IDEAS home Printed from https://ideas.repec.org/e/phu172.html
   My authors  Follow this author

Hardy Hulley

Personal Details

First Name:Hardy
Middle Name:
Last Name:Hulley
Suffix:
RePEc Short-ID:phu172
[This author has chosen not to make the email address public]
http://www.hardyhulley.com
Terminal Degree:2010 Finance Discipline Group; Business School; University of Technology Sydney (from RePEc Genealogy)

Affiliation

Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/finance/
RePEc:edi:sfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011. "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series 295, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Hardy Hulley & Martin Schweizer, 2010. "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series 280, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Hardy Hulley, 2010. "The Economic Plausibility of Strict Local Martingales in Financial Modelling," Research Paper Series 279, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Hardy Hulley & Eckhard Platen, 2009. "A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales," Research Paper Series 263, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Hardy Hulley & Eckhard Platen, 2008. "A Visual Classification of Local Martingales," Research Paper Series 238, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Hardy Hulley & Thomas A. McWalter, 2008. "Quadratic Hedging of Basis Risk," Research Paper Series 225, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney.

Articles

  1. Hardy Hulley & Rebecca Mckibbin & Andreas Pedersen & Susan Thorp, 2013. "Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement," The Economic Record, The Economic Society of Australia, vol. 89(284), pages 31-51, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011. "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series 295, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," LSE Research Online Documents on Economics 105849, London School of Economics and Political Science, LSE Library.
    2. Gapeev, Pavel V. & Rodosthenous, Neofytos & Chinthalapati, V.L Raju, 2019. "On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes," LSE Research Online Documents on Economics 101272, London School of Economics and Political Science, LSE Library.
    3. T. De Angelis & G. Peskir, 2016. "Optimal prediction of resistance and support levels," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 465-483, November.
    4. Gapeev, Pavel V. & Li, Libo, 2022. "Perpetual American standard and lookback options with event risk and asymmetric information," LSE Research Online Documents on Economics 114940, London School of Economics and Political Science, LSE Library.
    5. Baurdoux, Erik J. & Pedraza, José M., 2023. "Predicting the last zero before an exponential time of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119290, London School of Economics and Political Science, LSE Library.
    6. Gapeev, Pavel V. & Rodosthenous, Neofytos, 2016. "Perpetual American options in diffusion-type models with running maxima and drawdowns," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2038-2061.
    7. Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," Statistics & Probability Letters, Elsevier, vol. 167(C).
    8. Thomas Kruse & Philipp Strack, 2014. "An inverse optimal stopping problem for diffusion processes," Papers 1406.0209, arXiv.org, revised Aug 2017.
    9. Pavel V. Gapeev, 2022. "Perpetual American Double Lookback Options on Drawdowns and Drawups with Floating Strikes," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 749-788, June.
    10. Pavel V. Gapeev & Neofytos Rodosthenous & V. L. Raju Chinthalapati, 2019. "On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes," Risks, MDPI, vol. 7(3), pages 1-15, August.
    11. Pavel V. Gapeev & Peter M. Kort & Maria N. Lavrutich & Jacco J. J. Thijssen, 2022. "Optimal Double Stopping Problems for Maxima and Minima of Geometric Brownian Motions," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 789-813, June.
    12. Gündüz, Güngör & Gündüz, Yalin, 2016. "A thermodynamical view on asset pricing," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 310-327.

  2. Hardy Hulley & Martin Schweizer, 2010. "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series 280, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Francesca Biagini & Yinglin Zhang, 2018. "Extended Reduced-Form Framework for Non-Life Insurance," Papers 1802.07741, arXiv.org, revised Jun 2022.
    2. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
    3. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Promel, 2021. "Model-free Portfolio Theory: A Rough Path Approach," Papers 2109.01843, arXiv.org, revised Oct 2022.
    4. Francesca Biagini & Jan Widenmann, 2012. "Pricing Of Unemployment Insurance Products With Doubly Stochastic Markov Chains," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-32.
    5. Simone Farinelli & Hideyuki Takada, 2019. "The Black-Scholes Equation in Presence of Arbitrage," Papers 1904.11565, arXiv.org, revised Oct 2021.
    6. Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012. "Local Risk-Minimization under the Benchmark Approach," Papers 1210.2337, arXiv.org.
    7. Claudio Fontana & Wolfgang J. Runggaldier, 2012. "Diffusion-based models for financial markets without martingale measures," Papers 1209.4449, arXiv.org, revised Feb 2013.
    8. Christa Cuchiero & Walter Schachermayer & Ting‐Kam Leonard Wong, 2019. "Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 773-803, July.
    9. Gabriel Frahm, 2016. "Pricing And Valuation Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-39, February.
    10. Eckhard Platen & Stefan Tappe, 2020. "The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios," Research Paper Series 411, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2014. "A benchmark approach to risk-minimization under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 129-146.
    12. Christa Cuchiero & Janka Moller, 2023. "Signature Methods in Stochastic Portfolio Theory," Papers 2310.02322, arXiv.org, revised Oct 2024.
    13. Gabriel Frahm, 2013. "Pricing and Valuation under the Real-World Measure," Papers 1304.3824, arXiv.org, revised Jan 2016.
    14. Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
    15. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio without NFLVR: existence, complete characterization, and duality," Papers 1807.06449, arXiv.org.
    16. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
    17. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
    18. Ceci, Claudia & Colaneri, Katia & Cretarola, Alessandra, 2017. "Unit-linked life insurance policies: Optimal hedging in partially observable market models," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 149-163.
    19. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series 318, Quantitative Finance Research Centre, University of Technology, Sydney.
    20. Oleksii Mostovyi & Mihai Sîrbu, 2019. "Sensitivity analysis of the utility maximisation problem with respect to model perturbations," Finance and Stochastics, Springer, vol. 23(3), pages 595-640, July.
    21. Eckhard Platen & Stefan Tappe, 2020. "No arbitrage and multiplicative special semimartingales," Papers 2005.05575, arXiv.org, revised Sep 2022.
    22. Tahir Choulli & Jun Deng & Junfeng Ma, 2015. "How non-arbitrage, viability and numéraire portfolio are related," Finance and Stochastics, Springer, vol. 19(4), pages 719-741, October.
    23. Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
    24. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
    25. Andrew L. Allan & Christa Cuchiero & Chong Liu & David J. Prömel, 2023. "Model‐free portfolio theory: A rough path approach," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 709-765, July.
    26. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
    27. Tahir CHOULLI & Martin SCHWEIZER, 2015. "Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales," Swiss Finance Institute Research Paper Series 15-15, Swiss Finance Institute.
    28. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
    29. Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
    30. Tahir Choulli & Jun Deng & Junfeng Ma, 2012. "How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related," Papers 1211.4598, arXiv.org, revised Jun 2014.
    31. Ferdoos Alharbi & Tahir Choulli, 2022. "Log-optimal portfolio after a random time: Existence, description and sensitivity analysis," Papers 2204.03798, arXiv.org.
    32. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio and num\'eraire portfolio for market models stopped at a random time," Papers 1810.12762, arXiv.org, revised Aug 2020.
    33. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.
    34. Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Papers 1803.10128, arXiv.org, revised Feb 2021.
    35. Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong, 2016. "Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio," Papers 1611.09631, arXiv.org.
    36. David Criens & Mikhail Urusov, 2023. "Criteria for the absence of arbitrage in general diffusion markets," Papers 2306.11470, arXiv.org, revised Sep 2024.
    37. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
    38. Biagini, Francesca & Zhang, Yinglin, 2016. "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 114-129.
    39. Jacopo Mancin & Wolfgang J. Runggaldier, 2015. "On the Existence of Martingale Measures in Jump Diffusion Market Models," Papers 1511.08349, arXiv.org.
    40. Fontana, Claudio & Rotondi, Francesco, 2023. "Valuation of general GMWB annuities in a low interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 142-167.
    41. Martin Herdegen & Martin Schweizer, 2018. "Semi‐efficient valuations and put‐call parity," Mathematical Finance, Wiley Blackwell, vol. 28(4), pages 1061-1106, October.
    42. Claudio Fontana, 2013. "No-arbitrage conditions and absolutely continuous changes of measure," Papers 1312.4296, arXiv.org, revised Mar 2014.
    43. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
    44. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2017. "No-arbitrage up to random horizon for quasi-left-continuous models," Finance and Stochastics, Springer, vol. 21(4), pages 1103-1139, October.
    45. Oleksii Mostovyi & Mihai S^irbu, 2017. "Sensitivity analysis of the utility maximization problem with respect to model perturbations," Papers 1705.08291, arXiv.org.
    46. Oleksii Mostovyi, 2020. "Stability of the indirect utility process," Papers 2002.09445, arXiv.org.

  3. Hardy Hulley, 2010. "The Economic Plausibility of Strict Local Martingales in Financial Modelling," Research Paper Series 279, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Kardaras, Constantinos & Kreher, Dörte & Nikeghbali, Ashkan, 2015. "Strict local martingales and bubbles," LSE Research Online Documents on Economics 64967, London School of Economics and Political Science, LSE Library.
    2. Claudio Fontana & Wolfgang J. Runggaldier, 2012. "Diffusion-based models for financial markets without martingale measures," Papers 1209.4449, arXiv.org, revised Feb 2013.
    3. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series 379, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Philip Protter & Aditi Dandapani, 2019. "Strict Local Martingales and the Khasminskii test for Explosions," Papers 1903.02383, arXiv.org.
    5. Hardy Hulley & Johannes Ruf, 2019. "Weak Tail Conditions for Local Martingales," Published Paper Series 2019-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    6. Protter, Philip, 2015. "Strict local martingales with jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1352-1367.
    7. Dandapani, Aditi & Protter, Philip, 2022. "Strict local martingales and the Khasminskii test for explosions," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 716-728.
    8. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Constantinos Kardaras, 2012. "Valuation and parities for exchange options," Papers 1206.3220, arXiv.org, revised Nov 2014.
    10. Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Kardaras, Constantinos, 2015. "Valuation and parities for exchange options," LSE Research Online Documents on Economics 65535, London School of Economics and Political Science, LSE Library.
    12. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
    13. Aditi Dandapani & Philip Protter, 2019. "Strict Local Martingales Via Filtration Enlargement," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-28, December.
    14. Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
    15. Osband, Kent & Filoso, Valerio & Capasso, Salvatore, 2024. "The limits of limitless debt," Journal of Macroeconomics, Elsevier, vol. 79(C).
    16. Jacopo Mancin & Wolfgang J. Runggaldier, 2015. "On the Existence of Martingale Measures in Jump Diffusion Market Models," Papers 1511.08349, arXiv.org.
    17. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
    18. Martin Herdegen & Martin Schweizer, 2018. "Semi‐efficient valuations and put‐call parity," Mathematical Finance, Wiley Blackwell, vol. 28(4), pages 1061-1106, October.
    19. Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016. "Relative asset price bubbles," Annals of Finance, Springer, vol. 12(2), pages 135-160, May.

  4. Hardy Hulley & Eckhard Platen, 2009. "A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales," Research Paper Series 263, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Ruf, Johannes, 2013. "A new proof for the conditions of Novikov and Kazamaki," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 404-421.
    2. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
    3. Hardy Hulley & Johannes Ruf, 2019. "Weak Tail Conditions for Local Martingales," Published Paper Series 2019-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Çetin, Umut & Larsen, Kasper, 2023. "Uniqueness in cauchy problems for diffusive real-valued strict local martingales," LSE Research Online Documents on Economics 118743, London School of Economics and Political Science, LSE Library.
    5. Martin Klimmek, 2012. "The Wronskian parameterizes the class of diffusions with a given distribution at a random time," Papers 1206.0482, arXiv.org, revised Jun 2012.
    6. Carole Bernard & Zhenyu Cui & Don McLeish, 2013. "On the martingale property in stochastic volatility models based on time-homogeneous diffusions," Papers 1310.0092, arXiv.org, revised Jul 2014.
    7. Li, Xue-Mei, 2017. "Strict local martingales: Examples," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 65-68.

  5. Hardy Hulley & Eckhard Platen, 2008. "A Visual Classification of Local Martingales," Research Paper Series 238, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
    2. Xiaoshan Chen & Yu-Jui Huang & Qingshuo Song & Chao Zhu, 2013. "The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations," Papers 1309.0046, arXiv.org, revised Mar 2017.
    3. Michael Schatz & Didier Sornette, 2017. "Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics," Swiss Finance Institute Research Paper Series 17-21, Swiss Finance Institute.
    4. Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2021. "Change of drift in one-dimensional diffusions," Finance and Stochastics, Springer, vol. 25(2), pages 359-381, April.
    5. Aleksandar Mijatovic & Mikhail Urusov, 2009. "On the Martingale Property of Certain Local Martingales," Papers 0905.3701, arXiv.org, revised Oct 2010.
    6. Sascha Desmettre & Gunther Leobacher & L. C. G. Rogers, 2019. "Change of drift in one-dimensional diffusions," Papers 1910.11904, arXiv.org, revised Dec 2020.

  6. Hardy Hulley & Thomas A. McWalter, 2008. "Quadratic Hedging of Basis Risk," Research Paper Series 225, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Stefan Ankirchner & Gregor Heyne, 2012. "Cross hedging with stochastic correlation," Finance and Stochastics, Springer, vol. 16(1), pages 17-43, January.
    2. Ankirchner, Stefan & Dimitroff, Georgi & Heyne, Gregor & Pigorsch, Christian, 2012. "Futures Cross-Hedging with a Stationary Basis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1361-1395, December.
    3. Michael Monoyios, 2010. "Utility-Based Valuation and Hedging of Basis Risk With Partial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(6), pages 519-551.
    4. Bauer Jan, 2020. "Hedging of Variable Annuities under Basis Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(2), pages 1-34, July.
    5. Laurence Carassus & Massinissa Ferhoune, 2024. "Efficient Approximations for Utility-Based Pricing," Methodology and Computing in Applied Probability, Springer, vol. 26(2), pages 1-38, June.
    6. Stefan Ankirchner & Christian Pigorsch & Nikolaus Schweizer, 2014. "Estimating Residual Hedging Risk With Least-Squares Monte Carlo," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-29.
    7. Ismail Laachir & Francesco Russo, 2016. "BSDEs, càdlàg martingale problems and orthogonalisation under basis risk," Post-Print hal-01086227, HAL.

  7. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series 325, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Travis Fisher & Sergio Pulido & Johannes Ruf, 2015. "Financial Models with Defaultable Num\'eraires," Papers 1511.04314, arXiv.org, revised Oct 2017.
    4. Kevin Fergusson & Eckhard Platen, 2015. "Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic," Research Paper Series 357, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Wang, Xingchun, 2021. "Pricing volatility-equity options under the modified constant elasticity of variance model," Finance Research Letters, Elsevier, vol. 38(C).
    6. Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
    7. Eckhard Platen, 2008. "The Law of Minimal Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    9. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series 318, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2018. "Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts," Papers 1801.07044, arXiv.org, revised Jan 2018.
    12. Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
    13. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial Models with Defaultable Numéraires," Post-Print hal-01240736, HAL.
    14. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
    15. Travis Fisher & Sergio Pulido & Johannes Ruf, 2019. "Financial models with defaultable numéraires," Mathematical Finance, Wiley Blackwell, vol. 29(1), pages 117-136, January.
    16. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
    17. K. Fergusson, 2017. "Explicit Formulae For Parameters Of Stochastic Models Of A Discounted Equity Index Using Maximum Likelihood Estimation With Applications," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-31, June.

  8. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Wong, Bernard, 2009. "Explicit construction of stochastic exponentials with arbitrary expectation k[set membership, variant](0,1)," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 880-883, April.
    2. Mark Craddock & Eckhard Platen, 2009. "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series 246, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Cui, Zhenyu & Nguyen, Duy, 2016. "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 150-161.
    4. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.

  9. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Research Paper Series 297, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007, January-A.
    3. Shane M. Miller & Eckhard Platen, 2008. "Analytic Pricing Of Contingent Claims Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 841-867.
    4. Leunglung Chan & Eckhard Platen, 2016. "Pricing of long dated equity-linked life insurance contracts," Published Paper Series 2016-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Fergusson, Kevin, 2020. "Less-Expensive Valuation And Reserving Of Long-Dated Variable Annuities When Interest Rates And Mortality Rates Are Stochastic," ASTIN Bulletin, Cambridge University Press, vol. 50(2), pages 381-417, May.
    6. Nadi Serhan Aydın & Martin Rainer, 2022. "Asset-backed stable numéraire approach for sustainable valuation," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 12(2), pages 360-374, April.
    7. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 197-206.
    8. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
    9. Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.

Articles

  1. Hardy Hulley & Rebecca Mckibbin & Andreas Pedersen & Susan Thorp, 2013. "Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement," The Economic Record, The Economic Society of Australia, vol. 89(284), pages 31-51, March.

    Cited by:

    1. Whelan, Stephen & Atalay, Kadir & Hayward, Richard Donald, 2018. "Asset portfolio retirement decisions: the role of the tax and transfer system," SocArXiv akj8w, Center for Open Science.
    2. Jinhui Zhang & Sachi Purcal & Jiaqin Wei, 2017. "Optimal Time to Enter a Retirement Village," Risks, MDPI, vol. 5(1), pages 1-20, March.
    3. Johan G. Andréasson & Pavel V. Shevchenko, 2017. "Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement," Risks, MDPI, vol. 5(3), pages 1-21, September.
    4. Kudrna, George, 2016. "Economy-wide effects of means-tested pensions: The case of Australia," The Journal of the Economics of Ageing, Elsevier, vol. 7(C), pages 17-29.
    5. Alexandra Spicer & Olena Stavrunova & Susan Thorp, 2016. "How Portfolios Evolve after Retirement: Evidence from Australia," The Economic Record, The Economic Society of Australia, vol. 92(297), pages 241-267, June.
    6. Fedor Iskhakov & Susan Thorp & Hazel Bateman, 2015. "Optimal Annuity Purchases for Australian Retirees," The Economic Record, The Economic Society of Australia, vol. 91(293), pages 139-154, June.
    7. Geoffrey Kingston & Susan Thorp, 2019. "Superannuation in Australia: A Survey of the Literature," The Economic Record, The Economic Society of Australia, vol. 95(308), pages 141-160, March.
    8. Maximilian Longmuir, 2023. "Fair crack of the whip? The distribution of augmented wealth in Australia from 2002 to 2018," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 21(4), pages 835-866, December.
    9. Butt, Adam & Khemka, Gaurav & Warren, Geoffrey J., 2022. "Heterogeneity in optimal investment and drawdown strategies in retirement," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    10. Gaurav Khemka & Adam Butt, 2017. "Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling," Risks, MDPI, vol. 5(4), pages 1-17, October.
    11. Anthony Asher & Ramona Meyricke & Susan Thorp & Shang Wu, 2017. "Age pensioner decumulation: Responses to incentives, uncertainty and family need," Australian Journal of Management, Australian School of Business, vol. 42(4), pages 583-607, November.
    12. Andréasson, Johan G. & Shevchenko, Pavel V. & Novikov, Alex, 2017. "Optimal consumption, investment and housing with means-tested public pension in retirement," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 32-47.
    13. Adam Butt & Gaurav Khemka & Geoffrey J. Warren, 2019. "What Dividend Imputation Means for Retirement Savers," The Economic Record, The Economic Society of Australia, vol. 95(309), pages 181-199, June.
    14. Robert J. Bianchi & Michael E. Drew & Adam N. Walk & Osei K. Wiafe, 2016. "Retirement Adequacy of Indigenous Australians: A Baseline Study," Economic Papers, The Economic Society of Australia, vol. 35(4), pages 359-374, December.
    15. Roger Wilkins, 2021. "Economic Wellbeing," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 54(4), pages 469-481, December.
    16. Johan G. Andreasson & Pavel V. Shevchenko & Alex Novikov, 2016. "Optimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement," Papers 1606.08984, arXiv.org.
    17. Gaurav Khemka & Yifu Tang & Geoffrey J. Warren, 2021. "The ‘right’ level for the superannuation guarantee: identifying the key considerations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4435-4474, September.
    18. Johan G. Andreasson & Pavel V. Shevchenko, 2016. "The 2015-2017 policy changes to the means-tests of Australian Age Pension: implication to decisions in retirement," Papers 1611.08330, arXiv.org.
    19. Geoffrey J Warren, 2022. "Design of comprehensive income products for retirement using utility functions," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 105-134, February.
    20. Geoffrey Kingston & Lance Fisher, 2014. "Down the Retirement Risk Zone with Gun and Camera," Economic Papers, The Economic Society of Australia, vol. 33(2), pages 153-162, June.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (2) 2008-03-08 2008-07-20
  2. NEP-RMG: Risk Management (2) 2008-03-08 2008-07-20
  3. NEP-FIN: Finance (1) 2005-04-16

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Hardy Hulley should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.