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

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

SCHOLARLY PAPERS

6

DOWNLOADS

546

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (6)

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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 179 (278,640)
Citation 1

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Advisory fees, idiosyncratic noise, short-selling constraints

2.

Arbitrage Problems with Reflected Geometric Brownian motion

Number of pages: 22 Posted: 14 Jan 2022 Last Revised: 06 Sep 2022
Dean Buckner, Kevin Dowd and Hardy Hulley
Independent, Durham Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 90 (468,908)
Citation 1

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Arbitrage, reflected geometric Brownian motion, option pricing

3.

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 88 (475,548)
Citation 4

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

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 76 (518,966)

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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 57 (602,664)
Citation 1

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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 56 (607,740)

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