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