This page lists my recent research papers. In some cases the links to published articles are obscured by a paywall. You are welcome to e-mail me to request a preprint of any articles.

Published Articles

  1. Hulley, H., Miller, S. & Platen, E. (2005).  Benchmarking and fair pricing applied to two market models.  Kyoto Economic Review, 74 (1), 85-118.
  2. Hulley, H. & Platen, E. (2008). Laplace transform identities for diffusions, with applications to rebates and barrier options,  Advances in Mathematics of Finance (pp. 139-157). Banach Center Publications.
  3. Hulley, H. & Schweizer, M. (2010). M6-On minimal market models and minimal martingale measures,  Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen (pp. 35-52). Springer.
  4. Hulley, H. (2010). The economic plausibility of strict local martingales in financial modelling,  Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen (pp. 53-76). Springer.
  5. Hulley, H. & Platen, E. (2011). A visual criterion for identifying Ito diffusions as martingales or strict local martingales,  Seminar on Stochastic Analysis, Random Fields and Applications VI (pp. 147-157). Birkhauser.
  6. Hulley, H. & Platen, E. (2012).  Hedging for the long run.  Mathematics and Financial Economics, 6 (2), 105-124.
  7. Hulley, H. McKibben, R., Pedersen, A. & Thorp, S. (2013).  Means-tested public pensions, portfolio choice and decumulation in retirement.  Economic Record, 89 (284), 31-51.
  8. Glover, K., Hulley, H. & Peskir, G. (2013).  Three-dimensional Brownian motion and the Golden Ratio rule.  Annals of Applied Probability, 23 (3), 895-922.
  9. Glover, K. & Hulley, H. (2014). Optimal prediction of the last-passage time of a transient diffusionSIAM Journal on Control and Optimization, 52(6), 3833–3853.
  10. Hulley, H. & McWalter, T. A. (2015). Quadratic hedging of basis risk. Journal of Risk and Financial Management, 8(1), 83-102.

Working Papers

  1. Casavecchia, L. & Hulley, H. (2015). Are mutual fund investors paying for noise?. (Submitted to Management Science).
  2. Hulley, H. & Ruf, J. (2015). Weak tail conditions for local martingales. (Submitted to Annals of Probability).