29
H index
70
i10 index
3591
Citations
| 29 H index 70 i10 index 3591 Citations RESEARCH PRODUCTION: 116 Articles 199 Papers 10 Books 51 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Carl Chiarella. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016. Full description at Econpapers || Download paper | |
2021 | Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951. Full description at Econpapers || Download paper | |
2021 | The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1908.03233. Full description at Econpapers || Download paper | |
2020 | Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967. Full description at Econpapers || Download paper | |
2020 | A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194. Full description at Econpapers || Download paper | |
2020 | Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202. Full description at Econpapers || Download paper | |
2020 | Correlating L\evy processes with Self-Decomposability: Applications to Energy Markets. (2020). Sasso, Emanuela ; Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2004.04048. Full description at Econpapers || Download paper | |
2020 | Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709. Full description at Econpapers || Download paper | |
2020 | Dynamic Coupling and Market Instability. (2020). Zaparanuks, Dmitrijs ; Court, Elias ; Clack, Christopher D. In: Papers. RePEc:arx:papers:2005.13621. Full description at Econpapers || Download paper | |
2021 | Multigrid Iterative Algorithms based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2008.00925. Full description at Econpapers || Download paper | |
2022 | Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon. (2020). de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2009.01276. Full description at Econpapers || Download paper | |
2021 | How Market Ecology Explains Market Malfunction. (2021). Farmer, Doyne J ; Calinescu, Anisoara ; Scholl, Maarten P. In: Papers. RePEc:arx:papers:2009.09454. Full description at Econpapers || Download paper | |
2020 | Analysis of the impact of maker-taker fees on the stock market using agent-based simulation. (2020). Hoshino, Mahiro ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.08992. Full description at Econpapers || Download paper | |
2020 | Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation. (2020). Maruyama, Shunya ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.13036. Full description at Econpapers || Download paper | |
2020 | Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity. (2020). Masuda, Yuji ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2010.13038. Full description at Econpapers || Download paper | |
2022 | Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2012.09820. Full description at Econpapers || Download paper | |
2020 | A geometric analysis of nonlinear dynamics and its application to financial time series. (2020). Nozawa, Masahiro ; Shoji, Isao. In: Papers. RePEc:arx:papers:2012.11825. Full description at Econpapers || Download paper | |
2021 | Pyramid scheme in stock market: a kind of financial market simulation. (2021). Du, Guangle ; Shi, Yong ; Li, BO. In: Papers. RePEc:arx:papers:2102.02179. Full description at Econpapers || Download paper | |
2021 | A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362. Full description at Econpapers || Download paper | |
2021 | Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556. Full description at Econpapers || Download paper | |
2021 | Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan. In: Papers. RePEc:arx:papers:2108.07806. Full description at Econpapers || Download paper | |
2021 | Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\evy Motions. (2021). Rachev, Svetlozar T ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.02872. Full description at Econpapers || Download paper | |
2021 | Risk-Adjusted Valuation for Real Option Decisions. (2021). Ward, Charles ; Chen, XI ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.04793. Full description at Econpapers || Download paper | |
2021 | Traders in a Strange Land: Agent-based discrete-event market simulation of the Figgie card game. (2021). Ozerov, Anthony ; Disilvio, Steven. In: Papers. RePEc:arx:papers:2110.00879. Full description at Econpapers || Download paper | |
2021 | Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287. Full description at Econpapers || Download paper | |
2021 | A Bayesian take on option pricing with Gaussian processes. (2021). Roberts, Stephen ; Tegner, Martin. In: Papers. RePEc:arx:papers:2112.03718. Full description at Econpapers || Download paper | |
2022 | Instability of financial markets by optimizing investment strategies investigated by an agent-based model. (2022). Takashima, Kosei ; Yagi, Isao ; Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2202.00831. Full description at Econpapers || Download paper | |
2022 | Do new investment strategies take existing strategies returns -- An investigation into agent-based models. (2022). Mizuta, Takanobu. In: Papers. RePEc:arx:papers:2202.01423. Full description at Econpapers || Download paper | |
2020 | Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model. (2020). Yilmaz, Sakir ; Godin, Antoine. In: Working Paper. RePEc:avg:wpaper:en10824. Full description at Econpapers || Download paper | |
2022 | Generalizing Heuristic Switching Models. (2022). Lustenhouwer, Joep ; Leventidis, Ioanis ; Kollias, Iraklis ; Galanis, Giorgos. In: Working Papers. RePEc:awi:wpaper:0715. Full description at Econpapers || Download paper | |
2020 | Business Cycles in a Dynamic General Equilibrium Model with Monopolistic and Perfect Competition. (2020). Zhang, Wei-Bin. In: Bingol University Journal of Economics and Administrative Sciences. RePEc:bgo:journl:v:4:y:2020:i:1:p:11-33repec/bgo/. Full description at Econpapers || Download paper | |
2021 | Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137. Full description at Econpapers || Download paper | |
2021 | Behavioral heterogeneity in return expectations across equity style portfolios. (2021). Stork, Philip ; Vidojevic, Milan. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1225-1250. Full description at Econpapers || Download paper | |
2021 | Building toward a solid foundation: The effect of thinking concretely about the future. (2021). Esmark, Carol L ; Farmer, Adam ; Waites, Stacie F. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:55:y:2021:i:1:p:254-273. Full description at Econpapers || Download paper | |
2022 | The distributive cycle: Evidence and current debates. (2022). Mendieta-Muñoz, Ivan ; Tavani, Daniele ; Rada, Codrina ; Mendietamuoz, Ivan ; Barralesruiz, Jose ; von Arnim, Rudiger. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:2:p:468-503. Full description at Econpapers || Download paper | |
2021 | Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481. Full description at Econpapers || Download paper | |
2020 | Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281. Full description at Econpapers || Download paper | |
2020 | Cyclical dynamics in a Kaleckian model with demand and distribution regimes and endogenous natural output. (2020). Stockhammer, Engelbert ; NISHI, Hiroshi. In: Metroeconomica. RePEc:bla:metroe:v:71:y:2020:i:1:p:256-288. Full description at Econpapers || Download paper | |
2021 | Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter. (2021). Stockhammer, Engelbert ; Gusella, Filippo. In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:758-797. Full description at Econpapers || Download paper | |
2022 | Supermultipliers, ‘endogenous autonomous demand’ and functional finance. (2022). Skott, Peter ; Oreiro, José LuÃs ; da Costa, Jose Luis. In: Metroeconomica. RePEc:bla:metroe:v:73:y:2022:i:1:p:220-244. Full description at Econpapers || Download paper | |
2020 | The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance. (2020). Ravi, Kashyap. In: The B.E. Journal of Economic Analysis & Policy. RePEc:bpj:bejeap:v:20:y:2020:i:2:p:23:n:13. Full description at Econpapers || Download paper | |
2020 | The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines, A Proposed Approach Adapted from Finance. (2020). Ravi, Kashyap. In: The B.E. Journal of Economic Analysis & Policy. RePEc:bpj:bejeap:v:20:y:2020:i:2:p:23:n:4. Full description at Econpapers || Download paper | |
2020 | “Animal spirits” and bank’s lending behaviour, a disequilibrium approach. (2020). Di Guilmi, Corrado ; Tianhao, Zhi ; Corrado, Di Guilmi ; Carl, Chiarella . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:21:n:1. Full description at Econpapers || Download paper | |
2020 | Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects. (2020). Plastun, Alex ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8445. Full description at Econpapers || Download paper | |
2020 | How market intervention can prevent bubbles and crashes. (2020). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2074. Full description at Econpapers || Download paper | |
2022 | Regime Switching Mechanism during Energy Futures’ Price Bubbles. (2022). Koy, Ayben. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-46. Full description at Econpapers || Download paper | |
2020 | An iterative splitting method for pricing European options under the Heston model?. (2020). Huang, Zhongyi ; Li, Hongshan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:387:y:2020:i:c:s0096300320303854. Full description at Econpapers || Download paper | |
2020 | Global commodity prices and global stock market volatility shocks: Effects across countries. (2020). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:71:y:2020:i:c:s1049007820301299. Full description at Econpapers || Download paper | |
2020 | Does the “uptick rule†stabilize the stock market? Insights from adaptive rational equilibrium dynamics. (2020). Radi, Davide ; Dercole, Fabio. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303625. Full description at Econpapers || Download paper | |
2020 | Monopoly with differentiated final goods and heterogeneous markets. (2020). Sodini, Mauro ; Caravaggio, Andrea. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303698. Full description at Econpapers || Download paper | |
2020 | Dynamical analysis of a financial market with fundamentalists, chartists, and imitators. (2020). Campisi, Giovanni ; Brianzoni, Serena. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:130:y:2020:i:c:s0960077919303807. Full description at Econpapers || Download paper | |
2020 | Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776. Full description at Econpapers || Download paper | |
2021 | A new fractional dynamic cobweb model based on nonsingular kernel derivatives. (2021). Ahmadian, Ali ; Salahshour, Soheil ; Allahviranloo, Tofigh. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:145:y:2021:i:c:s0960077921001089. Full description at Econpapers || Download paper | |
2022 | A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market. (2022). Zhang, Xiaoqi ; Zhao, Zhijun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921008973. Full description at Econpapers || Download paper | |
2022 | Dynamic properties for a stochastic food chain model. (2022). Lv, Jingliang ; Zhang, Liren ; Ma, Pengyu ; Zou, Xiaoling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921010675. Full description at Econpapers || Download paper | |
2022 | Production delays, technology choice and cyclical cobweb dynamics. (2022). Westerhoff, Frank ; Mignot, Sarah ; Dieci, Roberto. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000078. Full description at Econpapers || Download paper | |
2022 | Non-performing loans, expectations and banking stability: A dynamic model. (2022). Giombini, Germana ; Bischi, Gian Italo ; Bacchiocchi, Andrea. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:157:y:2022:i:c:s0960077922001163. Full description at Econpapers || Download paper | |
2020 | Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167. Full description at Econpapers || Download paper | |
2020 | Co-existence of trend and value in financial markets: Estimating an extended Chiarella model. (2020). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Majewski, Adam A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301885. Full description at Econpapers || Download paper | |
2020 | Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336. Full description at Econpapers || Download paper | |
2020 | Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks. (2020). Grilli, Ruggero ; Gallegati, Mauro ; Tedeschi, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188918303476. Full description at Econpapers || Download paper | |
2020 | The high frequency trade off between speed and sophistication. (2020). Ladley, Daniel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300804. Full description at Econpapers || Download paper | |
2020 | Winter is possibly not coming: Mitigating financial instability in an agent-based model with interbank market. (2020). Roventini, Andrea ; Napoletano, Mauro ; Popoyan, Lilit. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301056. Full description at Econpapers || Download paper | |
2020 | Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299. Full description at Econpapers || Download paper | |
2020 | Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability: Analysis using an agent-based model. (2020). Godin, Antoine ; Szyszka, Adam ; Rzeszutek, Marcin ; Augier, Stanislas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301330. Full description at Econpapers || Download paper | |
2020 | Coordinated bubbles and crashes. (2020). Zheng, Huanhuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301421. Full description at Econpapers || Download paper | |
2021 | CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804. Full description at Econpapers || Download paper | |
2021 | From ants to fishing vessels: a simple model for herding and exploitation of finite resources. (2021). Kirman, Alan ; Benzaquen, Michael ; Fosset, Antoine ; Moran, Jose. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001044. Full description at Econpapers || Download paper | |
2021 | De-risking of green investments through a green bond market – Empirics and a dynamic model. (2021). Semmler, Willi ; Grass, Dieter ; Braga, Joao Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001366. Full description at Econpapers || Download paper | |
2021 | Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664. Full description at Econpapers || Download paper | |
2021 | Monetary Policy with a State-Dependent Inflation Target in a Behavioral Two-Country Monetary Union Model. (2021). Lojak, Benjamin ; Proao, Christian R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001718. Full description at Econpapers || Download paper | |
2021 | Nonlinear effect of sentiment on momentum. (2021). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001883. Full description at Econpapers || Download paper | |
2020 | When are credit gap estimates reliable?. (2020). Ponomarenko, Alexey ; Rozhkova, Anna ; Deryugina, Elena. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:221-238. Full description at Econpapers || Download paper | |
2022 | Beautiful cycles: A theory and a model implying a curious role for interest. (2022). Gross, Marco. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002674. Full description at Econpapers || Download paper | |
2020 | A Keynesian Dynamic Stochastic Disequilibrium model for business cycle analysis. (2020). Schoder, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:117-132. Full description at Econpapers || Download paper | |
2020 | Distribution shocks in a Kaleckian model with hysteresis and monetary policy. (2020). Stockhammer, Engelbert ; NISHI, Hiroshi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:465-479. Full description at Econpapers || Download paper | |
2020 | Modelling contagion of financial crises. (2020). Chen, Zhenxi ; Huang, Weihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830069x. Full description at Econpapers || Download paper | |
2020 | Generalized affine transform on pricing quanto range accrual note. (2020). Zhang, Teng ; Huang, Henry H ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830295x. Full description at Econpapers || Download paper | |
2020 | Valuing spread options with counterparty risk and jump risk. (2020). Wang, Xingchun ; Li, Zelei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301650. Full description at Econpapers || Download paper | |
2021 | Information interaction, behavioral synchronization and asset market volatility. (2021). Li, Hong Gang ; Gao, Yudong ; Wang, Chengjin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302084. Full description at Econpapers || Download paper | |
2021 | The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB. (2021). Xu, Xiangyun ; Ren, Junfan ; Shen, Yao ; Jia, Fei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302321. Full description at Econpapers || Download paper | |
2021 | A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model. (2021). Zhu, Chunhui ; Zhang, Yuanyuan ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001479. Full description at Econpapers || Download paper | |
2022 | Exchange options for catastrophe risk management. (2022). Wang, Xingchun ; Shao, Xinjian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001832. Full description at Econpapers || Download paper | |
2020 | Eductive stability may not imply evolutionary stability in the presence of information costs. (2020). Naimzada, Ahmad ; Pireddu, Marina. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519302381. Full description at Econpapers || Download paper | |
2020 | Modeling the emission trading scheme from an agent-based perspective: System dynamics emerging from firms’ coordination among abatement options. (2020). Eichhammer, Wolfgang ; Zhu, Lei ; Fan, Ying ; Yu, Song-Min. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1113-1128. Full description at Econpapers || Download paper | |
2020 | Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167. Full description at Econpapers || Download paper | |
2021 | Pricing discretely-monitored double barrier options with small probabilities of execution. (2021). Zuev, Konstantin M ; Pantelous, Athanasios A ; Mendonca, Keegan ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:313-330. Full description at Econpapers || Download paper | |
2021 | Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17. Full description at Econpapers || Download paper | |
2021 | Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120. Full description at Econpapers || Download paper | |
2020 | Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827. Full description at Econpapers || Download paper | |
2020 | The role of hormones in financial markets. (2020). Bose, Subir ; Li, Xin ; Ladley, Daniel. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918307890. Full description at Econpapers || Download paper | |
2020 | Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642. Full description at Econpapers || Download paper | |
2022 | Bounded rationality, adaptive behaviour, and asset prices. (2022). Li, Kai ; Zhao, Dongxu. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000163. Full description at Econpapers || Download paper | |
2020 | How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries. (2020). Li, Jianping ; Sun, Xiaolei ; Wang, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319306981. Full description at Econpapers || Download paper | |
2020 | Bitcoin: Speculative asset or innovative technology?. (2020). Lee, Adrian ; Zheng, Huanhuan ; Li, Mengling . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300937. Full description at Econpapers || Download paper | |
2021 | Under-reaction in the sovereign CDS market. (2021). Zhang, Jinfan ; Yan, Hongjun ; Xiao, Yaqing ; Wang, Xinjie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001503. Full description at Econpapers || Download paper | |
2020 | Absence of speculation in the European sovereign debt markets. (2020). Frijns, Bart. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:169:y:2020:i:c:p:245-265. Full description at Econpapers || Download paper | |
2020 | Market impact and performance of arbitrageurs of financial bubbles in an agent-based model. (2020). Sornette, Didier ; Westphal, Rebecca. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:1-23. Full description at Econpapers || Download paper | |
2020 | An analytical solution for network models with heterogeneous and interacting agents. (2020). Stiglitz, Joseph ; Gallegati, Mauro ; Di Guilmi, Corrado ; Landini, S. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:189-220. Full description at Econpapers || Download paper | |
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A Model of Monetary Growth for a Small Open Economy In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
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1999 | Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 0 |
2006 | Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 2 |
2006 | Numerical Methods for American Spread Options under Jump Diffusion Processes In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
2006 | A Dynamic Heterogeneous Beliefs CAPM In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 2 |
2006 | The Volatility Structure of the Fixed Income Markets under the HJM Framework In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
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1999 | Adaptively evolving expectations in models of monetarydynamics? The fundamentalists forward looking In: Annals of Operations Research. [Full Text][Citation analysis] | article | 5 |
1999 | Keynesian monetary growth dynamicsin open economies In: Annals of Operations Research. [Full Text][Citation analysis] | article | 1 |
2006 | The feedback channels in macroeconomics: analytical foundations for structural econometric model building In: Central European Journal of Operations Research. [Full Text][Citation analysis] | article | 0 |
2015 | The Stock Option Problem In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
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2015 | Allowing for Stochastic Interest Rates in the Black–Scholes Model In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
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2015 | Change of Numeraire In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Paradigm Interest Rate Option Problem In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
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2015 | Interest Rate Derivatives: One Factor Spot Rate Models In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Interest Rate Derivatives: Multi-Factor Models In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Heath–Jarrow–Morton Framework In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The LIBOR Market Model In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | An Initial Attempt at Pricing an Option In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Stochastic Differential Equation In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Manipulating Stochastic Differential Equations and Stochastic Integrals In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Ito’s Lemma and Its Applications In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Continuous Hedging Argument In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Martingale Approach In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | The Partial Differential Equation Approach Under Geometric Brownian Motion In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Introduction In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Forecasting and Low Frequency Movements of Asset Returns In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Portfolio Modeling with Sustainability Constraints In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Dynamic Saving and Portfolio Decisions-Theory In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Asset Accumulation with Estimated Low Frequency Movements of Asset Returns In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Continuous and Discrete Time Modeling In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Asset Accumulation and Portfolio Decisions Under Inflation Risk In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2016 | Concluding Remarks In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
2015 | Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 3 |
2016 | Sustainable Asset Accumulation and Dynamic Portfolio Decisions In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 4 |
2001 | Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model In: Finance and Stochastics. [Full Text][Citation analysis] | article | 30 |
1999 | Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model.(1999) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2008 | An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies In: International Handbooks on Information Systems. [Citation analysis] | chapter | 1 |
2002 | The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags In: International Series in Operations Research & Management Science. [Citation analysis] | chapter | 2 |
1999 | The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags.(1999) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2013 | Time-varying beta: a boundedly rational equilibrium approach In: Journal of Evolutionary Economics. [Full Text][Citation analysis] | article | 15 |
2010 | Time-Varying Beta: A Boundedly Rational Equilibrium Approach.(2010) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2005 | Asset Price Dynamics and Diversification with Heterogeneous Agents In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 0 |
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2006 | Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment In: Lecture Notes in Economics and Mathematical Systems. [Citation analysis] | chapter | 2 |
2010 | Nonlinear Oligopolies In: Springer Books. [Citation analysis] | book | 5 |
2008 | The Evaluation of Discrete Barrier Options in a Path Integral Framework In: Springer Books. [Citation analysis] | chapter | 1 |
2005 | The Dynamic Interaction of Speculation and Diversification In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 54 |
2007 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
2009 | American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 12 |
2006 | American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach.(2006) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2011 | Exchange Options Under Jump-Diffusion Dynamics In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 11 |
2008 | Exchange Options Under Jump-Diffusion Dynamics.(2008) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2015 | Correction: Exchange Option under Jump-diffusion Dynamics In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
1997 | Interest rate futures: estimation of volatility parameters in an arbitrage-free framework In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 5 |
1995 | Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework.(1995) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2011 | Do heterogeneous beliefs diversify market risk? In: The European Journal of Finance. [Full Text][Citation analysis] | article | 16 |
2013 | Heterogeneous expectations and exchange rate dynamics In: The European Journal of Finance. [Full Text][Citation analysis] | article | 8 |
2009 | Heterogeneous Expectations and Exchange Rate Dynamics.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
1997 | Transformation of Heath?Jarrow?Morton models to Markovian systems In: The European Journal of Finance. [Full Text][Citation analysis] | article | 44 |
1995 | Transformation of Heath-Jarrow-Morton Models to Markovian Systems.(1995) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2000 | Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives In: The European Journal of Finance. [Full Text][Citation analysis] | article | 8 |
2013 | The representation of American options prices under stochastic volatility and jump-diffusion dynamics In: Quantitative Finance. [Full Text][Citation analysis] | article | 12 |
2014 | Pricing American options written on two underlying assets In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
2017 | A behavioural model of investor sentiment in limit order markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
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2002 | A simulation analysis of the microstructure of double auction markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 127 |
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1999 | Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
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1999 | Classes of Interest Rate Models Under the HJM Framework In: Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
2004 | A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2007 | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2004 | Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
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2007 | The History of the Quantitative Methods in Finance Conference Series. 1992-2007 In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | The Stochastic Dynamics of Speculative Prices In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2008 | Hedge Portfolios in Markets with Price Discontinuities In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2008 | The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 37 |
2009 | THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES.(2009) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
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2011 | Small traders in currency futures markets.(2011) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
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2011 | A Modern View on Mertons Jump-Diffusion Model In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
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2011 | Two Stochastic Volatility Processes - American Option Pricing In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2011 | Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2013 | CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2012 | Particle Filters for Markov Switching Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
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2000 | A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
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2015 | APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2000 | The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
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2000 | Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning In: Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
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2002 | Modelling the Value of the S&P 500 - A System Dynamics Perspective In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
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1995 | Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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1996 | Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
1996 | Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
1997 | Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques In: Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
1997 | A Survey of Models for the Pricing of Interest Rate Derivatives In: Working Paper Series. [Citation analysis] | paper | 0 |
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1999 | The Dynamics of the Cobweb when Producers are Risk Averse Learners In: Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
1999 | Towards Applied Disequilibrium Growth Theory: I The Starting Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
1999 | Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
1999 | Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2003 | Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2003 | Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
1999 | Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
1999 | Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach In: Finance. [Full Text][Citation analysis] | paper | 0 |
2004 | Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets In: Finance. [Full Text][Citation analysis] | paper | 2 |
2004 | Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach In: Macroeconomics. [Full Text][Citation analysis] | paper | 13 |
2004 | Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model.(2004) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2004 | THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS In: International Game Theory Review (IGTR). [Full Text][Citation analysis] | article | 5 |
2004 | A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY In: International Game Theory Review (IGTR). [Full Text][Citation analysis] | article | 0 |
2006 | INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL In: The Singapore Economic Review (SER). [Full Text][Citation analysis] | article | 0 |
2014 | The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches In: World Scientific Books. [Full Text][Citation analysis] | book | 1 |
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2014 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | The Merton and Heston Model for a Call In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | American Call Options under Jump-Diffusion Processes In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | Representation and Numerical Approximation of American Option Prices under Heston In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | Fourier Cosine Expansion Approach In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | A Numerical Approach to Pricing American Call Options under SVJD In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | Conclusion In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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