Hardy Hulley

University of Technology, Sydney (UTS) - Finance Discipline Group

Haymarket

Sydney, NSW 2007

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

7

DOWNLOADS

403

SSRN CITATIONS

7

CROSSREF CITATIONS

5

Scholarly Papers (7)

1.

Are Mutual Fund Investors Paying for Noise?

FIRN Research Paper No. 2578547
Number of pages: 62 Posted: 16 Mar 2015 Last Revised: 06 May 2015
Lorenzo Casavecchia and Hardy Hulley
University of Technology Sydney and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 165 (247,437)
Citation 1

Abstract:

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Advisory fees, idiosyncratic noise, short-selling constraints

2.

A Visual Classification of Local Martingales

Research Paper Number: 238, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 35 Posted: 15 Nov 2012
Hardy Hulley and Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 71 (439,921)
Citation 3

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diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations

3.

Arbitrage Problems with Reflected Geometric Brownian motion

Number of pages: 35 Posted: 14 Jan 2022
Dean Buckner, Kevin Dowd and Hardy Hulley
Independent, Durham Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 51 (515,475)

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Arbitrage, reflected geometric Brownian motion, option pricing

4.

Financially Constrained Index Futures Arbitrage

Number of pages: 30 Posted: 30 Aug 2021 Last Revised: 30 Nov 2021
Kristoffer J. Glover and Hardy Hulley
University of Technology Sydney (UTS) - UTS Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 47 (533,321)

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Index futures arbitrage, limits to arbitrage, financing constraints, optimal stopping

5.

A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 263
Number of pages: 12 Posted: 03 Nov 2012
Hardy Hulley and Eckhard Platen
University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 41 (562,453)
Citation 1

Abstract:

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diffusions, first-passage times, Laplace transforms, local martingales, ordinary differential equations

6.

Short Selling with Margin Risk and Recall Risk

Number of pages: 36 Posted: 14 Jan 2022
Kristoffer J. Glover and Hardy Hulley
University of Technology Sydney (UTS) - UTS Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 28 (643,395)

Abstract:

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Short selling; Margin risk; Recall risk; Optimal stopping; Free-boundary problem; Limits to arbitrage

7.

Meansā€Tested Public Pensions, Portfolio Choice and Decumulation in Retirement

Economic Record, Vol. 89, Issue 284, pp. 31-51, 2013
Number of pages: 21 Posted: 26 Feb 2013
University of Technology, Sydney (UTS) - Finance Discipline Group, Australian National University (ANU) - Research School of Social Sciences (RSSS), affiliation not provided to SSRN and The University of Sydney Business School
Downloads 0 (893,422)
Citation 6

Abstract:

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