Assoc Prof Roger Gay - Researcher Profile

Biography

Roger Gay is an associate professor in the Department of Accounting and Finance.

Qualifications

APPLIED FINANCE AND INVESTMENT

Institution: securities institute of australia

Year awarded: 2005

FINANCIAL PLANNING

Institution: securities institute of australia

Year awarded: 2005

MATHEMATICAL STATISTICS

Institution: University of Melbourne

Year awarded: 1990

Publications

Journal Articles

Gay, R., 2011, The pension separation theorem, Investment Management and Financial Innovations [P], vol 8, issue 1, Dilovi Perspektyvy, Sumy Ukraine, pp. 19-30.

Gay, R., 2011, Using Black-Scholes to determine an optimal funding term, Managerial Finance [P], vol 37, issue 11, Emerald Group Publishing Ltd, Bingley UK, pp. 985-994.

Gay, R., Duns, J.C., 2009, Completing the pensions task: Infrastructure for nationally coordinated private schemes, Journal of Economic and Social Policy [P], vol 13, issue 1, Southern Cross University, Centre for Policy Research, Lismore NSW Australia, pp. 1-8.

Gay, R., 2009, Preservation of lump sum capital under pension drawdown, J A S S A [P], vol 2009, issue 3, Financial Services Institute of Australasia (Finsia), Sydney NSW Australia, pp. 22-25.

Gay, R., 2008, Mean-variance optimality of a retirement lump sum conversion strategy: Implementation in Australia, The Journal of Risk, vol 10, issue 4, Risk Waters Group, UK, pp. 113-134.

Gay, R., Poskitt, D., 2008, Optimal semiparametric inference for the tail index based on ratios of the largest extremes, Australian & New Zealand Journal of Statistics, vol 50, issue 4, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 361-380.

Gay, R., 2008, Optimality of a retirement lump sum conversion strategy, Journal of International Finance and Economics, vol 8, issue 1, Academy of International Business and Economics, United States, pp. 23-52.

Gay, R., 2006, Lump sum retirement and government policy, JASSA, vol 3 Spring, issue 3 Spring, Financial Services Institute of Australasia, Sydney NSW Australia, pp. 2-6.

Gay, R., 2005, Premium calculations for fat-tailed risk, ASTIN Bulletin. A Journal of the International Actuarial Association, vol 35, issue 1, Peeters Publishers, Belgium, pp. 163-188.

Gay, R., 2005, Setting premiums for the largest heavy-tailed claims, Australian Actuarial Journal, vol 11, issue 3, The Institute of Actuaries of Australia, Sydney NSW Australia, pp. 489-530.

Gay, R., 2004, Pricing risk when distributions are fat tailed, Journal of Applied Probability, vol 41A, Applied Probability Trust, UK, pp. 157-175.

Gay, R., Latimer, P.S., 2004, What financial institutions are not disclosing about term annuity products, Journal of Law and Financial Management, vol 3, issue 2, Macquarie Graduate School of Management, Macquarie University Sydney NSW Australia, pp. 14-21.

Heyde, C., Liu, S., Gay, R., 2001, Fractal Scaling and Black-Scholes: the Full Story, JASSA, vol Autumn, issue 1, Securities Insitute of Australia, Sydney NSW Australia, pp. 29-32.

Gay, R., 2000, Hedging Interest Rate Risk Under Term Structure Variations, Accounting Research Journal, vol 13 issue 1, QUT, Brisbane Qld Australia, pp. 90-105.

Latimer, P.S., Gay, R., 1999, False Trading and Market Manipulation Under S998 of the Corporations Law: A Law and Finance Analysis of the Nomura Case, Australian Banking & Finance Law Bulletin, vol 15, 4, Prospect Media, Broadway NSW, pp. 53-57.

Latimer, P.S., Gay, R., 1999, False Trading and Market Manipulation under s 998 of the Corporations Law: a Law and Finance Analysis of the Nomura Case, Australian Banking and Finance Law Bulletin, vol 15 no 4, Prospect Media, Sydney NSW Australia, pp. 53-57.

Gay, R., 1999, Immunisation Across Short Rates: A Note, Pacific Accounting Review, vol 11, 1, Pacific Accounting Review Trust, Palmerston North New Zealand, pp. 103-118.

Postgraduate Research Supervisions

Completed Supervision

Student:

Fang, V.

Program of Study:

STUDIES IN THE PRICING OF INTEREST RATE SWAPS. (PHD) 2003.

Supervisors:

In, F (Main), Gay, R (Associate).

Student:

Hui, S.

Program of Study:

Credit risk valuation - an investigation of the intensity-based approach. (PHD) 2004.

Supervisors:

Peirson, C (Main), Gay, R (Associate), Hamza, K (Associate).

Student:

Marisetty, V.

Program of Study:

PERFORMANCE EVALUATION OF AUSTRALIAN SUPERANNUATION FUNDS. (PHD) 2003.

Supervisors:

Ariff, M (Main), Gay, R (Associate).