ORCID Profile
0000-0002-5486-6999
Current Organisation
University of South Australia
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Publisher: Wiley
Date: 03-04-2012
DOI: 10.1002/RNC.1727
Publisher: Springer Science and Business Media LLC
Date: 07-03-2012
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 2012
DOI: 10.1137/110839357
Publisher: Elsevier BV
Date: 07-2011
Publisher: Oxford University Press (OUP)
Date: 07-2008
Publisher: Elsevier BV
Date: 12-2015
Publisher: Elsevier BV
Date: 04-2018
Publisher: Springer Basel
Date: 2011
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 02-2008
Publisher: Institute of Mathematical Statistics
Date: 02-2010
DOI: 10.1214/09-AAP619
Publisher: Elsevier BV
Date: 12-2009
Publisher: Informa UK Limited
Date: 02-06-2010
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 2011
DOI: 10.1137/090763688
Publisher: Springer Science and Business Media LLC
Date: 12-02-2012
Publisher: Informa UK Limited
Date: 09-2012
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 02-2017
Publisher: Informa UK Limited
Date: 2010
Publisher: Cambridge University Press (CUP)
Date: 13-06-2019
DOI: 10.1017/JFM.2019.344
Abstract: A theoretically based relationship for the Darcy–Weisbach friction factor $f$ for rough-bed open-channel flows is derived and discussed. The derivation procedure is based on the double averaging (in time and space) of the Navier–Stokes equation followed by repeated integration across the flow. The obtained relationship explicitly shows that the friction factor can be split into at least five additive components, due to: (i) viscous stress (ii) turbulent stress (iii) dispersive stress (which in turn can be sub ided into two parts, due to bed roughness and secondary currents) (iv) flow unsteadiness and non-uniformity and (v) spatial heterogeneity of fluid stresses in a bed-parallel plane. These constitutive components account for the roughness geometry effect and highlight the significance of the turbulent and dispersive stresses in the near-bed region where their values are largest. To explore the potential of the proposed relationship, an extensive data set has been assembled by employing specially designed large-eddy simulations and laboratory experiments for a wide range of Reynolds numbers. Flows over self-affine rough boundaries, which are representative of natural and man-made surfaces, are considered. The data analysis focuses on the effects of roughness geometry (i.e. spectral slope in the bed elevation spectra), relative submergence of roughness elements and flow and roughness Reynolds numbers, all of which are found to be substantial. It is revealed that at sufficiently high Reynolds numbers the roughness-induced and secondary-currents-induced dispersive stresses may play significant roles in generating bed friction, complementing the dominant turbulent stress contribution.
Publisher: Informa UK Limited
Date: 28-11-2015
Publisher: Elsevier BV
Date: 08-2011
Publisher: World Scientific Pub Co Pte Lt
Date: 12-2019
DOI: 10.1142/S021902491950047X
Abstract: The hedging of a European-style contingent claim is studied in a continuous-time doubly Markov-modulated financial market, where the interest rate of a bond is modulated by an observable, continuous-time, finite-state, Markov chain and the appreciation rate of a risky share is modulated by a continuous-time, finite-state, hidden Markov chain. The first chain describes the evolution of credit ratings of the bond over time while the second chain models the evolution of the hidden state of an underlying economy over time. Stochastic flows of diffeomorphisms are used to derive some hedge quantities, or Greeks, for the claim. A mixed filter-based and regime-switching Black–Scholes partial differential equation is obtained governing the price of the claim. It will be shown that the delta hedge ratio process obtained from stochastic flows is a risk-minimizing, admissible mean-self-financing portfolio process. Both the first-order and second-order Greeks will be considered.
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 2010
Publisher: Springer Science and Business Media LLC
Date: 06-2019
Publisher: Elsevier BV
Date: 2019
Publisher: With Intelligence LLC
Date: 07-01-2022
Publisher: Cambridge University Press (CUP)
Date: 08-07-2015
DOI: 10.1017/ASB.2015.12
Abstract: In recent years, the determination of premium principle under various non-expected utility frameworks has become popular, such as the pioneer works by Tsanakas and Desli (2003) and Kaluszka and Krzeszowiec (2012). We here revisit the problem under another prevalent behavioral economic theory, namely the Disappointment Aversion (DA) Theory proposed by Gul (1991). In this article, we define and study the properties of the DA premium principle , which builds on the equivalent utility premium principle. We derive various properties of this premium principle, such as non-negative and no unjustified risk loading, translation invariance, monotonicity, convexity, positive (non-)homogeneity, independent (non-)additivity, comonotonic (non-)additivity and monotonicity with respect to the extent of disappointment. A generalized Arrow–Pratt approximation is also established. Explicit representations of the premium principle are obtained for linear and exponential utilities, and they reveal that the premium principle proposed echoes the capital reserve regulatory requirement in practice.
Publisher: Elsevier BV
Date: 10-2012
Publisher: Elsevier BV
Date: 2013
Publisher: Cambridge University Press (CUP)
Date: 09-2010
DOI: 10.1017/S0001867800050485
Abstract: A useful result when dealing with backward stochastic differential equations is the comparison theorem of Peng (1992). When the equations are not based on Brownian motion, the comparison theorem no longer holds in general. In this paper we present a condition for a comparison theorem to hold for backward stochastic differential equations based on arbitrary martingales. This theorem applies to both vector and scalar situations. Applications to the theory of nonlinear expectations are also explored.
Publisher: Springer Science and Business Media LLC
Date: 26-01-2014
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2022
DOI: 10.3934/PUQR.2022004
Abstract: style='text-indent:20px ' Modeling of uncertainty by probability errs by ignoring the uncertainty in probability. When financial valuation recognizes the uncertainty of probability, the best the market may offer is a two price framework of a lower and upper valuation. The martingale theory of asset prices is then replaced by the theory of nonlinear martingales. When dealing with pure jump compensators describing probability, the uncertainty in probability is captured by introducing parametric measure distortions. The two price framework then alters asset pricing theory by requiring two required return equations, one each for the lower upper valuation. Proxying lower and upper valuations by daily lows and highs, the paper delivers the first empirical study of nonlinear martingales via the modeling and simultaneous estimation of the two required return equations.
Publisher: Elsevier BV
Date: 02-2017
Publisher: Informa UK Limited
Date: 07-11-2020
Publisher: Elsevier
Date: 2009
Publisher: Springer Science and Business Media LLC
Date: 04-09-2013
Publisher: Springer Science and Business Media LLC
Date: 28-02-2009
Publisher: Springer International Publishing
Date: 2018
Publisher: Wiley
Date: 16-02-2022
DOI: 10.1002/FUT.22316
Abstract: This paper presents a numerical method to price American exchange options based on jump‐diffusion processes. We first derive a closed‐form expression for the value of European exchange options, then decompose the value function of an American exchange option into a European counterpart, and an early exercise premium that is derived analytically. The early exercise boundary for an American exchange option approximately satisfies an algebraic equation that can be quickly numerically solved. Consequently, a formula is obtained for efficiently pricing American exchange options. The numerical results reveal that our pricing formula is robust and accurate.
Publisher: Springer New York
Date: 2013
Publisher: Informa UK Limited
Date: 09-2012
Publisher: Springer Science and Business Media LLC
Date: 04-07-2017
Publisher: Wiley
Date: 25-08-2019
Abstract: Sensitive, specific, yet multifunctional tattoo-like electronics are ideal wearable systems for "any time, any where" health monitoring because they can virtually become parts of the human skin, offering a burdenless "unfeelable" wearing experience. A skin-like, multifunctional electronic tattoo made entirely from gold using a standing enokitake-mushroom-like vertically aligned nanowire membrane in conjunction with a programmable local cracking technology is reported. Unlike previous multifunctional systems, only a single material type is needed for the integrated gold circuits involved in interconnects and multiplexed specific sensors, thereby avoiding the use of complex multimaterials interfaces. This is possiblebecause the programmable local cracking technology allows for the arbitrary fine-tuning of the properties of elastic gold conductors from strain-insensitive to highly strain-sensitive simply by adjusting localized crack size, shape, and orientations-a capability impossible to achieve with previous bulk cracking technology. Furthermore, in-plane integration of strain ressure sensors, anisotropic orientation-specific sensors, strain-insensitive stretchable interconnects, temperature sensors, glucose sensors, and lactate sensors without the need of soldering or gluing are demonstrated. This strategy opens a new general route for the design of next-generation wearable electronic tattoos.
Publisher: Informa UK Limited
Date: 07-2011
Publisher: Elsevier BV
Date: 12-2011
Publisher: Informa UK Limited
Date: 08-10-2021
Publisher: Informa UK Limited
Date: 03-2013
Publisher: Elsevier BV
Date: 09-2009
Publisher: Springer US
Date: 2014
Publisher: Elsevier BV
Date: 07-2015
Publisher: Springer Science and Business Media LLC
Date: 28-10-2010
Publisher: Cambridge University Press (CUP)
Date: 09-2015
Abstract: Using backward stochastic difference equations (BSDEs), this paper studies dynamic convex risk measures for risky positions in a simple discrete-time, binomial tree model. A relationship between BSDEs and dynamic convex risk measures is developed using nonlinear expectations. The time consistency of dynamic convex risk measures is discussed in the binomial tree framework. A relationship between prices and risks is also established. Two particular cases of dynamic convex risk measures, namely risk measures with stochastic distortions and entropic risk measures, and their mathematical properties are discussed.
Publisher: Informa UK Limited
Date: 18-01-2019
Publisher: Elsevier BV
Date: 11-2013
Publisher: Institute of Mathematical Statistics
Date: 2016
DOI: 10.1214/16-ECP4102
Publisher: Springer Science and Business Media LLC
Date: 07-06-2009
Publisher: Informa UK Limited
Date: 03-2011
Publisher: World Scientific Pub Co Pte Lt
Date: 05-2014
DOI: 10.1142/S0219024914500204
Abstract: The paper discusses the pricing of derivatives using a stochastic discount factor modeled as a regime switching geometric Brownian motion. The regime switching is driven by a continuous time hidden Markov chain representing changes in the economy. The stochastic discount factor enables to define a risk neutral measure. We model the stock price as discounted future idends driven by the same continuous time Markov chain. The stochastic discount factor is used to price European style options under the historical probability measure. The introduction of occupation times of the Markov chain and the corresponding conditional characteristic function allows the evaluation of the expected value of European type claims. The option price is given as a semi-analytical form using the Fourier transform.
Publisher: Informa UK Limited
Date: 17-03-2017
Publisher: Elsevier BV
Date: 09-2013
Publisher: Oxford University Press (OUP)
Date: 08-08-2016
Publisher: Elsevier BV
Date: 02-2011
Publisher: Walter de Gruyter GmbH
Date: 29-06-2018
Abstract: In this paper, we develop a new class of parametric nonlinear time series models by combining two important classes of models, namely smooth transition models and hidden Markov regime-switching models. The class of models is general and flexible enough to incorporate two types of switching behavior: smooth state transitions and abrupt changes in hidden states. The estimation of the hidden states and model parameters is performed by applying filtering theory and a filter-based expectation-maximization (EM) algorithm. Applications of the model are illustrated using simulated data and real financial data. Other potential applications are mentioned.
Publisher: Wiley
Date: 13-02-2018
DOI: 10.1002/ASMB.2318
Publisher: Elsevier BV
Date: 06-2022
Publisher: Springer Science and Business Media LLC
Date: 29-01-2015
Publisher: EDP Sciences
Date: 2018
DOI: 10.1051/E3SCONF/20184005061
Abstract: Long duration PIV measurements in rough-bed (glass beads) open-channel flow (OCF) reveal that the pre-multiplied spectra of the streamwise velocity has a bimodal distribution due to the presence of large and very large scale motions (LSMs and VLSMs, respectively). The existence of VLSMs in boundary layers, pipes and closed channels has been acknowledged for some time, but strong supporting evidence for their presence in OCF has been lacking. Length scales of the large and very large scale motions in OCF exhibit different scaling properties whereas the streamwise length of the LSM scales with the flow depth, the VLSM streamwise length does not scale purely with flow depth and may additionally depend on other scales such as the channel width, roughness height, or viscous length. Supplementary data for flows over self-affine fractal rough beds support these findings and additionally indicate that the length of VLSMs may grow along the extensive distance from the channel entrance. The origin and nature of LSMs and VLSMs are still to be resolved, but differences in their scaling suggest that VLSMs in rough-bed open-channel flows form independently rather than as a spatial alignment of LSMs.
Publisher: Springer Science and Business Media LLC
Date: 03-06-2012
Publisher: Cambridge University Press (CUP)
Date: 28-01-2020
DOI: 10.1017/JFM.2020.8
Publisher: IEEE
Date: 12-2010
Publisher: IEEE
Date: 05-2009
Publisher: Elsevier BV
Date: 07-2010
Publisher: Informa UK Limited
Date: 06-12-2015
Publisher: Wiley
Date: 26-10-2015
DOI: 10.1002/FUT.21761
Publisher: Informa UK Limited
Date: 07-2013
Publisher: Informa UK Limited
Date: 08-11-2019
Publisher: Springer Science and Business Media LLC
Date: 12-01-2008
Publisher: WORLD SCIENTIFIC
Date: 09-2012
Publisher: Elsevier BV
Date: 06-2022
Publisher: Elsevier BV
Date: 10-2009
Publisher: Louisiana State University Libraries
Date: 12-2018
Publisher: Springer Berlin Heidelberg
Date: 2010
Publisher: American Mathematical Society (AMS)
Date: 05-10-2017
DOI: 10.1090/TPMS/1033
Publisher: Bioscientifica
Date: 07-05-2022
Publisher: Institute of Mathematical Statistics
Date: 09-2012
DOI: 10.1214/11-AOP679
Publisher: IEEE
Date: 07-2015
Publisher: IEEE
Date: 06-2008
Publisher: Springer International Publishing
Date: 2022
Publisher: Informa UK Limited
Date: 07-2011
Publisher: Informa UK Limited
Date: 07-2009
Publisher: Informa UK Limited
Date: 20-04-2016
Publisher: Elsevier BV
Date: 03-2010
Publisher: Oxford University Press (OUP)
Date: 21-10-2011
Publisher: Springer Science and Business Media LLC
Date: 11-2017
Publisher: Informa UK Limited
Date: 09-2011
Publisher: Wiley
Date: 07-04-2012
DOI: 10.1002/ASMB.893
Publisher: Elsevier BV
Date: 04-2019
Publisher: Elsevier BV
Date: 09-2011
Publisher: Elsevier BV
Date: 03-2016
Publisher: Informa UK Limited
Date: 25-07-2016
Publisher: World Scientific Pub Co Pte Lt
Date: 06-2015
DOI: 10.1142/S0219024915500235
Abstract: A forward equation, which is also called the Dupire formula, is obtained for European call options when the price dynamics of the underlying risky assets are assumed to follow a regime-switching local volatility model. Using a regime-switching version of the adjoint formula, a system of coupled forward equations is derived for the price of the European call over different states of the economy.
Publisher: Oxford University Press (OUP)
Date: 19-05-2020
Abstract: The 5-yr Dark Energy Survey Supernova Programme (DES-SN) is one of the largest and deepest transient surveys to date in terms of volume and number of supernovae. Identifying and characterizing the host galaxies of transients plays a key role in their classification, the study of their formation mechanisms, and the cosmological analyses. To derive accurate host galaxy properties, we create depth-optimized coadds using single-epoch DES-SN images that are selected based on sky and atmospheric conditions. For each of the five DES-SN seasons, a separate coadd is made from the other four seasons such that each SN has a corresponding deep coadd with no contaminating SN emission. The coadds reach limiting magnitudes of order ∼27 in g band, and have a much smaller magnitude uncertainty than the previous DES-SN host templates, particularly for faint objects. We present the resulting multiband photometry of host galaxies for s les of spectroscopically confirmed type Ia (SNe Ia), core-collapse (CCSNe), and superluminous (SLSNe) as well as rapidly evolving transients (RETs) discovered by DES-SN. We derive host galaxy stellar masses and probabilistically compare stellar-mass distributions to s les from other surveys. We find that the DES spectroscopically confirmed s le of SNe Ia selects preferentially fewer high-mass hosts at high-redshift compared to other surveys, while at low redshift the distributions are consistent. DES CCSNe and SLSNe hosts are similar to other s les, while RET hosts are unlike the hosts of any other transients, although these differences have not been disentangled from selection effects.
Publisher: Springer Science and Business Media LLC
Date: 10-05-2013
Publisher: Springer Science and Business Media LLC
Date: 30-01-2017
Publisher: Informa UK Limited
Date: 19-04-2023
Publisher: Elsevier BV
Date: 11-2023
Publisher: Informa UK Limited
Date: 05-2013
Publisher: Informa UK Limited
Date: 11-2012
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 12-2013
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 2017
Publisher: Informa UK Limited
Date: 07-2012
Publisher: Elsevier BV
Date: 05-2019
Publisher: Cambridge University Press (CUP)
Date: 12-2012
Abstract: We consider the question of an optimal transaction between two investors to minimize their risks. We define a dynamic entropic risk measure using backward stochastic differential equations related to a continuous-time single jump process. The inf-convolution of dynamic entropic risk measures is a key transformation in solving the optimization problem.
Publisher: Springer Science and Business Media LLC
Date: 18-07-2009
Publisher: Informa UK Limited
Date: 14-03-2019
Publisher: Informa UK Limited
Date: 02-2013
Publisher: International Press of Boston
Date: 2011
Publisher: Informa UK Limited
Date: 11-2013
Publisher: Elsevier BV
Date: 02-2014
Publisher: Springer Science and Business Media LLC
Date: 28-10-2015
Publisher: Elsevier BV
Date: 12-2008
Publisher: Informa UK Limited
Date: 04-07-2019
Publisher: Elsevier BV
Date: 05-2011
Publisher: Elsevier BV
Date: 03-2014
Publisher: IEEE
Date: 10-2008
Publisher: Informa UK Limited
Date: 19-12-2018
Publisher: JMIR Publications Inc.
Date: 07-03-2021
Abstract: rediabetes, where an in idual’s glycaemic variables are significantly higher than normal but lower than the threshold for diabetes, is a major health problem. People with prediabetes experience a higher risk of developing chronic kidney disease, neuropathy, diabetic retinopathy, cardiac events, and stroke. The implementation of lifestyle-changing interventions or programs designed to monitor and adjust a prediabetic person’s lifestyle, daily activities, and diet has been demonstrated to substantially reduce the risk of developing diabetes.[4] Implementing these interventions, however, is not without its challenges. One way to overcome these challenges would be the use of distal technologies such as telehealth, mobile health, game‐based support, social platforms, patient portals, as well as wearable devices. To the best of our knowledge, no reviews have attempted to summarise the published research related to the use of distal technologies for the prevention of diabetes. he aim of this systematic review is to critically appraise studies where distal technologies have been applied in a prediabetic population. The systematic review also aimed to synthesize the evidence to determine the effectiveness of lifestyle interventions utilizing distal technologies in people with prediabetes. he systematic review was conducted on articles from database inception till 31st December 2020 within the PubMed/MEDLINE, EMBASE, SCOPUS, and The Cochrane Library databases. The databases were searched for published articles describing the use of distal technologies in prediabetes. The search terms related to digital health and prediabetes were used. The reference lists of included articles were also reviewed to identify any relevant articles that may have been missed. This study was registered with PROSPERO: CRD42020188051. Articles which met the following inclusion criteria were included: 1) the study included prediabetic in iduals, 2) was a randomised controlled trial, 3) the intervention included the use of any distal technology, and 4) published in peer-reviewed journals. he initial search identified a total of 364 articles. After the removal of duplicates and ineligible articles, 29 articles were selected for inclusion in this review. Meta-analysis of 15 of the studies showed that distal technologies was effective in reducing participants’ body weight by 1.24 kg [95% CI: -1.92, -0.56], their BMIs (MD: -0.64 -0.93 to -0.35) and waist circumference (MD: -1.27 -2.22 to -0.32), when compared to usual care/control. HbA1c levels were lowered marginally by 0.05% (95% CI: -0.09% to -0.02%) in the intervention group compared to the control group. However, distal technologies had limited impact on FPG (-0.11 mmol/l -0.25 to 0.02), total cholesterol (-0.06 mmol/l 95% CI: -0.14 to 0.03), low density lipoprotein (-0.04 -0.09 to 0.02), high density lipoprotein (0.03 -0.01 to 0.07) and triglyceride levels (-0.05 -0.13 to 0.02) compared to control group. he evidence reviewed suggests that lifestyle interventions incorporating distal technologies can be effective in helping prediabetics reduce their body weight, body mass index, waist circumference, and blood glucose. The effectiveness of these interventions in improving lipid profile, blood pressure, and quality of life remains unclear. While the results are encouraging, more work is required to improve the evaluation and implementation of these complex interventions.
Publisher: Informa UK Limited
Date: 09-08-2019
Publisher: World Scientific Pub Co Pte Lt
Date: 06-2009
DOI: 10.1142/S0219024909005361
Abstract: We investigate the optimal investment timing strategy in a real option framework. Depending on the state of the economy, whose changes are modeled by a Markov chain, the investment cost can take one of two values. The optimal investment timing decision is determined by finding the free boundary of a perpetual American option. Three investment timing policies, based on different assumptions of investors' information sets, are determined and compared. In the full information case, a significantly earlier optimal exercising time is indicated. We show that an optimal-timing policy suggested by the conventional real option model might ruin the investment opportunities.
Publisher: Elsevier BV
Date: 04-2008
Publisher: World Scientific Pub Co Pte Lt
Date: 25-04-2012
Abstract: There is a fear among East Asian governments that China’s rapid export driven growth is significantly impairing the export performance of their own countries. The common belief among East Asian economies is that to remain competitive they must improve the quality of their exports relative to those of China. In this paper, we show how the emergence of China has affected the quality of its exports and imports to and from Malaysia, Singapore and Indonesia. Specifically, we combine a measure of marginal intra-industry trade (IIT) concerned with the adjustment implications of changes in matched trade, a measure of vertical and horizontal intra-industry trade concerned with the differences in product quality and a new dynamic measure of quality differentiated IIT. Our results suggest that Singapore and Malaysia have managed to maintain and even improve their position as the exporter of high quality varieties in bilateral trade with to China despite China’s rapid development and export orientated growth.
Publisher: Wiley
Date: 12-05-2023
DOI: 10.1002/FUT.22422
Abstract: The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte‐Carlo simulations. Specifically, the price dynamics of an underlying risky asset are governed by a continuous‐time hidden Markov‐modulated local‐volatility model. Filtering theory is used to estimate the unobservable drift given observable price information and to define a filtered market with complete observations. The delta–hedge ratio of a European option is derived using a martingale representation and stochastic flows of diffeomorphisms. The numerical computation of the delta–hedge ratio is estimated via Monte‐Carlo simulations. Numerical results for illustrating the proposed method and the (relative) importance of the impacts of the information risk and the local‐volatility parametrizations on the delta–hedge ratio are provided for the case of European call options.
Publisher: Springer Science and Business Media LLC
Date: 22-01-2015
Publisher: Elsevier BV
Date: 02-2020
Publisher: Informa UK Limited
Date: 23-05-2019
Publisher: Elsevier BV
Date: 05-2010
Publisher: Springer International Publishing
Date: 2016
Publisher: Inderscience Publishers
Date: 2014
Publisher: Informa UK Limited
Date: 09-12-2022
Publisher: Informa UK Limited
Date: 02-11-2013
Publisher: World Scientific Pub Co Pte Lt
Date: 12-2012
DOI: 10.1142/S0219024912500550
Abstract: It is known that the market in a Markovian regime-switching model is, in general, incomplete, so not all contingent claims can be perfectly hedged. We show, in this paper, how certain contingent claims are attainable in the regime-switching market using a money market account, a share and a zero-coupon bond. General contingent claims with payoffs depending on both the share price and the state of the regime-switching process are considered. We apply a martingale representation result to show the attainability of a European-style contingent claim. We also extend our analysis to Asian-style and American-style contingent claims.
Publisher: American Society of Civil Engineers (ASCE)
Date: 2020
Publisher: Elsevier BV
Date: 12-2013
Publisher: Informa UK Limited
Date: 04-2010
Publisher: Elsevier BV
Date: 12-2009
Publisher: Institute of Mathematical Statistics
Date: 2013
DOI: 10.1214/ECP.V18-2415
Publisher: Wiley
Date: 10-07-2022
DOI: 10.1111/ACFI.12822
Abstract: We study the liquidity commonality impact of local and foreign institutional investment in the Australian equity market in the cross‐section and over time. We find that commonality in liquidity is higher for large stocks compared to small stocks in the cross‐section of stocks, and the spread between the two has increased over the past two decades. We show that this ergence can be explained by foreign institutional ownership. This finding suggests that foreign institutional investment contributes to an increase in the exposure of large stocks to unexpected liquidity events in the local market. We find a positive association between foreign institutional ownership and commonality in liquidity across all stocks, particularly in large and mid‐cap stocks. Correlated trading by foreign institutions explains this association. However, local institutional ownership is positively related to the commonality in liquidity for large‐cap stocks only.
Publisher: Informa UK Limited
Date: 09-2009
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 2021
DOI: 10.1137/20M1339830
Publisher: Cambridge University Press
Date: 02-2018
Publisher: Elsevier BV
Date: 05-2011
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2017
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2021
DOI: 10.3934/PUQR.2021014
Abstract: style='text-indent:20px ' This paper introduces and represents conditional coherent risk measures as essential suprema of conditional expectations over a convex set of probability measures and as distorted expectations given a concave distortion function. A model is then developed for the bid and ask prices of a European-type asset by a conic formulation. The price process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend on a Markov chain. The bid and ask prices of a European-type asset are then characterized using conic quantization.
Publisher: World Scientific Pub Co Pte Ltd
Date: 06-2022
DOI: 10.1142/S0219024922500212
Abstract: This paper develops a model for the bid and ask prices of a European-type asset by formulating a stochastic control problem. The state process is governed by a modified geometric Brownian motion whose drift and diffusion coefficients depend on a Markov chain. A Girsanov theorem for Markov chains is implemented for the change of coefficients, including the diffusion coefficient which cannot be changed by the usual Girsanov theorem for Brownian motion. The price of a European-type asset is then determined using an Esscher transform and a system of partial differential equations. A dynamic programming principle and a maximum/minimum principle associated with the stochastic control problem are then derived to model bid and ask prices. These prices are not quotes of traders or market makers but represent estimates in our model on which reasonable quantities could be traded.
Publisher: Informa UK Limited
Date: 11-2011
Publisher: Emerald
Date: 27-09-2011
DOI: 10.1108/03074351111167929
Abstract: The purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)‐economic conditions on interest‐rate dynamics. The market in the proposed model is, in general, incomplete. A modified version of the Esscher transform, namely, a double Esscher transform, is used to specify a price kernel so that both market and economic risks are taken into account. The market in the proposed model is, in general, incomplete. A modified version of the Esscher transform, namely, a double Esscher transform, is used to specify a price kernel so that both market and economic risks are taken into account. The authors derive a simple way to give exponential affine forms of bond prices using backward induction. The authors also consider a continuous‐time extension of the model and derive exponential affine forms of bond prices using the concept of stochastic flows. The methods and results presented in the paper are new.
Publisher: Elsevier BV
Date: 2014
Publisher: Elsevier BV
Date: 07-2014
Publisher: Informa UK Limited
Date: 02-2009
Publisher: Elsevier BV
Date: 02-2013
Publisher: Springer Science and Business Media LLC
Date: 09-11-2020
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2017
DOI: 10.3934/JIMO.2016045
Publisher: Cambridge University Press (CUP)
Date: 06-2015
Abstract: In this paper we consider a class of stochastic processes based on binomial observations of continuous-time, Markovian population models. We derive the conditional probability mass function of the next binomial observation given a set of binomial observations. For this purpose, we first find the conditional probability mass function of the underlying continuous-time Markovian population model, given a set of binomial observations, by exploiting a conditional Bayes' theorem from filtering, and then use the law of total probability to find the former. This result paves the way for further study of the stochastic process introduced by the binomial observations. We utilize our results to show that binomial observations of the simple birth process are non-Markovian.
Publisher: Elsevier BV
Date: 05-2014
Publisher: World Scientific Pub Co Pte Ltd
Date: 08-2011
DOI: 10.1142/S0219024911006401
Abstract: Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Different methods have been proposed for the choice of a price kernel. Some of them can be justified by economic equilibrium arguments. This paper studies risk-neutral dynamics of various classes of Generalized Hyperbolic GARCH models arising from different price kernels. We discuss the properties of these dynamics and show that for some special cases, some pricing kernels considered here lead to similar risk neutral GARCH dynamics. Real data ex les for pricing European options on the S& P 500 index emphasize the importance of the choice of a price kernel.
Publisher: Elsevier BV
Date: 04-2010
No related grants have been discovered for Robert Elliott.