Quantitative Finance Research Centre, University of Technology, Sydney
Research Paper Series
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2013
- 328 Investigating Time-Efficient Methods to Price Compound Options in the Heston Model
by Carl Chiarella & Susanne Griebsch - 327 Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics
by Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi - 326 As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures
by Hazel Bateman & Isabella Dobrescu & Ben R. Newell & Andreas Ortmann & Susan Thorp - 325 Liability Driven Investments under a Benchmark Based Approach
by Jan Baldeaux & Eckhard Platen - 324 Credit Derivative Evaluation and CVA under the Benchmark Approach
by Jan Baldeaux & Eckhard Platen - 323 Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds
by Edgardo Cayon & Susan Thorp
2012
- 322 The Affine Nature of Aggregate Wealth Dynamics
by Eckhard Platen & Renata Rendek - 321 Modeling of Oil Prices
by Ke Du & Eckhard Platen & Renata Rendek - 320 Forecasting Bank Leverage
by Gerhard Hambusch & Sherrill Shaffer - 319 Local Risk-Minimization under the Benchmark Approach
by Francesca Biagini & Alessandra Cretarola & Eckhard Platen - 318 A Tractable Model for Indices Approximating the Growth Optimal Portfolio
by Jan Baldeaux & Katja Ignatieva & Eckhard Platen - 317 Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
by Ingo Beyna & Carl Chiarella & Boda Kang - 316 Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
by Xue-Zhong He - 315 An Evolutionary CAPM Under Heterogeneous Beliefs
by Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li - 314 Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
by Kristoffer Glover & Gerhard Hambusch - 313 Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition
by Michael Gnewuch & Jan Baldeaux - 312 Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
by Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang - 311 Fractal Market Time
by James McCulloch - 310 Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets
by Erik Schlogl & Yang Chang - 309 A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model
by Susanne Griebsch & Kay Pilz - 308 Humps in the Volatility Structure of the Crude Oil Futures Market
by Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To - 307 Quasi-Monte Carol Methods for the Heston Model
by Jan Baldeaux & Dale Roberts - 306 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
by Jan Baldeaux & Alexander Badran - 305 Alternative Term Structure Models for Reviewing Expectations Puzzles
by Christina Nikitopoulos-Sklibosios & Eckhard Platen - 304 Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
by Carl Chiarella & Chi-Fai Lo & Ming Xi Huang - 303 Heterogeneous Beliefs and the Cross-Section of Asset Returns
by Xue-Zhong He & Lei Shi - 302 Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs
by Xue-Zhong He & Lei Shi & Min Zheng - 301 Heterogeneous Beliefs and the Performances of Optimal Portfolios
by Xue-Zhong He & Lei Shi - 300 Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods
by Stephen Satchell & Susan Thorp & Oliver Williams - 299 Particle Filters for Markov Switching Stochastic Volatility Models
by Yun Bao & Carl Chiarella & Boda Kang
2011
- 298 Stochastic Correlation and Risk Premia in Term Structure Models
by Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To - 297 The Small and Large Time Implied Volatilities in the Minimal Market Model
by Zhi Guo & Eckhard Platen - 296 Three-Benchmarked Risk Minimization for Jump Diffusion Markets
by Ke Du & Eckhard Platen - 295 Three-Dimensional Brownian Motion and the Golden Ratio Rule
by Kristoffer Glover & Hardy Hulley & Goran Peskir - 294 Limit Distribution of Evolving Strategies in Financial Markets
by Carl Chiarella & Corrado Di Guilmi - 293 Credit Derivative Pricing with Stochastic Volatility Models
by Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios - 292 Two Stochastic Volatility Processes - American Option Pricing
by Carl Chiarella & Jonathan Ziveyi - 291 Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
by Xue-Zhong He & Kai Li - 290 Estimating Behavioural Heterogeneity Under Regime Switching
by Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng - 289 Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics
by Eckhard Platen & Stefan Tappe - 288 The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching
by Carl Chiarella & Les Clewlow & Boda Kang - 287 A Modern View on Merton's Jump-Diffusion Model
by Gerald Cheang & Carl Chiarella
2010
- 286 Calibration of Multicurrency LIBOR Market Models
by Kay Pilz & Erik Schlogl - 285 Adaptive Forecasting of Exchange Rates with Panel Data
by Leonardo Morales-Arias & Alexander Dross - 284 Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index
by Katja Ignatieva & Eckhard Platen & Renata Rendek - 283 Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
by Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios - 282 Simulation of Diversified Portfolios in a Continuous Financial Market
by Eckhard Platen & Renata Rendek - 281 Approximating the Numeraire Portfolio by Naive Diversification
by Eckhard Platen & Renata Rendek - 280 M6 - On Minimal Market Models and Minimal Martingale Measures
by Hardy Hulley & Martin Schweizer - 279 The Economic Plausibility of Strict Local Martingales in Financial Modelling
by Hardy Hulley - 278 Small Traders in Currency Futures Markets Format
by Carl Chiarella & Andreas Rothig - 277 A Survey of Non-linear Methods for No-arbitrage Bond Pricing
by Carl Chiarella & Chih-Ying Hsiao & Ming Xi Huang - 276 Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications
by Carl Chiarella & Chih-Ying Hsiao - 275 Time-Varying Beta: A Boundedly Rational Equilibrium Approach
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 274 Lie Symmetry Methods for Multidimensional Linear, Parabolic PDES and Diffusions
by Mark Craddock & Kelly A. Lennox - 273 The Financial Instability Hypothesis:a Stochastic Microfoundation Framework
by Carl Chiarella & Corrado Di Guilmi - 272 Option Valuation in Multivariate SABR Models
by J?rg Kienitz & Manuel Wittke - 271 Differences in Opinion and Risk Premium
by Xue-Zhong He & Lei Shi - 270 Equity-Linked Pension Schemes with Guarantees
by J. Aase Nielsen & Klaus Sandmann & Erik Schlogl - 269 The British Russian Option
by Kristoffer Glover & Goran Peskir & Farman Samee - 268 Dynamics of Moving Average Rules in a Continuous-time Financial Market Model
by Xue-Zhong He & Min Zheng - 267 Financialization, Crisis and Commodity Correlation Dynamics
by Annastiina Silvennoinen & Susan Thorp - 266 The Evaluation Of Barrier Option Prices Under Stochastic Volatility
by Carl Chiarella & Boda Kang & Gunter H. Meyer
2009
- 265 Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
by Katja Ignatieva & Eckhard Platen - 264 Simulation of Diversified Portfolios in a Continuous Financial Market
by Eckhard Platen & Renata Rendek - 263 A Visual Criterion for Identifying Ito Diffusions as Martingalesor Strict Local Martingales
by Hardy Hulley & Eckhard Platen - 262 Real World Pricing of Long Term Contracts
by Eckhard Platen - 261 A Hybrid Commodity and Interest Rate
by Kay Pilz & Erik Schlogl - 260 Modelling and Estimating the Forward Price Curve in the Energy Market
by Carl Chiarella & Les Clewlow & Boda Kang - 259 Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes
by Eckhard Platen & Renata Rendek - 258 Quasi-exact Approximation of Hidden Markov Chain Filters
by Eckhard Platen & Renata Rendek - 257 On Fair Pricing of Emission-Related Derivatives
by Juri Hinz & Alex Novikov - 256 An Analysis of American Options under Heston Stochastic Volatility and Jump-Diffusion Dynamics
by Gerald Cheang & Carl Chiarella & Andrew Ziogas - 255 Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
by Carl Chiarella & Viviana Fanelli & Silvana Musti - 254 A Framework for CAPM with Heterogenous Beliefs
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 253 A Benchmark Approach to Investing and Pricing
by Eckhard Platen - 252 Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs
by Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng - 251 A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
by Carl Chiarella & Xue-Zhong He & Paolo Pellizzari - 250 Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales
by Wolfgang Breymann & David L?thi & Eckhard Platen - 249 The British Asian Option
by Kristoffer Glover & Goran Peskir & Farman Samee - 248 Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement
by Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen - 247 Asset Markets and Monetary Policy
by Eckhard Platen & Willi Semmler - 246 On Explicit Probability Laws for Classes of Scalar Diffusions
by Mark Craddock & Eckhard Platen - 245 The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
by Carl Chiarella & Boda Kang - 244 Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs
by Xue-Zhong He & Lei Shi - 243 Heterogeneous Expectations and Exchange Rate Dynamics
by Carl Chiarella & Xue-Zhong He & Min Zheng - 242 Alternative Defaultable Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl
2008
- 241 Viability of Markets with an Infinite Number of Assets
by Constantinos Kardaras - 240 Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies
by Constantinos Kardaras & Eckhard Platen - 238 A Visual Classification of Local Martingales
by Hardy Hulley & Eckhard Platen - 237 Real World Pricing for a Modified Constant Elasticity of Variance Model
by Shane M Miller & Eckhard Platen - 235 Exchange Options Under Jump-Diffusion Dynamics
by Gerald H. L. Cheang & Carl Chiarella - 234 On the Numerical Stability of Simulation Methods for SDES
by Eckhard Platen & Lei Shi - 233 Heterogeneity, Bounded Rationality and Market Dysfunctionality
by Xue-Zhong He & Lei Shi - 232 Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
by Carl Chiarella & Viviana Fanelli & Silvana Musti - 231 Heterogeneity, Market Mechanisms, and Asset Price Dynamics
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 230 Minimizing the Expected Market Time to Reach a Certain Wealth Level
by Constantinos Kardaras & Eckhard Platen - 229 On Honest Times in Financial Modeling
by Ashkan Nikeghbali & Eckhard Platen - 228 Distributional Deviations in Random Number Generation in Finance
by Sergio Chavez & Eckhard Platen - 227 A Unifying Approach to Asset Pricing
by Eckhard Platen - 226 A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
by Leo Krippner - 225 Quadratic Hedging of Basis Risk
by Hardy Hulley & T. A. McWalter - 224 A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse
by Allan Brace & Mark Lauer & Milo Rado - 223 Pricing Financial Derivatives on Weather Sensitive Assets
by Jerzy Filar & Boda Kang & Malgorzata Korolkiewicz - 222 Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
by Nicola Bruti-Liberati & Eckhard Platen - 221 Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach
by T. Marquardt & Eckhard Platen & S. Jaschke - 220 Modelling Adverse Selection on Electronic Order-Driven Markets
by Louis R. Mercorelli & David Michayluk & Anthony D. Hall - 219 The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines
by Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas - 218 Hedge Portfolios in Markets with Price Discontinuities
by Gerald H.L. Cheang & Carl Chiarella - 217 The Toll of Subrational Trading in an Agent Based Economy
by Paolo Pellizzari - 216 Analytic Pricing of Contingent Claims Under the Real-World Measure
by Shane Miller & Eckhard Platen - 215 The Law of Minimum Price
by Eckhard Platen - 214 Hedging for the Long Run
by Eckhard Platen & Hardy Hulley - 213 On Financial Markets where only Buy-And-Hold Trading is Possible
by Constantinos Kardaras & Eckhard Platen
2007
- 212 Some Effects of Transaction Taxes Under Different Microstructures
by Paolo Pelizzari & Frank Westerhoff - 211 The Private Value of Public Pensions
by Konstantin Petrichev & Susan Thorp - 210 Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts
by Stephen Satchell & Susan Thorp - 209 Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments
by Stephen Satchell & Susan Thorp - 208 The Stochastic Dynamics of Speculative Prices
by Carl Chiarella & Xue-Zhong He & Min Zheng - 207 The History of the Quantitative Methods in Finance Conference Series. 1992-2007
by Carl Chiarella & Eckhard Platen - 206 Optimal Dispatch in Electricity Markets
by Vladimir Kazakov & Anatoly M. Tsirlin - 205 Martingales and First Passage Times of AR(1) Sequences
by Alex Novikov & Nino Kordzakhia - 204 A Causal Framework for Credit Default Theory
by Wilson Sy - 203 Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options
by Hardy Hulley & Eckhard Platen - 202 Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model
by Samson Assefa - 201 Optimal VWAP Trading Strategy and Relative Volume
by James McCulloch & Vladimir Kazakov - 200 Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations
by Hazel Bateman & Susan Thorp - 199 Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy
by Jian Gao & Gang Gong & Xue-Zhong He - 198 Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen - 197 Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model
by Samson Assefa - 196 Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
by Jennifer Chan & Boris Choy & Udi Makov - 195 Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
by Uwe K?chler & Eckhard Platen - 194 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
by Eckhard Platen & Renata Rendek - 193 Pricing of Defaultable Securities under Stochastic Interest
by Nina Kordzakhia & Alex Novikov - 192 Intertemporal Investment Strategies under Inflation Risk
by Carl Chiarella & Chih-Ying Hsiao & Willi Semmler - 191 A Benchmark Approach to Portfolio Optimization under Partial Information
by Eckhard Platen & Wolfgang Runggaldier - 190 Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing
by Erik Schl?gl & Lutz Schl?gl - 189 Consistent Market Extensions under the Benchmark Approach
by Damir Filipovic & Eckhard Platen - 188 On the Group Level Swiss Solvency Test
by Damir Filipovic & Michael Kupper - 187 Optimal Numeraires for Risk Measures
by Damir Filipovic
2006
- 186 Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 185 On the Pricing and Hedging of Long Dated Zero Coupon Bonds
by Eckhard Platen - 184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
by Truc Le & Eckhard Platen - 183 Lie Group Symmetries as Integral Transforms of Fundamental Solutions
by Mark Craddock & Kelly A Lennox - 182 Valuation of Options in a Setting with Happiness-Augmented Preferences
by Stephen Satchell & Vincenzo Merella - 181 Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation
by Stephen Satchel & Wei Xia - 180 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
by Truc Le & Eckhard Platen - 179 On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
by Nicola Bruti-Liberati & Eckhard Platen - 178 On a Solution of the Optimal Stopping Problem for Processes with Independent Increments
by Alexander Novikov & Albert Shiryaev - 177 Information processing and measures of integration: New York, London and Tokyo
by Susan Thorp & George Milunovich - 176 Approximation of Jump Diffusions in Finance and Economics
by Nicola Bruti-Liberati & Eckhard Platen - 175 Volatility Forecast Comparison using Imperfect Volatility Proxies
by Andrew Patton - 174 American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
by Carl Chiarella & Andrew Ziogas - 173 Hedging, Speculation, and Investment in Balance-Sheet Triggered Currency Crises
by Andreas R?thig & Willi Semmler & Peter Flaschel - 172 Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
by Andreas R?thig & Carl Chiarella
2005
- 171 The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
by Carl Chiarella & Chih-Ying Hsiao - 170 Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps
by Morten Christensen & Eckhard Platen - 169 Parameterizing Unconditional Skewness in Models for Financial Time Series
by Changli He & Annastiina Silvennoinen & Timo Ter?svirta - 168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
by Annastiina Silvennoinen & Timo Ter?svirta - 167 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl - 166 Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
by Carl Chiarella & Roberto Dieci & Xue-Zhong He - 165 Panel Smooth Transition Regression Models
by Andres Gonzalez & Timo Terasvirta & Dick van Dijk - 164 On the Strong Approximation of Pure Jump Processes
by Nicola Bruti-Liberati & Eckhard Platen - 163 Investments for the Short and Long Run
by Eckhard Platen - 162 Market Mood, Adaptive Beliefs and Asset Price Dynamics
by Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He - 161 Decentralised Portfolio Management: Analysis of Australian Accumulation Funds
by Hazel Bateman & Susan Thorp - 160 Asymmetric Risk and International Portfolio Choice
by Susan Thorp & George Milunovich - 159 Inferential Expectations
by Gordon Menzies & Daniel John Zizzo - 158 Butter Mountains, Milk Lakes and Optimal Price Limiters
by Ned Corron & Xue-Zhong He & Frank Westerhoff - 157 On the Strong Approximation of Jump-Diffusion Processes
by Nicola Bruti-Liberati & Eckhard Platen - 156 A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
by Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen - 155 Benchmarking and Fair Pricing Applied to Two Market Models
by Hardy Hulley & Shane Miller & Eckhard Platen - 154 Currency Derivatives under a Minimal Market Model with Random Scaling
by David Heath & Eckhard Platen - 153 On the Distributional Characterization of Log-returns of a World Stock Index
by Kevin Fergusson & Eckhard Platen - 152 The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
by Carl Chiarella & Giulia Iori - 151 The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
by Carl Chiarella & Hing Hung & Thuy-Duong To - 150 The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
by Carl Chiarella & Thuy-Duong To - 148 Long Memory, Heterogeneity and Trend Chasing
by Xue-Zhong He & Youwei Li - 147 Heterogeneity, Profitability and Autocorrelations
by Xue-Zhong He & Youwei Li - 146 Relative Volume as a Doubly Stochastic Binomial Point Process
by James McCulloch - 145 Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions
by Carl Chiarella & Andrew Ziogas - 144 On the Role of the Growth Optimal Portfolio in Finance
by Eckhard Platen
2004
- 149 A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
by Thuy-Duong To - 143 Capital Asset Pricing for Markets with Intensity Based Jumps
by Eckhard Platen - 142 Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
by Carl Chiarella & Xue-Zhong He & Duo Wang - 141 A Behavioural Asset Pricing Model with a Time-Varying Second Moment
by Carl Chiarella & Xue-Zhong He & Duo Wang - 140 An Intraday Empirical Analysis of Electricity Price Behaviour
by Eckhard Platen & Jason West & Wolfgang Breymann - 139 A General Benchmark Model for Stochastic Jump Sizes
by Morten Christensen & Eckhard Platen - 138 A Benchmark Approach to Finance
by Eckhard Platen - 137 Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
by Martin T. Bohl & Pierre Siklos - 136 Commodity Markets, Price Limiters and Speculative Price Dynamics
by Xue-Zhong He & Frank H. Westerhoff - 135 A Markovian Defaultable Term Structure Model with State Dependent Volatilities
by Carl Chiarella & Erik Schl?gl & Christina Nikitopoulos-Sklibosios - 134 Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents
by Carl Chiarella & Roberto Dieci & Laura Gardini - 133 A Dynamic Analysis of Moving Average Rules
by Carl Chiarella & Xue-Zhong He & Cars Hommes - 132 A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
by Carl Chiarella & Christina Nikitopoulos-Sklibosios - 131 On an Effective Solution of the Optimal Stopping Problem for Random Walks
by Alexander Novikov & Albert Shiryaev - 130 Two-Factor Model for Low Interest Rate Regimes
by Shane Miller & Eckhard Platen - 129 Diversified Portfolios with Jumps in a Benchmark Framework
by Eckhard Platen - 128 Understanding the Implied Volatility Surface for Options on a Diversified Index
by David Heath & Eckhard Platen - 127 Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range
by Charles Corrado & Cameron Truong