Access Statistics for Carl Chiarella

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A Behavioural Asset Pricing Model with a Time-Varying Second Moment 0 0 0 147 9 12 13 498
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 1 126 5 6 8 312
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 3 7 7 438
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 375 5 12 13 996
A Complete Stochastic Volatility Model in the HJM Framework 0 0 0 302 0 6 9 668
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 4 7 9 1,497
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets 0 0 0 55 0 0 0 200
A Dynamic Analysis of Moving Average Rules 0 0 2 498 5 9 17 1,532
A Dynamic Analysis of Moving Average Rules 0 1 1 653 4 8 9 2,065
A Dynamic Analysis of Moving Average Rules 0 0 0 134 3 11 12 526
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 3 4 5 240
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 4 6 9 276
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 4 10 12 291
A Dynamical Analysis of Moving Average Rules 0 0 0 9 3 6 7 1,649
A Framework for CAPM with Heterogenous Beliefs 0 0 2 219 0 1 6 504
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 4 7 9 489
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 1 278 4 8 11 817
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 1 2 2 117
A Modern View on Merton's Jump-Diffusion Model 1 2 2 194 2 8 15 495
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 4 4 4 217
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 4 4 6 640
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 2 2 3 346
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 4 4 5 185
A Survey of Non-linear Methods for No-arbitrage Bond Pricing 0 0 0 88 0 0 1 133
A Survey of the Integral Representation of American Option Prices 0 0 1 349 3 8 12 729
A simple microstructure model of double auction markets 0 0 0 0 4 9 10 519
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 3 4 6 210
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 3 4 6 362
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 1 136 4 5 7 327
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 1 557 3 4 9 1,337
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 12 14 16 375
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 234 4 4 6 682
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 0 0 161 3 3 5 362
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 5 9 12 229
An Implementation of the Shirakawa Jump-Diffusion Term Structure Model 0 0 0 1 3 4 4 237
Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation 0 0 0 303 6 9 10 1,107
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 3 6 7 92
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 1 1 3 242
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 2 5 6 319
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 0 0 220 6 8 9 510
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 178 5 10 10 468
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 3 5 6 793
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 1 5 7 300
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 3 5 6 229
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 0 43 2 5 6 177
Classes of Interest Rate Models Under the HJM Framework 0 1 3 410 2 6 10 1,212
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 1 1 1 3,682 4 11 16 10,643
Continuous Time Model Estimation 0 0 0 447 5 8 8 1,274
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 6 11 13 225
Determinants of Corporate Capital Structure: Australian Evidence 0 0 0 410 5 5 8 1,321
Developments in Nonlinear Economic Dynamics: Past, Present and Future 0 0 0 87 5 7 7 206
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives 0 0 0 76 0 1 2 245
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 0 45 6 8 11 237
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 3 4 7 299
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 90 1 1 1 288
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 7 8 11 318
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 0 0 375 4 5 7 1,002
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 0 89 6 10 14 353
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 1 2 2 157
Evaluation of American Strangles 0 0 0 107 3 3 4 304
Evaluation of American Strangles 0 0 0 149 4 5 7 1,301
Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques 0 0 0 115 5 11 11 382
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 2 2 2 361
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 3 5 8 287
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 3 7 8 800
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 3 5 5 289
Filtering Equity Risk Premia From Derivative Prices 0 0 0 154 2 2 2 464
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model 0 0 0 89 5 8 10 329
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 75 8 12 16 255
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 1 2 293 4 9 17 650
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 5 7 10 497
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model 0 0 0 419 4 4 4 1,255
Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model 0 0 0 69 3 8 9 286
Heterogeneous Expectations and Exchange Rate Dynamics 0 0 1 97 5 12 14 195
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 0 114 4 7 9 350
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 0 85 48 70 71 309
Humps in the Volatility Structure of the Crude Oil Futures Market 0 1 1 65 2 8 10 240
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 2 3 7 525
Interacting Two-Country Business Fluctuations 0 0 0 35 4 6 7 174
Interacting Two-Country Business Fluctuations 0 0 0 61 2 4 6 329
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 5 7 8 561
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 5 7 8 219
Intertemporal Investment Strategies Under Inflation Risk 1 2 4 226 4 7 13 914
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 116 6 12 15 395
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 5 10 11 15
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 1 4 7 96
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 14 7 10 11 111
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 4 8 8 21
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 1 5 5 10
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models 0 0 0 0 2 2 2 6
Issues in Evaluating Multifactor Options in a PDE Framework 0 0 0 1 1 2 3 258
Keynes-Metzler-Goodwin Model Building: The Closed Economy 0 0 1 227 0 2 4 722
Keynesian AD-AS, Quo Vadis? 0 0 0 152 3 7 10 551
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 4 6 7 397
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 0 110 4 8 10 514
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 0 143 3 4 6 596
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 1 111 3 6 9 609
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 7 13 13 359
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 12 13 14 771
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 3 6 6 137
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 3 4 5 310
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 1 94 7 10 15 243
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 177 4 7 8 627
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 4 5 6 119
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 2 5 6 159
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 0 1 291 1 1 4 807
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 3 8 9 310
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 120 4 5 6 483
Modeling the Currency Forward Risk Premium: Theory and Evidence 1 1 1 426 1 4 4 1,674
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 1 1 3 109
Modelling and Estimating the Forward Price Curve in the Energy Market 1 1 6 252 3 3 14 609
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 1 2 160 4 6 12 391
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model 0 0 0 109 2 4 6 325
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 1 117 4 9 11 348
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 0 1 502 7 7 12 996
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 6 10 13 148
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 4 5 7 173
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics 0 0 0 46 6 7 7 227
Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model 0 0 0 105 1 6 11 299
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 2 4 6 150
Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility 0 0 0 0 1 1 1 652
Numerical Methods for American Spread Options under Jump Diffusion Processes 0 0 0 0 2 3 4 673
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 1 1 1 66 6 7 8 234
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 4 4 6 250
On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics 0 0 0 9 1 1 1 145
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications 0 0 0 90 3 4 8 232
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 5 10 11 609
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 6 8 11 1,413
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 2 5 5 346
Output, Financial Markets and Growth 0 0 0 76 1 2 3 209
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 1 2 4 129
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 2 122 4 7 19 281
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 0 70 2 2 2 362
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 1 3 4 838
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 0 0 1 567
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 1 1 1 539
Pricing American Options under Regime Switching Using Method of Lines 0 0 1 39 1 3 6 103
Pricing American Options under Stochastic Volatility 0 0 0 3 2 4 6 443
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 2 2 7 383
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 0 0 1 172 3 6 9 451
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 1 100 3 4 5 376
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 1 3 4 540
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 0 47 0 0 1 200
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 2 2 5 112 3 8 12 280
Small Traders in Currency Futures Markets 0 0 1 62 3 6 8 195
Solving the Price-Earnings Puzzle 0 0 0 124 5 8 14 417
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 5 7 9 258
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 1 1 2 111 4 9 14 382
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 0 0 0 47 3 5 7 168
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 92 2 5 11 298
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 0 213 3 5 5 599
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 144 5 8 9 449
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 76 2 3 4 202
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 6 6 8 120
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 4 10 10 466
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 2 2 4 808
THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER 0 0 0 3 1 2 2 524
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays 0 0 0 35 2 5 8 177
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 4 2 2 2 132
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 0 1 389 3 5 11 912
The Dynamics of Speculative Behaviour 0 1 5 318 4 7 22 714
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 5 6 6 137
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 1 180 1 4 5 465
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 5 6 7 363
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 1 119 4 6 10 392
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 4 4 8 586
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 3 3 3 169
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 4 5 9 337
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 1 2 363
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 5 8 10 94
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 38 3 4 10 174
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 2 25 26 459
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 90 2 4 4 370
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 85 2 2 3 454
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 0 176 4 7 8 520
The Macrodynamics of Debt Deflation 0 0 1 427 5 5 8 1,053
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 4 7 7 933
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 3 5 5 341
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 5 8 8 593
The Return-Volatility Relation in Commodity Futures Markets 0 0 0 200 3 3 6 302
The Stochastic Dynamics of Speculative Prices 0 0 0 99 1 2 4 316
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 0 130 2 3 5 239
The Valuation of Multiple Asset American Options under Jump Diffusion Processes 0 0 0 4 4 4 4 406
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach 0 0 0 285 2 2 3 829
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 4 4 4 170
The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach 0 0 0 197 1 2 2 983
Time-Varying Beta: A Boundedly Rational Equilibrium Approach 0 0 0 101 4 10 12 279
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 0 46 2 3 3 130
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 0 43 4 6 7 237
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 0 10 2 3 3 179
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 5 5 6 375
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 0 88 2 3 3 340
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 0 3 3 346
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 1 40 1 4 6 208
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 0 217 4 9 14 594
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 3 5 6 180
Type I Spurious Regression in Econometrics 0 0 0 163 3 5 8 596
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 0 0 72 3 3 4 192
Total Working Papers 9 17 64 28,057 703 1,180 1,573 99,648

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 142 4 5 8 422
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 1 33 5 5 7 212
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 4 6 9 112
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 0 2 3 12
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 2 2 3 16
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 2 3 5 114
A behavioral asset pricing model with a time-varying second moment 0 0 0 1 5 10 10 16
A behavioural model of investor sentiment in limit order markets 0 0 0 12 2 3 4 52
A dynamic analysis of moving average rules 0 0 1 216 2 7 12 677
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 3 5 6 110
A simulation analysis of the microstructure of double auction markets 1 4 22 290 6 17 47 565
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 5 5 7 201
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 4 8 14 33
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 1 3 3 17
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 3 3 5 178
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 1 3 3 193
An analysis of the cobweb model with boundedly rational heterogeneous producers 1 1 1 47 5 9 12 251
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 1 7 7 185
An evolutionary CAPM under heterogeneous beliefs 0 0 2 31 1 3 9 169
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 3 6 8 261
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 1 1 87 2 6 11 269
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 4 6 9 103
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 2 4 2 2 5 14
Book Reviews 0 0 0 0 1 1 1 3
Book Reviews 0 0 0 1 2 2 2 10
Book reviews 0 0 0 7 5 8 9 69
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 2 1 1 1 22
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 0 1 15 3 8 12 74
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 2 5 7 293
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 1 1 2 41
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 1 20 2 6 8 63
Do heterogeneous beliefs diversify market risk? 0 0 0 24 5 6 7 125
Does the market maker stabilize the market? 0 0 1 30 6 8 10 164
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 3 3 4 7
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 2 6 8 80
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 0 47 5 7 8 236
Economic dynamics: Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper) 0 1 3 180 1 2 4 566
Editorials 0 0 0 0 0 1 1 38
Estimating behavioural heterogeneity under regime switching 0 0 0 23 1 2 7 118
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 2 3 5 392
Evaluation of American strangles 0 0 0 61 1 4 5 234
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 28 2 3 3 111
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 23 1 4 4 113
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 4 7 8 310
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 1 30 3 5 8 118
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 1 4 8 260
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 3 8 11 361
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 1 1 3 44
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 4 5 6 1,198
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 0 46 7 9 12 199
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 7 8 9 509
Heterogeneous expectations and exchange rate dynamics 0 0 0 24 2 3 7 103
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 0 73 3 5 9 230
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 1 27 3 9 19 115
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 1 2 5 101
Humps in the volatility structure of the crude oil futures market: New evidence 0 0 0 11 4 14 17 104
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 1 2 3 19
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 0 1 2 139
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 1 224 2 3 4 763
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 1 2 4 296
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 0 144 4 4 7 662
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 2 4 13 172
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 1 3 2 7 9 32
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 1 21 7 10 13 176
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 2 2 2 52 7 9 15 230
Keynesian monetary growth dynamicsin open economies 0 0 0 0 0 1 2 12
Learning, information processing and order submission in limit order markets 0 0 0 22 3 10 13 134
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 6 6 8 107
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 0 1 27 3 4 6 75
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 1 4 4 149
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 3 45 3 3 10 160
Moving average rules as a source of market instability 0 0 0 10 2 3 7 78
On the Economics of International Fisheries 0 0 0 37 3 5 7 116
Option Valuation: Some Empirical Results 0 0 0 1 2 2 3 19
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 15 2 4 8 84
Preface 0 0 0 3 2 3 3 20
Pricing American options written on two underlying assets 0 0 2 12 2 2 6 49
Pricing range notes within Wishart affine models 0 0 0 8 4 5 5 59
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 3 3 4 137
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 3 5 9 185
Small traders in currency futures markets 0 0 1 5 1 1 5 33
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 1 2 2 169
Speculative behaviour and complex asset price dynamics: a global analysis 0 0 0 116 2 2 3 317
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 0 50 1 2 5 219
Stochastic correlation and risk premia in term structure models 0 0 0 5 2 3 3 60
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 10 12 14 1,311
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 40 4 5 8 170
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 3 3 4 95
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 1 40 4 5 9 127
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 2 4 4 9 13 36
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 1 2 3 28
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 12 13 14 31
The Dynamic Interaction of Speculation and Diversification 0 0 0 59 8 9 11 259
The Fiscal Cost of Financial Instability 1 1 2 43 7 9 11 147
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 1 2 2 149
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 4 8 10 141
The Return–Volatility Relation in Commodity Futures Markets 0 0 3 9 5 9 15 95
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 4 4 8 90
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 5 9 9 51
The cobweb model: Its instability and the onset of chaos 0 1 2 192 5 6 9 527
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 0 45 8 10 12 163
The dynamic behaviour of workers' enterprises 0 0 0 4 1 1 2 27
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 0 18 1 1 1 72
The financial instability hypothesis: A stochastic microfoundation framework 0 0 1 139 1 2 5 416
The impact of heterogeneous trading rules on the limit order book and order flows 1 3 6 26 2 6 19 106
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 5 7 8 31
The limit distribution of evolving strategies in financial markets 0 1 1 14 6 10 12 69
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options 0 0 0 0 1 2 6 6
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 5 8 10 59
The stochastic bifurcation behaviour of speculative financial markets 0 1 1 10 5 15 20 67
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 1 90 2 4 7 245
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 3 5 5 184
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 6 8 10 138
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 2 118 7 7 12 420
Volatility swaps and volatility options on discretely sampled realized variance 0 0 1 28 3 9 15 111
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 0 0 1 6 3 7 13 61
Total Journal Articles 6 16 74 5,327 364 606 917 20,696
2 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Derivative Security Pricing 0 0 1 1 1 5 15 62
Financial Assets, Debt and Liquidity Crises 0 0 0 0 2 3 4 92
Financial Assets, Debt and Liquidity Crises 0 0 0 0 1 1 4 57
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 1 8 162
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 1 1 5 87
Nonlinear Oligopolies 0 0 0 1 2 4 6 22
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 1 2 41
The Dynamics of Keynesian Monetary Growth 0 0 0 0 1 2 2 84
The Dynamics of Keynesian Monetary Growth 0 0 0 0 1 2 2 94
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 0 0 3 48 0 0 7 176
Total Books 0 0 4 50 9 20 55 877

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A High-Dimensional Model of Real-Financial Market Interaction: The Cascade of Stable Matrices Approach 0 0 0 1 4 5 6 7
A Numerical Approach to Pricing American Call Options under SVJD 0 0 3 7 2 3 8 58
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 0 0 2 2
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 1 2 4
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 5 6 8 25
American Call Options under Jump-Diffusion Processes 0 0 0 5 1 1 1 44
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 1 1 1 6 3 4 5 37
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 2 3 3 7
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 1 4 5 7
An Initial Attempt at Pricing an Option 0 0 0 0 1 5 6 9
Applying the General Pricing Framework 0 0 0 0 3 7 7 8
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 2 5 7 11
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 1 3 3 7
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 0 2 5 8
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 1 2 2 6
Change of Numeraire 0 0 0 0 2 3 5 32
Concave Oligopolies 0 0 0 0 0 0 2 3
Concluding Remarks 0 0 0 0 6 6 7 9
Conclusion 0 0 0 0 4 4 4 36
Continuous and Discrete Time Modeling 0 0 0 0 1 2 3 12
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 3 4 5 12
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 3 3 7 11
Fourier Cosine Expansion Approach 0 0 1 11 7 7 11 57
General Oligopolies 0 0 0 0 0 0 1 1
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 2 2 6 15
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 2 6 9 14
Introduction 0 0 0 0 1 1 3 6
Introduction 0 0 1 2 0 0 1 30
Introduction 0 0 0 0 1 2 4 5
Ito’s Lemma and Its Applications 0 0 0 1 0 0 5 71
Jump-Diffusion Processes 0 0 0 0 1 2 3 15
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy 0 0 0 1 1 3 3 5
Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics 0 0 0 0 1 2 3 6
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 2 3 4 7
Modelling Interest Rate Dynamics 0 0 0 0 0 3 4 12
Modified and Extended Oligopolies 0 0 0 0 1 2 3 3
Oligopolies with Misspecified and Uncertain Price Functions, and Learning 0 0 0 0 0 2 2 3
On Filtering in Markovian Term Structure Models 0 0 0 1 2 3 4 25
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 2 2 3 5
Overview and Directions for Future Research 0 0 0 0 0 1 2 3
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 1 2 3 9
Portfolio Modeling with Sustainability Constraints 0 0 0 0 3 3 6 10
Pricing Derivative Securities: A General Approach 0 0 0 0 2 4 7 66
Pricing Options Using Binomial Trees 0 0 0 0 1 5 5 12
Pricing the American Feature 0 0 0 0 3 9 10 14
Representation and Numerical Approximation of American Option Prices under Heston 0 0 1 9 4 6 9 40
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms 0 0 0 0 0 0 0 0
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment 0 0 0 0 2 3 3 4
Stochastic Processes for Asset Price Modelling 0 0 0 0 0 1 3 10
Stochastic Volatility 0 0 0 0 1 6 7 11
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 1 3 5 6
The Classical Cournot Model 0 0 0 0 1 3 4 12
The Continuous Hedging Argument 0 0 0 0 3 4 5 12
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 0 3 6 10
The Heath–Jarrow–Morton Framework 0 0 0 0 2 7 10 21
The LIBOR Market Model 0 0 0 0 0 0 1 8
The Martingale Approach 0 0 0 0 2 4 4 11
The Merton and Heston Model for a Call 0 0 1 3 4 4 7 38
The Paradigm Interest Rate Option Problem 0 0 0 0 4 7 7 19
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 1 1 2 10
The Stochastic Differential Equation 0 0 1 2 2 4 7 13
The Stock Option Problem 0 0 0 0 5 6 6 14
The macrodynamics of debt deflation 0 0 0 14 2 5 6 60
Volatility Smiles 0 0 0 0 2 5 6 10
Total Chapters 1 1 9 63 114 209 303 1,058

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