Publications

PublicationsBooks

Elliott, R.J., Kopp, E.P., 2010. Mathematics of financial markets World Publishing Corporation, Beijing.


Book Section

Iley, Richard A. and Lewis, M.K., Global Finance After the Crisis: The United States, China and the New World Order, Edward Elgar, Cheltenham, UK and Northampton, Mass (in press)

Mervyn Lewis has published a chapter, ‘The global financial crisis and financial regulation in the Antipodes’, co-authored with Professor Christine Brown (Monash University), Professor Kevin Davis (University of Melbourne) and Professor David Mayes (University of Auckland), in the volume The World in Crisis: Insights from Six Shadow Financial Regulatory Committees from Around the World, edited by Robert Litan, FIC Press, Philadelphia, 2011.

Kalev, P.S., Wallace, D., 2012.  Performance of Socially Responsible Investment Funds, in: Jones, S. (Ed.), Contemporary Issues in Sustainability Reporting and Assurance. Emerald Group Publishing, Bingley, UK, pp. 43-69.

Thorne, K & Kouzmin, A 2012, 'On values, invisibility (ies) and elites', in Global Elites: The opaque nature of transnational policy determination, eds N Kakabadse & A Kakabadse, Palgrave Macmillan: London. ngley, UK, pp. 43-69.

Duong, H.N., Kalev, P.S., 2011. Firm specific news arrival and the volatility of intraday stock index and futures returns, in: Mitra, G., Mitra, L. (Eds.), The handbook of news analytics in finance. John Wiley & Sons Chichester, UK, pp. 271-288.

Grimsey, D., Lewis, M.K., 2011. Minimizing collateral damage: options for financing public-private partnerships in the wake of the financial crisis, in: Green, C., Hall, M., Pentecost, E. (Eds.), Financial crisis and the regulation of finance. Cheltenham UK, Edward Elgar, pp. 249-265.

Lewis, M.K., 2011. Evolution of Takaful products in: Hassan, K., Mahlknecht, M. (Eds.), Islamic Capital Markets: Products and Strategies. Wiley, Hoboken, NJ, pp. 185-200.

Lewis, M.K., 2011. Ethical principles in Islamic business and banking transactions in: Ariff, M., Iqbal, M. (Eds.), Foundations of Islamic banking: theory, practice and education. Edward Elgar Publishing, Cheltenham UK, pp. 39-50.

Lewis, M.K., 2011. Monetary policies during the financial crisis: an appraisal, in: Kates, S. (Ed.), The global financial crisis: what have we learnt? Edward Elgar, Cheltenham, UK, pp. 138-153.

Lewis, M.K., 2010. An Islamic economic perspective on the global financial crisis, in: Kates, S. (Ed.), Macroeconomic economic theory and its failings: alternative perspectives on the global financial crisis, pp. 159-183.


Journal Articles

Burrow, M & McIver, R 2012, 'The impact of changes to finance - Major assessment structures on student engagement and success', International Journal of Teaching and Learning in Higher Education, vol. 24, no. 1, pp. 122-127.

Cavoli, T., McIver, R., Nowland, J., 2011. Cross-listings and financial integration in Asia. ASEAN Economic Bulletin 28, 241-256.

Chakravarty, S., Kalev, P.S., Pham, L.T., 2011. The relative degree of trade fragmentation in an automated, transparent stock exchange. Guide to Global Liquidity 3, 85-101.

Cohen, S.N., Elliott, R.J., 2010. Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions. The Annals of Applied Probability 20, 267-311.

Cohen, S.N., Elliott, R.J., 2010. A general theory of finite state backward stochastic difference equations. Stochastic Processes and their Applications 120, 442-466.

Cohen, S.N., Elliott, R.J., 2011. Backward stochastic difference equations and nearly-time-consistent nonlinear expectations. SIAM Journal on Control & Optimization 49, 125-139.

Cummings, J.R., Frino, A., 2011. Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares. Accounting and Finance 51, 661-683.

Deb, S.S., Kalev, P.S., Marisetty, V.B., 2010. Are price limits really bad for equity markets? Journal of Banking and Finance 34, 2462-2471.

deHaven-Smith, L., Kouzmin, A., Thorne, K., Witt, M., 2010. The limits of permissible change in U.S. politics and policy: Learning from the Obama presidency, Administration Theory & Praxis 32, 137-143.

Elliott, R.J., and Deng, J., 2011. A Filter for a Hidden Markov Chain Observed in Fractional Gaussian Noise, Systems & Control Letters 60, 93-100

Elliott, R.J., Liew, C.C., and Siu, T.K., 2011. Characteristic Functions and Option Valuation in a Markov Chain Market, Computers and Mathematics with Applications 62, 65-74.

Elliott, R.J., Liew, C.C., and Siu, T.K., 2011. On Filtering and Estimation of a Threshold Stochastic Volatility Model, Applied Mathematics and Computation 218, 61-75.

Elliott, R.J., Siu, T.K., Badescu, A., 2011. On pricing and hedging options in regime-switching models with feedback effect. Journal of Economic Dynamics and Control 35, 694-713.

Elliott, R.J., and Siu, T.K., 2011. Utility-Based Indifference Pricing in Regime Switching Models, Nonlinear Anal- ysis Series A: Theory, Methods & Applications, 74, 6302-6313 

Elliott, R.J., and Siu, T.K., 2011. Pricing and Hedging Contingent Claims with Regime Switching Risk, Communi- cations in Mathematical Sciences 9, 477-498 

Elliott, R.J., and Siu, T.K., 2011. A Stochastic Differential Game for Optimal Investment of An Insurer With Regime Switching, Quantitative Finance 11, 365-380 

Elliott, R.J., Deng, J., 2010. A filter for a state space model with fractional Gaussian noise. Automatica 46, 1689-1695.

Elliott, R.J., Haykin, S., 2010. A Zakai equation derivation of the extended Kalman filter. Automatica 46, 620-624.

Elliott, R.J., Lyle, M.R., Miao, H., 2010. A model for energy pricing with stochastic emission costs. Energy Economics 32, 838-847.

Elliott, R.J., Siu, T.K., 2010. A BSDE approach to a risk-based optimal investment of an insurer. Automatica.

Elliott, R.J., Siu, T.K., 2010. On risk minimizing portfolios under a Markovian regime-switching black-scholes economy. Annals of Operations Research 176, 271-291.

Elliott, R.J., Siu, T.K., Badescu, A., 2010. On mean-variance portfolio selection under a hidden Markovian regime-switching model. Economic Modelling 27, 678-686.

Elliott, R.J., Siu, T.K., and Yang, H., 2010. Filtering a Markov-Modulated Random Measure,IEEE Transactions on Automatic Control 55, 74-88. 

Elliott, R.J., Siu, T.K.2010. Risk-based Indifference Pricing Under a Stochastic Volatility Model. Communi- cations on Stochastic Analysis, 4, 51-73

Elliott, R.J., Siu, T.K., 2010. On risk minimizing portfolios under a Markovian regime-switching black-scholes economy. Annals of Operations Research 176, 271-291.

Elliott, R.J., van der Hoek,J., and Valencia, J., 2010. Nonlinear lter estimation of volatility, Stochastic Analysis and Applications 28, 696-710

Elliott, R.J., van der Hoek, J., Valencia, J., 2010. Nonlinear filter estimation of volatility. Stochastic Analysis and Applications 28, 696-710.

Frino, A., Kruk, J., Lepone, A., 2011. The Determinants of Execution Costs in Short Term Money Markets. Financial Review 46, 337-355.

Frino, A., Lecce, S., Lepone, A., 2011. Short-sales constraints and market quality: Evidence from the 2008 short-sales bans. International Review of Financial Analysis 20, 225-236.

Frino, A., Lecce, S., Segara, R., 2011. The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange. Pacific Basin Finance Journal 19, 298-307.

Hoque, A., 2011. Transaction cost discovery by decomposition of the error term: a bootstrapping approach. International Journal of Business and Finance Research 5, 113-121.

Lewis. M.K., New dogs, old tricks.  Why do Ponzi schemes succeed? Accounting Forum, 36, 2012, 294-309.

Professor Mervyn Lewis’s article, ‘Islam and accounting’, has been reprinted in Islamic Accounting, eds C Napier & R Haniffa, Edward Elgar, Cheltenham, UK.

Iley, R.A., Lewis, M.K., 2011. Erratum to "Has the global financial crisis produced a new world order?". Accounting Forum 35, 90-103.

Iley, R.A., Lewis, M.K., 2011. Has the global financial crisis produced a New World Order? Accounting Forum 35, 90-103.

Garnett, J & Thorne, K 2012, 'In memoriam: Honouring Alex Kouzmin', Administration & Society, vol. 43, no. 7, pp. 719-721 (ERA Rank: A).

Thorne, K 2012, 'Reform, revolution, or mission impossible? Radicalizing a public administration of values post the global financial crises, Administrative Theory & Praxis, vol. 34, no. 1, pp. 16-39.

Thorne, K 2012, 'For the master storyteller: Sidney Lumet, 1924 to 2011. Rats in the ranks: nothing is what it appears to be', Administrative Theory & Praxis, vol. 34, no. 1, pp. 147-153.

Thorne, K, Kouzmin, A & Johnston, J 2012, ‘Shadows and disorder: Ethics in "dark times”’, Asia-Pacific Journal of Business Administration, vol. 4, no. 1, pp. 95-114. Co-authored with Adjunct Professor Alexander Kouzmin (deceased), School of Management

Thorne, K & Johnston, J 2012, 'PPPs. Benign partners or partners in crime? Reply to Kee and Forrer', Public Integrity, vol. 14, pp. 203-210.

Thorne, K 2012, 'For Alexander Kouzmin - In remembrance: Alexander Kouzmin (1946-2011)’, Administrative Theory & Praxis, vol. 33, no. 4, pp. 616-632.

Thorne, K 2012,'Advice to a young person concerning theory', Administrative Theory & Praxis, vol. 34, no. 3, pp. 462-468.

Thorne, K & Kouzmin, A 2012, 'Lieutenant Pinkerton and empire: Calling for a new La Convivencia in a post 9/11 hegemony', Asia-Pacific Journal of Business Administration, vol. 4, no. 2, pp. 183-200.

Johnston, J., Kouzmin, A., Thorne, K., Kelly, S., 2010. Crisis opportunism: Bail outs and E-SCADs in the GFC, Risk Management: An International Journal 13, 208-234.

Kouzmin, A., Johnston, J., Thorne, K., 2011. Economic SCADs: The dark underbelly of neo-liberalism, Public Integrity 13, 221-237.

Krishnamurti, C., Hoque, A., 2011. Efficiency of European emissions markets: Lessons and implications. Energy Policy 39, 6575-6582.

Lehman, G., 2011. 'Interpretativism, Postmodernism and the Natural Environment', Philosophy and Social Criticism, Volume 37, 7, 795-821. (ERA: A Ranked Journal).

Lehman, G., 2011. 'The Management of Sustainability: The Art of Interpretation', Journal of Applied Management Accounting Research, 9, 1, 75-88.

Lehman, G., 2010. Interpretive accounting research. Accounting Forum 34, 231-235.

Lehman, G., 2010. Perspectives on accounting, commonalities & the public sphere. Critical Perspectives on Accounting 21, 724-738.

Lewis, M.K., 2010. Accentuating the positive: governance of Islamic investment funds. Journal of Islamic Accounting and Business Research 1, 42-59.

Lewis, M.K., 2010. Did Berle and Means get it wrong? Reflections on Thorstein Veblen, Paul Samuelson, and corporate strategy fiancialized. Accounting Forum 34, 222-227.

Loch, A., Bjornlund, H., McIver, R., 2011. Achieving targeted environmental flows: alternative allocation and trading models under scarce supply lessons from the Australian reform process. Environment and Planning C: Government and Policy 29, 745-760.

Malcolm, W.P., Elliott, R.J., 2010. Some applications of M-ary detection in quantitative finance. Quantitative Finance 10, 13-20.

Nguyen, A.H., Duong, H.N., Kalev, P.S., Oh, N.Y., 2010. Implicit trading costs, divergence of opinion, and short-selling constraints in the limit book order market. The Journal of Trading 5, 92-101.

Rashid, A., Hoque, A., 2011. Corporate capital structure and firm performance: evidence from Bangladesh. Academy of Taiwan Business Management Review 7, 59-72.

Ratnatunga, J., 2011. Future imperfect - investing in supply chain capabilities. Marketing Review St. Gallen 3, 39-47.

Ratnatunga, J., Alam, M., 2011. Strategic governance and management accounting: evidence from a case study. Abacus 47, 343-382.

Ratnatunga, J., Jones, S., Balachandran, K.R., 2011. The valuation and reporting of organizational capability in carbon emissions management. Accounting Horizons 25, 127-147.

Ratnatunga, J., Waldmann, E., 2010. Transparent costing: Has the emperor got clothes? Accounting Forum 34, 196-210.

Thorne, K., 2011. Monsterous or educative: The hegemonic mythology of virtual organizations, International Journal of organization theory and behaviour 14, 236-237.

Thorne, K., 2010. Narcissistic and dangerous 'alphas': 'Sovereign individuals' and the problem of cultivating the 'civic' in cyberspace, International Journal of Critical Accounting 2, 96-109.

Thorne, K., 2010. Does history repeat: The multiple faces of Keynesianism, monetarism and the global financial crisis, Administrative Theory & Praxis 32, 96-109.

Thorne, K., Kouzmin, A., 2010. The USA PATRIOT Acts (et al.) convergent legislation and oligarchic isomorphism in the 'politics of fear' and state crime(s) against democracy (SCADS), American Behavioural Scientist 53, 885-920.

Areas of study and research

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