Faculty of Economics and Commerce Department of Finance

Melbourne Derivatives Research Group - Members

Bruce Grundy - Convenor and Program Leader

Paul Ali

Associate Professor
Faculty of Law
The University of Melbourne 3010 Australia

pua @unimelb.edu.au

+61 3 8344 1088

Website:
http://www.law.unimelb.edu.au/index.cfm?
objectid=F9D2D075-B0D0-AB80-E2BC989969E28989&username=Paul%20Ali

Research interests:
 
Research interests broadly encompass the legal design and regulation of financial markets instruments, including OTC derivatives and securitisation structures built around such derivatives. I'm currently co-editing the third of a series of annual volumes on innovative securitisation structures. This project has, to date, involved participants (principally, lawyers and bankers) in the Australian, Dutch, French, German, HK, Italian, Japanese, Luxembourg, Portuguese, Spanish, Swiss, Taiwanese, UK and US securitisation markets. The first two volumes are "Securitisation of Derivatives and Alternative Asset Classes" (2005) and "Innovations in Securitisation" (2006). I'm also working on an ARC Discovery Project (co-CI with Prof Geof Stapledon, Law) relating to institutional investor participation in innovative financial instruments in the Australian market.

Kostya Borovkov

Department of Mathematics and Statistics
The University of Melbourne 3010 Australia

K.Borovkov@ms.unimelb.edu.au

Website:
http://www.ms.unimelb.edu.au/~kostya/

Research interests:

Research interests in the area of derivative pricing include: methods of pricing of barrier-type and other `exotic' options (for both the Black-Scholes and more complicated market models); modelling underlyings' dynamics by stochastic processes with jumps & related pricing problems.

Recent publications:

  1. Asymptotic Analysis of Random Walks I: Heavy-Tailed Distributions.
    To be published by: FizMatLit, Moscow [in Russian] and
    Cambridge Univ. Press, Cambridge-New York [English translation]: xiv+670 pp. (or so) (2006/7) (joint with A.A. Borovkov)
  2. Simulation Studies of Some Voronoi Point Processes.
    Submitted (Available at arXiv: math.PR/0611031) (2006) (joint with D. Odell)
  3. On spatial thinning-replacement processes based on Voronoi cells.
    Submitted (Available at arXiv: math.PR/0610606) (2006) (joint with D. Odell)
  4. On the asymptotic behaviour of random recursive trees in random environment.
    To appear in: Adv. Appl. Probab. (Available at arXiv: math.PR/0608211) (2006) (joint with V.A. Vatutin)
  5. Large Deviation Probabilities for Generalized Renewal Processes with Regularly Varying Jump Distributions.
    Siberian Advances in Mathematics, 16: pp. 1-65 (2006) (joint with A.A. Borovkov)
  6. On the asymptotic behaviour of a simple growing point process model.
    Statist. Probab. Letters, 72: pp. 265-275 (2005) (joint with A. Motyer)

Christine Brown

Associate Professor
Department of Finance
The University of Melbourne 3010 Australia

christine.brown@unimelb.edu.au

+61 3 8344 5308

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=99


Research interests:

Derivatives related research falls into three main areas. The first is the analysis of pricing models for options and futures contracts and the efficiency of the markets in which they trade. Papers in this area include the first five listed below. Another area is the analysis of the construction, pricing and uses of hybrid financial instruments as a form of financial engineering. Papers published in this area include work on Capital Plus Warrants and on Endowment Warrants. The third area is in the use of the theory of derivatives pricing in credit risk modeling. Included in this area is the application of Merton's structural model of credit risk to model the bond spreads of a company in financial distress, and using option pricing techniques to model the changed priority status of shareholders in bankruptcy as implied by the Sons of Gwalia court decision and using option pricing models applied to the analysis of the taxation treatment of capital protected equity products. A current work in progress examines the impact of corporate capital management activities on the value of company issued options. The fourth area of interest is in the use of derivatives in corporate and financial institution hedging strategies, which is the subject of an ARC Linkage Grant (with Christine Brown, Les Coleman, Ernst & Young and the Finance and Treasury Association) awarded in August 2006. Included in this area is a working paper on the Collapse of Pasminco. Lastly there are a couple of papers published in the area of real options.

Working papers and publications:

  1. CA Brown and SD Taylor, 1997. Pacific Basin Finance Journal, A Test of the Asay Model for Options on the SPI Futures Contract (5) pp. 579-594 . ( http://www.elsevier.com/wps/find/journaldescription.cws_home/523619/description#description)
  2. CA Brown, 1999. Australian Journal of Management, The Volatility Structure Implied by Options on the SPI futures Contract , (December) pp. 115-130 . ( http://www.agsm.edu.au/~eajm/)
  3. CA Brown, 2001. Pacific-Basin Finance Journal, The Successful Redenomination of a Futures Contract: The Case of the Australian All Ordinaries Share Price Contract , 9 (1) pp. 47-64 .  ( http://www.elsevier.com/wps/find/journaldescription.cws_home/523619/description#description )
  4. CA Brown and DM Robinson, 2002. The Journal of Financial Research, Skewness and Kurtosis Implied by Option Prices: A Correction (Summer) pp. 279-282 . ( http://www.blackwellpublishing.com/journal.asp?ref=0270-2592)
  5. C. Brown and S. Pinder, 2005. Review of Futures Markets, The Impact of Net Buying Pressure on Implied Volatilities Observed from SPI Futures Options (Fall) pp. 199-216 . ( http://www.business.kent.edu/rfm/)

Rob Brown

Professor of Finance
Department of Finance
The University of Melbourne 3010 Australia
+61 3 8344 6912

rlbrown@unimelb.edu.au

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=20

Research interests:

Current research projects include the pricing of interest rate swaps and the impact of analyst forecasts on stock prices.

Recent publications:

  1. Brown, R.L., Chan, H.W. and Ho, Y.K., Forthcoming. Accounting and Finance, Initiating Coverage, Broker Reputation and Management Earnings Forecasts in Australia .

  2. Chan, H.W., Brown, R.L. and Ho, Y.K., 2006. Journal of Multinational Financial Management, Initiation of Brokers' Recommendations, Market Predictors and Stock Returns , 16 (3) pp. 213-231 .

  3. Brown, R.L and Fang, V., 2005. Accounting and Finance, Can the Choice of Interpolation Method Explain the Difference between Futures Prices and Swap Prices? , 45 (2) pp. 199-216 .

  4. Brown, R.L. and Fang, V., 2004. Accounting Research Journal, Using Forward Rate Agreements to Price and Hedge Interest Rate Swaps , 17 (1) pp. 71-76 .

  5. Chan, H.W. and Brown, R.L., 2004. Company and Securities Law Journal, Rights Issues versus Placements in Australia: Regulation or Choice? ,

    22 (5) pp. 301-312 .

Howard Chan

Associate Professor
Department of Finance
The University of Melbourne 3010 Australia


+61 3 8344 7166

chanhw@unimelb.edu.au

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=119

Research interests:

Current interest is in the use of Merton's (1974) model to measure default risk of the firm where the equity of the firm is viewed as a call option on the firm's assets. This approach follows Vassalou and Xing (2004) and similar to the one used in Moody's KMV

Jonathan Dark

Department of Finance
The University of Melbourne 3010 Australia

jdark@unimelb.edu.au

+61 3 8344 6866

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=128

Research interests:

Research focuses on dynamic hedging strategies, value at risk and time varying beta estimation. In this context, the research has examined the importance of long memory in volatility, time varying higher order moments and price limits.

Les Coleman

Department of Finance
The University of Melbourne 3010 Australia

les.colesman@unimelb.edu.au

+61 3 8344 3696

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=113

Research interests:

Principal research focus is to develop a body of theory and empirical evidence on corporate risk so that it can be managed strategically (in much the same way as human physiology and physical sciences support modern medical and engineering techniques, respectively). Other research interests include returns from investment in agriculture, behavioural corporate finance, and crisis management.


Conference paper:

Shareholder Valuation Of Hedging, presented at the 2006 FMA European Conference

www.fma.org/Stockholm/Papers/ShareholderValuationofHedging_FMAISubmission301105.pdf

Kevin Davis

Commonwealth Bank Chair of Finance
Director, Melbourne Centre for Financial Studies
Level 12, 330 Collins St., Melbourne
Vic 3000 Australia
+61 3 9613 0930

kevin.davis@melbournecentre.com.au

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=1

Research interests:

Derivatives related research falls into three main areas. One area is in the analysis of the construction, pricing and uses of hybrid financial instruments as a form of financial engineering. Papers published in this area include work on Converting Preference Shares and on Endowment Warrants. The second area is in the use of the theory of derivatives pricing to analyze important public policy questions. Credit risk modeling has been applied to assess the likely impact of such policy issues as: priority treatment of employee entitlements of insolvent companies; changed priority status of shareholders in bankruptcy as implied by the Sons of Gwalia court decision; design of a deposit insurance scheme for Australia; and option pricing models applied to the analysis of the taxation treatment of capital protected equity products. A current work in progress examines the impact of corporate capital management activities on the value of company issued options. The third area of interest is in the use of derivatives in corporate and financial institution hedging strategies, which is the subject of an ARC Linkage Grant (with Christine Brown, Les Coleman, Ernst & Young and the Finance and Treasury Association) awarded in August 2006.

Recent publications:

  1. (with Jeanette Lee) Employee Entitlements and Secured Creditors: Assessing the Effects of the Maximum Priority Proposal (MPP-Sept05.pdf)
  2. (with Christine Brown) “Taxing Capital Protected Equity Products” Agenda, 12, 3, 2005, 239-252 (link http://agenda.anu.edu.au/ )
  3. “Dividend Protection at a Price: Lessons from Endowment Warrants” (with Christine Brown) Journal of Derivatives, Winter 2004, 12, 2, pp 62-68. (link: http://www.iijournals.com/JOD/default.asp? )
  4. Financial System Guarantees (Report of the Study Group) commissioned by the Australian Federal Treasurer, Commonwealth of Australia, March 2004, ISBN 0 642 74225 1 pp 287 (link http://fsgstudy.treasury.gov.au/content/default.asp )
  5. (with Christine Brown) Shareholders or Unsecured Creditors? Credit Markets and the Sons of Gwalia Judgement, Agenda, 13, 3, 2006 (link http://agenda.anu.edu.au/ )
     

Daniel Dufresne

Professor
Centre for Actuarial Studies
Department of Economics
The University of Melbourne 3010 Australia

dufresne@unimelb.edu.au

+61 3 8344 5324

Website:
http://www.economics.unimelb.edu.au/staffprofile/ddufresne.htm

Research interests:

Option pricing; actuarial science; stochastic processes; integral functionals of Brownian motion and other Levy processes in option pricing (e.g. average options); options on stochastic volatility; Fourier methods in option pricing

Working papers:

  1. Fitting Combinations of Exponentials to Probability Distributions. Daniel Dufresne
  2. Two Notes on Financial Mathematics Daniel Dufresne
  3. Fourier Inversion Formulas in Option Pricing and Insurance Daniel Dufresne, Jose Garrido and Manuel Morales
  4. Bessel Processes and a Functional of Brownian Motion Daniel Dufresne
  5. Stochastic Life Annuities Daniel Dufresne

Ning Gong

Melbourne Business School
University of Melbourne
200 Leicester Street
Carlton 3053 Australia

+61 3 9349 8148

n.gong@mbs.edu

Website:
http://www.mbs.edu/index.cfm?objectid=30D86DFF-C0E4-6AC6-3D0473710897F0FC

Research interests:
 
Main interest in the derivatives research area is to apply the principle of option pricing theory to address issues related to institutions, contracts, government and legal regulations. Previous research focused on the options embedded in the damages award in shareholders class action lawsuits. Another paper addressed the deficiency of relying the intuition developed from the Black-Scholes call option pricing to understand the asset substitution proposition in corporate finance. Future research interests and potential topics may include contracting with real options, and margin lending requirements & regulation.

 

Recent publications relating to the applications of option theory:

  1. Bias of Damage Awards and Free Options in Securities Litigation
    link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=236608
    published in  Journal of Financial Intermediation, Vol. 9, 2000, p. 149-68.
     
  2. “Do Shareholders Really Prefer Risky Projects?” Australian Journal of  Management 29, p.169-187, (2004)
    -- E. Yetton award for the best paper published at the Australian Journal of  Management in year 2004.

André Gygax

Department of Finance
The University of Melbourne 3010 Australia

agygax@unimelb.edu.au

+61 3 8344 9085

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=89

Research interests:

Presently investigating issues associated with the introduction of single stock futures on the OneChicago derivates exchange. Specifically, I am interested in who is trading these contracts and whether these contracts are used for hedging or speculation. I am also investigating the spread behavior of the underlying stocks on NASDAQ and the NYSE.
 
Working papers at SSRN:

  1. How Eventful are Event Studies? Kim R. Sawyer and André F. Gygax
    University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
    Date posted to SSRN: February 19, 2001
  2. Testing the Bounding Conditions of Arbitrage Pricing Theory Kim R. Sawyer and André F. Gygax
    University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
    Date posted to SSRN: February 19, 2001
  3. Learning and Predictability Across Events. EFMA 2002 London Meetings André F. Gygax and Kim R. Sawyer
    University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
    Date posted to SSRN: June 17, 2002
  4. The Effect of Audit Quality on Initial Public Offerings in Australia Xin Chang , André F. Gygax , Elaine Oon and Hong Feng Zhang
    University of Melbourne - Department of Finance , University of Melbourne - Department of Finance , University of Melbourne - Faculty of Economics and Commerce and University of Melbourne - Department of Finance
    Date posted to SSRN: November 2, 2005
  5. Testing the Arbitrage Pricing Condition of APT Kim R. Sawyer and André F. Gygax
    University of Melbourne - Department of Finance and University of Melbourne - Department of Finance
    Date posted to SSRN: July 13, 2006

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=262534

John Handley

Associate Professor

Department of Finance
The University of Melbourne 3010 Australia

+61 3 8344 7663

handleyj@unimelb.edu.au

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=6

Research interests:

General research interest is corporate finance, derivative security pricing and corporate finance applications of derivative security pricing including the design of financial securities, cost of capital, corporate valuation and real options.  Particular topics of current interest are Option bounds, Asset pricing under an integrated tax system, Share buybacks and strategic trading and Option pricing in an economy with illiquidity.

Owen Jones

Department of Mathematics and Statistics
The University of Melbourne 3010 Australia

O.D.Jones@ms.unimelb.edu.au

Website:
www.ms.unimelb.edu.au/~odj/

Research interests:

Fractal models for financial time-series.

Cally Jordan

Associate Professor
Faculty of Law
The University of Melbourne 3010 VIC Australia

c.jordan@unimelb.edu.au

+61 3 8344 1084

website:
http://www.law.unimelb.edu.au/index.cfm?objectid=F9D2D075-B0D0-AB80-E2BC989969E28989&username=Cally%20Jordan

Research interests: 

Capital markets regulation, in particular international capital markets.  Professor Jordan practised international corporate finance in New York City for several years with Cleary, Gottlieb, Steen & Hamilton, a major Wall Street law firm, specialising, among other things, in the development of derivative and other innovative financial products.  Professor Jordan has taught a course in International Securities Regulation since 1991, in Canada, the United States and Australia and will be teaching a course on financial products in 2008 in the Comparative Law, Economics and Finance programme at the International University College of Turin.

 

Recent publications and working papers

  1. “A New Regulatory Paradigm for International Capital Markets:  Implications of the NYSE Euronext Merger”, working paper.
  2. “Which Way for Market Institutions:  The Fundamental Question of Self-Regulation”, with P. Hughes (2007) Berkeley Bus. L J.  229.
  3. “The Chameleon Effect:  Beyond the Bonding Hypothesis for Cross-Listed Securities” (2006) 3 NYU J. of Law & Business 37.
  4. “Financial Regulatory Harmonization and the Globalization of Finance”, with G. Majnoni, in Globalization and National Financial Systems, eds. J.A. Hanson, P. Honohan, G. Majnoni(Washington:  World Bank/Oxford University Press, 2003).

Paul Kofman

Professor of Finance
Department of Finance
The University of Melbourne 3010 Australia

pkofman@unimelb.edu.au

+61 3 8344 3794

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=21

Research interests:

Research interests cover the analysis of derivatives market regulation, in particular the impact of price limits, position limits and margins on price discovery and risk management. Published papers include the analysis of complete, as well as partial regulation. An example of the latter case includes futures contracts that are constrained by price limits, yet the futures options contract are not constrained. Does the options contract provide relevant information (price discovery) when the futures contract is constrained? Do the price limits serve any practical purpose in the partial regulation case? Particularly interested in deriving market expectations on the underlying asset from traded derivatives prices in such circumstances.

Carsten Murawski

Lecturer

Department of Finance
The University of Melbourne

Victoria 3010 Australia

+61 3 8344 9077

carstenm@unimelb.edu.au

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=127

 

Research interests:

Current research focuses on the effects of financial innovation on bank value, bank risk, and financial stability; on market structure and banking system stability; as well as on the relationship between institutional characteristics of derivatives markets and risk.

Sean Pinder

Department of Finance
The University of Melbourne 3010 Australia

spinder@unimelb.edu.au

+61 3 8344 6912

Website:
http://www.finance.unimelb.edu.au/about/staff/fin_staff_webpage.cfm?StaffNo=24

Research interests:

Issues relating to the valuation of derivative securities and the analysis of corporate financial decision making.


Recent publications:

  1. Steve Easton and Sean Pinder, Forthcoming. Australian Economic Review, Predicting Reserve Bank of Australia Interest Rate Announcements using the 30-Day Interbank Cash Rate Futures Contract: Beware the Target Rate Tracker .
  2. Krishnan Maheswaran and Sean Pinder, 2006. The Finance and Treasury Professional, Dealing with dividend dilemmas , 18 (1) pp. 14 - 15 .
  3. Krishnan Maheswaran and Sean Pinder, 2005. Accounting and Finance, Australian Evidence on the Determinants and Impact of Takeover Resistance , 45 (4) pp. 613-634.
  4. Les Coleman and Sean Pinder, 2005. Journal of Banking and Financial Services (ISFB), Capturing Value with Real Options , 119 (4) pp. 44-46 .
  5. Christine Brown and Sean Pinder, 2005. Review of Futures Markets, The Impact of Net Buying Pressure on Implied Volatilities Observed from SPI Futures Options , 2 (14) pp. 199-216.

Greg Schwann

Associate Professor of Finance
Department of Finance
University of Melbourne 3010 Australia

g.schwann@unimelb.edu.au


Website:
http://www.finance.unimelb.edu.au/


Research interests:

Real estate products contain many embedded options.  Most of these are real options.  These options have a direct impact on the pricing of real estate backed contracts, such as mortgages.  They also have an impact on the risk manangment procedures that have evolved for these products.  My current research examines the risk management rules surrounding project-based loans, specifically real estate construction and development loans.  For example, many loans have holdbacks and many loans are disbursed only after specific imposed milestones are reached.  The research seeks to determine whether such rules improve the financial performance of project-based loans

Brett Shanahan

PhD student
Department of Finance
University of Melbourne 3010 Australia

+61 38344 9089

b.shanahan@pgrad.unimelb.edu.au

Research interests:

Option pricing, particulary in incomplete markets where volatility can be considered stochastic. This gives rise to problems such as choice of risk-neutral pricing measure, subsequently correct pricing, and optimal hedges. Also have interests in actual trading of options in practice and how theory can explain the prices which are observed.

Sally Yun Wang

PHD student
Department of Finance
The University of Melbourne 3010 Australia


s.wang21@pgrad.unimelb.edu.au

Research interests:

Credit risk, Business cycle, etc.

top of page