Dr David Bryan Colwell
Senior Lecturer

Dr David Bryan Colwell

  • PhD Finance, University of Alberta
  • PhD Mathematics, University of Alberta
  • MSc, Simon Fraser University
  • BSc, Simon Fraser University
Business School
Sch of Bank & Fin

 

 

Phone
+61 2 9385 5851
Location
UNSW Business School - Ref E12 Level 3, Room 367

Publications

  • Journal articles | 2021
    Dr David Bryan Colwell
    Colwell DB; El-Hassan N; Kwon OK, 2021, 'Variance minimizing strategies for stochastic processes with applications to tracking stock indices', International Review of Finance, vol. 21, pp. 430 - 446, http://dx.doi.org/10.1111/irfi.12285
    Journal articles | 2016
    Dr David Bryan Colwell
    Hainaut D; Colwell DB, 2016, 'A structural model for credit risk with switching processes and synchronous jumps', European Journal of Finance, vol. 22, pp. 1040 - 1062, http://dx.doi.org/10.1080/1351847X.2014.924079
    Journal articles | 2015
    Dr David Bryan Colwell
    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, vol. 50, pp. 207 - 214, http://dx.doi.org/10.1016/j.eneco.2015.04.013
    Journal articles | 2015
    Dr David Bryan Colwell
    Colwell DB; Feldman D; Hu W, 2015, 'Non-Transferable non-hedgeable executive stock option pricing', Journal of Economic Dynamics and Control, vol. 53, pp. 161 - 191, http://dx.doi.org/10.1016/j.jedc.2015.02.002
    Journal articles | 2013
    Dr David Bryan Colwell
    Bhar R; Colwell D; Xiao Y, 2013, 'Risk Premium in Electricity Prices: Evidence from the PJM Market', Journal of Futures Markets, vol. 35, pp. 776 - 793, http://dx.doi.org/10.1002/fut.21681
    Journal articles | 2012
    Dr David Bryan Colwell
    Colwell DB; Bhar R; Wang P, 2012, 'Regime Dependent Causality: Equity and Credit Markets', International Journal of Financial Markets and Derivatives, vol. 3, pp. 36 - 44, http://dx.doi.org/10.1504/IJFMD.2012.053326
    Journal articles | 2009
    Dr David Bryan Colwell
    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, vol. 17, pp. 427 - 445
    Journal articles | 2008
    Dr David Bryan Colwell
    Henker JL; Colwell DB; Walter TS, 2008, 'The effect of investor category trading imbalances on stock returns', International Review of Finance, vol. 8, pp. 179 - 206, http://dx.doi.org/10.1111/j.1468-2443.2008.00081.x
    Journal articles | 2007
    Dr David Bryan Colwell
    Colwell DB; El-Hassan N; Kwon O, 2007, 'Hedging diffusion processes by local risk minimization with applications to index tracking', Journal of Economic Dynamics and Control, vol. 31, pp. 2135 - 2151, http://dx.doi.org/10.1016/j.jedc.2006.06.005
    Journal articles | 2003
    Dr David Bryan Colwell
    Henker T; Colwell DB; Fong KY; Ho J, 2003, 'Real Options Valuation of Australian Gold Mines and Mining Companies', The Journal of Alternative Investments, vol. 6, pp. 23 - 38
    Journal articles | 1993
    Dr David Bryan Colwell
    Colwell DB; Elliott RJ, 1993, 'DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS', Mathematical Finance, vol. 3, pp. 295 - 308, http://dx.doi.org/10.1111/j.1467-9965.1993.tb00046.x
    Journal articles | 1991
    Dr David Bryan Colwell
    Colwell DB; Elliott RJ; Ekkehard Kopp P, 1991, 'Martingale representation and hedging policies', Stochastic Processes and their Applications, vol. 38, pp. 335 - 345, http://dx.doi.org/10.1016/0304-4149(91)90098-W
  • Conference Presentations | 2008
    Dr David Bryan Colwell
    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
    Conference Papers | 1991
    Dr David Bryan Colwell
    COLWELL DB; ELLIOTT RJ, 1991, 'MARTINGALE REPRESENTATION AND NON-ATTAINABLE CONTINGENT CLAIMS', in LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES, SPRINGER VERLAG, ZURICH, SWITZERLAND, pp. 833 - 842, presented at 5TH CONF ON SYSTEM MODELLING AND OPTIMIZATION, ZURICH, SWITZERLAND, 02 September 1991 - 06 September 1991, http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:A1992LF41500085&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=891bb5ab6ba270e68a29b250adbe88d1

Awards

Grants

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