This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...

Financial markets are becoming increasingly complex, volatile and uncertain in light of the recent financial crisis. Markets are characterised by a variety of anomalies and stylised facts that pose challenges to the traditional asset pricing theory, where market is represented by a single agent...

The thesis is focused on the phenomenon of the cross–currency swap and tenor swap basis spread in foreign exchange (FX) and interest rate markets, which contradicts textbook no arbitrage conditions and has become an important feature of these markets since the beginning of the Global Financial...

This thesis investigates firms with patterns of repeated cash dividend increases to answer two research questions. First, are firms rewarded for this particular type of dividend policy, and second, is there any evidence to support the hypothesis that the stock market learns to anticipate a...

According to theoretical arguments, a properly designed emission trading system should help reaching pollution reduction at low social burden. Based on the theoretical work of environmental economists, cap-and-trade systems are put into operations all over the world. However, the practice from...

The equity premium forecasting literature provides ample evidence of predictability for both fundamental economic variables and non-fundamental variables, such as time-series momentum. In this paper, we study the role of investor setiment in equity premium predictability. Consistent with the...

In industrial appli ations, optimal c ontrol problems frequently appear in the c ontext of dec isions-making under inc omplete information. In su ch framework, dec isions must be adapted dynami cally to acc ount for possible regime c hanges of the underlying dynamic s. Using sto hastic filtering...

Many providers of variable annuities such as pension funds and life insurers seek to hedge their exposure to embedded guarantees using longdated derivatives. This paper extends the benchmark approach to price and hedge long-dated equity index options using a combination of cash, bonds and...

Access to elective surgery in Australian public hospitals is rationed using waiting lists. In this paper we undertake a DiNardo-Fortin-Lemieux reweighting approach to attribute variation in waiting time to clinical need or to discrimination. Using data from NSW public patients in 2004-2005, we...

One of the core goals of a universal health care system is to eliminate discrimination on the basis of socioeconomic status. We test for discrimination using patient waiting times for non-emergency treatment in public hospitals. Waiting time should reflect patients clinical need with priority...