Marx, J, Mpofu, RT & Venter, TWGVD 2003, Investment Management, 2nd, Van Schaik Publishers, Pretoria, South Africa.
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Investment management is an introduction to investment analysis. The title focuses on investment in financial assets such as shares and bonds, and explains fundamental and technical analysis.
Bertin, W, Michayluk, D & Prather, L 2003, 'Trading Costs Surrounding Earnings and Recommendations Announcements', Journal of Accounting and Finance Research, vol. 11, no. 5, pp. 90-107.
Chiarella, C & Sklibosios, CN 2003, 'A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework', Asia-Pacific Financial Markets, vol. 10, no. 2-3, pp. 87-127.
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This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions and time dependent Poisson volatility functions. Within this framework, we discuss the Markovianisation issue, and obtain the corresponding affine term structure of interest rates. As a result we are able to obtain a broad tractable class of jump-diffusion term structure models. We relate our approach to the existing class of jump-diffusion term structure models whose starting point is a jump-diffusion process for the spot rate. In particular we obtain natural jump-diffusion versions of the Hull and White (1990, 1994) one-factor and two-factor models and the Ritchken and Sankarasubramanian (1995) model within the HJM framework. We also give some numerical simulations to gauge the effect of the jump-component on yield curves and the implications of various volatility specifications for the spot rate distribution.
HUTCHESON, T 2003, 'EXCHANGE RATE MOVEMENTS AS EXPLAINED BY DEALERS', Economic Papers: A journal of applied economics and policy, vol. 22, no. 3, pp. 35-46.
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Theoretically, the value of a currency is determined by the economic fundamentals of its country, such as interest rates, inflation rates and national income. These fundamentals have an effect on trade and capital flows and hence the demand and supply of the currency. However, there have been many well-known episodes when real exchange rates have moved contrary to these fundamentals for lengthy periods of time (Krugman, 1989). Attempts using empirical models to test economic fundamentals as a basis for predicting exchange rate movements have not been very successful especially over the short run (Taylor, 1995). Furthermore, market practitioners have successfully developed and implemented profitable trading strategies, which do not rely on economic fundamentals. One reason for the poor performance of trading activities based on fundamental analysis could be the behaviour of practitioners trading in the foreign exchange market (Krugman, 1989). For example, some practitioners may trade tactically in a way that forces an exchange rate to move away from its fundamental value. These practitioners would then establish a currency position that becomes profitable once general market trading moves the exchange rate back towards its true value
Roesch, D & Scheule, H 2003, 'Modeling systematic consumer credit risk', The RMA Journal, vol. 86, no. 4, pp. 66-69.
Wilson, PJ, Okunev, J & Hutcheson, TJ 2003, 'Predicting behaviour in Australian securitised property markets', Australian Property Journal, vol. 37, no. 8, pp. 574-577.
Chiarella, C & Nikitopoulos Sklibosios, C 1970, 'A jump-diffusion bond pricing model within the HJM frame work', Japanese Association Financial Econometrics and Engineering Meeting, --, Tokyo, Japan.
Chiarella, C & Nikitopoulos Sklibosios, C 1970, 'An implementation of the Shirakawa jump-diffusion term structure model', 9th International Conference on Computing in Economics and Finance, --, Seattle, USA.
Ehlers, MB & Van de Venter, TW 1970, 'The evaluation of listed public equity as alternative source of finance for professional sports organisations', Conference of the South African Institute of Management Scientists, University of Potchefstroom, South Africa.
Hutcheson, TJ 1970, 'Lead-lag relationship in currency markets', 17th Australasian Finance and Banking Conference, Australasian Finance and Banking Conference, --, Sydney, Australia.
Chiarella, C & Sklibosios, CN 2003, 'A class of jump-diffusion bond pricing models within the HJM framework'.
View description>>
This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath et al. (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions and time dependent Poisson volatility functions. Within this framework, we discuss the Markovianisation issue, and obtain the corresponding affine term structure of interest rates. As a result we are able to obtain a broad tractable class of jump-diffusion term structure models. We relate our approach to the existing class of jump-diffusion term structure models whose starting point is a jump-diffusion process for the spot rate. In particular we obtain natural jump-diffusion versions of the Hull and White (1990, 1994) one-factor and two-factor models and the Ritchken and Sankarasubramanian (1995) model within the HJM framework. We also give some numerical simulations to gauge the effect of the jump-component on yield curves and the implications of various volatility specifications for the spot rate distribution. © Springer 2005.
Hutcheson, TJ 2003, 'Lead-lag relationship in currency markets'.
