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Quantitative Finance Research Centre, University of Technology, Sydney

Research Paper Series

Contact information of Quantitative Finance Research Centre, University of Technology, Sydney:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.business.uts.edu.au/qfrc/index.html
More information through EDIRC

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

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2001

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!]
57 Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience
by Jeff M. Rogers & Pierre Siklos [Downloadable!]
56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations
by Carl Chiarella & Xue-Zhong He [Downloadable!]
55 Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
by Carl Chiarella & Xue-Zhong He [Downloadable!]
54 Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
by Kestutis Kubilius & Eckhard Platen [Downloadable!]
53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
by Carl Chiarella & Xue-Zhong He [Downloadable!]
52 State Variables and the Affine Nature of Markovian HJM Term Structure Models
by Carl Chiarella & Oh-Kang Kwon [Downloadable!]
51 Semiparametric Diffusion Estimation and Application to a Stock Market Model
by Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen [Downloadable!]
50 Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
by Uwe Kuchler & Eckhard Platen [Downloadable!]
49 Speculative Behaviour and Complex Asset Price Dynamics
by Carl Chiarella & Roberto Dieci & Laura Gardini
48 A Minimal Financial Market Model
by Eckhard Platen

2000

47 A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information
by Richard Gerlach & Ron Bird & Anthony D. Hall [Downloadable!]
46 Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices
by Volker Bohm & Carl Chiarella [Downloadable!]
45 Risk Premia and Financial Modelling Without Measure Transformation
by Eckhard Platen [Downloadable!]
44 Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay
by Uwe Kuchler & Eckhard Platen [Downloadable!]
43 A Complete Stochastic Volatility Model in the HJM Framework
by Carl Chiarella & Oh-Kang Kwon [Downloadable!]
42 Infering Forward Looking Financial Market Risk Premia from Derivatives Prices
by Ram Bhar & Carl Chiarella [Downloadable!]
41 Modeling the Currency Forward Risk Premium: Theory and Evidence
by Ram Bhar & Carl Chiarella & Toan Pham [Downloadable!]
40 Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model
by Tim Dunn & Erik Schlögl & Geoff Barton [Downloadable!]
39 The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
by Carl Chiarella & Mark Craddock & Nadima El-Hassan [Downloadable!]
38 Examining Intraday Returns with Buy/Sell Information
by Shin-Juh Lin & Jian Yang [Downloadable!]
37 Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
by Carl Chiarella & Xue-Zhong He [Downloadable!]
36 The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option
by Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng [Downloadable!]
35 Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker
by Carl Chiarella & Xue-Zhong He [Downloadable!]
34 A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
by Carl Chiarella & Oh-Kang Kwon [Downloadable!]
33 Imputation Methods for Incomplete Dependent Variables in Finance
by Paul Kofman & Ian Sharpe
32 Bayesian Target Zones
by Catherine S. Forbes & Paul Kofman
31 Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return
by Anthony D. Hall & S. Hwang & Steve Satchell [Downloadable!]

1999

30 Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach
by Shinn-Juh Lin & Jian Yang
29 Fourth Moment Structure of a Family of First-Order Exponential GARCH Models
by C. He & Timo Terasvirta & H. Malmsten
28 A Multi-Factor Model for Energy Derivatives
by Les Clewlow & Chris Strickland
27 Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
by Mark Craddock & David Heath & Eckhard Platen
26 A Stochastic Approach to Modelling and Forecasting Dependent Time-Series
by Craig Ellis & Pat Wilson
25 Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US
by Pierre Siklos
24 A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data
by Erik Schlögl & L. Schlögl
23 Hidden Markov Chain Filtering for Generalised Bessel Processes
by R. Elliott & Eckhard Platen
22 On the Log-Return Distribution of Index Benchmarked Share Prices
by Eckhard Platen
21 A Minimal Share Market Model with Stochastic Volatility
by Eckhard Platen
20 A Multicurrency Extension of the Lognormal Interest Rate Market Models
by Erik Schlögl [Downloadable!]
19 Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
by A. Dudenhausen & Erik Schlögl & L. Schlögl [Downloadable!]
18 Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model
by Carl Chiarella & Tony He [Downloadable!]
17 Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model
by R. Elliott & P. Fischer & Eckhard Platen
16 Applications of the Balanced Method to Stochastic Differential Equations in Filtering
by P. Fischer & Eckhard Platen
15 A Financial Market Model with Trading Volume and Stochastic Volatility
by Eckhard Platen
14 Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation
by John van der Hoek & Eckhard Platen
13 Classes of Interest Rate Models Under the HJM Framework
by Carl Chiarella & Oh-Kang Kwon [Downloadable!]
12 Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines
by Carl Chiarella & Nadima El-Hassan [Downloadable!]
11 Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model
by Shinn-Juh Lin & Max Stevenson [Downloadable!]
10 Valuing Energy Options in a One Factor Model Fitted to Forward Prices
by Les Clewlow & Chris Strickland [Downloadable!]
9 A Financial Market Model
by Eckhard Platen
8 On the Marginal Distribution of Trade Weighted Currency Indices
by S. Hurst & Eckhard Platen
7 Modelling the Stochastic Dynamics of Volatility for Equity Indices
by David Heath & S. Hurst & Eckhard Platen
6 An Introduction to Numerical Methods for Stochastic Differential Equations
by Eckhard Platen
5 Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model
by Carl Chiarella & Oh-Kang Kwon [Downloadable!]
4 The Small Noise Arbitrage Pricing Theory
by Steve Satchell [Downloadable!]

1998

3 Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits
by Anthony D. Hall & Paul Kofman & R. Guido [Downloadable!]
2 Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models
by Les Clewlow & Chris Strickland [Downloadable!]
1 Comparison of Some Key Approches to Hedging in Incomplete Markets
by David Heath & Eckhard Platen & M. Schweizer

Undated

260 Modelling and Estimating the Forward Price Curve in the Energy Market
by Carl Chiarella & Les Clewlow & Boda Kang [Downloadable!]

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This page was last updated on 2009-12-2.

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