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• Carl Chiarella

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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 161 (2005)
Issue (Month): 2 (March)
Pages: 325-336
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Handle: RePEc:eee:ejores:v:161:y:2005:i:2:p:325-336

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1. Silvana Musti & Viviana Fanelli, 2008. "Modelling electricity forward curve dynamics in the Italian market," Quaderni DSEMS 20-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
2. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
3. Carl Chiarella & Viviana Fanelli & Silvana Musti, 2008. "Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model," Research Paper Series 232, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
   Other versions:
   • Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009. "Modelling the Evolution of Credit Spreads using the Cox process within the HJM framework: a CDS Option Pricing Model," Research Paper Series 255, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
4. Viviana Fanelli & Silvana Musti, 2007. "Pricing of CDS Options with the HJM approach: a Numerical Implementation," Quaderni DSEMS 26-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]
5. Viviana Fanelli & Silvana Musti, 2007. "Modelling Credit Spreads evolution using the Cox Process within the HJM framework," Quaderni DSEMS 27-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia. [Downloadable!]

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