The Rmetrisk Project              Matthew C Pollard

  Finance and Statistics Research from 2004-2009                                                  Datasets Articles | Current Work


Global Stock Returns

"Was the US Lucky? The Distribution of Global Stock Returns", March 2009, 
here.


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

Primer in Financial Theory

Proof that 2+2=5, 2006















































































Sample-Path of Bivariate Brownian Motion

Yield Spread on US Bonds and Estimated Volatility

Social Network in Academic Publications and Page Ranking 

Debt/Equity Ratio Dynamics under Random Financing

S&P 500 Returns, Jump-Diffusion Model Returns 
and Black-Scholes Model Returns 
 Volatility of Volatility Dynamics