The Equity Premium Puzzle
"Winner Bias and the Equity Premium Puzzle", 2008, Link, Supervisor: Prof. Tom Smith, Aust. National University
Italy Conference slides: here, Italy Conference Extended abstract: Link
Bootstrap and Bayesian PhD Seminar Series Seminar 1, Tests of the CAPM
Seminar 2, Tests of the Random Walk Hypothesis
and Distribution of Returns
Presentation Series for Finance PhD Students at ANU, August 2008.
MCMC Analysis of Option Pricing Models and Value at Risk
"Bayesian Value-at-Risk and the Capital Charge Puzzle," 2008, Link, presented at Australian Prudential Regulatory Authority, January 2008
"Effect of Parameter Uncertainty on Option Pricing and Value-at-Risk Models," 2007, Supervisor: Prof. Tom Smith, Australian National University.
Full-length Thesis: Link
UNSW Conference Slides: Link
Simulation Models of Financial Markets
"Volatility Clustering, Excess Variability and Paretian
Wealth Distribution in a Minimum Market Model," 2006, Link, Supervisor: Prof. Chris Heyde, Prof. Tom Smith, Australian National University
Bachelor of Philosophy Conference Slides: Link
Bootstrap methods in Statistics and Finance
"The Bootstrap for Regression and Time-Series Models," 2005 Link, Supervisors: Prof. Peter Hall and Dr Michael Martin, Australian National University
"The Random Walk Hypothesis, Bootstrapped" 2007 Link, Supervisors: Prof Tom Smith, Australian National University
Bayesian methods in Finance
"Bayesian Tests of Mean-Variance Efficiency" 2007 Link, Supervisor: Prof Tom Smith, Australian National University
Asset Pricing Models
"A Critique of the Arbitrage Pricing Theory" 2007 Link, Supervisor: Prof Tom Smith, Australian National University
Option pricing using numerical techniques
"Monte Carlo and Binomial Tree Methods in Option Pricing," 2005 Link, Supervisor: Prof. Chris Heyde, Columbia University
Stochastic Differential Equations Theory
"Simulating Solutions of Stochastic Differential Equations with Applications to Asian Option Pricing", 2006, Link Supervisor: Prof. Jim Pitman, UC Berkeley
Auction Modelling and Analysis
"Modelling Auctions with Independent and Private Values," 2004, Link, Supervisor: Prof. Flavio Menezes, Australian National University
"Optimal Selling Method in Several Item Auctions," 2004 Link, Supervisor: Prof. Flavio Menezes, Australian National University
Time-series analysis
"Assorted Problems in Time-Series Theory," 2005
Link, Supervisor: Prof. Chris Heyde, Columbia University
Revised Simplex Algorithm for Bounded Solutions
"An Implementation of the Revised Simplex Method for Bounded Solutions," 2006, Link Supervisor: Prof. Ming Gu, UC Berkeley
Paper Reviews:
"A Jump Diffusion Model for Option Pricing," 2006, Link, Supervisor: Prof. Steve Evans, UC Berkeley
"A Minimal Noise Trader Model as a Generator of Apparent Financial Power Laws and Long Memory," 2006, Link. Supervisor: Prof. Steve Evans, UC Berkeley
Miscellaneous Presentations:
Review of "Target Behaviour and Financing: How Conclusive is the Evidence?", Chang & Dasgupta, 2008. Link
Miscellaneous Articles
Problems with Ratio Distributions
Proof of Mean-Variance and CAPM Equivalence
Four Derivations of the Capital Asset Pricing Model,
Efficient Frontiers in Higher Moments Simulation
A Merton Model of Life
A Primer in Financial Theory
A Proof that 2+2=5, 2006