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Dr David Colwell

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 | 2013
    Bhar R; Colwell D; Xiao Y, 2013, 'Risk Premium in Electricity Prices: Evidence from the PJM Market', Journal of Futures Markets
    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 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, 31, pp. 2135 - 2151
    Journal articles | 2003
    Henker T; Colwell DB; Fong KY; Ho J, 2003, 'Real Options Valuation of Australian Gold Mines and Mining Companies', The Journal of Alternative Investments, 6, pp. 23 - 38
    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 | 2024
    Zarban AA; Colwell D; Salopek DM, 2024, Default Risk With Imperfect Information Under Regime-Switching Model, http://dx.doi.org/10.20944/preprints202406.0833.v1
    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
    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 |
    Chiarella C; Colwell DB; Kwon OK, A Class of Stochastic Volatility HJM Interest Rate Models, http://dx.doi.org/10.2139/ssrn.492902
    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

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