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David Colwell

Senior Lecturer, Undergraduate Coordinator

School of Banking ＆ Finance - PhD Finance, University of Alberta | PhD Mathematics, University of Alberta | MSc, Simon Fraser University | BSc, Simon Fraser University

Journal Articles

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
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
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
Xiao Y; Colwell DB; Bhar R, 2014, 'Risk Premium in Electricity Prices: Evidence from the PJM Market' Journal of Futures Markets, http://dx.doi.org/10.1002/fut.21681
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
Bhar R; Colwell DB; Peiris MU, 2010, 'A markov chain modulated short-term interest rate model: Inference on central bank transparency' Journal of Applied Statistical Science, vol. 17, pp. 427 - 445
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
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, vol. 31, pp. 2135 - 2151, http://dx.doi.org/10.1016/j.jedc.2006.06.005
Colwell D; Henker T; Ho J; Fong K, 2003, 'Real Options Valuation of Australian Gold Mines and Mining Companies' The Journal of Alternative Investments, vol. 6, pp. 23 - 38, http://dx.doi.org/10.3905/jai.2003.319080
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
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 Papers

COLWELL DB; ELLIOTT RJ, 1992, 'MARTINGALE REPRESENTATION AND NON-ATTAINABLE CONTINGENT CLAIMS' in LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES, SPRINGER VERLAG, ZURICH, SWITZERLAND, vol. 180, pp. 833 - 842, presented at 5TH CONF ON SYSTEM MODELLING AND OPTIMIZATION, ZURICH, SWITZERLAND, 02 - 06 September 1991

Other Academic Work

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

David Colwell

Senior Lecturer, Undergraduate Coordinator

Journal Articles

Conference Papers

Other Academic Work

Current Courses Taught

Memberships - Company Boards, Professional Associations