Ross Maller

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

Canberra, Australian Capital Territory 0200

Australia

SCHOLARLY PAPERS

6

DOWNLOADS

714

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (6)

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 278 (152,524)
Citation 4

Abstract:

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

2.

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 270 (157,154)
Citation 2

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homicide, recidivism, survival analysis, dangerous offenders, parole

3.

Restorative Justice: An Observational Outcome Evaluation of the Australian Capital Territory (ACT) Program

Number of pages: 26 Posted: 08 Jul 2019 Last Revised: 10 Jul 2019
Australian National University (ANU), Australian Institute of Criminology, Australian National University (ANU) and Australian National University (ANU) - School of Finance and Applied Statistics
Downloads 132 (295,324)

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restorative justice, juvenile offenders, recidivism

4.

Modelling Australian Life Tables with Advanced Ages -- A Report Prepared for the Australian Government Actuary

Number of pages: 46 Posted: 30 Jan 2022 Last Revised: 08 Feb 2022
Beikun Fu, Fei Huang and Ross Maller
Australian National University (ANU), Research School of Finance, Actuarial Studies and Applied Statistics, Students, UNSW Australia Business School, School of Risk & Actuarial Studies and Australian National University (ANU) - School of Finance and Applied Statistics
Downloads 21 (686,307)

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Advanced Age Mortality, Extreme Value Theory, Generalized Pareto Distribution, Gompertz Model, Australian Data

5.

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 13 (751,832)

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6.

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

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