Modelling Trading and Risk in the Market

Modelling trading and risk in the market: Publications

2012

Published/Accepted

      • M. Escobar, S. Ferrando & X. Wen, "Three Dimensional Distribution of Brownian Motion Extrema." International Journal of Probability and Stochastic Processes.
      • M. Escobar, T. Frielingsdorf & R. Zagst," Impact of factor models on portfolio risk measures. A structural approach. " Journal of Credit Risk. Vol 8, No 2.
      • G. Bernhart, M. Escobar, J. F. Mai & M. Scherer,"Default models based on scale mixtures of Marshall-Olkin Copulas: properties and applications." Metrika.
      • M.R. Grasselli & B. Costa Lima," An analysis of the Keen model for credit expansion, asset price bubbles and financial fragility." Mathematics and Financial Economics, 6, 191-210, 2012.
      • M.R. Grasselli & C. Gomez ," Stock loans in incomplete markets " to appear in Applied Mathematical Finance, 2012.
      • A. Metzler ," The Laplace transform of hitting times of integrated geometric Brownian motion " Journal of Applied Probability
      • X Xi, R. Mamon, & M. Davison," A higher-order Markov chain-modulated model for asset allocation. " Journal of Mathematical Modelling and Algorithms, to appear.
      • M. Davison, O. Gurtuna, C. Masse & B. Mills," Factors affecting the value of environmental predictions to the energy sector. " Environmental Systems Research 1(1), 2012.
      • J. Konrad, R. Carriveau, M. Davison, F. Simpson, and D. Ting ," Geological Compressed Air Energy Storage as an enabling technology for renewable energy in Ontario, Canada. " The International Journal of Environmental Studies 69(2) 350-359, 2012.
      • A.V. Miranskyy, M. Davison, M. Reesor, and S.S. Murtaza," Using entropy measures for comparison of software traces. " Information Sciences, in press.
      • M. Couillard, J. Fawcett & M. Davison," Optimizing Constrained Search Patterns for Remote Mine Hunting Vehicles. " IEEE J. Ocean Engineering, 37(1) 75-84, 2012.
      • T. Whitehead, M.Davison, & R.M.Reesor," A Bias-reduction Technique for Monte Carlo Pricing of Early-exercise Options. " Journal of Computational Finance 15(3) 33-69 2012.
      • N. Zhou & R.S. Mamon," An accessible implementation of interest rate models with regime-switching. " Expert Systems with Applications, 39, 4679-4689, 2012.
      • X. Xi, M. Rodrigo & R.S. Mamon," Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach. " in S. Cohen, D. Madan, T. Siu and H. Yang (editors), Advances in Statistics, Probability and Actuarial Science -- Festschrift Volume in Honour of Robert Elliott's 70th Birthday, World Scientific Publishing. In press
      • K.H. Kan & R.M. Reesor," Bias Reduction for Pricing American Options by Least-Squares Monte Carlo. " Applied Mathematical Finance, Volume 19, Number 3, July 2012 pp. 195-217.
      • T.J. Marshall & R.M. Reesor," Forest of Stochastic Meshes: A New Method for Valuing High-dimensional Swing Options. " Operations Research Letters, 39(1):17-21, 2011.
      • Marshall, R.M. Reesor, R.M. & M. Cox," Simulation Valuation of Multiple Exercise Options." Winter Simulation Conference 2011 Proceedings.
      • A. Naseem & R.M. Reesor," Analysis of Tax-deductible Interest Payments for Re-advanceable Canadian Mortgages. " Proceedings of Applied Mathematics, Modelling and Computer Science Conference 2011.
      • P. Olivares & P. Hernadez Janko," Maximum Likelihood Estimators for a Supercritical Branching Diffusion Process. "International Journal of Mathematics and Mathematical Sciences, vol. 2012, Article ID 515192, 20 pages, 2012.
      • A. Alvarez, S. Ferrando, & P. Olivares, P.,"Arbitrage and hedging in a non probabilistic framework. "accepted in Mathematics and Financial Economics, 2012.
      • E. Palombozio & P. Olivares," A Switching Threshold Model for Oil Prices. "System Engineering Procedia, Vol.1, pg. 490-498 (2011).
      • A. Alvarez , M. Escobar, & P. Olivares, P.,"Pricing two dimensional derivatives under stochastic correlation "International Journal of Financial Markets and Derivatives Volume 2, Number 4/2011, pg.265-287.
      • T.A. Pirvu & K. Schulze," Multi-stock portfolio optimization under prospect theory. " Mathematical and Financial Economics 2012, 1-26.
      • T.A. Pirvu & H. Zhang,"Utility Indifference Pricing: A Time Consistent Approach. "To appear in Applied Mathematical Finance.
      • T.A. Pirvu & H. Zhang,"Mean Reverting Returns: The Complete Market Solution. "Insurance, Mathematics and Economics 51(3), 303-309.
      • A. Swishchuk & R. Zagst,"Levy-based Heath-Jarrow-Morton Interest Rate Derivatives: Change of Time Method and PIDEs"Intern. J. of Differ. Equat. and Applications, 11(1), 2012, 1-25.
      • A. Swishchuk & K. Malenfant,"Variance Swaps for Local Levy based Stochastic Volatility with Delay. "Intern. Review of Applied Financial Issues and Economics (IRAFIE), Vol. 3, No. 2, 2011, pp. 432-441.
      • A. Swishchuk & X. Li," Pricing of Variance and Volatility Swaps for Stochastic Volatilities with Delay and Jumps. " Intern. J. Stoch. Anal., V2011Article ID 435145, 27 pages.
      • A.Swishchuk & S. Islam," The Geometric Markov Renewal Processes with Applications to Finance." Stoch. Anal. Appl., v. 29, 4, 2011.
      • A. Swishchuk," Variance and Volatility Swaps in Energy Markets." J. Energy Markets 2012 (accepted).
      • N. Limnios & A. Swishchuk," Discrete-time Semi-Markov Random Evolutions and their Applications." Advances in Applied Probability (accepted), May 2012.

       

Other Contributions

 

 

      • A. Metzler & M. Reesor," Analysis of Contingent Capital Bonds in Merton-type Structural Models." SSRN,2011
      • Michael Mitterreiter," Diversification and Crisis as Alternatives to the 1/N Asset-Allocation Strategy. " M.Sc. Thesis, TUM, 2012
      • Mirco Mahlstedt," Pricing of multivariate derivatives with two barriers. " M.Sc. Thesis, TUM, 2012.
      • Johannes Hauptmann," A Fast and Accurate Estimation of Risk Measures for Large Mark-to-Market Credit Portfolios with Random Recovery and Correlation. " M.Sc. Thesis, TUM, 2012.
      • Xianzhang Wen," The Method of Images in the Pricing of Barrier Derivatives in Three Dimensions. " M.Sc. Thesis, Ryerson University, 2012.
      • Ana Suarez," Time-varying coefficients models and the Kalman Filter. Applications to Hedge Funds." M.Sc. Thesis, Ryerson University, 2012.
      • Akram Samarikhalaj," Non Linear Estimation of Returns on Hedge Funds with Scarce Observations." M.Sc. Thesis, Ryerson University, 2012.
      • Bing Hu," Pricing two Dimensional Derivatives under stochastic covariance and stochastic interest rates." M.Sc. Thesis, Ryerson University, 2012.
      • Ismail, O.," An Agent Based Computational Model for Bank Formation and Interbank Networks." PhD Thesis 2012, McMaster University.
      • N. Burke née Kirby ," A Real Options Valuation of Energy Storage Projects." Ph.D. Thesis, Western University, Oct 2012.
      • J. Xi," Further applications of higher-order Markov chains and developments in regime-switching models." Ph.D. Thesis, Western University, Nov 2012.
      • Subhashish Sengupta," VaR Measurements" Master's thesis: McMaster University, 2012.
      • Ke Zhao," Levy driven Markov-modulated OU processes. Application to Alberta electricity market." Ph D Thesis, U Calgary, Sept 2012.
      • Mobolaji-Olutomi Ogunsolu," Optimal valuation of natural gas storage." M.Sc. Thesis, University of Calgary.
      • Jordan Dickson," A Bias-reduction Technique for Monte Carlo Pricing of Multiple Exercise Options." M.Sc. Project, Western University, Nov 2011.
      • Jie He," Pricing Shout Options using Least Squares Monte Carlo." M.Sc. Project, Western University, Dec 2011.
      • N. Butt," Approximate Methods for Dynamic Portfolio Theory." Ph.D. Thesis, Western University, Nov 2012.
      • L. Sabur," Understanding Diversification and Correlation: A Quantitative Approach." M.Sc. Project, Western University, Jan 2012.
      • A. Hassan," Dynamics of State Dependent Risk Factors: An Empirical Analysis." M.Sc. Project, Western University, Sept 2012.
      • T.J. Marshall," Valuation of multiple exercise options." Ph.D. Thesis, Western University, May 2012.
      • W. Xing," Pricing & Trading American Put Options under sub-optimal Exercise Policies." M.Sc. Thesis, Western University, June 2012.

       

       

2011

Published/Accepted

      • S.N.Cohen and R.J. Elliott, "Backward Stochastic Difference Equations and Nearly Time Consistent Nonlinear Expectations". SIAM Journal on Control and Optimization. Vol. 49, (1), 2011, 125-139
      • R.J. Elliott, T.K. Siu, A. Badescu, "On Pricing and Hedging Options Under Double Markov-Modulated Models With Feedback Effect", Journal of Economic Dynamics and Control 35(5) (2011), 694-713
      • R.J. Elliott, C.C. Liew and T.K. Siu, "Characteristic Functions and Option Valuation in a Markov Chain Market", Computers and Mathematics with Applications (2011) 62(1), 65-74.
      • R.J. Elliott and T. K. Siu, "On mean variance portfolio selection under a Hidden Markovian Regime-Switching model", Economic Modeling 27(3) (2011), 678-686.
      • R.J. Elliott and T.K. Siu, "Utility-Based Indifference Pricing in Regime Switching Models", Nonlinear Analysis Series A: Theory, Methods" Applications, 74 (2011), 6302-6313
      • R.J. Elliott, C.C. Liew and T.K. Siu, "On Filtering and Estimation of a Threshold Stochastic Volatility Model", Applied Mathematics and Computation (2011) 218(1), 61-75.
      • R.J. Elliott and J. Deng, "A Filter for a Hidden Markov Chain Observed in Fractional Gaussian Noise", Systems" Control Letters 60: 93-100 (2011).
      • R.J. Elliott and T.K. Siu, "A BSDE Approach to a Risk-Based Optimal Investment of an Insurer", Automatica 47(2)(2011) 253-428. Regular Paper, Lead article.
      • R.J. Elliott and T.K. Siu, "Pricing and Hedging Contingent Claims with Regime Switching Risk", Communications in Mathematical Sciences 9(2): 477-498 (2011).
      • R.J. Elliott and T.K. Siu, "A Stochastic Differential Game for Optimal Investment of An InsurerWith Regime Switching", Quantitative Finance 11(3): 365-380 (2011).
      • M. EScobar T. Friederich, M. Krayzler, L. Seco, and R. Zagst,"An Intensity-Based Approach for Equity Modeling",Applied Stochastic Models in Business and Industry. 2011
      • M. Escobar T. Friederich, L. Seco, and R. Zagst,"A general structural approach for credit modeling under stochastic volatility", Journal of Financial Transformations, 2011.
      • M. Escobar, P. Olivares,"Pricing of Mountain Range Derivatives under a Principal Component Stochastic Volatility Model", Accepted ASMB 2011.
      • M. Escobar, P. Hieber, M. Scherer, L. Seco,"Portfolio optimization in a multidimensional structural-default model with a focus on private equity", Accepted. Journal of Private Equity, 2011.
      • Gordana Dmitrasinovic-Vidovic, Antony Ware, Xun Li, and Ali Lari-Lavassani. "Dynamic port- folio selection under Capital-at-Risk with no short-selling constraints". International Journal of Theoretical and Applied Finance, 14(6):957-977, 2011.
      • Gordana Dmitrasinovic-Vidovic and Antony Ware. "Optimal portfolios of mean-reverting instruments". SIAM Journal of Financial Mathematics, 2:748-767, 2011.
      • S. Biagini, M. Frittelli, M.R. Grasselli." Indifference price with general semimartingales", Mathematical Finance, 21 (3), 423-446, 2011.
      • M.R. Grasselli. " Getting real with real options: a utility-based approach for finite-time investment in incomplete markets", Journal of Business Finance & Accounting, 38 (5) & (6), 740-764, 2011.
      • Gleeson, J., Hurd, T. R., Melnik, S., and Hackett, A. "Systemic risk in banking net- works without Monte Carlo simulation. In Advances in Network Analysis and its Applications", E. Kranakis, Ed., Mathematics in Industry. Springer Verlag, Berlin Heidelberg New York, June 2011.
      • Chuang Yi, A. Tchernitser, T. R. Hurd. "Randomized structural models of credit spreads ", Quantitative Finance, 11, 1301-1313, 2011.
      • I. Ekeland, O. Mbodji and T. A. Pirvu. " Time Consistent Portfolio Management", accepted to SIAM Journal of Mathematical Finance.
      • U. G. Haussmann and T. A. Pirvu. " Time Consistent Utility Maximization", Canadian Applied Mathematics Quarterly 17, 721-737.
      • Anatoliy Swishchuk" Kevin Malenfant 'Variance Swaps for Local Levy based Stochastic Volatility with Delay', Intern. Review of Applied Financial Issues and Economics (IRAFIE), forthcoming, 2011.
      • Anatoliy Swishchuk" Li, Xu 'Pricing of Variance and Volatility Swaps for Stochastic Volatilities with Delay and Jumps', Intern. J. Stoch. Anal.; Volume 2011 (2011)Article ID 435145, 27 pages.
      • Anatoliy Swishchuk" Shafiqul Islam 'The Geometric Markov Renewal Processes with Applications to Finance', Stoch. Anal. Appl., v. 29, 4, 2011.
      • R. Naryshkin" M. Davison (2011). "Utility Functions and Optimum Consumption for models with Habit Formation and Catching up with the Joneses," Canadian Applied Math Quarterly, 17(4):703-720.
      • V. Surkov and M. Davison (2011). "Efficient Construction of Robust Hedging Strategies Under Jump Models," Canadian Applied Math Quarterly, 17(4):755-776.
      • M. Rodrigo and R.S. Mamon (2011)."A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework", Quantitative Finance, 11(4):487-493.
      • X. Xi and R.S. Mamon (2011)."Parameter estimation of an asset price model driven by a weak hidden Markov chain", Economic Modelling, 28:36-46.
      • C. Erlwein, R.S. Mamon and M. Davison (2011)."An examination of HMM-based investment strategies for asset allocation", Applied Stochastic Models in Business and Industry, 27(3): 204-221.
      • D.L. McLeish and A. Metzler (2011)."A multiname first passage model for credit risk."Journal of Credit Risk, 7(1):35-64.
      • Marshall, T.J., and R.M. Reesor (2011) "Forest of Stochastic Meshes: A New Method for Valuing High-dimensional Swing Options". Operations Research Letters, 39(1):17-21.
      • Kan, K.H. and R.M. Reesor, "Bias Reduction for Pricing American Options by Least-Squares Monte Carlo". In press, Applied Mathematical Finance.
      • M. Couillard, J. Fawcett" M. Davison "Optimizing Constrained Search Patterns for Remote Mine Hunting Vehicles". To appear, IEEE J. Ocean Engineering
      • T.Whitehead, M.Davison," R.M.Reesor "A Bias-reduction Technique for Monte Carlo Pricing of Early-exercise Options". In press, Journal of Computational Finance.
      • M. Davison, O. Gurtuna, C. Masse and B. Mills. "Factors affecting the value of environmental predictions to the energy sector". To appear, Energy Source.
      • N. Zhou and R.S. Mamon."An accessible implementation of interest rate models with regime-switching" Expert Systems with Applications. In press.

       

Other refereed Contributions

 

 

      • W Mnif & M. Davison (2011). "Carbon Emissions Markets". In Quantitative Financial Risk Management", D. Wu ed, Springer Verlag, 95-107.
      • M. Davison, D Kim, & H. Keller (2011). "Radiotherapy Dose Fractionation under Parameter Uncertainty," Proceedings of the AMMCS. To appear.
      • X. Xi, M. Rodrigo and R.S. Mamon (2011)."Parameter estimation of a regime-switching model using an inverse Stieltjes moment approach" in S. Cohen, D. Madan, T. Siu and H. Yang (editors), Festschrift volume in honour of Robert Elliott's 70th Birthday, World Scientific Publishing. In press.
      • Marshall, T.J., Reesor, R.M. and M. Cox, "Simulation Valuation of Multiple Exercise Options". In press, Winter Simulation Conference 2011 Proceedings.
      • Naseem, A. and R.M. Reesor, "Analysis of Tax-deductible Interest Payments for Re-advanceable Canadian Mortgages". In press, Proceedings of Applied Mathematics, Modelling and Computer Science Conference 2011.

       

       

Submitted

 

 

      • A. Metzler (2011)."Model risk and the design of CDO tranches," International Journal of Theoretical and Applied Finance. Submitted.
      • A. Metzler (2011)."The Laplace transform of hitting times of integrated geometric Brownian motion," Journal of Applied Probability. Submitted.
      • Miranskyy, V.M., Davison, M., Reesor, R.M. and S.S. Murtaza, "Using Entropy Measures for Comparison of Software Traces". Under 3rd review at Information Sciences.
      • T. A. Pirvu and H. Zhang, Utility Indifference Pricing A Time Consistent Approach-submitted to Applied Mathematical Finance.
      • P. Cheridito, U. Horst, M. Kupper, and T. A. Pirvu, Equilibrium in Incomplete Markets under Translation Invariant Preferences -Preprint.
      • T. A. Pirvu and K. Schulze, Multi-Stock Portfolio Optimization under Prospect Theory-submitted to Mathematics and Financial Economics.
      • T. A. Pirvu and H. Zhang, On Investment Consumption with Regime Switching-submitted to Mathematical Methods of Operation Research.
      • T. A. Pirvu and H. Zhang, A Multi Period Equilibrium Pricing Model-submitted to International Journal of Theoretical and Applied Finance.
      • Y. Li and T. A. Pirvu, On Mean Variance Analysis-submitted to Operations, Research Letters.
      • S. Moreno-Bromberg, T. A. Pirvu and A. Reveilac, CRRA Utility Maximization under Risk Constraints-submitted to SIAM Journal of Mathematical Finance.

       

       

Other, non-refereed, publications

 

 

      • Huichun Yu,"The Indifference Real Option Valuation Model and Its Application", MBA Thesis, University of Calgary, 2011.
      • Jia Deng, "Measure change and filtering", Ph.D Thesis, University of Calgary, 2011.
      • Emma Zhu, "Analysis of the Dependence Structure of Hedge Fund Strategies", MSc, Ryerson University, 2011.
      • Akram Samarikhalaj,"Non Linear Estimation of Returns on Hedge Funds with Scarce Observations", MSc, Ryerson University, 2011.
      • Xianzhang Wen, "The Method of Images in the Pricing of Barrier Derivatives in Three Dimensions", MSc, Ryerson University, 2011.

       

2010

Refereed Contribution

Published/Accepted

      • Kan, K.H., G. Frank, V. Mozgin, and R.M. Reesor (2010), "Optimized Least-squares Monte Carlo for Measuring Counterparty Credit Exposure of American-style Options".Mathematics-in-Industry Case Studies, Volume 2, pp. 64-85.
      • Anatoliy Swishchuk" Raimondo Manca. "Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering", Mathem. Prob. Engineer., 2010.
      • Anatoliy Swishchuk" Shafiqul Islam. "Diffusion approximation of the GMRP and option pricing formulas", Intern. J. Stoch. Anal., 2010
      • Anatoliy Swishchuk. "Pricing of variance and volatility swaps with semi-Markov volatilities", Canadian Applied Mathem. Quart, 2010, vol. 18, No. 4.
      • I. Dzhalladova, A. Ivanov, D. Khusainov and A. Swishchuk. "Stability and rate convergence estimates for a linear neutral stochastic equation", Bulletin of Kiev University (Kiev, Ukraine), Series: Physics" Mathematics, 3, 2010.
      • Mishura Y. and Swishchuk A. "Modeling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion", Applied Stat., Actuarial and Financial Mathem., No. 1-2, 52-67 (2010).
      • Anatoliy Swishchuk" Matthew Couch "Volatility and variance swaps for COGARCH(1,1) model", Wilmott Journal, v. 2, issue 5, 231-246, 2010.
      • Gordana Dmitrasinovic-Vidovic, Ali Lari Lavassani, Xun Li, and Antony Ware. "Continuous time portfolio selection under conditional Capital at Risk". Journal of Probability and Statistics, 2010(Article ID 976371):26 pages, 2010.
      • U. Horst, T. A. Pirvu, and G. D. Reis (2010), On Securitization, Market Completion and Equilibrium Risk Transfer, Mathematics and Financial Economics 2, 211-252
      • M. Escobar, A. Kiechle, R. Zagst,"Option on a CPPI", International Mathematical Forum. 2010.
      • R.J. Elliott, T.K. Siu and H. Yang, "Filtering a Markov-Modulated Random Measure", IEEE Transactions on Automatic Control 55 (2010), 74-88.
      • S.N. Cohen and R.J. Elliott, "Comparisons for Backward Stochastic Differential Equations on Markov Chains and Related No-arbitrage Conditions", Annals of Applied Probability, 2010 (1), 267-311.
      • S.N. Cohen and R.J. Elliott. "A General Theory of Finite State Backward Stochastic Difference Equations", Stochastic Processes and their Applications, 120, (2010), 442-466.
      • R.J. Elliott and T.K. Siu, "Risk Minimizing Portfolios Under a Markovian Regime-Switching", Annals of Operations Research (2010) 176 271-291
      • W.P.Malcolm and R.J. Elliott, "Some Applications of M-ary Detection in Quantitative Finance". Quantitative Finance 10, (2010) 13-20
      • R.J. Elliott and T.K. Siu, "Risk-based Indifference Pricing Under a Stochastic Volatility Model". Communications on Stochastic Analysis, 4 (2010), 51-73
      • R. J. Elliott, M. R. Lyle and H. Miao, "A model for energy pricing with stochastic emission costs", Energy Economics. 32 (2010), 838 - 847
      • R.J. Elliott, J. van der Hoek and J. Valencia, "Nonlinear filter estimation of volatility", Stochastic Analysis and Applications 28 (2010), 696-710
      • Vladimir Surkov" Matt Davison. "Efficient Construction of Robust Hedging Strategies Under Jump Models". Accepted with minor revisions by Canadian Applied Math Quarterly, July 28 2010.
      • Matt Davison, Ozgur Gurtuna, Claude Masse" Brian Mills. "Factors affecting the value of environmental predictions to the energy sector". Accepted with minor revisions by International Journal of Energy Research, (submitted August 2009, resubmitted 09ER08009)
      • ShengJun Fan, Long Jiang," Matt Davison (to appear), "Uniqueness of solutions for multidimensional BSDEs with uniformly continuous generators", accepted by Comptes Rendus Mathematique, Paris.
      • Dejian Tian, Long Jiang" Matt Davison (2010), "On the existence of solutions to BSDEs with generalized uniformly continuous generators", Statistics" Probability Letters 80 903-909, electronic version February 2010.
      • Natasha Kirby" Matt Davison "Using a Spark-Spread Valuation to Investigate the Impact of Corn-Gasoline Correlation on Ethanol Plant Valuation". Energy Economics, electronic version published January 2010.
      • Jin Choi, Henning Rasmussen, and Matt Davison (2010) "Fair Value and Risk Profile for Presale Contracts of Condominiums", to appear in Journal of Real Estate Finance and Economics, Acceptance Date March 4 2010, published online April 13 2010.
      • Stan Deakin" Matt Davison, "An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model", to appear in Journal of Applied Mathematics.
      • Christina Erlwein, Rogemar Mamon" Matt Davison. "An examination of HMM-based investment strategies for asset allocation" To appear in Applied Stochastic Models in Business and Industry, accepted October 7 2009. (ASMB-08-134)
      • Kin Hung Kan, R. Mark Reesor, Tyson Whitehead, and Matt Davison (2009). "Correcting the Bias in Monte Carlo Estimators of American-Style Option Values". Pp 439-454 of Monte Carlo and Quasi Monte Carlo Methods 2008. Pierre L'Ecuyer and Art Owen, eds. Springer Verlag, Berlin.
      • R.J. Elliott and T.K. Siu "A Markov Modulated Exponential Affine Bond Price Formula". Applied Mathematical Finance. 16(1) (2009), 1-15
      • R.J. Elliott and T.K. Siu "Robust Optimal Portfolio Choice under a Markovian Regime Switching Model". Methodology of Computing and Applied Probability. 11 (2009), 145-157.
      • R.J. Elliott, T.K. Siu and H. Yang "Filtering a Markov-Modulated Random Measure". IEEE Transactions on Automatic Control 55,(2010)74-88
      • R.J. Elliott and T.K. Siu "Portfolio Risk Minimization and Differential Games". Nonlinear Analysis Series A: Theory, Methods and Applications 71, (2009) 2127-2135.
      • R.J. Elliott and J. Deng "A Viterbi smoother for discrete state space model", Systems Control Letters 58, (2009), 400-405 FOR 010205 50% 090609 50% SEO 970101 50% 970109 50%
      • R.J. Elliott and M.R.Lyle, "A Simple Hybrid Model for Power Derivatives". Energy Economics 31 (2009) 757-767 R.J. Elliott & H. Miao, "VaR and expected shortfall: A non-normal regime switching framework". Quantitative Finance 9 (2009) 747-755.
      • R.J. Elliott, H. Miao and J. Yin, "General Equilibrium Assets Pricing Under Regime Switching". Communications on Stochastic Analysis, 2 (2009), 445-458
      • R.J. Elliott, Z. Chen and Q. Duan, "Insurance Claims Modulated by a Hidden Brownian Marked Point Process", Insurance: Mathematics and Economics 45 (2009) 163-172
      • R. J. Elliott and D. B. Madan, "Multiple Priors and Asset Pricing". Methodology and Computing in Applied Probability, 11 (2009), 211-229.
      • A. Badescu, R. J. Elliott and T. K. Siu "Esscher transforms and consumption-based models", Insurance: Mathematics and Economics 45 (2009) 337-347
      • R.J. Elliott and L.L. Chan, "A Continuous-Time Hidden Markov Model for Mean-Variance Portfolio Optimization". Circuits and Systems, 2009. IEEE International Symposium on 24-27 May 2009, 1189-1192. A. Swishchuk" M. Couch, 'Variance and Volatility Swaps for COGARCH Model' accepted by Wilmott Magazine (2009)
      • A. Swishchuk, R. Manca and F. Gismondi, ii) 'Salary Lines Forecasting by Means of Generalized Binomial Processes' accepted by Intern. J. of Manag. Sci. and Engineer. Management (2009).
      • Ienkaran Arasaratnam, Simon Haykin, T. R. Hurd, ``Cubature Filtering for Continuous-Discrete Systems: Theory with an Application to Tracking", to appear in IEEE Transactions on Signal Processing 29 pages.
      • T. R. Hurd, "Credit Risk Modelling using time-changed Brownian motion", Int. J. Theor. App. Fin.,12, 1213-1230, 2009.
      • A. Kiechle, M. Escobar, R. Zagst, Option on a CPPI portfolio. International Mathematical Forum. M. Escobar, P. Olivares, Risk Management under a Factor Stochastic Correlation Model. Asian Pacific Journal of Operational Research.
      • T. R. Hurd and Zhuowei Zhou. "A Fourier transform method for spread option pricing", SIAM Journal of Financial Mathematics, 1, 142-157, 2009. S. Biagini, M. R. Grasselli and M. Frittelli. "Indifference price for general semimartingales". To appear in Mathematical Finance, 2009.
      • M. R. Grasselli and S. Silla. "A policyholder's utility indifference valuation for guaranteed annuity options". To appear in Mathematical Methods in Economics and Finance, 2010.
      • P.Date, R.S. Mamon, L. Jalen and I. Wang, 2010, "A linear algebraic method in pricing temporary life annuities and insurance policies", Insurance: Mathematics and Economics, 47(1), 98-104. DOI No: doi:10.1016/j.insmatheco.2010.04.004
      • P. Date, L. Jalen and R.S. Mamon, 2010, "A partially linearised sigma point filter for latent state estimation in nonlinear time series models", Journal of Computational and Applied Mathematics, 233(2010), 2675-2682. DOI No: doi:10.1016/j.cam.2009.11.015.
      • C. Erlwein, F. Benth and R.S. Mamon, 2010, "HMM filtering and parameter estimation of electricity spot price model" Energy Economics, forthcoming. DOI No: doi:10.1016/j.eneco.2010.01.005
      • R.S. Mamon and Z. Duan, 2010, "A self-tuning model for inflation rate dynamics", Communications in Nonlinear Science and Numerical Simulation, 15(2010), 2521-2528. DOI No: doi:10.1016/j.cnsns.2009.09.018
      • M. Rodrigo and R.S. Mamon, 2010, "A unified approach to explicit bond price solutions under an affine term structure modelling framework", Quantitative Finance, forthcoming. DOI No: TBA. Chosen by the editors as a feature and lead article.
      • C. Erlwein, R.S. Mamon" M. Davison, 2010, "An examination of HMM-based investment strategies for asset allocation", Applied Stochastic Models in Business and Industry, forthcoming. DOI No: DOI: 10.1002/asmb.820.
      • L. Jalen and R.S. Mamon, 2009, "Valuation of contingent claims with mortality and interest rate risks", Mathematical and Computer Modelling, 49(2009), 1893-1904. DOI No: doi:10.1016/j.mcm.2008.10.014.
      • A. Metzler. "On the first passage problem for correlated Brownian motion," Statistics and Probability Letters, 80 (2010), 277-284.
      • Kan, K.H., G. Frank, V. Mozgin, and R.M. Reesor (2010), "Optimized Least-squares Monte Carlo for Measuring Counterparty Credit Exposure of American-style Options". Mathematics-in-Industry Case Studies, Volume 2, pp. 64-85.
      • Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani, Xun Li" Antony Ware, "Continuous Time Portfolio Selection under Conditional Capital at Risk," Journal of Probability and Statistics, vol. 2010, Article ID 976371, 26 pages, 2010. [doi:10.1155/2010/976371]

       

       

Non-refereed Contributions

 

 

      • Thomas Nedunthally: . Thesis: "Alpha-stable, NIG and multi-factor models for spot and futures modeling in natural gas", Ph.D Thesis, University of Calgary
      • Matthew Couch. "Variance and volatility swaps for Levy process based stochastic volatility ", Ph.D Thesis, University of Calgary, 2010.
      • Cliff Kitchen. "Hedging Canadian Oil -- an application of currency translated options". M.Sc. Project, University of Calgary August 2010.
      • Roman Naryshkin. 'Portfolio optimization under Habit Formation'. Ph.D. thesis, University of Western Ontario, Feb 2010.
      • Shaowei Zhang 'Hedge Fund Strategies and Risk Analysis'. M.Sc. Project, University of Western Ontario August 2010.
      • Bin Lu, 'Analyzing the impact of environmental variables on the repyment period of solar farms'. M.Sc. Project, The University of Western Ontario August 2010.
      • Melissa Mielke, 'Dynamic Delta Hedging in a Hidden Markov Model'. M.Sc. Project, The University of Western Ontario August 2010.
      • Seydou Sail, "Portfolio Optimization with a 130/30 Strategy: A S-P/TSX 60 case", M.Sc. Project, The University of Western Ontario, May 2010.
      • Yang Li 'Optimal Mean Variance Portfolios'. M.Sc. Project, McMaster University, 2010.
      • Elena Alexandru-Gajura, 'Utility Indifference Pricing of Life Insurance Risks'. Ph.D. thesis, McMaster University, 2010.
      • Xiaohui Liu, 'Testing a Utility Function'. M.Sc. Project, McMaster University, 2010.
      • Nan Zhou, 'An examination of three interest rate models with regime switching', M.Sc. project The University of Western Ontario, August 2010
      • Alvin Tang, 'Modelling asset returns under two non-normal distributions', M.Sc. project, The University of Western Ontario, August 2010
      • Leelavati Mitra, 'Scenario Generation for Asset Allocation Models', Ph.D. thesis, Brunel University, 2010
      • Vera Vasilyeva, Pricing Regulatory Hybrid Securities, M.Sc. project, the University of Western Ontario, January 2010.
      • Xuezhi Liu, 'Pricing Defaultable Dual-Trigger Hybrid Securities', M.Sc. project, the University of Western Ontario, August 2010

       

Submitted

      • D.L. McLeish and A. Metzler. "A multiname first passage model for credit risk." Submitted to Journal of Credit Risk
      • A. Metzler. "Model risk and the design of CDO tranches." Submitted to Texas Quantitative Finance Festival (Selected proceedings to be published in Mathematical Finance).
      • Kan, K.H. and R.M. Reesor, "An Alternative Regression-based Method for American Option Valuation". Journal of Computational Finance. Original submission, July 2010.
      • Marshall, T.J., and R.M. Reesor, "Forest of Stochastic Meshes: A New Method for Valuing High-dimensional Swing Options". Operations Research Letters. Original submission, May 2010. Revise and resubmit request received July 2010.
      • Kan, K.H. and R.M. Reesor, "Bias Reduction for Pricing American Options by Least-Squares Monte Carlo". Operations Research. Submittedto Applied Mathematical Finance July 2010.
      • Peng, X., R.M. Reesor, and T. Whitehead, "Pricing and Optimal Management of a Retail Debt Portfolio". Submitted to Applied Stochastic Models in Business and Industry, February 2010.
      • Reesor, R.M. and S. Liu, "A Pathwise Approach to Interest-rate Model Specification Risk and Debt Management". International Journal of Theoretical and Applied Finance. Original submission February 2009, Revise and Resubmit request received November 2009.
      • Whitehead, T.L., R.M. Reesor, and M. Davison, "A Bias Reduction Technique for Monte Carlo Pricing of Early-exercise options". Journal of Computational Finance. Original submission, September 2007. Substantial revision and resubmission, September 2009. Second revision and resubmission July 2010.
      • Gordana Dmitrasinovic Vidovic and Antony Ware, "Optimal Portfolios of Mean-Reverting Instruments"

       

2009

A. Refereed Contribution

Published/Accepted

  • S. Biagini, M. R. Grasselli and M. Frittelli. "Indifference price for general semimartingales". To appear in Mathematical Finance, 2009.
  • T. R. Hurd. "Credit Risk Modelling using time-changed Brownian motion". To appear in International Journal of Theoretical and Applied Finance, December 2009, 18 pages.
  • T. R. Hurd and A. Kuznetsov. "On the First Passage Time for Brownian Motion subordinated by a Levy Process". J. Appl. Probab 46(1) 181-198, 2009.
  • T. R. Hurd, J. Cacho-Diaz and Y.Ait-Sahalia. "Portfolio Choice with Jumps: A Closed-Form Solution". Annals of Applied Probability 19(2) 556-584, 2009.
  • M. Grasselli and V. Henderson. "Risk Aversion and block exercise of Executive Stock Options". Journal of Economic Dynamics & Control 33(1) 109-127, 2009.
  • T. Pirvu, G. Žitkovic. "Maximizing the Growth Rate under Risk Constraints".Mathematical Finance, Vol. 19, Issue 3, pp. 423-455, July 2009
  • K. Kan, R. M. Reesor, T. Whitehead and M. Davison (to appear). "Correcting the Bias in Monte Carlo Estimators of American-Style Option Values". Proceedings of MCQMC 2008.
  • L. Anderson and M. Davison (2009). "Financial Risk Management in a Deregulated Electricity Market", Journal of Human and Ecological Risk Assessment 15(2), 253-269.
  • G. Zhao and M. Davison (2009). "When does variable power pricing alter the behavior of hydroelectric facility operators?" Renewable Energy 34, 1064-1077.
  • M. Thompson, M. Davison and H. Rasmussen (2009). "Natural Gas Storage Valuation and Optimization: A Real Options Application", Naval Research Logistics 56(3), 226-238.
  • G. Zhao and M. Davison (2009). "Valuing Hydrological Forecasts for a Pump Storage Facility", Journal of Hydrology 373, 453-462.
  • J. Kay, M. Davison and H. Rasmussen (2009). "The early exercise region for Bermudan options on multiple underlyings", Mathematical and Computer Modelling , 50 1448-1460.
  • C. Erlwein, R. Mamon and M. Davison, "An examination of HMM-based investment strategies for asset allocation". Accepted by Applied Stochastic Models in Business and Industry, October 7 2009. (ASMB-08-134)
  • S. Deakin and M. Davison, "An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model", conditionally accepted by Journal of Applied Mathematics, October 1 2009.
  • J. Choi, H. Rasmussen and M. Davison, " Valuing Presale Condominiums", conditionally accepted by Journal of Real Estate Finance and Economics, October 12 2009. (REAL-315).
  • M. Escobar, S. Kramer, F. Scheibl, L. Seco and R. Zagst, 'Hedge Funds as Knock-Out Options'. Accepted at Contemporary Mathematics, AMS, 2009.
  • M. Escobar, A. Kiechle, L. Seco and R. Zagst, 'Constant Leverage Strategies'. RACSAM 103 (2), Mathematical series, 2009.
  • M. Escobar, B. Gotz and R. Zagst, 'Pricing Certificates under Issuer Risk'. Accepted, Chapter in Alternative Investments", January 2009.
  • M. Escobar, I Abinzano, P. Olivares and L. Seco, 'A first-passage-time approach for studying reorganization'. In Press. Economic Modelling.
  • M. Escobar, B. Gotz, L. Seco and R. Zagst, 'Pricing of Spread Options on stochastically correlated underlyings'. In Press , Journal of Computational Finance, 12 (3) 2009.
  • R.J. Elliott and M.R.Lyle, 'A Simple Hybrid Model for Power Derivatives'. Energy Economics. 31 (2009), 757-767.
  • R.J. Elliott and T.K. Siu, 'Portfolio Risk Minimization and Differential Games'. Nonlinear Analysis Series A: Theory, Methods and Applications (2009)
  • R.J. Elliott, T.K. Siu and H. Yang, 'Filtering a Markov-Modulated Random Measure'. IEEE Transactions on Automatic Control (2009).
  • R.J. Elliott and T.K. Siu, 'Robust Optimal Portfolio Choice under a Markovian Regime Switching Model'. Methodology of Computing and Applied Probability. 11 (2009), 145-157. 
  • R.J. Elliott and T.K. Siu, 'A Markov Modulated Exponential Affine Bond Price Formula'. Applied Mathematical Finance. 16(1) (2009), 1-15.
  • R.J. Elliott, H. Miao and J. Yin, 'General Equilibrium Assets Pricing Under Regime Switching'. Communications on Stochastic Analysis, 2 (2009), 445-458.
  • C. Erlwein and R.S. Mamon, 2009, "Parameter estimation of an interest rate model via an HMM filtering method in discrete time", Statistical Methods and Applications, 18(1), 87-107. DOI No: doi:10.1007/s10260-007-0082-4.
  • L. Jalen and R.S. Mamon, 2009, "Valuation of contingent claims with mortality and interest rate risks", Mathematical and Computer Modelling, 49(2009), 1893-1904. DOI No: doi:10.1016/j.mcm.2008.10.014.
  • R.S. Mamon and Z. Duan, "A self-tuning model for inflation rate dynamics", Communications in Nonlinear Science and Numerical Simulation, forthcoming. DOI No: doi:10.1016/j.cnsns.2009.09.018
  • M. Rodrigo and R.S. Mamon, "A unified approach to explicit bond price solutions under an affine term structure modelling framework" Quantitative Finance, forthcoming.

 

Submitted

  • M. Escobar and D. Varadi, 'Separating winners from losers: the DF and the MVP scores'. Submitted to Journal of Alternative Investments.
  • M. Escobar, A. Hamidreza and L. Seco, 'The CreditGrades Model with Stochastic Covariance Wishart Process'. Submitted to Journal of Computational Finance.
  • M. Escobar, A. Hamidreza and L. Seco, 'Pricing and Calibration of a Stochastic Correlation CreditGrades'. Submitted to International Journal of Theoretical & Applied Finance.
  • M. Escobar and P. Olivares, 'The Principal Component Stochastic Volatility Model: Estimation and Pricing of Mountain Range Derivatives'. Submitted to Journal of Quantitative Finance.
  • M. Escobar and P. Olivares, 'Risk Management under a Factor Stochastic Volatility Model'. Submitted to Asia-Pacific Journal of Operational Research.
  • M. Escobar, A. Alvarez, P. Olivares and L. Seco, 'Multivariate Stochastic Covariance Models and Applications to Pricing and Risk Management'. Submitted to Proceedings of Multi-Attribute Methods in Finance.
  • P.Date, R.S. Mamon, L. Jalen and I. Wang, "A linear algebraic method in pricing temporary life annuities and insurance policies". Submitted to Insurance: Mathematics and Economics.
  • P. Date, L. Jalen and R.S. Mamon, "A partially linearised sigma point filter for latent state estimation in nonlinear time series models". Submitted to the Journal of Computational and Applied Mathematics.
  • C. Erlwein, F. Benth and R.S. Mamon,"HMM filtering and parameter estimation of electricity spot price model". Revised for the Energy Economics journal.

 

 

B. Non-refereed Contribution

      • G. Orosi. "Thesis: Applications of Splines to S&P Index Options", Ph.D Thesis, University of Calgary, May 2009.
      • L. Jalen. "Some contributions to filtering theory with applications in financial modelling", Ph.D Thesis, Brunel University, West London, UK, 2009.
      • Zhiyi (Catherine) Liang. "Optimizing a Money Market Fund". M.Sc. Project, August 2009.
      • Chaoliang (Jacky) Rong. 'Assessment of Re-advanceable Mortgages'. M.Sc. Project, Dec 2008.
      • Andy Chang, September. 'Risk and Return Analysis of Long/short Strategies'. M.Sc. Project, Jan 2009.
      • Narin Chhun, 'Delinquency, Weight of Evidence, and Attrition Score Modeling'. M.Sc. Project, Jan 2009.
      • Xiaohu Peng, 'Pricing and Optimal Management of a Retail Debt Portfolio'. M.Sc. Project, August 2009.
      • G. Zhao, "Optimal Control of Hydroelectric Facilities", PhD. Thesis, Dept of Applied Math, Western, Jan 2009.
      • T. R. Hurd. "Saddlepoint approximations in portfolio credit risk". In Encyclopedia of Quantitative Finance, ed. R. Cont, Wiley-UK, 7 pages, 2008.
      • R. J. Elliott and J. van der Hoek, 'Pricing Non-tradable Assets: Duality Methods'. In "Indifference Pricing: Theory and Applications", Edited by Rene Carmona. Princeton University Press, Princeton and Oxford. 2008, pages 321-385.
      • R. J. Elliott and A. Royal. 'Asset Prices with Regime Switching Variance Gamma Dynamics'. Handbook of Numerical Analysis. Mathematical Modeling and Numerical Methods in Finance. Eds. Bensoussan and Zhang. Elsevier (2008), 687-711.

       

       

2008

A. Books

      • M. Escobar, L. Seco, New Developments in Risk Transfer"Springer / New Frontiers in Enterprise Risk Management, Chapter 2008
      • M.R. Grasselli and D. Pellinovsky, Numerical Mathematics, Jones and Bartlett Publishers, Boston, 667 pages, 2008.

     

B. Refereed Contribution

Articles in refereed publications

Published/Accepted
  • R. J. Elliott and W. P. Malcolm,  Discrete Time Expectation Maximization Algorithms for Markov Modulated Poisson Processes. IEEE Transactions on Automatic Control. 53 (2008), 247-256.
  • R. J. Elliott and T. K. Siu, 'A Markovian Regime-Switching Stochastic Differential Game for Portfolio Risk Minimization'. American Control Conference 2008. 1017-1022.
  • R. J. Elliott, H. Leung and J. Deng, 'A Non-Linear Filter'. Stochastic Analysis and Applications. 26 (2008), 856-862.
  • R. J. Elliott, H. Miao and T. Lin, 'A Hidden Markov Multi Assets Price Model'. Canadian Applied Mathematics Quarterly, 15 (2008), 23-51.
  • M. Korolkiewicz and R. J. Elliott, 'A Hidden Markov Model of credit quality'. Journal of Economic Dynamics and Control. 32 (2008), 3807-3819.
  • R. J. Elliott and A. Filinkov. 'A Self Tuning Model for Risk Estimation'. Expert Systems with Applications, Volume 34, Issue 3, April 2008, Pages 1692-1697.
  • R. J. Elliott, T.K. Siu and L.L. Chan.  'A P.D.E. Approach for Risk Measures for Derivatives with Regime Switching'. Annals of Finance, 4 (2008), 55-74.
  • A. Swishchuk and A. Ivanov 'Optimal control of SDDE with applications in economics', Intern. J. Quant. Theory of Diff. Eq. and Applications, Vol. 2, No. 2, pp. 64-76.
  • A. Swishchuk. 'Explicit option pricing formula for a mean-reverting asset in energy market', J. of Applied and Numerical Mathematics, 2008, vol. 1(96), pp.216-233.
  • A. Swishchuk. 'Levy-based interest rate derivatives: change of time and PIDEs', CAMQ, 2008, vol. 16, No. 2, pp. 161-192.
  • R.S. Mamon, 2008, "Review of A. van de Bos's Parameter estimation for scientists and engineers", Technometrics, 50(4), 546. DOI No: doi:10.1198/004017008000000451.
  • L. Anderson and M. Davison (2008) A Hybrid System-Econometric Model for Electricity Spot Prices: Considering Spike Sensitivity to Forced Outage Distributions . IEEE Transactions on Power Systems 23(3) 927-937.
  • I. Ekeland and T. Pirvu. "Investment and consumption without commitment". Mathematics and Financial Economics, 2(1), 57-86 2008.
  • Carlier, Guillaume and I. Ekeland. "Matching for teams". EconomicTheory, Accepted (September 2008) 24p.
  • I. Ekeland, Alfred Galichon and Marc Henry. "Optimal transportation and the falsifiability of incompletely specified economic models". Economic Theory, Accepted (September 2008) 23p.
  • I. Ekeland. "Existence, Uniqueness and E±ciency of Equilibrium iin Hedonic Markets with Multidimensional T ypes". Economic Theory, Accepted September 2008) 39p.
  • Pierre-Andre Chiappori and I. Ekeland. " Formal models of group behaviour: The mathematics and economics of aggregation". Foundations and Trends in Economic Theory, Accepted (July 2008) 100p.
  • Pierre-Andre Chiappori and I. Ekeland. "The microeconomics of group behaviour: Identi¯cation". Econometrica, Accepted (September 2008).
  • R.J. Elliott, H. Miao and T. Lin, A Hidden Markov Multi Assets Price Model’. Canadian Applied Mathematics Quarterly, 15 (2008), 23-51.
  • R. J. Elliott and A. Filinkov. ’A Self Tuning Model for Risk Estimation’. Expert Systems with Applications, Volume 34, Issue 3, April 2008, Pages 1692-1697.
  • M.Korolkiewicz and R.J. Elliott, ’A Hidden Markov Model of credit quality’. Journal of Economic Dynamics and Control. Accepted.
  • R.J. Elliott, T.K. Siu and H. Yang, Martingale Representation for Contingent Claims with Regime Switching. Communications in Stochastic Analysis. 1 (2007), 279 - 292.
  • R. J. Elliott, T. K. Siu and L.L. Chan, Pricing Volatility Swaps Under Hestons Stochastic Volatility Model with Regime Switching. Applied Mathematical Finance, 14 (2007), 41-62.
  • R.J. Elliott, T.K. Siu and L.L. Chan, A P.D.E. Approach for Risk Measures for Derivatives with Regime Switching. Annals of Finance, 4 (2008), 55-74.
  • R.J. Elliott, T.K. Siu, L. L. Chan and J. W. Lau, Pricing Options under a Generalized Markov Modulated Jump Diffusion Model.Journal of Stochastic Analysis & Applications . 25 (2007), 821-843.
  • R.J. Elliott and A. Filinkov, The solution of a free boundary problem related to environmental management systems. Journal of Stochastic Analysis and Applications. 25 (2007), 1189 -1202.
  • R.J. Elliott and J. van der Hoek, Ito formulas for fractional Brownian motion. Advances in Mathematical Finance, Applied and Numerical Harmonic Analysis, Birkhauser Boston, Boston, MA.(2007), 59-81.
  • I.H.Arasaratnam, S. Haykin & R.J. Elliott, Discrete Time Non Linear Filtering Algorithms Using Gauss-Hermite Quadrature. Invited paper. Proceedings of the IEEE (2007), 953-977.
  • R.J. Elliott and W. P. Malcolm, ’Discrete Time Expectation Maximization Algorithms for Markov- Modulated Poisson Processess. IEEE Transactions on Automatic Control 53 (2008) 247-256.
  • R.J. Elliott, H. Leung and J. Deng A Non-Linear Filter Stochastic Analysis and Applications.Stochastic Analysis and Applications. 26 (2008), 856-862.
  • R.J. Elliott , W.P. Malcolm and J. B. Moore, Robust dynamics and Control of a Partially Observed Markov Chain. Applied Mathematics & Optimization, 56 (2007), 303-311.
  • R.J. Elliott. T. K. Siu and H. Yang, Insurance Claims Modulated by a Hidden Markov Point Process. IEEE Conference Proceedings of the 2007 American Control Conference, New York City,U.S.A., pp. 390-395.
  • R.J. Elliott, T.K. Siu and H. Yang Filtering and Smoothing for Markov-Modulated Compound Poisson Models IEEE Trans. Automatic Control Provisionally Accepted.
  • M. Escobar, J. Hernandez, P. Olivares,2008, "Asymptotic behavior of m.l.e. in a branching diffusion model", Statistical Inference for Stochastic Processes
  • M. Escobar, L. Seco, 2008 "The Mathematics of Risk Transfer", International Journal of Services Sciences
  • M. Escobar, B. Gotz, L. Seco, R. Zagst, 2008, "Pricing of Spread Options on stochastically correlated underlyings", Accepted, Journal of Computational Finance.
  • M. R. Grasselli, "Dual connections in nonparametric classical information geometry", to appear in the Annals of the Institute for Statistical Mathematics, 2008.
  • M.B. Chiarolla, U.G. Haussmann, "On a Stochastic Irreversible Investment Problem", accepted by SICON.
  • T. R. Hurd and A. Kuznetsov, "Explicit formulas for Laplace transforms of stochastic integrals", Markov Processes and Related Fields, 14, 277-290, 2008.
  • P. Date, R.S. Mamon and L. Jalen, 2008, "A new moment matching algorithm for sampling from partially specified symmetric distributions", Operations Research Letters, 36(6), 669-672. DOI No: doi:10.1016/j.orl.2008.07.004.
  • P. Date, L. Jalen and R.S. Mamon, 2008, "A new algorithm for latent state estimation in nonlinear time series models", Applied Mathematics and Computation, 203(1), 224-232. DOI No: doi:10.1016/j.amc.2008.04.028.
  • M.R. Rodrigo and R.S. Mamon, "A new representation of the local volatility surface", International Journal of Theoretical and Applied Finance, 11(7), 691-703. DOI No: doi:10.1142/S0219024908004993.
  • T.K. Siu, C. Erlwein and R.S. Mamon, 2008, "The pricing of credit default swaps under a Markov-modulated Merton's structural model", North American Actuarial Journal, 12(1), 19-46.
  • C. Erlwein and R.S. Mamon, 2008, "An on-line estimation scheme for a Hull-White model with HMM-driven parameters", Statistical Methods and Applications, accepted, 21 journal pages. DOI No: 10.1007/s10260-007-0082-4.
  • R.S. Mamon, C. Erlwein and B. Gopaluni, 2008, "Adaptive signal processing of asset price dynamics with predictability analysis", Information Sciences (An International Journal for Informatics and Computer Science Intelligent Systems Applications), 178, 203-219.

 

 

Other refereed contributions
  • R.S. Mamon and L. Jalen, 2008, "Parameter estimation in a regime-switching model when the drift and volatility are independent", Proceedings of the 5th International Conference on Dynamic Systems and Applications, Dynamic Publishers, Inc., Atlanta, Georgia, USA, 291-298. Binomial models in finance, Springer Verlag, Bolin Heidelberg - New York January 2006.
  • T. R. Hurd, "Saddlepoint approximations in portfolio credit risk", in Encyclopedia of Quantitative Finance (in press, accepted October 2008), ed. R. Cont, Wiley-UK, 7 pages, 2008.

     

Non-refereed contributions

Theses
  • "Optimizing Constrained Mine Hunting Surveys for the Multi-Aspect Classification of Sidescan Sonar Detections.", Michel Couillard, PhD thesis, UWO, 2008.
  • "Correcting the Monte Carlo Optimal Stopping Bias.", Tyson Whitehead, PhD thesis, UWO, 2008.
  • "Interest Rate Model Risk and Public Debt Management.", Shudan Liu, PhD thesis, UWO, 2008.
  • "Applications of hidden Markov models in financial modelling.", Christina Erlwein, PhD thesis, Brunel, 2008.
  • "Bond pricing and calibration under Markov-switching exponential affine models.", Andrei Prokopiw, MSc thesis, UWO, 2008.
  • "Recovery of pameters and valuation of bonds under the CKLS interest rate model.", Rujin Cao, MSc thesis, UWO, 2008.
  • "Historical Notes on the Development of Stock Price Models.", Matthew McInnis, MSc thesis, UWO, 2008.
  • "Portfolio Management under transaction costs.", Nabeel Butt, MSc thesis, UWO, 2008.
  • "Importance Sampling Applied To Electricity Pricing.", Laura Parkes-Shaw, MSc thesis, UWO, 2008.
  • "Fourier Transform for Option Pricing.", Xu Li, MSc thesis, UWO, 2008.
  • "Gaussian state space models: an application to daily average temperatures in Alberta.", Aaron Pratt, MSc thesis, Calgary, 2008.
  • "Hedge Funds as Knock out Options.",S. Krämer, MSc thesis, Ryerson University, 2008.
Working papers
  • M. Escobar, A. Hamidreza, L. Seco, "Multi-asset Derivative pricing with stochastic correlation.
  • M. Escobar, B. Gotz, L. Seco, R. Zagst, "Double Barriers within a Stochastic Volatility Model;

 

 

2007

A. Books

      • R.S. Mamon & R.J. Elliott (Eds.), (2007), "Hidden Markov Models in Finance", Springer's International Series in Operations Research and Management Science, Vol. 104,  XX, 188 p., 11 illus., Hardcover [ISBN: 978-0-387-71081-5] , Published: 23 April 2007. DOI No: doi:10.1007/0-387-71163-5.
      • Co-Editor, Advances in Mathematical Finance Series: Applied and Numerical Harmonic Analysis, Fu, M.C.; Jarrow, R.A.; Yen, J.-Y.J.; Elliott, R.J. (Eds.) 2007, XXVIII, 340 p. 41 illus., Hardcover, ISBN: 978-0-8176-4544-1

       

       

B. Refereed Contributions

 

Articles in refereed publications

Published/Accepted
  • Z. Chen, M. Davison, Mark Reesor and Ying Zhang (2007). An Additivity of Maximum Expectations and its Applications. pp. 67-79 of Control Theory and Related Topics: In Memory of Xunjing Li, Shanjian Tang and Jiongmin Yong, eds. World Scientific.
  • J. Zhao,  M. Davison & R. Corless (2007).  " Compact Finite Difference Method for American Option Pricing".  Journal of Computational and Applied Mathematics 26(1), 306-321. 
  • Whitehead, T., M. Davison, and R.M. Reesor (2007) "A Bias Reduction Technique for the Monte Carlo Pricing of Early Exercise Options", Proceedings of the 41st Actuarial Research Conference, August 10-12, 2006, Centre de Recherches Mathematiques, Universite de Montreal, Montreal, QC, Actuarial Research Clearing House (ARCH) 2007.1, Society of Actuaries http://www.soa.org/ccm/content/?categoryID=712005).
  • I. Ekeland and Guillaume Carlier. "Equilibrium structure of an bidi- mensional assymmetric city". Nonlinear Analysis: Real World Application, 8.3(July 2007): 725 - 748.
  • I. Ekeland, Martin Browning and Pierre-Andre Chiappori. "Local disaggregation of negative demand and excess demand functions" Journal of Mathematical Economics. 43.6 (August 2007): 764 - 770.
  • Guillaume Carlier, I. Ekeland and Nizar Touzi. "Optimal derivatives design for mean-variance agents under adverse selection". Mathematics and Financial Economics. 1.1 (April 2007): 57 - 80.
  • RJ Elliott and C Wilson, 'The term structure of interets rates in a Hidden Markov setting". In Hidden Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds), Springer, page15-30.
  • RJ Elliott and AV Swishchuk, 'Pricing Options and Variance swaps in Markov modulated Brownian markets". In Hidden Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds), Springer, page 45 - 68.
  • MW Korolkiewicz and RJ Elliott, 'Smoothed parameter estimaton for a Hidden Markov model of credit quality". In Hidden Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds), Springer, page 69 - 90.
  • RJ Elliott and J van der Hoek , "Ito formulas for fractional Brownian motion.", In Hidden Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds), Springer.
  • I. Arasaratnam, S. Haykin & R.J. Elliott, "Discrete, Time Non Linear Filtering Algorithms  Using Gauss-Hermite Quadrature".  Invited paper Proceedings of the IEEE 95 (2007), 953-977.
  • R. J. Elliott, T. K. Siu, L. L. Chan and J. W. Lau. "Pricing Options under a Generalized Markov Modulated Jump Diffusion Model". Stochastic Analysis and Applications  25  (2007), 821 -843.
  • R. J. Elliott, T. K. Siu and L. Chan. "Pricing volatility swaps under Heston's stochastic volatility model with regime switching". Applied Math Finance. 14 (2007), 41-62.
  • T. Pirvu, U. Haussmann, "A portfolio decomposition formula", Stoch. Proc. & Applic., Oct. 2007.
  • M Chiarolla, U.Haussmann, "Equilibrium in an economy with endogenous production and consumption", Mathematics and Financial Economics, Sept. 2007
  • M. R. Grasselli, T. R. Hurd "Indifference pricing and hedging for volatility derivatives", Applied Mathematical Finance 14, 303-317, 2007.
  • M Chiarolla, U.Haussmann, Multivariable utility functions"  SIAM J. Optimization, 2007
  • T. R. Hurd, A. Kuznetsov "Affine Markov chain models of multifirm credit migration, Journal of Credit Risk 3, 3-329, 2007.
  • U. Horst, "Queuing, social interactions, and the microstructure of financial markets;" (joint with C. Rothe), to appear in Macroeconomic Dymaics.
  • A. Lazrak, "Sharpe ratio as a performance measure in a multi-period model",  with Jaksa Cvitanic and Tan Wang. Forthcoming in the Journal of Economic Dynamics and Control.
  • M.R. Rodrigo and R.S. Mamon, 2007, "Recovery of time-dependent parameters of a Black-Scholes-type equation: An inverse Stieltjes moment approach", Journal of Applied Mathematics, vol. 2007, Article ID 62098, 8 pages. DOI No: doi:10.1155/2007/62098.
  • P. Date, R.S. Mamon and I. Wang, 2007, "Valuation of cashflows under random rates of interest: A linear algebraic approach", Insurance: Mathematics and Economics, 41(1), 84-95. DOI No: doi:10.1016/j.insmatheco.2006.10.001
  • M.R. Rodrigo and R.S. Mamon, 2007, "An application of Mellin transform techniques to a Black-Scholes equation problem", Analysis and Applications, 5(1), 51-66. DOI No: doi:10.1142/S0219530507000870
  • C. Erlwein & R.S. Mamon, "An on-line estimation scheme for a Hull-White model with HMM-driven parameters", Statistical Methods and Applications, forthcoming, accepted for publication 18 Oct 2007 .
  • M.R. Rodrigo & R.S. Mamon (2007), "Recovery of time-dependent parameters of a Black-Scholes-type equation: An inverse Stieltjes moment approach", Journal of Applied Mathematics, vol. 2007, Article ID 62098, 8 pages.
  • P. Date, R.S. Mamon & I. Wang (2007), "Valuation of cashflows under random rates of interest: A linear algebraic approach", Insurance: Mathematics and Economics, 41(1), 84-95.
  • R.S. Mamon & P. Date (2007), "Editorial - Special issue in financial mathematics", IMA Journal of Management Mathematics, 18(4), 313-314.
  • M.R. Rodrigo & R.S. Mamon (2007), "An application of Mellin transform techniques to a Black-Scholes equation problem", Analysis and Applications, 5(1), 51-66.
  • E. Russo, F. Spagnolo & R.S. Mamon, (2007), " An empirical investigation of the unbiased forward exchange rate hypothesis in a regime-switching market", in: Hidden Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds), Springer, 133-153.
  • R.M.Reesor and D.L.McLeish (2007), "A Calibration Algorithm for Simulation-based Pricing Models", IMA Journal of Management Mathematics, 18, 371--393.
  • A. Swishchuk 'Modeling and pricing of variance swaps for multi-factor stochastic volatilites with delay', CAMQ, vol. 14, No. 4, Winter 2006, 439-467 (Appeared in 2007).
  • Y.Kazmerchuk, A. Swishchuk and J. Wu, 'The pricing of options for securities markets with delayed response', Mathematics and Computers in Simulation, vol. 75, Issue 3-4, 2007, 69-79.

 

 

Other refereed contributions
  • E. Russo, F. Spagnolo and R.S. Mamon, 2007, "An empirical investigation of the unbiased forward exchange rate hypothesis in a regime-switching market", in: Hidden Markov Models in Finance, R.S. Mamon & R.J. Elliott (eds), Springer, 133-153. DOI No: doi:10.1007/0-387-71163-5_9.

 

 

Papers in preparation:
  • U. Horst, "On securitization, market completion and equilibrium risk transfer" (with T. Pirvu amd G. Dos Reis).
  • U. Horst, "Risk minimization and optimal derivative design in a principal agent game"(with S. Moreno).
  • R.M.Reesor and S. Liu, "A Pathwise Approach to Interest-rate Model Risk: An Application to Debt Management", draft paper.
  • R.M.Reesor and S. Liu, "Swinging in Liquidity:  The Use of Swing Options to Manage Liquidity Risk", draft paper.
  • R.M.Reesor and D.L.McLeish, "Option Pricing Via the Relative Entropy Bootstrap", draft paper.
  • T.Whitehead, R.M.Reesor and M.Davison "Correcting the Monte Carlo Optimal Stopping Bias", draft paper.

 

Non-refereed contributions

      • R.S. Mamon and P. Date, 2007, "Editorial - Special issue in financial mathematics", IMA Journal of Management Mathematics, 18(4), 313-314. DOI No: doi:10.1093/imaman/dpm029.

       

       

Theses

      • "Interest Rate and Credit Default Swaps with Credit Migrations and Counterparty Risk", William Sajko, MSc thesis, McMaster, September 2007.
      • "Risk Analysis of a Retail Bond Issuance Strategy", Wei Xia, MSc, UWO, August 2007.
      • "Dynamics of Price Volatility", Chan, Pui Tin, MSc essay, UBC, April 2007.
      • "Energy Resource Portfolio Analysis",  Kan, Kin Hung, MSc essay, UBC, June, 2007.
      • "Analysis of Universal Portfolios With and Without Side Information", Crouspeyre, Gilles, MSc thesis, UBC, Aug 2007.
      • "A Study of Financial Markets with Heterogeneous Agents: A Numerical Approach", L'Esperance, Bruno, MSc thesis, UBC, Aug 2007.
      • "The Decomposition of Electricity Spot Prices: Evidence from the Alberta and Pennsylvania-New Jersey-Maryland Markets. ", Matt Lyle, MSc thesis, Calgary, 2007.

       

Working papers

 

      • D.J.Bolder and S.Liu (2007), "Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective", Bank of Canada Working Paper 2007-49.
      • S. Wang, M. Davison, L. Anderson and D. Leadbetter (2007), "Hedging Property & Casualty Insurance Risks", PACICC working paper.
         

       

2006

Refereed Contributions

Articles in refereed publications

Published/Accepted
      • Zengjing Chen, Matt Davison, Mark Reesor, "Additivity of maximum expectations and applications", given at conference on BSDEs in Finance (May 28 --June 2 2005) in Shanghai. To be published in the conference proceedings by World Scientific, Singapore (to appear).
      • R. J. Elliott and H. Miao, "Stochastic volatility with filtering". Stochastic Analysis & Applications  20(2006),  661-683.
      • D.D. Sworder, J.E. Boyd, R.G.Hutchins and R.J. Elliott, "Metrics for Target Tracking", 40th IEEE Conference on Signals, Systems and Control, Asilomar CA. November 2006, IEEE Computer Society Press, 1011- 1015.
      • R.J. Elliott, L.L. Chan & T. Siu, "Risk Measures for Derivatives with Markov Modulated Pure Jump Processes", Asia Pacific Financial Markets. 13 (2006),   129 -149.
      • R. J. Elliott and S. Haykin. "A New Nonlinear Filter",  Communications in Information and Systems 6 (2006),  203-220.
      • R. J. Elliott & C. J. U. Osakwe,"Option Pricing for Pure Jump Processes with Markov Switching Compensators", Finance and Stochastics (10)250-275, 2006.

      • R. J. Elliott and J. van der Hoek,"Optimal Linear Estimation, Data Fusion and Copulas", IEEE Trans AC 51, 686-689, 2006.
      • Jingping Yang, T. R. Hurd, Xuping Zhang " Saddlepoint approximation method for pricing CDOs", Journal of Computational Finance 10, 1-20,  2006.
      • U. Horst, "On the spanning property of risk bonds priced by equilibrium"; Mathematics of Operations Reserach, to appear  (joint with M. Mueller).
      • U. Horst, "On non-ergodic asset prices"; Economic Theory, to appear  (joint with J. Wenzelburger)
      • U. Horst, "A limit theorem for financial markets with inert investors;" Mathematics of Operations Research, to appear (joint with E. Bayraktar and R. Sircar).
      • U. Horst, "Queuing theoretic approaches to financial price fluctuations;'' Handbook of Financial Engineering (ed. V. Linetsky and J. Birge), to appear (joint with E. Bayraktar and R. Sircar).
      • U. Horst, "Stochastic Cascades, credit contagion, and large portfolio losses"; Journal of Economic Behavior and Organization; to appear.
      • U. Horst, "Equilibria in systems of social interactions;"Journal of Economic Theory, 130, 44-77 (2006) (joint with J. Scheinkman)
      • U. Horst, "Rational expectations equilibria of economies with local interactions;"Journal of Economic Theory, 127,74-116 (joint with A. Bisin and O. Ozgur)
      • J.P. Yang, T.R. Hurd and X.P. Zhang, ``Saddlepoint approximation method for pricing CDOs'', Journal of Computational Finance (in press) (2006).
      • H. Mauser, D. Saunders, L. Seco, "Strategies for Optimizing Omega", Accepted in "Risk".
      • U. Ansejo, M. Escobar, J. Hernandez and L. Seco, "Pricing Collateralized Fund Obligations in regime switching markets", accepted for publication Journal of Alternative Investments.

      • I. Buckley, D. Saunders, L. Seco, "Portfolio Optimization when assets have the gaussian mixture distribution", Accepted for publication at the European journal of Optimization. Refereed. 49 pages.

      • Kazmerchuk, Y., Swishchuk, A. and Wu, J.-H. "The Pricing of Options for Securities Markets with Delayed Response", Mathematics and Computers in Simulations, 2006.

      • Y. Kazmerchuk, A. Swishchuk and J. Wu, 'A continuous-time GARCH model for
        stochastic volatility with delay
        ', CAMQ, vol. 13, No. 2, Summer 2005, 123-149 (Appeared in 2006 - CAMQ).

      • Swishchuk, A. "Modeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilites with Delay", CAMQ, 2006.

      • G. Dmitrasinovic-Vidovic and A. Ware, "Asymptotic behaviour of mean-quantile efficient portfolios", Finance and Stochastics, Vol. 10, No. 4, December 2006, 529--552.

      • A. Ware, "Adaptive statistical evaluation tools for equity ranking models", Canadian Applied Mathematics Quarterly, Vol. 3, pp 265-276, 2006.

      • J. Cvitanic, L. Martellini and F. Zapatero,"Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations" the The Review of Financial Studies,  vol 19, issue 4, 1113-1156, 2006 (Lead Article)

      Other refereed contributions

       

      • John Van Der Hoek and Robert J. Elliott, "Binomial models in finance", Springer Verlag, Bolin Heidelberg - New York January 2006.
      • U. Horst, "Ergodicity and non-ergodicity in economics;'' The New Palgrave Dictionary of Economics (ed. L. Blume and S. Durlauf), to appear.

       

B. Non-refereed contributions

Theses

      • Ergodic Properties of some Hidden Markov Models with Application to Math Finance, Janko Hernandez, Ph.D. thesis, University of Toronto, 2006.
      • A Highly Accurate Compact Finite Difference Method and its Applications in Financial Mathematics and Mathematical Biology, J. Zhao, Ph.D. thesis, Western, August, 2006.
      • Asymptotic Wavelet Collocation Methods for Option Pricing PDEs, Hua Li, PhD thesis, Calgary, 2006.
      • Non Observables and Non tradables, Andrew Royal, PhD thesis, Calgary, June, 2006.
      • Applications of Regime Switching in Finance, Leung Lung Chan, PhD thesis, Calgary, September, 2006.
      • A delayed Black-Scholes formula, H.H. Wang, MSc thesis, UBC, April 2006.
      • Leasing, Y.F. Tian, MSc thesis, UBC, April 2006.
      • Stochastic Models for Natural Gas and Electricity Prices, Guanghui Quan, MSc thesis, Calgary, November 2006.
      • Malliavin Calculus and its Applications in Finance, Lingling Wang, MSc thesis, McMaster, August  2006.
      • Valuing Employee Stock Options, Omneia Ismail, MSc thesis, McMaster, September 2006.

2005

A. Refereed Contributions

Articles in refereed publications

Published/Accepted
  • L. Anderson, M. Davison, "An aggregate Weibull method for modeling system-wide generating capacity", IEEE Trans. Power Eng. Systems, 20(4), 1783-1789, 2005.
  • Z. Chen, T. Chen, M. Davison, "Choquet expectation and Peng's g-expectation", Annals of Probability 33(3) 1179-1199 (2005).
  • M. Couillard and M. Davison, "A comment on measuring Hurst exponent in financial time series", Physica A 348(2005), pp 404-418.
  • N. Dokuchaev, Optimal solution of investment problems via linear parabolic equations generated by Kalman filter", SIAM J. Control Optim. 44, 1239 (2005) , 1239 - 1258.
  • D.D. Sworder, J. E. Boyd, R. G. Hutchins and R. J. Elliott. "Multi-sensor tracking on a grid II",  39th IEEE Conference on Signals, Systems and Control, Asilomar, CA.
    November 2005. IEEE Computer Society Press, 574-578.
  • R. J. Elliott, L.L. Chan, and T.K. Siu,"Option Pricing and Esscher Transform under Regime Switching",  Annals of Finance 1, (2005), pp. 423-432.
  • P. Wu and R. J. Elliott, "Hidden Markov chain filtering for a jump diffusion", Journal of Stochastic Analysis and Applications, 23 (2005), 153-163.
  • M. R. Grasselli and T. R. Hurd, "Wiener chaos and the Cox-Ingersoll-Ross model", Proc. Roy. Soc. A, 461, pp 459 - 479, 2005.
  • M. Chiarolla, U. Haussmann, "Explicit solution of a stochastic irreversible investment problem and its moving threshold", Mathematics of Operations Research, Math. Operations Research 30(2005), 91 - 108, Erratum 31(2006), 432.
  • U. Haussmann, L. Yan, "The modified willow tree algorithm", J. Computational Finance, 8(2005), pp. 63 - 80.
  • U. Horst,  "A simple model of trading climate risk;'' Vierteljahrshefte zur Wirtschaftsforschung 74 (2), 175--195 (2005) (joint with S. Chaumont, P. Imkeller, and M. Muller)
  • U. Horst, "Equilibria in financial markets with heterogeneous agents: A probabilistic perspective;" Journal of Mathematical Economics, 41 (1-2), 123-155 (2005) (joint with H. Foellmer and A. Kirman)
  • U. Horst, "Stationary equilibria in discounted stochastic games with weakly interacting players;" Games and Economic Behavior, 52, 83-108 (2005)
  • U. Horst, "Financial price fluctuations in a stock market model with many interacting agents;" Economic Theory, 25 (4), 917-932 (2005).
  • C. Lemieux* and J. La, "A study of variance reduction techniques for American option pricing", Proceedings of the 2005 Winter Simulation Conference, IEEE Press, 1884-1891.
  • A. Swishchuk, Jianhong Wu, Yuriy Kazmerchuk, "Continuous-time GARCH model for stochastic
    volatilities with delay"
    , CAMQ, v.13, No.2, Summer 2005.
  • L. Seco, "Hedge funds; truths and myths", Revista de Economia Financiera (Kluwer), Vol. 6, August 2005.
  • M. Escobar, and L. Seco "A Partial differential equation for credit derivatives pricing", accepted for publication, CRM proceedings of the conference on Partial Differential equations in very high dimensions, August 2005. 20 Pages. Previously listed.

 

 

Other refereed contributions

      • Modeling and pricing of variance swaps for stochastic volatilities with delay, Anatoliy Swishchuk, WILMOTT Magazine, Sept Issue, 2005, pp. 63-73.
      • Portfolio optimization under partial information: stochastic volatility in a hidden Markov model, J. Sass, U. Haussmann, Proceedings of Annual International Conf. of the German Operations Research Soc., U. Heidelberg, to appear. http://www.math.ubc.ca/~uhaus/sh3e.pdf
      • Financial applications of symbolically generated compact finite difference formulae, Jichao Zhao, R.M. Corless and M. Davison (2005). In Proc. Symbolic-Numeric Computation, Xi'an, China, D. Wang & L. Zhi, eds, (2005) 220--234. Texts republished in Symbolic-Numeric Computation, Birkhauser, D. Wang & L. Zhi, 2006, pp. 361--374. An early version is in Proceedings of SNC2005, Dongming Wang & Lihong Zhi, eds. pp. 220-234.

       

       

       

Non-refereed contributions

      • A Mathematical treatment of liquidity risk, A. de los Santos, Ph.D., Toronto 2005.
      • Stochastic correlation in credit markets, J. Tretiakova, M.Sc., Toronto 2005.
      • Conditional value at Risk as a criterion for optimal portfolio selection, Maria Betcheva, M.Sc., McMaster, September 2005.
      • Credit risk from theory to application, Chuang Yi, M.Sc., McMaster, June 2005.
      • Revenue management in the car rental industry, Evise Kopliku, M.Sc, UWO, May 2005.
      • Real options: a comprehensive review, Fab DiMuro, Coursework M.Sc. Thesis, UWO, May 2005
      • Statistical and mathematical analysis of TSE time series, TingTing Guo, with John Braun. Coursework M.Sc. in Statistics, UWO, June 2005.
      • Volatility smile and the GARCH pricing model, J. Xu, M.Sc., UBC, April 2005.
      • Portfolio optimization using the hidden Markov model, Z. Wang, M.Sc., UBC, April 2005.
      • An iterative method for pricing American put options with dividends, F. Coman, M.Sc., UBC, August 2005.
      • Modeling the return rate of stock via EM algorithm, S. Chou, M.Sc., UBC, August 2005.
      • The impact of a mean-reverting stochastic differential equation on optimal portfolio allocation, John McNair, M.Sc., McMaster, January 2005.
      •  

 

Other non-refereed contribution

      • Explicit option pricing formula for mean-reverting asset, Anatoliy Swishchuk, E-Yellow Series, October 17, 2005, Dept. of Math. & Stats., University of Calgary
      • Novel geometric and dosimetric on-line correction strategies: can chance work in your favour?, H. Keller, M. Couillard, M. Davison, D. Moseley, and D. Jaffray. Medical Physics (June 2005) Volume 32, Issue 6, pp. 1892-1893 (presented at AAPM 47, Seattle, Jul 24-28 2005).

       

       

2004

Refereed Contributions

Articles in refereed publications

Published/Accepted
  • Calibration of multifactor models in electricity markets, M. Barlow, Y. Gusev, M. Lai., International Journal of Theoretical and Applied Finance, 7 (2004), pp. 101-120.
  • Revenue management: a real options approach, C.K. Anderson, M. Davison & H. Rasmussen, Naval Logistics Research 51(5) (2004), 696-703.
  • Valuation and optimal control of electrical power plants in deregulated markets, M. Thompson, M. Davison, and H. Rasmussen, Operations Research 52(4) (2004), 546-562.
  • R. J. Elliott and J. van der Hoek, "Pricing claims on non-tradable assets",  Contemporary Mathematics, 2004, Vol. 351, pp. 103-114.
  • C. Bender and R. J. Elliott, "Arbitrage in a discrete version of the Wick-fractional Black-Scholes model", Mathematics of Operations Research, 2004, Vol. 29, pp. 935-945.
  • Robert J. Elliott and Leunglung Chan, "Perpetual American options with fractional Brownian motion", Quantitative Finance 4(2004), pp. 123-128.
  • Optimal terminal wealth under partial information for HMM stock returns, U. Haussmann, J. Sass, Contemporary Mathematics 351, pp. 171-186, AMS, Providence R.I. 2004.
  • Optimizing the terminal wealth under partial information: the drift process as a continuous Markov chain, J. Sass and U. Haussmann, Finance & Stochastics 8 (2004), pp. 553 - 578.
  • T.R. Hurd,"A note on log-optimal portfolios in exponential Levy markets", Statistics and Decisions, 22, pp 225-236, 2004.
  • Generalized stochastic differential utility and preference for information, A. Lazrak, The Annals of Applied Probability, 4 (2004), pp. 2149-2175.

 

 

Other refereed contributions

      • Mathematics of financial markets (2nd. Ed.), Robert J. Elliott and P. Ekkehard Kopp, Springer, 2004.
      • "Measure Theory and Filtering: Introduction and Application", L. Aggoun and R.J. Elliott, Cambridge University Press, April 2004.
      •  "Guest Editorial: Special Issue of the IEEE Transactions on Automatic Control in Stochastic Control Methods in Financial Engineering." B. Pasik - Duncan, R.J. Elliott and M. Davis;49 (2004)
      • Optimal terminal wealth under partial information for HMM stock returns, U. Haussmann and J. Sass, in Mathematics of Finance (G. Yin, Q. Zhang eds.), Contemporary Mathematics, Vol. 351 (2004), pp. 171 - 185.
      • Modeling of variance and volatility swaps for financial markets with stochastic volatilities, Anatoliy Swishchuk, WILMOTT Magazine, September 2004 Issue, Technical Article No 2, pp. 64-72.

       

       

Non-refereed contributions

 

Theses
  • Normal inverse Gaussian and SABR studies: smile of implied volatility and Monte-Carlo methods, A. Maillot, M.Sc., UBC, December 2004.
  • Pricing bonds and options in a BIR risk and default model, Andriy Miranski, M.Sc. thesis, UWO, 2004.
  • Stochastic models for gas prices, Zhiyong (James) Xu, M.Sc. thesis, Calgary, 2004.
  • Stochastic models for electricity prices in Alberta, Lei Xiong, M.Sc. thesis, Calgary, 2004.
  • Portfolio optimization under downside risk measures, Gordana Dmitrasinovic-Vidovic, Ph.D. thesis, Calgary, 2004.
  • Pricing mortgage-backed securities and collateralized mortgage obligations, I. Bandic, MSc report, UBC, April 2004.
  • Pricing an American barrier option, R. Rivas Cortes, MSc report, UBC, April 2004.
  • Pricing and hedging with/without transaction costs, Baohua Li, MSc project, UWO, 2004.
  • Using hybrid models of electricity prices for options pricing and risk management, Lindsay Anderson, Ph.D. thesis, UWO, 2004.

 

2003

Refereed Contributions

Articles in refereed publications

Published/Accepted
  • C. Bender and R. J. Elliott, .On the Clark-Ocone Theorem for
    Fractional Brownian Motions with Hurst Parameter Bigger than One Half.. Stochastics and Stochastic Reports (75) 2003, 391-405.
  • A dynamic investment model with control on the portfolio's worst case outcome, Y. Zhao, U. Haussmann, W.T. Ziemba, Mathematical Finance, 13 (2003), 481-501.
  • The rate of convergence of the binomial tree scheme, J.B. Walsh, Finance and Stochastics, 7 (2003), 337-361.
  • U. Horst,  "Stability of linear stochastic difference equations in strategically controlled random environments;" Advances in Applied Probability, 35, 961-981 (2003).
  • U. Horst, "Asymptotics of locally interacting Markov chains with global signals;" Advances in Applied Probability, 34, 1-25 (2002).
  • U. Horst, "Convergence of locally and globally interacting Markov chains;" Stochastic Processes and Their Applications, 96, 99-121 (2002) (joint with Hans Foellmer).
  • On a semi-spectral method for pricing an option on a mean-reverting asset, L. Bos, A.F. Ware, Quantitative Finance, 2 (2002) 337-345.
  • Development of a hybrid model for electrical power spot prices, M. Davison, L. Anderson, B. Marcus, K. Anderson, IEEE Trans. on Power Systems, 17(2002), 257-264.
  • A diffusion model for electricity prices, M.T. Barlow, Math. Finance. 12 (2002), 287-298.
  • Embedding and convergence of the binomial and trinomial tree schemes, O.D. Walsh, J.B. Walsh, Numerical Methods and Stochastics, Fields Comm. Series 34 (2002), 101-121.
  • Sufficient Poisson jump-diffusion market models revisited, G. Stoica, Proc. AMS 130 (2002), 819-824.
  • U. Horst, " The stochastic equation Y(t+1) = A(t) Y(t) + B(t) with non-stationary coefficients;" Journal of Applied Probability, 38, 80-95 (2001)
  • A discrete valuation of swing options, A. Lari-Lavassani, M. Simchi, A. F. Ware, Canadian Applied Math Quarterly, 9, No. 1 (Spring 2001), 35-73.
  • The role of Hellinger processes in mathematical finance, T. Choulli and T. R. Hurd, Entropy 3 (2001), 150-161.
  • Optimal portfolio selection and compression in an incomplete market, N. Dokuchaev, U. Haussmann, Quantitative Finance 1 (2001), 336-345.
  • How to solve multi-asset Black-Scholes with time-dependent volatility and correlation, L. P. Bos, A. F. Ware, J. Computational Finance 4 (2000), 99-107.

 

 

Other refereed contributions

      • A general framework for trinomial trees, A. Lari-Lavassani, B. Tiefenbach, Proceedings of ICCS 2001 (V. N. Alexandrov et al. eds)., Lecture Notes in Computer Science, Springer-Verlag, New York, 2001, 597-607.

       

       

Non-refereed contributions

 

Theses
  • Real options valuation and optimization of energy assets, M. Thompson, PhD thesis, UWO, 2003.
  • Prepayment models for mortgage-backed securities, G. Clegg, MSc report, UBC, 2003.
  • Critical line algorithm in mean-variance portfolio analysis, H. Farhadi, MSc report, UBC, 2003.
  • Introduction to collateralized debt obligations, G. E. Mititica, MSc report, UBC, 2003.
  • Value at risk for non-linear portfolios with non-normal financial returns, Xuping Zhang, MSc project, McMaster U., 2002.
  • Some analytical and numerical results for pricing defaultable bonds, Tao Li, MSc project, McMaster U., 2002.
  • Valuation of Canadian warrants, B. Marcus, MSc thesis, UWO, 2002.
  • Financial model risk in option pricing, Y. Huang, MSc thesis, UWO, 2002.
  • A stochastic Markov chain model for bond ratings, G. Orosi, MSc report, UBC, 2002.
  • Hedging in an international environment, U. Reich, MSc report, UBC, 2002.
  • Introduction to credit derivatives, B-Y. Chang, MSc report, UBC, 2002.
  • Value at risk, D. Chan, MSc report, UBC, 2001.
  • Introduction to mortgage backed securities, V. Dion, MSc report, UBC, 2001.
  • Value-at-Risk: ARCH, GARCH and missing data, J. Rodriguez-Mancilla, MSc report, UBC, 2001.
  • Parameter estimation of 2-factor energy models: Kalman filter approach, M. Lai, MSc report, UBC, 2001.

     

Other non-refereed contributions

 

      • Options on electrical power: a third report, Davison, Anderson, Thompson, Stubbs & Marcus, 91 page report to Ontario Power Generation, (2002).
      • Portfolio selection in Levy markets via Hellinger processes,, T. Hurd, Proceedings of the 2nd MaPhySto Conference on Levy Processes: Theory and Applications, Aug 2002.
      • Parameter estimation for multifactor models, M.T. Barlow, Y. Gusev, M. Lai, technical report, UBC, 2001.
      • Modelling and implementing multi-factor mean-reverting price processes for energy markets, A. Lari-Lavassani, A. Sadeghi, A.F. Ware, Web publications, International Energy Credit Association, 2000.

       

       

* C. Lemieux was with the MTRM project until June 30 2006.