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Christina Nikitopoulos-Sklibosios

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Personal Details

First Name: Christina
Middle Name:
Last Name: Nikitopoulos-Sklibosios
Suffix:

RePEc Short-ID: pni44

Email:
Homepage: http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=353
Postal Address: PO Box 123 Broadway NSW 2007 Australia
Phone: +61 2 9514 7769

Affiliation

(50%) Finance Discipline Group
Business School
University of Technology Sydney
Location: Sydney, Australia
Homepage: http://www.business.uts.edu.au/finance/
Email:
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Postal: PO Box 123, Broadway, NSW 2007
Handle: RePEc:edi:sfutsau (more details at EDIRC)
(50%) Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney
Location: Sydney, Australia
Homepage: http://www.business.uts.edu.au/qfrc/
Email:
Phone: +61 2 9514-7777
Fax: +61 2 9514-7711
Postal: PO Box 123, Broadway, NSW 2007
Handle: RePEc:edi:qfutsau (more details at EDIRC)

Works

as in new window

Working papers

  1. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 336, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012. "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 305, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. 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, Quantitative Finance Research Centre, University of Technology, Sydney 308, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2011. "Credit Derivative Pricing with Stochastic Volatility Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 293, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 283, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 242, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. 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, Quantitative Finance Research Centre, University of Technology, Sydney 198, 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, Quantitative Finance Research Centre, University of Technology, Sydney 167, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 135, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 132, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003. "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003, Society for Computational Economics 201, Society for Computational Economics.

Articles

  1. 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., World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1350019-1-1.
  2. 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, Elsevier, vol. 40(C), pages 989-1000.
  3. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(1), pages 23-37.
  4. 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, Taylor & Francis Journals, vol. 14(5), pages 365-399.
  5. 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., World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202.
  6. Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer, Springer, vol. 10(2), pages 87-127, September.

Books

  1. 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, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (1) 2013-10-02
  2. NEP-BAN: Banking (1) 2011-11-14
  3. NEP-BEC: Business Economics (1) 2012-09-03
  4. NEP-CMP: Computational Economics (2) 2005-10-29 2009-03-14
  5. NEP-ENE: Energy Economics (1) 2012-09-03
  6. NEP-FMK: Financial Markets (2) 2011-11-14 2013-10-02
  7. NEP-MAC: Macroeconomics (2) 2004-11-22 2005-10-29
  8. NEP-MON: Monetary Economics (1) 2005-01-10
  9. NEP-ORE: Operations Research (2) 2010-09-03 2011-11-14
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2012-04-17

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