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David Colwell
David Colwell
Senior Lecturer, School of Banking and Finance, the University of New South Wales
Verified email at unsw.edu.au - Homepage
Title
Cited by
Cited by
Year
Fundamentals of futures and options markets
J Hull, S Treepongkaruna, D Colwell, R Heaney, D Pitt
Pearson Higher Education AU, 2013
8942013
DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
DB Colwell, RJ Elliott
Mathematical Finance 3 (3), 295-308, 1993
1011993
Real options valuation of australian gold mines and mining companies
DB Colwell, T Henker, J Ho
Available at SSRN 332402, 2002
472002
Martingale representation and hedging policies
DB Colwell, RJ Elliott, PE Kopp
Stochastic processes and their applications 38 (2), 335-345, 1991
401991
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
322016
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
292015
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
292008
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
272013
Project risk choices under privately guaranteed debt financing
P Angoua, I Soumaré
The Quarterly Review of Economics and Finance 48 (1), 123-152, 2008
232008
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
212007
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
172015
Component structure of credit default swap spreads and their determinants
R Bhar, DB Colwell, P Wang
21st Australasian Finance and Banking Conference, 2008
82008
Non-transferable non-hedgeable executive stock option pricing
DB Colwell, D Feldman, W Hu
Journal of Economic Dynamics and Control 53, 161-191, 2015
72015
Martingale representation and non-attainable contingent claims
DB Colwell, RJ Elliott
System Modelling and Optimization: Proceedings of the 15th IFIP Conference …, 2007
62007
The effect of intangible assets on jumps in stock returns
D Colwell, Y Liu, AB Sim
The University of New South Wales, Technical Report, 2007
62007
A class of stochastic volatility HJM interest rate models
C Chiarella, DB Colwell, OK Kwon
EFMA, 2004
52004
Regime dependent causality: equity and credit markets
R Bhar, DB Colwell, P Wang
International Journal of Financial Markets and Derivatives 3 (1), 36-44, 2012
22012
Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains
DB Colwell
Statistics & Probability Letters 195, 109786, 2023
12023
Variance minimizing strategies for stochastic processes with applications to tracking stock indices
DB Colwell, N El‐Hassan, OK Kwon
International Review of Finance 21 (2), 430-446, 2021
12021
Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation
DB Colwell, D Feldman, W Hu, M Pontier
Insider Trading, Executive Reload Stock Options, Incentives, and Regulation …, 2020
12020
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