David B. Colwell

UNSW Australia Business School, School of Banking and Finance

Sydney, NSW 2052

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

  • UNSW Australia Business School, School of Banking and Finance

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    • Tel: +61 (2) 9385 5851
    • Fax: +61 (2) 9385 6347
SCHOLARLY PAPERS

12

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5,278

SSRN CITATIONS

2

CROSSREF CITATIONS

9

Scholarly Papers (12)

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1.

Real Options Valuation of Australian Gold Mines and Mining Companies

Number of pages: 32 Posted: 19 Dec 2002
David B. Colwell, Thomas Henker and John Ho
UNSW Australia Business School, School of Banking and Finance, Bond University and UNSW Australia Business School, School of Banking and Finance
Downloads 2,662 (8,886)
Citation 2

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real options, mining companies, closure option, Brennan and Schwartz

2.

A Class of Stochastic Volatility HJM Interest Rate Models

EFMA 2004 Basel Meetings Paper
Number of pages: 12 Posted: 09 May 2004
Carl Chiarella, David B. Colwell and Oh Kang Kwon
University of Technology, Sydney - UTS Business School, Finance Discipline Group, UNSW Australia Business School, School of Banking and Finance and The University of Sydney - Discipline of Finance
Downloads 581 (81,476)
Citation 3

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3.

Component Structure of Credit Default Swap Spreads and Their Determinants

Downloads 503 (97,502)
Citation 2

Component Structure of Credit Default Swap Spreads and Their Determinants

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 49 Posted: 04 Sep 2008
Ramaprasad Bhar, David B. Colwell and Peipei Wang
UNSW, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 447 (111,403)
Citation 4

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Credit default swaps, Credit risk, Latent components, Kalman filter

Component Structure of Credit Default Swap Spreads and Their Determinants

Number of pages: 45 Posted: 09 Dec 2017
Ramaprasad Bhar, David B. Colwell and Peipei Wang
UNSW, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 56 (635,989)
Citation 1

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CDS Spread, Component Structure, State Space Model

4.

Forward Measures in a Ho and Lee Jump Diffusion Model

EFMA 2001 Lugano Meetings
Number of pages: 28 Posted: 23 May 2001
David B. Colwell and Solene Arcus
UNSW Australia Business School, School of Banking and Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 416 (122,103)

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5.

Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market

Number of pages: 33 Posted: 13 May 2009
Ramaprasad Bhar, David B. Colwell and Peipei Wang
UNSW, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 233 (224,905)
Citation 5

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6.

A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps

Forthcoming in European Journal of Finance
Number of pages: 18 Posted: 04 Feb 2013 Last Revised: 26 Oct 2014
Donatien Hainaut and David B. Colwell
Université Catholique de Louvain and UNSW Australia Business School, School of Banking and Finance
Downloads 231 (226,824)
Citation 1

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credit risk, lévy processes, switching regimes

7.

The Effect of Investor Category Trading Imbalances on Stock Returns

Number of pages: 35 Posted: 23 Aug 2007
David B. Colwell, Julia Henker and Terry S. Walter
UNSW Australia Business School, School of Banking and Finance, Bond University and University of Sydney
Downloads 188 (274,113)
Citation 1

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trading imbalance, retail investor, feedback trading

8.

Non-Transferable Non-Hedgeable Executive Stock Option Pricing

FIRN Research Paper
Number of pages: 49 Posted: 05 Jun 2014 Last Revised: 19 Feb 2015
David B. Colwell, David Feldman and Wei Hu
UNSW Australia Business School, School of Banking and Finance, Banking and Finance, UNSW Business School, UNSW Sydney and Curtin University - Department of Finance and Banking
Downloads 184 (279,209)
Citation 1

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Executive Stock Options, Constrained Portfolio Optimization, Stochastic Discount Factor, Non-Hedgeable, Non-Transferable

9.

Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices

Number of pages: 16 Posted: 28 Feb 2016 Last Revised: 22 Aug 2016
David B. Colwell, Nadima El-Hassan and Oh Kang Kwon
UNSW Australia Business School, School of Banking and Finance, University of Technology, Sydney and The University of Sydney - Discipline of Finance
Downloads 144 (343,519)

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Variance optimal hedging, variance minimizing strategy, incomplete markets, index tracking, portfolio selection

10.

Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation

Number of pages: 43 Posted: 07 Feb 2019 Last Revised: 24 May 2021
David B. Colwell, David Feldman, Wei Hu and Monique Pontier
UNSW Australia Business School, School of Banking and Finance, Banking and Finance, UNSW Business School, UNSW Sydney, School of Accounting, Economics and Finance, Curtin University and Institut Mathématiques de Toulouse, Paul Sabatier University
Downloads 120 (394,810)
Citation 1

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Executive Stock Options, Insider Information, Constrained Portfolio Optimization, Non-Hedgeable, Non-Transferable, Reload, Enlarged Filtration

11.

Variance Dynamics and Term Structure of the Natural Gas Market

UNSW Business School Research Paper Forthcoming
Number of pages: 33 Posted: 18 Sep 2023
Chengwu Shao, David B. Colwell, Ni Sheng and Xinyang Wei
Nanjing Audit University, UNSW Australia Business School, School of Banking and Finance, Macau University of Science and Technology and Nagoya University of Commerce and Business
Downloads 16 (919,483)

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Natural gas, Two variance factors, Hump-shaped variance term structure, Hedging

12.

Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains

Statistics and Probability Letters
Number of pages: 7
David B. Colwell
UNSW Australia Business School, School of Banking and Finance
Downloads 0

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First hitting time, Occupation time, Hadamard product, Compensator, Synchronous jumps, Double regime-switching model