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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1070202
Description: The problem of pricing arithmetic Asian options is nontrivial, and has attracted much interest over the last two decades. This paper provides a method for calculating bounds on option prices and appro ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/309758
Description: The deregulation of electricity markets in different parts of the world has exposed consumers to irregularities in electricity prices driven by the principle of supply and demand. Development of accur ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/333697
Description: The volume weighted average price (VWAP) over rolling number of days in the averaging period is used as a benchmark price by market participants and can be regarded as an estimate for the price that a ... More
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/179590
Description: In this paper bivariate modelling methodology, solely applied to the spot price of electricity or demand for electricity in earlier studies, is extended to a bivariate process of spot price of electri ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/166314
Description: An explicit formula for the finite-time ruin probability in a discrete-time collective ruin model with constant interest rate is found under the assumption that claims follow a generalised hyperexpone ... More
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1161211
Description: Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences. Further, we prove a martin ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/70913
Description: We reduce a problem of pricing continuously monitored defaultable securities (barrier options, corporate debts) in a stochastic interest rate framework to calculations of boundary crossing probabiliti ... More
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1139372
Description: A discrete time model for asset price changes is considered. The volatility process underlying these changes is modeled as a first-order Gaussian autoregressive series. Inversion of the marginal chara ... More
Reviewed: Reviewed
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