Dr David Colwell

Senior Lecturer

PhD Finance, University of Alberta
PhD Mathematics, University of Alberta
MSc, Simon Fraser University
BSc, Simon Fraser University

Business School

School of Banking and Finance

I am a Senior Lecturer in the School of Banking and Finance, University of New South Wales, with a PhD in mathematics (probability theory) and a PhD in Finance. My research is in the area of continuous-time financial modelling, with applications to portfolio optimisation, modelling insider information, and derivatives pricing, including the pricing of options on equities, commodities, interest rates, as well as credit derivatives. I have supervised or co-supervised 11 PhD students, four masters research students, and nine honours students to completion. In 2009 I received a Dean's Commendation for Contributions to Teaching.

Phone

+61 2 9385 5851

E-mail

d.colwell@unsw.edu.au

Location

UNSW Business School - Ref E12 Level 3, Room 367

Journal articles | 2024

Shao C; Bhar R; Colwell DB; Sheng N; Wei X, 2024, 'Variance dynamics and term structure of the natural gas market', Energy Economics, 137, http://dx.doi.org/10.1016/j.eneco.2024.107780

Journal articles | 2024

Zarban AA; Colwell D; Salopek DM, 2024, 'Pricing a Defaultable Zero-Coupon Bond under Imperfect Information and Regime Switching', Mathematics, 12, http://dx.doi.org/10.3390/math12172740

Journal articles | 2023

Colwell DB, 2023, 'Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains', Statistics and Probability Letters, 195, http://dx.doi.org/10.1016/j.spl.2023.109786

Journal articles | 2021

Colwell DB; El-Hassan N; Kwon OK, 2021, 'Variance minimizing strategies for stochastic processes with applications to tracking stock indices', International Review of Finance, 21, pp. 430 - 446, http://dx.doi.org/10.1111/irfi.12285

Journal articles | 2016

Hainaut D; Colwell DB, 2016, 'A structural model for credit risk with switching processes and synchronous jumps', European Journal of Finance, 22, pp. 1040 - 1062, http://dx.doi.org/10.1080/1351847X.2014.924079

Journal articles | 2015

Colwell DB; Feldman D; Hu W, 2015, 'Non-Transferable non-hedgeable executive stock option pricing', Journal of Economic Dynamics and Control, 53, pp. 161 - 191, http://dx.doi.org/10.1016/j.jedc.2015.02.002

Journal articles | 2015

Shao C; Bhar R; Colwell DB, 2015, 'A multi-factor model with time-varying and seasonal risk premiums for the natural gas market', Energy Economics, 50, pp. 207 - 214, http://dx.doi.org/10.1016/j.eneco.2015.04.013

Journal articles | 2015

Xiao Y; Colwell DB; Bhar R, 2015, 'Risk Premium in Electricity Prices: Evidence from the PJM Market', Journal of Futures Markets, 35, pp. 776 - 793, http://dx.doi.org/10.1002/fut.21681

Journal articles | 2012

Colwell DB; Bhar R; Wang P, 2012, 'Regime Dependent Causality: Equity and Credit Markets', International Journal of Financial Markets and Derivatives, 3, pp. 36 - 44, http://dx.doi.org/10.1504/IJFMD.2012.053326

Journal articles | 2009

Bhar R; Colwell DB; Peiris MU, 2009, 'A Markov chain modulated short-term interest rate model: Inference on Central bank transparency', Journal of Applied Statistical Science, 17, pp. 427 - 445

Journal articles | 2008

Henker JL; Colwell DB; Walter TS, 2008, 'The effect of investor category trading imbalances on stock returns', International Review of Finance, 8, pp. 179 - 206, http://dx.doi.org/10.1111/j.1468-2443.2008.00081.x

Journal articles | 2007

Colwell D; El-Hassan N; Kang Kwon O, 2007, 'Hedging diffusion processes by local risk minimization with applications to index tracking', Journal of Economic Dynamics and Control, 31, pp. 2135 - 2151, http://dx.doi.org/10.1016/j.jedc.2006.06.005

Journal articles | 2003

Colwell D; Henker T; Ho J; Fong K, 2003, 'Real Options Valuation of Australian Gold Mines and Mining Companies', The Journal of Alternative Investments, 6, pp. 23 - 38, http://dx.doi.org/10.3905/jai.2003.319080

Journal articles | 1993

Colwell DB; Elliott RJ, 1993, 'DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS', Mathematical Finance, 3, pp. 295 - 308, http://dx.doi.org/10.1111/j.1467-9965.1993.tb00046.x

Journal articles | 1991

Colwell DB; Elliott RJ; Ekkehard Kopp P, 1991, 'Martingale representation and hedging policies', Stochastic Processes and their Applications, 38, pp. 335 - 345, http://dx.doi.org/10.1016/0304-4149(91)90098-W
Preprints | 2019

Colwell DB; Feldman D; Hu W, 2019, Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation, http://dx.doi.org/10.2139/ssrn.3329078

Preprints | 2014

Colwell DB; Feldman D; Hu W, 2014, Non-Transferable Non-Hedgeable Executive Stock Option Pricing, http://dx.doi.org/10.2139/ssrn.2446385

Preprints | 2013

Colwell DB; Feldman D; Hu W, 2013, Non-Transferable Non-Hedgeable Executive Stock Option Pricing, http://dx.doi.org/10.2139/ssrn.2325601

Preprints | 2013

Hainaut D; Colwell DB, 2013, A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps, http://dx.doi.org/10.2139/ssrn.2211424

Preprints | 2011

Hu W; Colwell DB; Feldman D, 2011, Executive Stock Options Pricing with Free Wealth Weights and Continuous Partial Exercise: An Analytic Constrained Portfolio Optimization/Stochastic Discount Factor Approach, http://dx.doi.org/10.2139/ssrn.1915797

Conference Presentations | 2008

Bhar R; Wang P; Colwell DB, 2008, 'Component Structure of Credit Default Swap Spreads and their Determinants', presented at 13th FINSIA (Financial Services Institute of Australasia), Melbourne, 29 September 2008 - 30 September 2008

Preprints | 2008

O'Brien PT; Colwell DB, 2008, Some Results on the Rational Lognormal Model and its Jump Extension, http://dx.doi.org/10.2139/ssrn.1254482

Preprints | 2007

Colwell DB; O'Brien PT, 2007, Do Long Rates Behave Like Short Rates - Some Australian Evidence, http://dx.doi.org/10.2139/ssrn.1011109

Preprints | 2004

Chiarella C; Colwell DB; Kwon OK, 2004, A Class of Stochastic Volatility HJM Interest Rate Models, http://dx.doi.org/10.2139/ssrn.492902

Preprints | 2002

Colwell DB; Henker T; Ho J, 2002, Real Options Valuation of Australian Gold Mines and Mining Companies, http://dx.doi.org/10.2139/ssrn.332402

Preprints | 2001

Colwell DB; Arcus S, 2001, Forward Measures in a Ho and Lee Jump Diffusion Model, http://dx.doi.org/10.2139/ssrn.271069

Conference Papers | 1991

COLWELL DB; ELLIOTT RJ, 1991, 'MARTINGALE REPRESENTATION AND NON-ATTAINABLE CONTINGENT CLAIMS', in LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES, SPRINGER VERLAG, SWITZERLAND, ZURICH, pp. 833 - 842, presented at 5TH CONF ON SYSTEM MODELLING AND OPTIMIZATION, SWITZERLAND, ZURICH, 02 September 1991 - 06 September 1991, https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1992LF41500085&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1

Preprints |

Bhar R; Colwell DB; Wang P, Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market, http://dx.doi.org/10.2139/ssrn.1402984

Preprints |

Bhar R; Colwell DB; Wang P, Component Structure of Credit Default Swap Spreads and Their Determinants, http://dx.doi.org/10.2139/ssrn.1263176

Preprints |

Bhar R; Colwell DB; Wang P, Component Structure of Credit Default Swap Spreads and Their Determinants, http://dx.doi.org/10.2139/ssrn.3082634

Preprints |

Bhar R; Colwell DB; Xiao Y, A Jump Diffusion Model for Spot Electricity Prices and Market Price of Risk, , http://dx.doi.org/10.2139/ssrn.1773137

Preprints |

Colwell DB; El-Hassan N; Kwon OK, Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices, http://dx.doi.org/10.2139/ssrn.2738338

Preprints |

Colwell DB; Henker J; Walter TS, The Effect of Investor Category Trading Imbalances on Stock Returns, http://dx.doi.org/10.2139/ssrn.1009025

Preprints |

Xiao Y; Colwell DB; Bhar R, Regime-Switching of Electricity Prices: Evidence from the PJM Market, http://dx.doi.org/10.2139/ssrn.2137018

Preprints |

Zarban AA; Colwell D; Salopek DM, Default Risk with Imperfect Information under Regime-Switching Model, http://dx.doi.org/10.20944/preprints202406.0833.v1

Memberships

Member of the Q-Group (Australia)

My Teaching

FINS3635 Options, Futures and Risk Management
FINS3636 Interest Rate Risk Management
FINS5535 Derivatives and Risk Management Techniques
FINS5536 Fixed Income Securities and Interest Rate Derivatives
FINS5591 Continuous-Time Finance

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Dr David Colwell