# Quantitative Finance Research Centre, University of Technology, Sydney

# Research Paper Series

Postal: PO Box 123, Broadway, NSW 2007, Australia

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Phone: +61 2 9514 7777

Fax: +61 2 9514 7711

Web page: http://www.qfrc.uts.edu.au/

More information through EDIRC

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**Series handle:**repec:uts:rpaper

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### 2016

**378 Detecting Money Market Bubbles***by*Jan Baldeaux & Katja Ignatieva & Eckhard Platen**377 Lie Symmetry Methods for Local Volatility Models***by*Mark Craddock & Martino Grasselli**376 Empirical Hedging Performance on Long-dDted Crude Oil Derivatives***by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl**375 Hedging Futures Options with Stochastic Interest Rates***by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl**374 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds***by*Alessandro Gnoatto & Martino Grasselli & Eckhard Platen**373 Trading Heterogeneity under Information Uncertainty***by*Xue-Zhong He & Huanhuan Zheng**372 Calibrating Market Model to Commodity and Interest Rate Risk***by*Patrik Karlsson & Kay F Pilz & Erik Schlogl**371 Toward a General Model of Financial Markets***by*Nihad Aliyev & Xue-Zhong He**370 Reversing Momentum: The Optimal Dynamic Momentum Strategy***by*Kai Li & Jun Liu**369 A PDE View of Games Options***by*Gunter H Meyer**368 Pricing American Options under Regime Switching Using Method of Lines***by*Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang**367 Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?***by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl

### 2015

**366 Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates***by*Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl**365 Volatility Clustering: A Nonlinear Theoretical Approach***by*Xue-Zhong He & Kai Li & Chuncheng Wan**364 The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30***by*Xue-Zhong He & Youwei Li**363 Recovering the Real-World Density and Liquidity Premia From Option Data***by*Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen**362 On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models***by*Andreea Röthig & Andreas Röthig & Carl Chiarella**361 Application of Maximum Likelihood Estimation to Stochastic Short Rate Models***by*Kevin Fergusson & Eckhard Platen**360 Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model***by*Leunglung Chan & Eckhard Platen**359 Risk Aversion in Modeling of Cap-and-Trade Mechanisms and Optimal Design of Emission Markets***by*Paolo Falbo & Juri Hinz & Cristian Pelizzari**358 Stochastic Switching for Partially Observable Dynamics and Optimal Asset Allocation***by*Juri Hinz**357 Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic***by*Kevin Fergusson & Eckhard Platen**356 Market Sentiment and Paradigm Shifts***by*Liya Chu & Xue-Zhong He & Kai Li & Jun Tu**355 Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables***by*Otto Konstandatos & Timothy Kyng & Tobias Bienek**354 Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30***by*Xue-Zhong He & Youwei Li**353 Optimal Time Series Momentum***by*Xue-Zhong He & Kai Li & Youwei Li**352 Algorithms for Optimal Control of Stochastic Switching Systems***by*Juri Hinz & Nicholas Yap

### 2014

**351 Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach***by*Kevin Fergusson & Eckhard Platen**350 A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model***by*David Heath & Eckhard Platen**349 Position-Limit Design for the CSI 300 Futures Markets***by*Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi**348 A Consistent Framework for Modelling Basis Spreads in Tenor Swaps***by*Yang Chang & Erik Schlogl**347 Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model***by*KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang**346 Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?***by*KiHoon Jimmy Hong & Eliza Wu**345 Automated Liquidity Provision***by*Austin Gerig & David Michayluk**344 Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500***by*Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels**343 A Hybrid Model for Pricing and Hedging of Long Dated Bonds***by*Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen**342 A Behavioural Model of Investor Sentiment in Limit Order Markets***by*Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei**341 Time Series Momentum and Market Stability***by*Xue-Zhong He & Kai Li

### 2013

**340 Approximate Hedging of Options under Jump-Diffusion Processes***by*Karl Mina & Gerald Cheang & Carl Chiarella**339 Self-funding Instalment Warrants***by*Jeff Dewynne & Nadima El-Hassan**338 Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees***by*Kevin Fergusson & Eckhard Platen**337 Herding, Trend Chasing and Market Volatility***by*Corrado Di Guilmi & Xue-Zhong He & Kai Li**336 The Return-Volatility Relation in Commodity Futures Markets***by*Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To**335 Learning and Evolution of Trading Strategies in Limit Order Markets***by*Carl Chiarella & Xue-Zhong He & Lijian Wei**334 Industry Concentration, Excess Returns and Innovation in Australia***by*David R. Gallagher & Katja Ignatieva & James McCulloch**333 Learning and Information Dissemination in Limit Order Markets***by*Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang**332 Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level***by*KiHoon Jimmy Hong**331 Primer: The FST Theorem for Pricing with Foreign Collateral***by*Alan Brace**330 Primer: Curve Stripping with Full Collateralisation***by*Alan Brace**329 The Trade-off Theory Revisited: On the Effect of Operating Leverage***by*Kristoffer Glover & Gerhard Hambusch**328 Investigating Time-Efficient Methods to Price Compound Options in the Heston Model***by*Carl Chiarella & Susanne Griebsch & Boda Kang**327 Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics***by*Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi**326 As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures***by*Hazel Bateman & Isabella Dobrescu & Ben R. Newell & Andreas Ortmann & Susan Thorp**325 Liability Driven Investments under a Benchmark Based Approach***by*Jan Baldeaux & Eckhard Platen**324 Credit Derivative Evaluation and CVA under the Benchmark Approach***by*Jan Baldeaux & Eckhard Platen**323 Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds***by*Edgardo Cayon & Susan Thorp

### 2012

**322 The Affine Nature of Aggregate Wealth Dynamics***by*Eckhard Platen & Renata Rendek**321 Modeling of Oil Prices***by*Ke Du & Eckhard Platen & Renata Rendek**320 Forecasting Bank Leverage***by*Gerhard Hambusch & Sherrill Shaffer**319 Local Risk-Minimization under the Benchmark Approach***by*Francesca Biagini & Alessandra Cretarola & Eckhard Platen**318 A Tractable Model for Indices Approximating the Growth Optimal Portfolio***by*Jan Baldeaux & Katja Ignatieva & Eckhard Platen**317 Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time***by*Ingo Beyna & Carl Chiarella & Boda Kang**316 Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets***by*Xue-Zhong He**315 An Evolutionary CAPM Under Heterogeneous Beliefs***by*Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li**314 Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting***by*Kristoffer Glover & Gerhard Hambusch**313 Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition***by*Michael Gnewuch & Jan Baldeaux**311 Fractal Market Time***by*James McCulloch**310 Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets***by*Erik Schlogl & Yang Chang**309 A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model***by*Susanne Griebsch & Kay Pilz**308 Humps in the Volatility Structure of the Crude Oil Futures Market***by*Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To**307 Quasi-Monte Carol Methods for the Heston Model***by*Jan Baldeaux & Dale Roberts**306 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model***by*Jan Baldeaux & Alexander Badran**305 Alternative Term Structure Models for Reviewing Expectations Puzzles***by*Christina Nikitopoulos-Sklibosios & Eckhard Platen**304 Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios***by*Carl Chiarella & Chi-Fai Lo & Ming Xi Huang**303 Heterogeneous Beliefs and the Cross-Section of Asset Returns***by*Xue-Zhong He & Lei Shi**302 Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs***by*Xue-Zhong He & Lei Shi & Min Zheng**301 Heterogeneous Beliefs and the Performances of Optimal Portfolios***by*Xue-Zhong He & Lei Shi**300 Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods***by*Stephen Satchell & Susan Thorp & Oliver Williams**299 Particle Filters for Markov Switching Stochastic Volatility Models***by*Yun Bao & Carl Chiarella & Boda Kang

### 2011

**298 Stochastic Correlation and Risk Premia in Term Structure Models***by*Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To**297 The Small and Large Time Implied Volatilities in the Minimal Market Model***by*Zhi Guo & Eckhard Platen**296 Three-Benchmarked Risk Minimization for Jump Diffusion Markets***by*Ke Du & Eckhard Platen**295 Three-Dimensional Brownian Motion and the Golden Ratio Rule***by*Kristoffer Glover & Hardy Hulley & Goran Peskir**294 Limit Distribution of Evolving Strategies in Financial Markets***by*Carl Chiarella & Corrado Di Guilmi**293 Credit Derivative Pricing with Stochastic Volatility Models***by*Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios**292 Two Stochastic Volatility Processes - American Option Pricing***by*Carl Chiarella & Jonathan Ziveyi**291 Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model***by*Xue-Zhong He & Kai Li**290 Estimating Behavioural Heterogeneity Under Regime Switching***by*Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng**289 Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics***by*Eckhard Platen & Stefan Tappe**287 A Modern View on Merton's Jump-Diffusion Model***by*Gerald Cheang & Carl Chiarella

### 2010

**286 Calibration of Multicurrency LIBOR Market Models***by*Kay Pilz & Erik Schlogl**285 Adaptive Forecasting of Exchange Rates with Panel Data***by*Leonardo Morales-Arias & Alexander Dross**284 Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index***by*Katja Ignatieva & Eckhard Platen & Renata Rendek**283 Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility***by*Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios**282 Simulation of Diversified Portfolios in a Continuous Financial Market***by*Eckhard Platen & Renata Rendek**281 Approximating the Numeraire Portfolio by Naive Diversification***by*Eckhard Platen & Renata Rendek**280 M6 - On Minimal Market Models and Minimal Martingale Measures***by*Hardy Hulley & Martin Schweizer**279 The Economic Plausibility of Strict Local Martingales in Financial Modelling***by*Hardy Hulley**278 Small Traders in Currency Futures Markets***by*Carl Chiarella & Andreas Rothig**277 A Survey of Non-linear Methods for No-arbitrage Bond Pricing***by*Carl Chiarella & Chih-Ying Hsiao & Ming Xi Huang**276 Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications***by*Carl Chiarella & Chih-Ying Hsiao**275 Time-Varying Beta: A Boundedly Rational Equilibrium Approach***by*Carl Chiarella & Roberto Dieci & Xue-Zhong He**274 Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions***by*Mark Craddock & Kelly A. Lennox**273 The Financial Instability Hypothesis: A Stochastic Microfoundation Framework***by*Carl Chiarella & Corrado Di Guilmi**272 Option Valuation in Multivariate SABR Models***by*Jörg Kienitz & Manuel Wittke**271 Differences in Opinion and Risk Premium***by*Xue-Zhong He & Lei Shi**270 Equity-Linked Pension Schemes with Guarantees***by*J. Aase Nielsen & Klaus Sandmann & Erik Schlogl**269 The British Russian Option***by*Kristoffer Glover & Goran Peskir & Farman Samee**268 Dynamics of Moving Average Rules in a Continuous-time Financial Market Model***by*Xue-Zhong He & Min Zheng**267 Financialization, Crisis and Commodity Correlation Dynamics***by*Annastiina Silvennoinen & Susan Thorp**266 The Evaluation Of Barrier Option Prices Under Stochastic Volatility***by*Carl Chiarella & Boda Kang & Gunter H. Meyer

### 2009

**265 Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae***by*Katja Ignatieva & Eckhard Platen**264 Simulation of Diversified Portfolios in a Continuous Financial Market***by*Eckhard Platen & Renata Rendek**263 A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales***by*Hardy Hulley & Eckhard Platen**262 Real World Pricing of Long Term Contracts***by*Eckhard Platen**261 A Hybrid Commodity and Interest Rate***by*Kay Pilz & Erik Schlogl**260 Modelling and Estimating the Forward Price Curve in the Energy Market***by*Carl Chiarella & Les Clewlow & Boda Kang**259 Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes***by*Eckhard Platen & Renata Rendek**258 Quasi-exact Approximation of Hidden Markov Chain Filters***by*Eckhard Platen & Renata Rendek**257 On Fair Pricing of Emission-Related Derivatives***by*Juri Hinz & Alex Novikov**256 An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics***by*Gerald Cheang & Carl Chiarella & Andrew Ziogas**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**254 A Framework for CAPM with Heterogenous Beliefs***by*Carl Chiarella & Roberto Dieci & Xue-Zhong He**253 A Benchmark Approach to Investing and Pricing***by*Eckhard Platen**252 Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs***by*Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng**251 A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market***by*Carl Chiarella & Xue-Zhong He & Paolo Pellizzari**250 Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales***by*Wolfgang Breymann & David Lüthi & Eckhard Platen**249 The British Asian Option***by*Kristoffer Glover & Goran Peskir & Farman Samee**248 Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement***by*Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen**247 Asset Markets and Monetary Policy***by*Eckhard Platen & Willi Semmler**246 On Explicit Probability Laws for Classes of Scalar Diffusions***by*Mark Craddock & Eckhard Platen**245 The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach***by*Carl Chiarella & Boda Kang**244 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs***by*Xue-Zhong He & Lei Shi**242 Alternative Defaultable Term Structure Models***by*Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl

### 2008

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

### 2007

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

### 2006

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