial Systems (Thermodynamic Approach)
  by Anatoliy M. Tsirlin & Valdimir Kazakov [Downloadable!]
• 98 Tracking Error and Active Portfolio Management
  by Nadima El-Hassan & Paul Kofman [Downloadable!]
• 97 An Alternative Interest Rate Term Structure Model
  by Eckhard Platen [Downloadable!]
• 96 Estimating for Discretely Observed Diffusions Using Transform Functions
  by Leah Kelly & Eckhard Platen [Downloadable!]
• 95 Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach
  by Xue-Zhong He [Downloadable!]
• 94 A Survival Analysis of Australian Equity Mutual Funds
  by A. Colin Cameron & Anthony D. Hall [Downloadable!]
• 93 The Market's View on the Probability of Banking Sector Failure: Cross-Country Comparisons
  by Hans Byström [Downloadable!]
• 92 Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
  by Hans Byström [Downloadable!]
• 91 A Structure for General and Specific Market Risk
  by Eckhard Platen & Gerhard Stahl [Downloadable!]
• 90 Symmetry Group Methods for Fundamental Solutions and Characteristic Functions
  by Mark Craddock & Eckhard Platen [Downloadable!]
• 89 A Dynamic Analysis of Speculation Across Two Markets
  by Carl Chiarella & Roberto Dieci & Laura Gardini [Downloadable!]
• 88 Nonparametric Statistical Inference of Value At Risk For Financial Time Series
  by Song Xi Chen & Cheng Yong Tang
• 87 Diversified Portfolios in a Benchmark Framework
  by Eckhard Platen

• 86 Growth Optimal Investment Strategy Efficacy: An Application on Long Run Australian Equity Data
  by Benjamin Francis Hunt [Downloadable!]
• 85 Efficient Consumption Set Under Recursive Utility and Unknown Beliefs
  by Ali Lazrak & Fernando Zapatero [Downloadable!]
• 84 An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
  by Carl Chiarella & Xue-Zhong He [Downloadable!]
• 83 Evaluation of American Strangles
  by Carl Chiarella & Andrew Ziogas [Downloadable!]
• 82 A Benchmark Framework for Integrated Risk Management
  by Eckhard Platen [Downloadable!]
• 81 Benchmark Model with Intensity Based Jumps
  by Eckhard Platen [Downloadable!]
• 80 A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
  by Ram Bhar & Carl Chiarella & Thuy Duong To [Downloadable!]
• 79 Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices
  by Erik Schlögl [Downloadable!]
• 78 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
  by David Heath & Eckhard Platen [Downloadable!]
• 77 A Benchmark Approach to Filtering in Finance
  by Eckhard Platen & Wolfgang Runggaldier [Downloadable!]
• 76 A Score Test for Discreteness in GARCH Models
  by Henrik Amilon [Downloadable!]
• 75 A Variance Reduction Technique Based on Integral Representations
  by David Heath & Eckhard Platen [Downloadable!]
• 74 A Discrete Time Benchmark Approach for Finance and Insurance
  by Hans Buhlmann & Eckhard Platen [Downloadable!]
• 73 A General Framework for the Construction and the Smoothing of Forward Rate Curves
  by Oh-Kang Kwon [Downloadable!]

• 72 Arbitrage in Continuous Complete Markets
  by Eckhard Platen [Downloadable!]
• 71 Arbitrage-Free Interpolation in Models of Market Observable Interest Rates
  by Erik Schlögl [Downloadable!]
• 70 Migration of Price Discovery With Constrained Futures Markets
  by Anthony D. Hall & Paul Kofman & Steve Manaster [Downloadable!]
• 69 Filtering Equity Risk Premia From Derivative Prices
  by Ram Bhar & Carl Chiarella & Wolfgang Runggaldier [Downloadable!]
• 68 Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm
  by Ram Bhar & Carl Chiarella & Wolfgang Runggaldier [Downloadable!]
• 67 Modelling Structural Change in Money Demand Using a Fourier-Series Approximation
  by R. Becker & W. Enders & S. Hurn [Downloadable!]
• 66 Geometric Lévy Process Pricing Model
  by Yoshio Miyahara & Alexander Novikov [Downloadable!]
• 65 On Filtering in Markovian Term Structure Models (An Approximation Approach)
  by Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier [Downloadable!]
• 64 Return Interval, Dependence Structure and Multivariate Normality
  by Thierry Ané & Chiraz Labidi
• 63 Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market
  by Max Stevenson [Downloadable!]
• 62 Market Structure and Stock Splits
  by David Michayluk & Paul Kofman [Downloadable!]
• 61 Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model
  by David Heath & Eckhard Platen [Downloadable!]
• 60 Benchmark Pricing of Credit Derivatives Under a Standard Market Model
  by Mark Craddock & Eckhard Platen [Downloadable!]
• 59 A Benchmark Model for Financial Markets
  by Eckhard Platen [Downloadable!]
• 58 Testing for Time Dependence in Parameters
  by Ralf Becker & Walter Enders & A. Stan Hurn [Downloadable!]

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