Publications

Hulley, H, Miller, S & Platen, E 2005, 'Benchmarking and fair pricing applied to two market models', The Kyoto Economic Review, vol. 74, no. 1, pp. 85-118.
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This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when benchmarked by this portfolio, are local martingales unde the real-world measure. This justifies the fair pricing approach, which expresses derivative prices in terms of real-world conditional expectations of benchmarked pay-offs. Two models for benchmarked primary security accounts are presentated, and fair pricing formulas for some common contingent claims are derived.

Rauhmeier, R & Scheule, H 2005, 'Rating properties and their implications for Basel II capital', Risk, vol. 18, no. 3, pp. 78-81.

Roesch, D & Scheule, HH 2005, 'A Multi-Factor Approach for Systematic Default and Recovery Risk', Journal of Fixed Income, Vol. 15, vol. 15, no. 2, pp. 63-75.

Bertin, W, Lin, B & Michayluk, D 1970, 'The impact of immaterial corporate disclosure on market liquidity: Evidence of the disjunction effect', Eastern Finance Association, Norfolk, Virginia, USA.

Casavecchia, L 1970, 'Insight into the momentum life cycle for European stocks', Global Finance Conference, Dublin, Ireland.

Casavecchia, L 1970, 'The earnings and momentum life cycle in Europe', Quantitative Methods in Finance Workshop 2005, Milan, Italy.

Casavecchia, L 1970, 'The profitability of prices and earnings momentum strategies across European markets', 2005 Global Finance Conference, Global Finance Conference, -, Dublin, Ireland.

Casavecchia, L 1970, 'Value enhancement using momentum indicators: The European experience', European Financial Management Association Conference, Milan, Italy.

Casavecchia, L 1970, 'Value enhancement using momentum indicators: The European experience', FMA European Conference, Siena, Italy.

Graham, A, Lin, B, Michayluk, D & Stuerke, P 1970, 'Sarbanes-Oxley: Some unintended consequences', American Accounting Association Northeast Regional Meeting, New York City, NY, USA.

Hulley, H 1970, 'A simulation-based analysis of equity index models', Quantitative Methods in Finance 2005 Conference, Quantitative Methods in Finance 2005 Conference, -, Sydney, Australia.

Hulley, H, Heath, DP & Platen, E 1970, 'A comparative study of performance robustness for equity index models', 4th National Symposium on Financial Mathematics, 4th National Symposium on Financial Mathematics, -, Day Dream Island, Australia.

Hulley, H, Heath, DP & Platen, E 1970, 'A comparative study of performance robustness for equity index models', Mathematics in Finance International Conference, Mathematics in Finance International Conference, -, Kruger National Park, South Africa.

Hulley, H, Miller, S & Platen, E 1970, 'Benchmarking and Fair Pricing Applied to Two Market Models', Conference on Stochastic Calculus and its Applications to Quantitative finance and Electrical Engineering, Conference on Stochastic Calculus and its Applications to Quantitative finance and Electrical Engineering, -, Calgary, Canada.
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This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when benchmarked by this portfolio, are local martingales under the real-world measure. This justifies the fair pricing approach, which expresses derivative prices in terms of real-world conditional expectations of benchmarked payoffs. Two models for benchmarked primary security accounts are presented, and fair pricing formulas for some common contingent claims are derived.

Michayluk, D & Neuhauser, K 1970, 'Cross-industry differences in liquidity: evidence from an examination of new issues', 2005 FMA Meetings, FMA Meetings, -, Chicago, USA.

Michayluk, D & Prather, L 1970, 'A liquidity motivated algorithm for discerning trade direction', Eastern Finance Association, Norfolk, Virginia, USA.

Rahman, N & Walker, S 1970, 'The effect of acquisition method on shareholder wealth', 18th Australasian Finance and Banking Conference, Australasian Finance and Banking Conference, -, Sydney, Australia.

Van de Venter, G 1970, 'Methodological biases in risk tolerance research studies', 18th Australasian Finance and Banking Conference, Australasian Finance and Banking Conference, -, Sydney, Australia.

Van de Venter, G 1970, 'The single young male syndrome: An analysis of factors that drive risk perceptions', Proceedings of the 9th Annual Waikato Management School Research Conference, 9th Annual Waikato Management School Research Conference, University of Waikato, Hamilton, New Zealand, pp. 1-24.

Zhao, L 1970, 'Information content of equity index revision', Seminar Presentation, School of Finance and Economics, University of Technology, Sydney, Sydney, Australia.

Chiarella, C, Sklibosios Nikitopoulos, C & Schlogl, E 2005, 'A Control Variate Method For Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps'.
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ISSN 1441-8010 www.business.uts.edu.au/qfrc/research/research_papers/rp167.pdf

Hulley, H, Miller, S & Platen, E 2005, 'Benchmarking and fair pricing applied to two market models (QFRC paper #155)'.
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ISSN 1441-8010 www.business.uts.edu.au/qfrc/research/research_papers/rp155.pdf