User profiles for T. Daglish

Toby Daglish

School of Economics and Finance, Victoria University of Wellington
Verified email at vuw.ac.nz
Cited by 460

Volatility surfaces: theory, rules of thumb, and empirical evidence

T Daglish, J Hull, W Suo - Quantitative Finance, 2007 - Taylor & Francis
… We suppose that r(t) and q(t) are deterministic functions of time and … define σ TK (t,S) as the
implied volatility at time t of an option … σ TK (t,S) − σ TF (t,S) is a function of K / F and Tt. The …

What motivates a subprime borrower to default?

T Daglish - Journal of Banking & Finance, 2009 - Elsevier
… (1994), if we denote π ( H , r , t ) as the probability of default over the remaining life of the …
We also scale the solution at time t + Δ t by P t + Δ t / P t , since we are solving for mortgage …

Pricing effects of the electricity market reform in Brazil

T Daglish, GGF de Bragança, S Owen, T Romano - Energy Economics, 2021 - Elsevier
… We model log prices as follows:(2) log p t = μ s t + β s t X t + ε s t t ε s t t ~ N ( 0 σ s 2 ( X t ) )
(3) σ s X t = e δ s X t s t ∈ 1 2 , where p t are prices, μ s is the intercept in the model, and X t is …

Oil discoveries and innovation

RM Mhuru, T Daglish, H Geng - Energy Economics, 2022 - Elsevier
… A T i , j , t or C I T E i , j , t by the corresponding median of the same industry i across all countries
in the same year t … ( 1 + P A T ) i , j , t and log ( 1 + C I T E ) i , j , t , which are the logarithm …

Investing in vertical integration: electricity retail market participation

GGF de Bragança, T Daglish - Energy economics, 2017 - Elsevier
… Consumer demand is given by the stochastic variable D t . D t follows a geometric
Brownian motion dD t = μD t dt + σD t dW t where dW t is the increment of a Brownian motion. …

Can market power in the electricity spot market translate into market power in the hedge market?

GGF de Bragança, T Daglish - Energy economics, 2016 - Elsevier
… Consumer aggregate demand at time t is defined by the function Dt = D t p t R , W → t . … ,
W → t of the firm supply S it and the vector W → t . The marginal cost M C i t S i t , W → t is the …

Consumer governance in electricity markets

T Daglish - Energy Economics, 2016 - Elsevier
… function (3) L = ∑ j , t log 2 π η j t 2 + 1 2 Z j t − μ j t 2 η j t 2 . … n t R + N 0 β N R e t a i l e r s e
β C u r r e n t R + N 0 β N R e t … n t R + N 1 β N R e t a i l e r s e β C u r r e n t R + N 1 β N R e t

Translog cost function estimation: banking efficiency

T Daglish, O Robertson, D Tripe, L Weill - 2015 - ir.wgtn.ac.nz
… In this case, we don’t observe the prices of the inputs, but we do observe how total costs are
split up between different categories. The price proxies created from accounting data mean …

[PDF][PDF] E-Commerce and its effect upon the Retail Industry and Government Revenue

W Steel, T Daglish, L Marriott, N Gemmell, B Howell - 2013 - ir.wgtn.ac.nz
… William Steel Toby Daglish Lisa Marriott Norman Gemmell Bronwyn Howell … In 1920,
John Maynard Keynes famously remarked that “*t+he inhabitant of London could order by …

A pricing and hedging comparison of parametric and nonparametric approaches for American index options

T Daglish - Journal of Financial Econometrics, 2003 - academic.oup.com
This article investigates the extent to which options on the Australian Stock Price Index can
be explained by parametric and nonparametric option pricing techniques. In particular, …