Ross Maller

Australian National University (ANU) - School of Finance and Applied Statistics

Canberra, Australian Capital Territory 0200

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

454

CITATIONS
Rank 22,950

SSRN RANKINGS

Top 22,950

in Total Papers Citations

12

Scholarly Papers (5)

1.

The Cogarch: A Review, with News on Option Pricing and Statistical Inference

Number of pages: 30 Posted: 19 Jan 2010
Technische Universität München (TUM), Australian National University (ANU) - School of Finance and Applied Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 169 (123,335)
Citation 1

Abstract:

Continuous-time GARCH model, Levy process, option pricing, stochastic volatility, statistics for stochastic processes, functional limit theorems

2.

A Best Choice Among Asset Pricing Models? The Conditional Capital Asset Pricing Model in Australia

Accounting and Finance, Vol. 44, No. 2, pp. 139-162, July 2004
Number of pages: 24 Posted: 08 Jul 2004
Nick Durack, Robert B. B. Durand and Ross Maller
Goldman Sachs Australia Pty Ltd., Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking and Australian National University (ANU) - School of Finance and Applied Statistics
Downloads 24 (417,763)
Citation 8

Abstract:

Asset pricing, Australia, conditional CAPM, APT

3.

A Multinomial Approximation for American Option Prices in Levy Process Models

Mathematical Finance, Vol. 16, No. 4, pp. 613-633, October 2006
Number of pages: 21 Posted: 31 Aug 2006
Australian National University (ANU) - School of Finance and Applied Statistics, University of Chicago and University of Hamburg - Faculty of Economics and Business Administration
Downloads 11 (479,318)
Citation 2

Abstract:

4.

The Recidivism of Homicide Offenders in Western Australia

Number of pages: 32 Posted: 08 Jan 2016 Last Revised: 05 May 2016
Australian National University (ANU), Australian National University (ANU) - School of Finance and Applied Statistics, Health Dept Western Australia, Data Linkage and Australian National University (ANU)
Downloads 0 (114,441)
Citation 1

Abstract:

homicide, recidivism, survival analysis, dangerous offenders, parole

5.

Bias and Consistency of the Maximum Sharpe Ratio

Journal of Risk, Vol. 7, No. 4, Summer 2005
Posted: 08 Nov 2005
Ross Maller, Robert B. B. Durand and Peter Lee
Australian National University (ANU) - School of Finance and Applied Statistics, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking and affiliation not provided to SSRN

Abstract:

Sharpe ratio, Markowitz optimization procedure, population value, Spiders and iShares