David Colwell
David Colwell
Senior Lecturer, School of Banking and Finance, the University of New South Wales
Bestätigte E-Mail-Adresse bei unsw.edu.au - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Fundamentals of futures and options markets
J Hull, S Treepongkaruna, D Colwell, R Heaney, D Pitt
Pearson Higher Education AU, 2013
7542013
DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
DB Colwell, RJ Elliott
Mathematical Finance 3 (3), 295-308, 1993
951993
Martingale representation and hedging policies
DB Colwell, RJ Elliott, PE Kopp
Stochastic processes and their applications 38 (2), 335-345, 1991
391991
Real options valuation of australian gold mines and mining companies
D Colwell, T Henker, J Ho, K Fong
The journal of alternative investments 6 (1), 23-38, 2003
352003
Effect of Investor Category Trading Imbalances on Stock Returns*
D Colwell, J Henker, T Walter
International Review of Finance 8 (3‐4), 179-206, 2008
232008
Effect of Investor Category Trading Imbalances on Stock Returns*
D Colwell, J Henker, T Walter
International Review of Finance 8 (3‐4), 179-206, 2008
232008
A structural model for credit risk with switching processes and synchronous jumps
D Hainaut, DB Colwell
The European Journal of Finance 22 (11), 1040-1062, 2016
202016
Risk premium in electricity prices: evidence from the PJM market
Y Xiao, DB Colwell, R Bhar
Journal of Futures Markets 35 (8), 776-793, 2015
182015
A jump diffusion model for spot electricity prices and market price of risk
R Bhar, DB Colwell, Y Xiao
Physica A: Statistical Mechanics and its Applications 392 (15), 3213-3222, 2013
182013
A jump diffusion model for spot electricity prices and market price of risk
R Bhar, DB Colwell, Y Xiao
Physica A: Statistical Mechanics and its Applications 392 (15), 3213-3222, 2013
182013
Hedging diffusion processes by local risk minimization with applications to index tracking
D Colwell, N El-Hassan, OK Kwon
Journal of Economic Dynamics and Control 31 (7), 2135-2151, 2007
182007
A multi-factor model with time-varying and seasonal risk premiums for the natural gas market
C Shao, R Bhar, DB Colwell
Energy Economics 50, 207-214, 2015
112015
Component structure of credit default swap spreads and their determinants
R Bhar, DB Colwell, P Wang
21st Australasian Finance and Banking Conference, 2008
62008
Non-transferable non-hedgeable executive stock option pricing
DB Colwell, D Feldman, W Hu
Journal of Economic Dynamics and Control 53, 161-191, 2015
52015
A class of stochastic volatility HJM interest rate models
C Chiarella, DB Colwell, OK Kwon
EFMA, 2004
52004
Martingale representation and non-attainable contingent claims
DB Colwell, RJ Elliott
System Modelling and Optimization, 833-842, 1992
51992
The effect of intangible assets on jumps in stock returns
D Colwell, Y Liu, AB Sim
School of Banking and Finance, The University of New South Wales Sydney, NSW, 2007
42007
Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market
R Bhar, DB Colwell, P Wang
Available at SSRN 1402984, 2009
12009
Project risk choices under privately guaranteed debt financing
P Angoua, IS Van Son Lai, G Barone-adesi, M Carlson, D Colwell, ...
12004
The Pricing of Univariate European Crack Spread Option with Jumps
L Suardi, D Colwell
Energy Challenges for the Next Decade, 16th IAEE European Conference, August …, 2019
2019
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