Advanced Search
MyIDEAS: Login

Publications

by members of

Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney
Sydney, Australia

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Books |

Working papers

Undated material is listed at the end

2014

  1. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014. "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series 342, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014. "Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500," Research Paper Series 344, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen, 2014. "A Hybrid Model for Pricing and Hedging of Long Dated Bonds," Research Paper Series 343, Quantitative Finance Research Centre, University of Technology, Sydney.

2013

  1. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Corrado Di Guilmi & Xue-Zhong He & Kai Li, 2013. "Herding, Trend Chasing and Market Volatility," Research Paper Series 337, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi, 2013. "Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics," Research Paper Series 327, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Susanne Griebsch & Boda Kang, 2013. "Investigating Time-Efficient Methods to Price Compound Options in the Heston Model," Research Paper Series 328, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Corrado Di Guilmi, 2013. "Monetary Policy and Debt Deflation: Some Computational Experiments," Working Paper Series 10, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Karl Mina & Gerald Cheang & Carl Chiarella, 2013. "Approximate Hedging of Options under Jump-Diffusion Processes," Research Paper Series 340, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series 325, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series 324, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Jeff Dewynne & Nadima El-Hassan, 2013. "Self-funding Instalment Warrants," Research Paper Series 339, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Edgardo Cayon & Susan Thorp, 2013. "Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds," Research Paper Series 323, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Hazel Bateman & Isabella Dobrescu & Ben R. Newell & Andreas Ortmann & Susan Thorp, 2013. "As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures," Research Paper Series 326, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Alexandra Spicer & Olena Stavrunova & Susan Thorp, 2013. "How Portfolios Evolve After Retirement: Evidence From Australia," Working Paper Series 11, Economics Discipline Group, UTS Business School, University of Technology, Sydney.

2012

  1. Xue-Zhong He & Lei Shi, 2012. "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series 303, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Xue-Zhong He & Lei Shi, 2012. "Heterogeneous Beliefs and the Performances of Optimal Portfolios," Research Paper Series 301, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012. "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series 315, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Xue-Zhong He, 2012. "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series 316, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. He, Xue-Zhong & Treich, Nicolas, 2012. "Heterogeneous Beliefs and Prediction Market Accuracy," TSE Working Papers 13-394, Toulouse School of Economics (TSE).
  7. Yun Bao & Carl Chiarella & Boda Kang, 2012. "Particle Filters for Markov Switching Stochastic Volatility Models," Research Paper Series 299, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Chi-Fai Lo & Ming Xi Huang, 2012. "Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios," Research Paper Series 304, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012. "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series 308, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Ingo Beyna & Carl Chiarella & Boda Kang, 2012. "Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time," Research Paper Series 317, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012. "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series 305, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
  13. Constantinos Kardaras & Jan Obloj & Eckhard Platen, 2012. "The numeraire property and long-term growth optimality for drawdown-constrained investments," Papers 1206.2305, arXiv.org, revised Nov 2012.
  14. Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012. "Local Risk-Minimization under the Benchmark Approach," Papers 1210.2337, arXiv.org.
  15. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012. "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series 318, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Ke Du & Eckhard Platen & Renata Rendek, 2012. "Modeling of Oil Prices," Research Paper Series 321, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Danny Yeung & Paolo Pellizzari & Ron Bird & Sazali Abidin, 2012. "Diversification Versus Concentration ......... and the Winner Is?," Working Paper Series 18, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  19. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012. "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series 17, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  20. Ron Bird & Harry Liem & Susan Thorp, 2012. "The Tortoise and the Hare: Risk Premium Versus Alternative Asset Portfolios," Working Paper Series 16, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  21. Stephen Satchell & Susan Thorp & Oliver Williams, 2012. "Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods," Research Paper Series 300, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Jan Baldeaux & Dale Roberts, 2012. "Quasi-Monte Carlo methods for the Heston model," Papers 1202.3217, arXiv.org, revised May 2012.
  24. Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Michael Gnewuch & Jan Baldeaux, 2012. "Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition," Research Paper Series 313, Quantitative Finance Research Centre, University of Technology, Sydney.

2011

  1. Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series 290, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Xue-Zhong He & Kai Li, 2011. "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series 291, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Gerald Cheang & Carl Chiarella, 2011. "A Modern View on Merton's Jump-Diffusion Model," Research Paper Series 287, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Les Clewlow & Boda Kang, 2011. "The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching," Research Paper Series 288, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Corrado Di Guilmi, 2011. "Limit Distribution of Evolving Strategies in Financial Markets," Research Paper Series 294, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2011. "Credit Derivative Pricing with Stochastic Volatility Models," Research Paper Series 293, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Zhi Guo & Eckhard Platen, 2011. "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers 1109.6154, arXiv.org, revised Oct 2011.
  11. Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Ron Bird & Harry Liem & Susan Thorp, 2011. "Private Equity: Strategies for Improving Performance," Working Paper Series 12, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  13. Ron Bird & Harry Liem & Susan Thorp, 2011. "Infrastructure: Real Assets and Real Returns," Working Paper Series 11, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  14. Ron Bird & Daniel Choi & Danny Yeung, 2011. "Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift," Working Paper Series 15, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  15. Ron Bird & Paolo Pellizzari & Danny Yeung, 2011. "Performance Implications of Active Management of Institutional Mutual Funds," Working Paper Series 13, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  16. Ron Bird & Krishna Reddy & Danny Yeung, 2011. "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series 14, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  17. Bateman, Hazel & Ebling, Christine & Geweke, John & Jordan, Louviere & Stephen, Satchell & Susan, Thorp, 2011. "Economic Rationality, Risk Presentation, and Retirement Portfolio Choice," MPRA Paper 29371, University Library of Munich, Germany.
  18. Hazel Bateman & Christine Eckert & John Geweke & Jordan Louviere & Stephen Satchell & Susan Thorp, 2011. "Financial Competence, Risk Presentation and Retirement Portfolio Preferences," Working Papers 201120, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  19. Jan Baldeaux, 2011. "Exact Simulation of the 3/2 Model," Papers 1105.3297, arXiv.org, revised May 2011.

2010

  1. Xue-Zhong He & Min Zheng, 2010. "Dynamics of Moving Average Rules in a Continuous-time Financial Market Model," Research Paper Series 268, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Corrado Di Guilmi, 2010. "The Financial Instability Hypothesis:a Stochastic Microfoundation Framework," Research Paper Series 273, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Chih-Ying Hsiao & Ming Xi Huang, 2010. "A Survey of Non-linear Methods for No-arbitrage Bond Pricing," Research Paper Series 277, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Carl Chiarella & Chih-Ying Hsiao, 2010. "Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications," Research Paper Series 276, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Andreas Rothig, 2010. "Small Traders in Currency Futures Markets Format," Research Paper Series 278, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Leunglung Chan & Eckhard Platen, 2010. "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers 1007.2968, arXiv.org, revised Jan 2011.
  11. Eckhard Platen & Renata Rendek, 2010. "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series 281, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010. "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series 284, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Ron Bird & Matthew Grosse & Danny Yeung, 2010. "The Market Response to Exploration, Resource and Reserve Announcements by Mining Companies: Australian Data," Working Paper Series 7, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  14. Ron Bird & Danny Yeung, 2010. "How Do Investors React Under Uncertainty?," Working Paper Series 8, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  15. Ron Bird & Danny Yeung, 2010. "Institutional Ownership and IPO Performance: Australian Evidence," Working Paper Series 6, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  16. Ron Bird & Gordon Menzies & Peter Dixon & Maureen Rimmer, 2010. "Asset Price Regulators Unite: You Have Macroeconomic Stability to Win and the Microeconomic Losses are Second-order," Working Paper Series 5, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  17. G. Menzies & R. Bird & P. Dixon & M. Rimmer, 2010. "The Economic Costs of US Stock Mispricing," Centre of Policy Studies/IMPACT Centre Working Papers g-204, Victoria University, Centre of Policy Studies/IMPACT Centre.
  18. Ron Bird & Harry Liem & Susan Thorp, 2010. "Hedge Fund Excess Returns Under Time-Varying Beta," Working Paper Series 9, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  19. Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010. "Equity-Linked Pension Schemes with Guarantees," Research Paper Series 270, Quantitative Finance Research Centre, University of Technology, Sydney.

2009

  1. Carl Chiarella & Xue-Zhong He & Min Zheng, 2009. "Heterogeneous Expectations and Exchange Rate Dynamics," Research Paper Series 243, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Xue-Zhong He & Lei Shi, 2009. "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series 244, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009. "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series 251, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009. "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series 252, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Boda Kang, 2009. "The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach," Research Paper Series 245, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009. "An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series 256, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Les Clewlow & Boda Kang, 2009. "Modelling and Estimating the Forward Price Curve in the Energy Market," Research Paper Series 260, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Asada, Toichiro & Chiarella, Carl & Flaschel, Peter & Mouakil, Tarik & Proaño, Christian R., 2009. "Stabilizing an unstable economy: on the choice of proper policy measures," Economics Discussion Papers 2009-50, Kiel Institute for the World Economy.
  10. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Mark Craddock & Eckhard Platen, 2009. "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series 246, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080, arXiv.org, revised Mar 2010.
  14. Wolfgang Breymann & David Lüthi & Eckhard Platen, 2009. "Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales," Research Paper Series 250, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Hardy Hulley & Eckhard Platen, 2009. "A Visual Criterion for Identifying Ito Diffusions as Martingalesor Strict Local Martingales," Research Paper Series 263, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Katja Ignatieva & Eckhard Platen, 2009. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series 265, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Eckhard Platen & Renata Rendek, 2009. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 264, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009. "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  23. Ron Bird & Gordon Menzies & Peter Dixon & Maureen Rimmer, 2009. "The Aggregate Economic Costs of US Stock Mispricing," Working Paper Series 4, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  24. Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009. "Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement," Research Paper Series 248, Quantitative Finance Research Centre, University of Technology, Sydney.

2008

  1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Gerald H.L. Cheang & Carl Chiarella, 2008. "Hedge Portfolios in Markets with Price Discontinuities," Research Paper Series 218, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. 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.
  7. Gerald H. L. Cheang & Carl Chiarella, 2008. "Exchange Options Under Jump-Diffusion Dynamics," Research Paper Series 235, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. T. Marquardt & Eckhard Platen & S. Jaschke, 2008. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series 221, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Constantinos Kardaras & Eckhard Platen, 2008. "Minimizing the Expected Market Time to Reach a Certain Wealth Level," Research Paper Series 230, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies," Research Paper Series 240, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Hardy Hulley & Eckhard Platen, 2008. "A Visual Classification of Local Martingales," Research Paper Series 238, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Shane M Miller & Eckhard Platen, 2008. "Real World Pricing for a Modified Constant Elasticity of Variance Model," Research Paper Series 237, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.
  23. Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Papers 0812.0033, arXiv.org, revised Mar 2010.
  24. Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  25. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
  26. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research.
  27. Gordon Menzies & Jonathan Pratt & Susan Thorp & Peter Docherty, 2008. "Piloting a Peer Feedback Program in the Faculty of Business at UTS," Working Paper Series 154, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2007

  1. Jian Gao & Gang Gong & Xue-Zhong He, 2007. "Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy," Research Paper Series 199, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Toichiro Asada & Carl Chiarella & Peter Flaschel & Christian R. Proaño, 2007. "Keynesian AD-AS, Quo Vadis?," Working Paper Series 151, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  5. Carl Chiarella & Eckhard Platen, 2007. "The History of the Quantitative Methods in Finance Conference Series. 1992-2007," Research Paper Series 207, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Damir Filipovic & Eckhard Platen, 2007. "Consistent Market Extensions under the Benchmark Approach," Research Paper Series 189, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series 191, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Uwe Küchler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Hazel Bateman & Susan Thorp, 2007. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," Research Paper Series 200, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Stephen Satchell & Susan Thorp, 2007. "Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts," Research Paper Series 210, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Stephen Satchell & Susan Thorp, 2007. "Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments," Research Paper Series 209, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Konstantin Petrichev & Susan Thorp, 2007. "The Private Value of Public Pensions," Research Paper Series 211, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.

2006

  1. Carl Chiarella & Xue-Zhong He & Roberto Dieci & University of Technology Sydney, 2006. "A Dynamic Heterogeneous Beliefs CAPM," Computing in Economics and Finance 2006 181, Society for Computational Economics.
  2. Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics.
  3. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Andreas Röthig & Carl Chiarella, 2006. "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series 172, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2006. "Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy," Working Paper Series 147, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Pu Chen & Carl Chiarella & Peter Flaschel & Hing Hung, 2006. "Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations," Working Paper Series 146, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Carl Chiarella & Andrew Ziogas, 2006. "American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach," Research Paper Series 174, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Andrew Ziogas, 2006. "Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics," Computing in Economics and Finance 2006 44, Society for Computational Economics.
  9. Thuy Duong To & Carl Chiarella & Hing Hung, 2006. "The Volatility Structure of the Fixed Income Markets under the HJM Framework," Computing in Economics and Finance 2006 260, Society for Computational Economics.
  10. Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Me, 2006. "Numerical Methods for American Spread Options under Jump Diffusion Processes," Computing in Economics and Finance 2006 137, Society for Computational Economics.
  11. Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 180, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney.

2005

  1. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Carl Chiarella & Giulia Iori, 2005. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. 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.
  9. Andrew Ziogas & Carl Chiarella, 2005. "Pricing American Options under Stochastic Volatility," Computing in Economics and Finance 2005 77, Society for Computational Economics.
  10. C. Chiarella & C. Hsiao, 2005. "Intertemporal Asset Allocation with Inflation-Indexed Bonds," Computing in Economics and Finance 2005 168, Society for Computational Economics.
  11. Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas, 2005. "The Valuation Of American Exchange Options Under," Computing in Economics and Finance 2005 483, Society for Computational Economics.
  12. W. Semmler & P. Chen & C. Chiarella, 2005. "Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach," Computing in Economics and Finance 2005 211, Society for Computational Economics.
  13. A. Ziogas & G. Cheang & C. Chiarella, 2005. "The Valuation of Multiple Asset American Options under Jump Diffusion Processes," Computing in Economics and Finance 2005 83, Society for Computational Economics.
  14. Carl Chiarella & Chih-Ying Hsiao, 2005. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Research Paper Series 171, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA.
  25. Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Hazel Bateman & Susan Thorp, 2005. "Decentralised Portfolio Management: Analysis of Australian Accumulation Funds," Research Paper Series 161, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. James McCulloch, 2005. "Relative Volume as a Doubly Stochastic Binomial Point Process," Research Paper Series 146, Quantitative Finance Research Centre, University of Technology, Sydney.

2004

  1. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Andrew Ziogas & Carl Chiarella, 2004. "Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions," Computing in Economics and Finance 2004 177, Society for Computational Economics.
  8. Carl Chiarella & Roberto Dieci, 2004. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004 261, Society for Computational Economics.
  9. C. Chiarella & P. Chen, 2004. "Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach," Computing in Economics and Finance 2004 149, Society for Computational Economics.
  10. Carl Chiarella & Chih-ying Hsiao, 2004. "Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming," Computing in Economics and Finance 2004 73, Society for Computational Economics.
  11. Thuy Duong To & Carl Chiarella, 2004. "Estimation of the Volatility Structure of the Fixed Income Market," Econometric Society 2004 Australasian Meetings 219, Econometric Society.
  12. Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA.
  13. Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, EconWPA.
  14. Toichiro Asada & Pu Chen & Carl Chiarella & Peter Flaschel, 2004. "Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach," Macroeconomics 0409001, EconWPA.
  15. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Carl Chiarella & Shenhuai Gao, 2004. "Continuous Time Model Estimation," Working Paper Series 138, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  18. Toichiro Asada & Pu Chen & Carl Chiarella & Peter Flaschel, 2004. "Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model," Working Paper Series 139, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  19. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
  29. D. Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
  31. Geoffrey Kingston & Susan Thorp, 2004. "Annuitization and Asset Allocation with HARA Utlity," Econometric Society 2004 Australasian Meetings 248, Econometric Society.

2003

  1. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Peiyuan Zhu & Carl Chiarella & Tony He, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Computing in Economics and Finance 2003 31, Society for Computational Economics.
  3. M. Gilli & C. Chiarella & J. Dewynne, 2003. "Issues in Evaluating Multifactor Options in a PDE Framework," Computing in Economics and Finance 2003 110, Society for Computational Economics.
  4. Andrew Ziogas & Carl Chiarella, 2003. "McKean’s Method applied to American Call Options on Jump-Diffusion Processes," Computing in Economics and Finance 2003 39, Society for Computational Economics.
  5. To, Thuy Duong & Carl Chiarella, 2003. "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003 205, Royal Economic Society.
  6. Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003. "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003 201, Society for Computational Economics.
  7. Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "The Structure of Keynesian Macrodynamics: A Framework for Future Research," Working Paper Series 129, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  9. Toichiro Asada & Carl Chiarella & Peter Flaschel, 2003. "Keynes-Metzler-Goodwin Model Building: The Closed Economy," Working Paper Series 124, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2003. "Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum," Working Paper Series 125, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Carl Chiarella & Peter Flaschel & Willi Semmler, 2003. "Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation," Working Paper Series 127, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  12. Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model," Working Paper Series 96, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  13. Carl Chiarella & Peter Flaschel, 2003. "Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation," Working Paper Series 97, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. David Heath & Eckhard Platen, 2003. "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series 101, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Eckhard Platen, 2003. "Diversified Portfolios in a Benchmark Framework," Research Paper Series 87, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Research Paper Series 91, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Leah Kelly & Eckhard Platen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.

2002

  1. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Giulia Iori & Carl Chiarella, 2002. "A simple microstructure model of double auction markets," Computing in Economics and Finance 2002 44, Society for Computational Economics.
  3. Carl Chiarella & Peter Flaschel & Gang Gong & Willi Semmler, 2002. "Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules," Computing in Economics and Finance 2002 89, Society for Computational Economics.
  4. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Price Dynamics And Diversification Under Heterogeneous Expectations," Computing in Economics and Finance 2002 88, Society for Computational Economics.
  5. Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics.
  6. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2002. "A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models," Computing in Economics and Finance 2002 261, Society for Computational Economics.
  7. Carl Chiarella & Silvana Musti, 2002. "Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility," Computing in Economics and Finance 2002 84, Society for Computational Economics.
  8. Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2002. "The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions," Computing in Economics and Finance 2002 292, Society for Computational Economics.
  9. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2002. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computing in Economics and Finance 2002 222, Society for Computational Economics.
  10. G.I. Bischi, & C. Chiarella & M. Kopel, 2002. "On Market Games with Misspecified Demand Functions : Long Run Outcomes and Global Dynamics," Computing in Economics and Finance 2002 27, Society for Computational Economics.
  11. Carl Chiarella & Peter Flaschel & G. Gong & Willi Semmler, 2002. "Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model," Working Paper Series 120, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  12. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2002. "Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach," Working Paper Series 123, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  13. Carl Chiarella & S. Gao, 2002. "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series 115, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Carl Chiarella & S. Gao, 2002. "Type I Spurious Regression in Econometrics," Working Paper Series 114, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  16. Carl Chiarella & S. Gao, 2002. "Solving the Price-Earnings Puzzle," Working Paper Series 116, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  17. Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Eckhard Platen, 2002. "Benchmark Model with Intensity Based Jumps," Research Paper Series 81, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. Eckhard Platen, 2002. "A Benchmark Framework for Integrated Risk Management," Research Paper Series 82, Quantitative Finance Research Centre, University of Technology, Sydney.

2001

  1. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Carl Chiarella and Xue-Zhong He, 2001. "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations," Computing in Economics and Finance 2001 39, Society for Computational Economics.
  3. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Peter Flaschel & Carl Chiarella & Reiner Franke & Willi Semmler, 2001. "Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies," CeNDEF Workshop Papers, January 2001 1B.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2001. "Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market," Working Paper Series 112, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Carl Chiarella & Oh-Kang Kwon, 2001. "State Variables and the Affine Nature of Markovian HJM Term Structure Models," Research Paper Series 52, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Carl Chiarella & Peter Flaschel & Willi Semmler, 2001. "Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient," Working Paper Series 111, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm," Research Paper Series 68, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Carl Chiarella & Roberto Dieci & Laura Gardini, 2001. "Speculative Behaviour and Complex Asset Price Dynamics," Research Paper Series 49, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Eckhard Platen, 2001. "A Benchmark Model for Financial Markets," Research Paper Series 59, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. David Heath & Eckhard Platen, 2001. "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series 61, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Model," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Kestutis Kubilius & Eckhard Platen, 2001. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series 54, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Uwe Kuchler & Eckhard Platen, 2001. "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 50, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001. "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers 2001,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. Gilsing, Hagen & Küchler, Uwe & Platen, Eckhard, 2001. "Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," SFB 373 Discussion Papers 2001,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

2000

  1. Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Carl Chiarella & Xue-Zhong He, 2000. "Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning," Research Paper Series 37, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Ram Bhar & Carl Chiarella, 2000. "Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems," Working Paper Series 76, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  8. Carl Chiarella & Alexander Khomin, 2000. "Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics," Working Paper Series 102, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  9. Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Carl Chiarella & Peter Flaschel & Willi Semmler, 2000. "Price Flexibility and Debt Dynamics in a High Order AS-AD Model," Working Paper Series 109, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Volker Bohm & Carl Chiarella, 2000. "Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices," Research Paper Series 46, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2000. "Output, Financial Markets and Growth," Working Paper Series 108, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Carl Chiarella, Nadima El-Hassan & Adam Kucera, 2000. "The Evaluation Of Multiasset European And American Options Via Fourier Hermite Series Expansions," Computing in Economics and Finance 2000 287, Society for Computational Economics.
  15. Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Uwe Kuchler & Eckhard Platen, 2000. "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 44, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Richard Gerlach & Ron Bird & Anthony D. Hall, 2000. "A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information," Research Paper Series 47, Quantitative Finance Research Centre, University of Technology, Sydney.

1999

  1. Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics.
  2. Carl Chiarella & Xue-Zhong He, 1999. "The Dynamics of the Cobweb when Producers are Risk Averse Learners," Working Paper Series 90, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Carl Chiarella & Peter Flaschel, 1999. "Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation," Computing in Economics and Finance 1999 714, Society for Computational Economics.
  4. Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model," Working Paper Series 94, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  5. Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Carl Chiarella & Ferenz Szidarovszky, 1999. "The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags," Working Paper Series 87, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  8. Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: I The Starting Model," Working Paper Series 93, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  9. Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues," Working Paper Series 95, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Carl Chiarella & Peter Flaschel & G. Groh & C. Köper & Willi Semmler, 1999. "Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions," Working Paper Series 98, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Carl Chiarella & Oh-Kang Kwon, 1999. "Classes of Interest Rate Models Under the HJM Framework," Research Paper Series 13, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Carl Chiarella & Peter Flaschel, 1999. "Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives," Working Paper Series 85, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  13. Carl Chiarella & Peter Flaschel & G. Groh & C. Köper & Willi Semmler, 1999. "Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution," Working Paper Series 99, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  14. Carl Chiarella & Peter Flaschel & Willi Semmler, 1999. "The Macrodynamics of Debt Deflation," SCEPA Working Papers 1999-04, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
  15. Eckhard Platen, 1999. "On the Log-Return Distribution of Index Benchmarked Share Prices," Research Paper Series 22, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Eckhard Platen, 1999. "A Financial Market Model with Trading Volume and Stochastic Volatility," Research Paper Series 15, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. R. Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. Eckhard Platen, 1999. "A Financial Market Model," Research Paper Series 9, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. P. Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. S. Hurst & Eckhard Platen, 1999. "On the Marginal Distribution of Trade Weighted Currency Indices," Research Paper Series 8, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. John van der Hoek & Eckhard Platen, 1999. "Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation," Research Paper Series 14, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. R. Elliott & P. Fischer & Eckhard Platen, 1999. "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model," Research Paper Series 17, Quantitative Finance Research Centre, University of Technology, Sydney.

1998

  1. David Heath & Eckhard Platen & M. Schweizer, 1998. "Comparison of Some Key Approches to Hedging in Incomplete Markets," Research Paper Series 1, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany.

1997

  1. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Carl Chiarella & Nadima El-Hassan, 1997. "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series 75, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. E. Platen & M. Schweizer, 1997. "On Feedback Effects from Hedging Derivatives," SFB 373 Discussion Papers 1997,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B 398, University of Bonn, Germany.

1996

  1. Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates," Working Paper Series 63, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Carl Chiarella & Alexander Khomin, 1996. "Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates," Working Paper Series 64, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Ram Bhar & Carl Chiarella, 1996. "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series 66, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1995

  1. Ram Bhar & Carl Chiarella, 1995. "Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach," Working Paper Series 56, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Carl Chiarella & Peter Flaschel, 1995. "Keynesian Monetary Growth Dynamics: The Missing Prototype," Working Paper Series 52, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  5. Carl Chiarella & Koji Okuguchi, 1995. "A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets," Working Paper Series 43, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  7. Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996.
  8. K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany.
  9. Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B 291, University of Bonn, Germany, revised Mar 1995.
  10. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995.
  11. K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany.

1994

  1. Platen, Eckhard & Martin Schweizer, 1994. "On Smile and Skewness," Discussion Paper Serie B 302, University of Bonn, Germany.
  2. D. Sondermann & Sandmann, K., 1994. "On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures," Discussion Paper Serie B 263, University of Bonn, Germany.
  3. Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B 308, University of Bonn, Germany.

1993

  1. K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany.
  2. Sandmann, K. & E. Schl�gl, 1993. "Zustandspreise und die Modellierung des Zinsänderungsrisikos," Discussion Paper Serie B 238, University of Bonn, Germany.
  3. Reimer, Matthias & Klaus Sandmann, 1993. "Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie," Discussion Paper Serie B 239, University of Bonn, Germany.

1992

  1. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Carl Chiarella, 1992. "Developments in Nonlinear Economic Dynamics: Past, Present and Future," Working Paper Series 14, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.

1991

  1. Carl Chiarella, 1991. "The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays," Working Paper Series 11, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Carl Chiarella & Toan Pham & Ah Boon Sim & Madeleine Tan, 1991. "The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context," Working Paper Series 4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  3. Carl Chiarella & Toan Pham & Ah Boon Sim & Madeleine Tan, 1991. "Determinants of Corporate Capital Structure: Australian Evidence," Working Paper Series 3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Carl Chiarella, 1991. "Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics," Working Paper Series 6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

1989

  1. Glenn Stevens & Susan Thorp, 1989. "The Relationship between Financial Indicators and Economic Activity: Some Further Evidence," RBA Research Discussion Papers rdp8903, Reserve Bank of Australia.

1988

  1. Michele Bullock & Glenn Stevens & Susan Thorp, 1988. "Do Financial Aggregates Lead Activity?: A Preliminary Analysis," RBA Research Discussion Papers rdp8803, Reserve Bank of Australia.
  2. Robert G. Trevor & Susan J. Thorp, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," RBA Research Discussion Papers rdp8802, Reserve Bank of Australia.

1987

  1. Glenn Stevens & Susan Thorp & John Anderson, 1987. "The Australian Demand Function for Money: Another Look at Stability," RBA Research Discussion Papers rdp8701, Reserve Bank of Australia.
  2. Adrian Blundell-Wignall & Susan Thorp, 1987. "Money Demand, Own Interest Rates and Deregulation," RBA Research Discussion Papers rdp8703, Reserve Bank of Australia.

Undated

  1. Carl Chiarella & Alexander Khomin, . "Adaptive Rational Expectations in Models of Monetary Dynamics," Computing in Economics and Finance 1997 97, Society for Computational Economics.
  2. Carl Chiarella & Peter Flaschel, . "A Model of Monetary Growth for a Small Open Economy," Computing in Economics and Finance 1997 138, Society for Computational Economics.
  3. Toichiro Asada & Carl Chiarella & Peter Flaschel & Reiner Franke, . "Interacting Two-Country Business Fluctuations," Modeling, Computing, and Mastering Complexity 2003 02, Society for Computational Economics.
  4. Carl Chiarella & Alexander Khomin, . "Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems," Computing in Economics and Finance 1997 109, Society for Computational Economics.
  5. Carl Chiarella, Nadima El-Hassan, & Adam Kucera, . "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics.
  6. Sandmann,Klaus, . "An intertemporal interest rate market model: Complete markets," Discussion Paper Serie B 94, University of Bonn, Germany.
  7. Sandmann,Klaus, . "The pricing of options with an uncertain interest rate: A discrete time approach," Discussion Paper Serie B 114, University of Bonn, Germany.
  8. Sandmann,Klaus & Sondermann,Dieter, . "Zur Bewertung von Caps und Floors," Discussion Paper Serie B 98, University of Bonn, Germany.
  9. Sandmann,Klaus & Sondermann,Dieter, . "A term structure model and the pricing of interest rate options," Discussion Paper Serie B 129, University of Bonn, Germany.
  10. von Borries,Daniel & Sandmann,Klaus, . "Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten," Discussion Paper Serie B 241, University of Bonn, Germany.

Journal articles

2014

  1. Carl Chiarella & Corrado Di Guilmi, 2014. "Financial instability and debt deflation dynamics in a bottom-up approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 125-132.
  2. Carl Chiarella & Jonathan Ziveyi, 2014. "Pricing American options written on two underlying assets," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 409-426, March.
  3. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014. "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 1-21, February.

2013

  1. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
  2. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013. "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, vol. 9(2), pages 185-215, May.
  3. Carl Chiarella & Xue-Zhong He & Min Zheng, 2013. "Heterogeneous expectations and exchange rate dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 392-419, May.
  4. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013. "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1350019-1-1.
  5. Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas, 2013. "The representation of American options prices under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 241-253, January.
  6. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  7. Ashkan Nikeghbali & Eckhard Platen, 2013. "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, vol. 17(3), pages 615-640, July.
  8. Eckhard Platen & Lei Shi, 2013. "On the numerical stability of simulation methods for SDEs under multiplicative noise in finance," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 183-194, January.
  9. Ron Bird & Matthew Grosse & Danny Yeung, 2013. "The market response to exploration, resource and reserve announcements by mining companies: Australian data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 311-331, August.
  10. Hardy Hulley & Rebecca Mckibbin & Andreas Pedersen & Susan Thorp, 2013. "Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement," The Economic Record, The Economic Society of Australia, vol. 89(284), pages 31-51, 03.
  11. Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
  12. Talis J. Putninš, 2013. "Exporting by Latvian companies: vitality, drivers of success, and challenges," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 13(2), pages 3-33, December.

2012

  1. Xue-Zhong He & Lei Shi, 2012. "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., vol. 12(3), pages 357-373, 09.
  2. He, Xue-Zhong & Shi, Lei, 2012. "Disagreement, correlation and asset prices," Economics Letters, Elsevier, vol. 116(3), pages 512-515.
  3. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(04), pages 556-575, September.
  4. Chiarella Carl & Flaschel Peter & Köper Carsten & Proaño Christian & Semmler Willi, 2012. "Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-38, April.
  5. Chiarella Carl & Di Guilmi Corrado, 2012. "The Fiscal Cost of Financial Instability," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-29, October.
  6. Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012. "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
  7. Chiarella, Carl & Flaschel, Peter & Hartmann, Florian & Proaño, Christian R., 2012. "Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 410-423.
  8. Giansante, Simone & Chiarella, Carl & Sordi, Serena & Vercelli, Alessandro, 2012. "Structural contagion and vulnerability to unexpected liquidity shortfalls," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 558-569.
  9. Ignatieva, Katja & Platen, Eckhard, 2012. "Estimating the diffusion coefficient function for a diversified world stock index," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1333-1349.
  10. Zhi Jun Guo & Eckhard Platen, 2012. "The Small And Large Time Implied Volatilities In The Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250057-1-1.
  11. Bird, Ron & Yeung, Danny, 2012. "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 310-327.
  12. Ron Bird & Francesco Momenté & Francesco Reggiani, 2012. "The market acceptance of corporate social responsibility: a comparison across six countries/regions," Australian Journal of Management, Australian School of Business, vol. 37(2), pages 153-168, August.
  13. Hazel Bateman & Christine Eckert & John Geweke & Jordan Louviere & Susan Thorp & Stephen Satchell, 2012. "Financial Competence and Expectations Formation: Evidence from Australia," The Economic Record, The Economic Society of Australia, vol. 88(280), pages 39-63, 03.
  14. An Chen & Klaus Sandmann, 2012. "In-Arrears Term Structure Products: No Arbitrage Pricing Bounds And The Convexity Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250054-1-1.
  15. Jan Baldeaux, 2012. "Exact Simulation Of The 3/2 Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1250032-1-1.
  16. Karolis Čekauskas & Reinis Gerasimovs & Vytautas Liatukas & Tālis J. Putniņš, 2012. "The Effects of Market Makers and Stock Analysts in Emerging Markets," International Review of Finance, International Review of Finance Ltd., vol. 12(3), pages 305-327, 09.
  17. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.

2011

  1. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
  2. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  3. Chiarella, Carl & Fanelli, Viviana & Musti, Silvana, 2011. "Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model," European Journal of Operational Research, Elsevier, vol. 208(2), pages 95-108, January.
  4. Gian Bischi & Carl Chiarella & Laura Gardini, 2011. "Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance," Computational Economics, Society for Computational Economics, vol. 38(3), pages 207-208, October.
  5. Gerald Cheang & Carl Chiarella, 2011. "Exchange Options Under Jump-Diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 245-276.
  6. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "Do heterogeneous beliefs diversify market risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 241-258.
  7. Toichiro Asada & Carl Chiarella & Peter Flaschel & Tarik Mouakil & Christian Proaño & Willi Semmler, 2011. "Stock‐Flow Interactions, Disequilibrium Macroeconomics And The Role Of Economic Policy," Journal of Economic Surveys, Wiley Blackwell, vol. 25(3), pages 569-599, 07.
  8. Chiarella, Carl & Di Guilmi, Corrado, 2011. "The financial instability hypothesis: A stochastic microfoundation framework," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1151-1171, August.
  9. Kardaras, Constantinos & Platen, Eckhard, 2011. "On the semimartingale property of discounted asset-price processes," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.
  10. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer, vol. 6(1), pages 61-82, May.
  11. Bird, R. & Menzies, G. & Dixon, P. & Rimmer, M., 2011. "The economic costs of US stock mispricing," Journal of Policy Modeling, Elsevier, vol. 33(4), pages 552-567, July.
  12. Gordon Menzies & Ron Bird & Peter B. Dixon & Maureen T. Rimmer, 2011. "Asset Price Regulators, Unite: You have the Macroeconomy to Win and the Microeconomic Losses are Small," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 449-464, 09.
  13. Stephen Satchell & Susan Thorp, 2011. "Uncertain survival and time discounting: intertemporal consumption plans for family trusts," Journal of Population Economics, Springer, vol. 24(1), pages 239-266, January.
  14. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
  15. Carole Comerton-Forde & Tālis Putniņš, 2011. "Pricing accuracy, liquidity and trader behavior with closing price manipulation," Experimental Economics, Springer, vol. 14(1), pages 110-131, March.
  16. Comerton-Forde, Carole & Putnins, Talis J., 2011. "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 135-158, April.
  17. Comerton-Forde, Carole & Putniņš, Tālis J. & Tang, Kar Mei, 2011. "Why Do Traders Choose to Trade Anonymously?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(04), pages 1025-1049, September.
  18. Tālis J. Putniņš & Arnis Sauka, 2011. "Size and determinants of shadow economies in the Baltic States," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(2), pages 5-25, December.

2010

  1. Asada, Toichiro & Chiarella, Carl & Flaschel, Peter & Mouakil, Tarik & Proaño, Christian R., 2010. "Stabilizing an unstable economy: On the choice of proper policy measures," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 4(21), pages 1-43.
  2. Chiarella, Carl & Flaschel, Peter, 2010. "Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 45(1), pages 1-28.
  3. Carl Chiarella & Hing Hung & Peter Flaschel, 2010. "Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 4(3), pages 236-262, November.
  4. Chiarella, Carl & Duan, Jin-Chuan, 2010. "Preface," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2231-2231, November.
  5. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
  6. Katja Ignatieva & Eckhard Platen, 2010. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer, vol. 17(3), pages 261-302, September.
  7. Shane Miller & Eckhard Platen, 2010. "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 147-175.
  8. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  9. Klaus Sandmann & Manuel Wittke, 2010. "It'S Your Choice: A Unified Approach To Chooser Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 139-161.
  10. Jan Baldeaux & Marek Rutkowski, 2010. "Static Replication of Forward-Start Claims and Realized Variance Swaps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 99-131.

2009

  1. He, Xue-Zhong & Li, Kai & Wei, Junjie & Zheng, Min, 2009. "Market stability switches in a continuous-time financial market with heterogeneous beliefs," Economic Modelling, Elsevier, vol. 26(6), pages 1432-1442, November.
  2. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
  3. Carl Chiarella & Andrew Ziogas, 2009. "American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 37-79.
  4. Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
  5. Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2009. "The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 393-425.
  6. Ramaprasad Bhar & Carl Chiarella, 2009. "Inference on forward exchange rate risk premium: reviewing signal extraction methods," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 115-125.
  7. Damir Filipović & Eckhard Platen, 2009. "Consistent Market Extensions Under The Benchmark Approach," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 41-52.
  8. W. Breymann & D. R. Lüthi & E. Platen, 2009. "Empirical behavior of a world stock index from intra-day to monthly time scales," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 71(4), pages 511-522, October.
  9. Peter Buchen & Otto Konstandatos, 2009. "A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(6), pages 497-515.

2008

  1. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
  2. Chiarella, Carl & He, Xue-Zhong & Wang, Duo & Zheng, Min, 2008. "The stochastic bifurcation behaviour of speculative financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3837-3846.
  3. Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Society for Computational Economics, vol. 32(1), pages 55-72, September.
  4. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
  5. Shane M. Miller & Eckhard Platen, 2008. "Analytic Pricing Of Contingent Claims Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 841-867.
  6. Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008. "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 45-56.
  7. Petrichev, Konstantin & Thorp, Susan, 2008. "The private value of public pensions," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1138-1145, June.
  8. Hazel Bateman & Susan Thorp, 2008. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages S17-S31, 09.
  9. Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Verein für Socialpolitik, vol. 9, pages 207-231, 05.
  10. Hans-Peter Bermin & Peter Buchen & Otto Konstandatos, 2008. "Two Exotic Lookback Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 387-402.

2007

  1. Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
  2. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
  3. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007. "Butter mountains, milk lakes and optimal price limiters," Applied Economics Letters, Taylor & Francis Journals, vol. 14(15), pages 1131-1136.
  4. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal asset allocation when the underlying factors are unobservable," Computational Economics, Society for Computational Economics, vol. 29(3), pages 383-418, May.
  5. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 365-399.
  6. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
  7. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Society for Computational Economics, vol. 29(3), pages 283-312, May.
  8. Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 25-43, March.
  9. Morten Mosegaard Christensen & Eckhard Platen, 2007. "Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364.
  10. Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July.
  11. Ron Bird & Anthony D. Hall & Francesco Momentè & Francesco Reggiani, 2007. "What Corporate Social Responsibility Activities are Valued by the Market?," Journal of Business Ethics, Springer, vol. 76(2), pages 189-206, December.
  12. Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 769-793.
  13. Ron Bird & Lorenzo Casavecchia, 2007. "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing, vol. 3(3), pages 229-262, July.
  14. Bateman, Hazel & Thorp, Susan, 2007. "Decentralized investment management: an analysis of non-profit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(01), pages 21-44, March.
  15. Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 275-289, October.
  16. Susan Thorp & George Milunovich, 2007. "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does It Pay To Switch?," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 30(3), pages 355-377.
  17. James McCulloch, 2007. "Relative volume as a doubly stochastic binomial point process," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 55-62.

2006

  1. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753.
  2. Chiarella, Carl & He, Xue-Zhong & Hung, Hing & Zhu, Peiyuan, 2006. "An analysis of the cobweb model with boundedly rational heterogeneous producers," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 750-768, December.
  3. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "Moving average rules as a source of market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 12-17.
  4. Asada, Toichiro & Chen, Pu & Chiarella, Carl & Flaschel, Peter, 2006. "Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 90-130, March.
  5. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786.
  6. Agliari, Anna & Chiarella, Carl & Gardini, Laura, 2006. "A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 60(4), pages 526-552, August.
  7. Carl Chiarella & Chih-Ying Hsiao, 2006. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Computational Economics, Society for Computational Economics, vol. 28(2), pages 113-137, September.
  8. Carl Chiarella & Thuy-Duong Tô, 2006. "The Multifactor Nature of the Volatility of Futures Markets," Computational Economics, Society for Computational Economics, vol. 27(2), pages 163-183, May.
  9. Carl Chiarella & Peter Flaschel & Hing Hung, 2006. "Interacting Business Cycle Fluctuations: A Two-Country Model," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 365-394.
  10. Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2006. "The feedback channels in macroeconomics: analytical foundations for structural econometric model building," Central European Journal of Operations Research, Springer, vol. 14(3), pages 261-288, September.
  11. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
  12. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 197-206.
  13. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151.
  14. Truc Le & Eckhard Platen, 2006. "Approximating the growth optimal portfolio with a diversified world stock index," Journal of Risk Finance, Emerald Group Publishing, vol. 7(5), pages 559-574, November.
  15. Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 23-29.
  16. Ron Bird & Richard Gerlach, 2006. "A Bayesian Model Averaging Approach to Enhance Value Investment," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 5(2), pages 111-127, August.
  17. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
  18. Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006. "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, vol. 2(3), pages 303-325, July.

2005

  1. He, Xue-Zhong & Westerhoff, Frank H., 2005. "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September.
  2. Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 17-52.
  3. Chiarella, Carl & Ziogas, Andrew, 2005. "Evaluation of American strangles," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 31-62, January.
  4. Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2005. "Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 6 - 49, August.
  5. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97.
  6. Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March.
  7. Carl Chiarella & Eckhard Platen, 2005. "Editorials," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 235-235.
  8. Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 365-388, December.
  9. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March.
  10. Eckhard Platen, 2005. "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735.
  11. David Heath & Eckhard Platen, 2005. "Currency Derivatives Under A Minimal Market Model With Random Scaling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1157-1177.
  12. Azzi, Sarah & Bird, Ron, 2005. "Prophets during boom and gloom downunder," Global Finance Journal, Elsevier, vol. 15(3), pages 337-367, February.
  13. Susan Thorp, 2005. "'That Courage is not Inconsistent with Caution': Currency Hedging for Superannuation Funds," The Economic Record, The Economic Society of Australia, vol. 81(252), pages 38-50, 03.
  14. Kingston, Geoffrey & Thorp, Susan, 2005. "Annuitization and asset allocation with HARA utility," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(03), pages 225-248, November.
  15. Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 245-259.

2004

  1. Chiarella, Carl & Szidarovszky, Ferenc, 2004. "Dynamic oligopolies without full information and with continuously distributed time lags," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 495-511, August.
  2. Chiarella, Carl & Gao, Shenhuai, 2004. "The value of the S&P 500--A macro view of the stock market adjustment process," Global Finance Journal, Elsevier, vol. 15(2), pages 171-196, August.
  3. Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-26, March.
  4. David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March.
  5. Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March.
  6. Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March.
  7. Shane Miller & Eckhard Platen, 2004. "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 107-133, March.
  8. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March.

2003

  1. Chiarella, Carl & He, Xue-Zhong, 2003. "Dynamics of beliefs and learning under aL-processes -- the heterogeneous case," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 503-531, January.
  2. Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 87-127, September.
  3. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Society for Computational Economics, vol. 22(2), pages 113-138, October.
  4. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Society for Computational Economics, vol. 22(2), pages 213-223, October.
  5. Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, vol. 6(2), pages 129-155, May.
  6. Chiarella, Carl & Flaschel, Peter & Wells, Graeme, 2003. "The Dynamics Of Keynesian Monetary Growth," Macroeconomic Dynamics, Cambridge University Press, vol. 7(03), pages 473-475, June.
  7. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
  8. David Heath & Eckhard Platen, 2003. "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 442-450.
  9. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 449-473, June.

2002

  1. Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Society for Computational Economics, vol. 19(1), pages 95-132, February.
  2. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
  3. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
  4. Carl Chiarella & Giulia Iori, 2002. "A simulation analysis of the microstructure of double auction markets," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 346-353.
  5. David Heath & Eckhard Platen, 2002. "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 459-467.
  6. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
  7. Küchler, Uwe & Platen, Eckhard, 2002. "Weak discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(6), pages 497-507.
  8. Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370.

2001

  1. Carl Chiarella & Oh Kang Kwon, 2001. "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, vol. 5(2), pages 237-257.
  2. Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2001. "Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 8(13).
  3. C. Chiarella & X-Z. He, 2001. "Asset price and wealth dynamics under heterogeneous expectations," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 509-526.
  4. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.

2000

  1. Chiarella, Carl & Flaschel, Peter, 2000. "High order disequilibrium growth dynamics: Theoretical aspects and numerical features," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 935-963, June.
  2. Ramaprasad Bhar & Carl Chiarella, 2000. "Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 113-125.
  3. Norbert Hofmann & Eckhard Platen, 2000. "Approximating Large Diversified Portfolios," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 77-88.
  4. Küchler, Uwe & Platen, Eckhard, 2000. "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.

1999

  1. Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September.
  2. Eckhard Platen, 1999. "A short term interest rate model," Finance and Stochastics, Springer, vol. 3(2), pages 215-225.

1998

  1. Chiarella, Carl & Flaschel, Peter, 1998. "Dynamics Of Natural Rates Of Growth And Employment," Macroeconomic Dynamics, Cambridge University Press, vol. 2(03), pages 345-368, September.
  2. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84.

1997

  1. R. Bhar & C. Chiarella, 1997. "Transformation of Heath?Jarrow?Morton models to Markovian systems," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26.
  2. Ramaprasad Bhar & Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 181-199.
  3. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May.
  4. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-30, March.
  5. Klaus Sandmann & Dieter Sondermann, 1997. "A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 119-125.

1996

  1. Chiarella, Carl & Flaschel, Peter, 1996. "Real and monetary cycles in models of Keynes-Wicksell type," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 327-351, September.
  2. M. Streit & D. Schneider & T. Tietenberg & R. Kollmann & C. Chiarella & R. Bommer & E. Plassmann & V. Valli, 1996. "Book reviews," Journal of Economics, Springer, vol. 63(2), pages 213-235, June.
  3. J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 21(1), pages 65-102, June.
  4. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.

1995

  1. Platen, Eckhard, 1995. "On weak implicit and predictor-corrector methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 69-76.
  2. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.

1993

  1. Klaus Sandmann, 1993. "The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 201-216.

1992

  1. Chiarella, Carl, 1992. "Economic dynamics : Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper)," Journal of Economic Behavior & Organization, Elsevier, vol. 18(3), pages 443-445, August.
  2. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187.
  3. C. Seidl & G. Nöldeke & H. Zink & K. Sandmann & Y. Ishii & H. Welsch & F. Winden & K. Laski, 1992. "Book reviews," Journal of Economics, Springer, vol. 55(2), pages 221-244, June.
    • C. Seidl & D. Archibugi & M. Shubik & M. Peitz & D. Lévy & J. Lothian & G. Hufbauer & C. Lülfesmann & U. Backes-Gellner & P. Moog, 2001. "Book reviews," Journal of Economics, Springer, vol. 73(2), pages 202-225, June.
    • D. Balkenborg & G. Clemenz & G. Laan & C. Seidl & G. Tillmann & J. Hoffmann & M. Neumann & G. Kayser & R. Schediwy & G. Furstenberg, 1991. "Book reviews," Journal of Economics, Springer, vol. 53(2), pages 215-241, June.
    • S. Kolm & T. Saijo & C. Seidl & J. Rosenmüller & F. Scherer & H. Gottinger & A. Freeman & R. Schwager, 1994. "Book reviews," Journal of Economics, Springer, vol. 60(2), pages 209-228, June.
    • B. Grodal & R. Sarin & K. Kikuta & H. Houthakker & C. Seidl, 2001. "Book reviews," Journal of Economics, Springer, vol. 74(1), pages 104-117, February.
    • A. Kneip & P. Schönfeld & C. Seidl, 1995. "Book reviews," Journal of Economics, Springer, vol. 61(3), pages 335-342, October.
    • H. Bohn & H. Zou & J. Hinloopen & K. Aiginger & C. Keuschnigg & R. Wagner & C. Seidl & U. Cantner, 2000. "Book reviews," Journal of Economics, Springer, vol. 72(1), pages 99-126, February.
    • Claudia Buch & Matthias Lücke & Oliver Lorz & Heinz Welsch & Rainer Maurer & H. Atesoglu, 1996. "Book reviews," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 132(4), pages 794-805, December.

1991

  1. Chiarella, Carl, 1991. "The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy," European Journal of Political Economy, Elsevier, vol. 7(1), pages 65-78, April.
  2. Chiarella, C., 1991. "The birth of limit cycles in Cournot oligopoly models with time delays," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 2(2-3), pages 81-92.

1990

  1. Chiarella, Carl, 1990. "Excessive exchange rate variability : A possible explanation using nonlinear economic dynamics," European Journal of Political Economy, Elsevier, vol. 6(3), pages 315-352, December.
  2. Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark, 1990. "Portfolio insurance: a simulation under different market conditions," Insurance: Mathematics and Economics, Elsevier, vol. 9(1), pages 1-19, March.

1989

  1. Chiarella, Carl & Kemp, Murray C. & van Long, Ngo, 1989. "Innovation and the transfer of technology : A leader-follower model," Economic Modelling, Elsevier, vol. 6(4), pages 452-456, October.
  2. Chiarella, Carl, 1989. "The dynamic behaviour of workers' enterprises," European Journal of Political Economy, Elsevier, vol. 5(2-3), pages 317-331.
  3. Platen, Eckhard, 1989. "A law of large numbers for wide range exclusion processes in random media," Stochastic Processes and their Applications, Elsevier, vol. 31(1), pages 33-49, March.

1988

  1. Chiarella, Carl, 1988. "The cobweb model: Its instability and the onset of chaos," Economic Modelling, Elsevier, vol. 5(4), pages 377-384, October.
  2. Trevor, R G & Thorp, S J, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," Australian Economic Papers, Wiley Blackwell, vol. 27(0), pages 108-20, Supplemen.

1987

  1. Liske, Horst & Platen, Eckhard, 1987. "Simulation studies on time discrete diffusion approximations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 29(3), pages 253-260.
  2. Bird, Ron & McCrae, Michael & Beggs, John J, 1987. "Are Gamblers Really Risk Takers?," Australian Economic Papers, Wiley Blackwell, vol. 26(49), pages 237-53, December.
  3. Ron Bird & Michael McCrae, 1987. "Tests of the Efficiency of Racetrack Betting Using Bookmaker Odds," Management Science, INFORMS, vol. 33(12), pages 1552-1562, December.

1986

  1. Chiarella, Carl, 1986. "Perfect foresight models and the dynamic instability problem from a higher viewpoint," Economic Modelling, Elsevier, vol. 3(4), pages 283-292, October.
  2. Chiarella, Carl & Sertel, Murat R., 1986. "Competitive capitalism and cooperative labor management in a dynamic nutshell," European Journal of Political Economy, Elsevier, vol. 2(4), pages 499-519.
  3. Ron Bird & Mark Tippett, 1986. "Note---Naive Diversification and Portfolio Risk---A Note," Management Science, INFORMS, vol. 32(2), pages 244-251, February.

1985

  1. Platen, Eckhard & Rebolledo, Rolando, 1985. "Weak convergence of semimartingales and discretisation methods," Stochastic Processes and their Applications, Elsevier, vol. 20(1), pages 41-58, July.

1984

  1. Chiarella, Carl, et al, 1984. "On the Economics of International Fisheries," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 85-92, February.

Books

2011

  1. Charpe,Matthieu & Chiarella,Carl & Flaschel,Peter & Semmler,Willi, 2011. "Financial Assets, Debt and Liquidity Crises," Cambridge Books, Cambridge University Press, number 9781107004931, December.

2008

  1. Barnett,William A. & Chiarella,Carl & Keen,Steve & Marks,Robert & Schnabl,Hermann (ed.), 2008. "Commerce, Complexity, and Evolution," Cambridge Books, Cambridge University Press, number 9780521088213, December.

2005

  1. Chiarella,Carl & Flaschel,Peter & Franke,Reiner, 2005. "Foundations for a Disequilibrium Theory of the Business Cycle," Cambridge Books, Cambridge University Press, number 9780521850254, December.
  2. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6.

2000

  1. Chiarella,Carl & Flaschel,Peter, 2000. "The Dynamics of Keynesian Monetary Growth," Cambridge Books, Cambridge University Press, number 9780521643511, December.
  2. Barnett,William A. & Chiarella,Carl & Keen,Steve & Marks,Robert & Schnabl,Hermann (ed.), 2000. "Commerce, Complexity, and Evolution," Cambridge Books, Cambridge University Press, number 9780521620307, December.