Working Paper |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Behavioural Asset Pricing Model with a Time-Varying Second Moment |
0 |
0 |
0 |
147 |
0 |
0 |
1 |
485 |

A Behavioural Model of Investor Sentiment in Limit Order Markets |
0 |
0 |
0 |
124 |
0 |
0 |
1 |
302 |

A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility |
0 |
0 |
0 |
187 |
0 |
0 |
0 |
429 |

A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework |
1 |
1 |
1 |
375 |
1 |
1 |
6 |
983 |

A Complete Stochastic Volatility Model in the HJM Framework |
0 |
1 |
2 |
302 |
0 |
1 |
6 |
658 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
0 |
444 |
0 |
0 |
0 |
1,488 |

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 |
0 |
134 |
0 |
0 |
2 |
512 |

A Dynamic Analysis of Moving Average Rules |
0 |
0 |
0 |
652 |
0 |
0 |
0 |
2,056 |

A Dynamic Analysis of Moving Average Rules |
0 |
0 |
0 |
496 |
1 |
1 |
1 |
1,514 |

A Dynamic Analysis of Speculation Across Two Markets |
0 |
0 |
0 |
80 |
0 |
0 |
0 |
234 |

A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market |
0 |
0 |
0 |
102 |
0 |
1 |
3 |
265 |

A Dynamic Heterogeneous Beliefs CAPM |
0 |
0 |
1 |
133 |
0 |
0 |
3 |
277 |

A Dynamical Analysis of Moving Average Rules |
0 |
0 |
0 |
9 |
0 |
0 |
3 |
1,640 |

A Framework for CAPM with Heterogenous Beliefs |
0 |
0 |
0 |
213 |
0 |
2 |
2 |
493 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
0 |
0 |
1 |
478 |

A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models |
0 |
0 |
1 |
276 |
0 |
0 |
5 |
803 |

A Model of Monetary Growth for a Small Open Economy |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
115 |

A Modern View on Merton's Jump-Diffusion Model |
0 |
0 |
3 |
191 |
1 |
2 |
6 |
477 |

A Non-Stationary Asset Pricing Model under Heterogeneous Expectations |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
213 |

A Preference Free Partial Differential Equation for the Term Structure of Interest Rates |
0 |
0 |
0 |
153 |
0 |
0 |
1 |
633 |

A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
343 |

A Survey of Models for the Pricing of Interest Rate Derivatives |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
180 |

A Survey of Non-linear Methods for No-arbitrage Bond Pricing |
0 |
0 |
0 |
87 |
0 |
1 |
1 |
131 |

A Survey of the Integral Representation of American Option Prices |
0 |
0 |
0 |
348 |
0 |
1 |
2 |
715 |

A simple microstructure model of double auction markets |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
505 |

Adaptive Rational Expectations in Models of Monetary Dynamics |
0 |
0 |
2 |
83 |
0 |
0 |
3 |
204 |

Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis |
0 |
0 |
0 |
134 |
0 |
0 |
0 |
355 |

Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis |
0 |
0 |
1 |
135 |
0 |
0 |
3 |
320 |

American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach |
1 |
1 |
1 |
556 |
1 |
1 |
2 |
1,327 |

An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
358 |

An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies |
0 |
0 |
0 |
234 |
0 |
0 |
0 |
676 |

An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics |
0 |
0 |
0 |
160 |
0 |
0 |
1 |
354 |

An Evolutionary CAPM Under Heterogeneous Beliefs |
0 |
0 |
1 |
94 |
0 |
1 |
5 |
217 |

An Implementation of the Shirakawa Jump-Diffusion Term Structure Model |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
233 |

Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation |
0 |
0 |
0 |
303 |
0 |
0 |
0 |
1,096 |

Approximate Hedging of Options under Jump-Diffusion Processes |
0 |
0 |
1 |
21 |
0 |
0 |
1 |
84 |

Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems |
0 |
0 |
0 |
79 |
0 |
0 |
1 |
239 |

Asset Price Dynamics among Heterogeneous Interacting Agents |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
313 |

Asset Price and Wealth Dynamics Under Heterogeneous Expectations |
0 |
0 |
0 |
220 |
0 |
1 |
1 |
499 |

Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents |
0 |
0 |
0 |
178 |
0 |
0 |
0 |
458 |

Asset Price and Wealth Dynamics under Heterogeneous Expectations |
0 |
0 |
0 |
74 |
0 |
2 |
3 |
785 |

Asset price and wealth dynamics in a financial market with heterogeneous agents |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
291 |

Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model |
0 |
0 |
0 |
53 |
0 |
0 |
0 |
222 |

Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics |
0 |
1 |
1 |
43 |
0 |
3 |
6 |
170 |

Classes of Interest Rate Models Under the HJM Framework |
0 |
0 |
1 |
406 |
0 |
0 |
4 |
1,201 |

Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data |
0 |
0 |
5 |
3,680 |
1 |
6 |
22 |
10,622 |

Continuous Time Model Estimation |
0 |
0 |
0 |
447 |
0 |
0 |
1 |
1,266 |

Credit Derivative Pricing with Stochastic Volatility Models |
0 |
0 |
0 |
64 |
0 |
1 |
1 |
212 |

Determinants of Corporate Capital Structure: Australian Evidence |
0 |
0 |
3 |
407 |
0 |
2 |
20 |
1,301 |

Developments in Nonlinear Economic Dynamics: Past, Present and Future |
0 |
0 |
0 |
87 |
0 |
0 |
1 |
199 |

Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives |
0 |
0 |
0 |
75 |
0 |
0 |
1 |
242 |

Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
226 |

Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case |
0 |
0 |
0 |
46 |
0 |
0 |
0 |
292 |

Estimating Behavioural Heterogeneity Under Regime Switching |
0 |
0 |
0 |
90 |
1 |
2 |
3 |
287 |

Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach |
0 |
0 |
0 |
87 |
0 |
0 |
0 |
306 |

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets |
0 |
0 |
0 |
374 |
0 |
0 |
1 |
994 |

Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm |
0 |
0 |
0 |
89 |
0 |
0 |
0 |
339 |

Estimation of the Volatility Structure of the Fixed Income Market |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
155 |

Evaluation of American Strangles |
0 |
0 |
0 |
107 |
0 |
0 |
2 |
299 |

Evaluation of American Strangles |
0 |
1 |
1 |
149 |
0 |
1 |
2 |
1,294 |

Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques |
0 |
0 |
0 |
115 |
0 |
0 |
0 |
370 |

Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
358 |

Exchange Options Under Jump-Diffusion Dynamics |
0 |
0 |
0 |
116 |
0 |
1 |
2 |
279 |

Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
284 |

Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers |
0 |
0 |
0 |
111 |
0 |
1 |
1 |
792 |

Filtering Equity Risk Premia From Derivative Prices |
0 |
0 |
0 |
154 |
0 |
0 |
0 |
462 |

Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model |
0 |
0 |
0 |
89 |
0 |
0 |
0 |
319 |

Hedge Portfolios in Markets with Price Discontinuities |
0 |
0 |
0 |
75 |
0 |
0 |
1 |
239 |

Heterogeneity, Market Mechanisms, and Asset Price Dynamics |
0 |
1 |
2 |
288 |
1 |
2 |
8 |
628 |

Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker |
0 |
0 |
2 |
182 |
0 |
0 |
4 |
485 |

Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model |
0 |
0 |
0 |
419 |
0 |
0 |
0 |
1,251 |

Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model |
0 |
0 |
0 |
69 |
0 |
2 |
2 |
276 |

Heterogeneous Expectations and Exchange Rate Dynamics |
0 |
0 |
0 |
96 |
0 |
0 |
4 |
180 |

Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework |
0 |
0 |
0 |
114 |
0 |
0 |
0 |
341 |

Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 |
0 |
0 |
1 |
85 |
0 |
0 |
3 |
238 |

Humps in the Volatility Structure of the Crude Oil Futures Market |
0 |
0 |
1 |
64 |
0 |
1 |
3 |
228 |

Infering Forward Looking Financial Market Risk Premia from Derivatives Prices |
0 |
0 |
0 |
70 |
0 |
0 |
1 |
518 |

Interacting Two-Country Business Fluctuations |
0 |
0 |
0 |
35 |
0 |
0 |
2 |
167 |

Interacting Two-Country Business Fluctuations |
0 |
0 |
0 |
61 |
0 |
0 |
1 |
323 |

Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework |
0 |
0 |
0 |
147 |
0 |
0 |
1 |
553 |

Intertemporal Asset Allocation with Inflation-Indexed Bonds |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
210 |

Intertemporal Investment Strategies Under Inflation Risk |
0 |
0 |
2 |
218 |
0 |
0 |
2 |
896 |

Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models |
0 |
0 |
0 |
116 |
0 |
0 |
0 |
380 |

Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |

Investigating Time-Efficient Methods to Price Compound Options in the Heston Model |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
88 |

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
5 |

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
13 |

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
98 |

Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |

Issues in Evaluating Multifactor Options in a PDE Framework |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
255 |

Keynes-Metzler-Goodwin Model Building: The Closed Economy |
0 |
0 |
0 |
224 |
0 |
1 |
3 |
714 |

Keynesian AD-AS, Quo Vadis? |
0 |
0 |
0 |
151 |
0 |
0 |
3 |
539 |

Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations |
0 |
0 |
0 |
117 |
0 |
0 |
1 |
389 |

Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach |
0 |
0 |
1 |
109 |
0 |
0 |
3 |
502 |

Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model |
0 |
1 |
3 |
143 |
0 |
1 |
6 |
590 |

Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach |
0 |
0 |
0 |
110 |
0 |
0 |
1 |
600 |

Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach |
0 |
0 |
0 |
95 |
0 |
0 |
0 |
345 |

Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy |
0 |
0 |
0 |
241 |
1 |
1 |
2 |
757 |

Keynesian Monetary Growth Dynamics: The Missing Prototype |
0 |
0 |
0 |
33 |
0 |
1 |
3 |
126 |

Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates |
0 |
0 |
0 |
84 |
0 |
0 |
0 |
304 |

Learning and Evolution of Trading Strategies in Limit Order Markets |
0 |
0 |
0 |
93 |
0 |
0 |
0 |
227 |

Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics |
0 |
0 |
1 |
177 |
0 |
0 |
2 |
619 |

Limit Distribution of Evolving Strategies in Financial Markets |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
113 |

Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility |
0 |
0 |
0 |
42 |
1 |
1 |
1 |
152 |

McKean's Methods Applied to American Call Options on Jump-Diffusion Processes |
0 |
0 |
0 |
290 |
0 |
1 |
1 |
801 |

McKean’s Method applied to American Call Options on Jump-Diffusion Processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
301 |

Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices |
0 |
0 |
0 |
120 |
1 |
2 |
2 |
475 |

Modeling the Currency Forward Risk Premium: Theory and Evidence |
0 |
1 |
1 |
425 |
0 |
1 |
1 |
1,670 |

Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
106 |

Modelling and Estimating the Forward Price Curve in the Energy Market |
0 |
0 |
2 |
242 |
0 |
1 |
7 |
589 |

Modelling the "Animal Spirits" of Bank's Lending Behaviour |
2 |
2 |
2 |
157 |
2 |
2 |
3 |
377 |

Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model |
0 |
0 |
1 |
109 |
0 |
0 |
1 |
319 |

Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model |
0 |
0 |
0 |
116 |
0 |
0 |
1 |
336 |

Modelling the Value of the S&P 500 - A System Dynamics Perspective |
0 |
0 |
1 |
501 |
0 |
0 |
2 |
982 |

Monetary Policy and Debt Deflation: Some Computational Experiments |
0 |
0 |
1 |
109 |
0 |
0 |
1 |
166 |

Monetary Policy and Debt Deflation: Some Computational Experiments |
0 |
0 |
0 |
103 |
0 |
1 |
2 |
135 |

Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics |
0 |
0 |
0 |
46 |
0 |
0 |
0 |
220 |

Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model |
0 |
0 |
0 |
104 |
0 |
0 |
4 |
287 |

Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
144 |

Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
651 |

Numerical Methods for American Spread Options under Jump Diffusion Processes |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
668 |

On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models |
1 |
1 |
1 |
65 |
1 |
1 |
1 |
226 |

On Filtering in Markovian Term Structure Models (An Approximation Approach) |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
243 |

On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
144 |

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications |
0 |
0 |
1 |
89 |
1 |
1 |
3 |
223 |

Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions |
0 |
0 |
0 |
291 |
0 |
0 |
2 |
598 |

Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
1,400 |

Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum |
0 |
0 |
2 |
99 |
0 |
1 |
4 |
341 |

Output, Financial Markets and Growth |
0 |
0 |
0 |
76 |
1 |
1 |
2 |
206 |

PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
125 |

Particle Filters for Markov Switching Stochastic Volatility Models |
0 |
0 |
0 |
120 |
0 |
1 |
6 |
260 |

Price Flexibility and Debt Dynamics in a High Order AS-AD Model |
0 |
0 |
0 |
70 |
0 |
0 |
1 |
360 |

Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines |
0 |
0 |
0 |
249 |
0 |
0 |
0 |
834 |

Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions |
0 |
0 |
1 |
258 |
0 |
0 |
2 |
566 |

Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
536 |

Pricing American Options under Regime Switching Using Method of Lines |
0 |
0 |
0 |
38 |
0 |
1 |
1 |
97 |

Pricing American Options under Stochastic Volatility |
0 |
0 |
0 |
3 |
0 |
2 |
10 |
432 |

Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
376 |

Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time |
0 |
0 |
4 |
170 |
0 |
2 |
10 |
436 |

Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient |
0 |
0 |
0 |
99 |
1 |
1 |
2 |
371 |

Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation |
0 |
0 |
0 |
91 |
1 |
1 |
3 |
533 |

Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market |
1 |
1 |
1 |
47 |
1 |
1 |
3 |
197 |

Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics |
0 |
1 |
6 |
106 |
0 |
1 |
12 |
265 |

Small Traders in Currency Futures Markets |
0 |
0 |
0 |
60 |
0 |
1 |
2 |
186 |

Solving the Price-Earnings Puzzle |
0 |
1 |
2 |
124 |
0 |
2 |
4 |
400 |

Speculative Behaviour and Complex Asset Price Dynamics |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
247 |

Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach |
0 |
0 |
0 |
108 |
1 |
1 |
3 |
367 |

Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning |
0 |
0 |
0 |
47 |
0 |
0 |
0 |
161 |

Stabilizing an unstable economy: on the choice of proper policy measures |
0 |
1 |
1 |
92 |
0 |
1 |
1 |
286 |

State Variables and the Affine Nature of Markovian HJM Term Structure Models |
0 |
1 |
1 |
213 |
0 |
1 |
1 |
594 |

Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment |
0 |
0 |
0 |
144 |
0 |
0 |
0 |
440 |

Stochastic Correlation and Risk Premia in Term Structure Models |
0 |
0 |
1 |
76 |
0 |
1 |
2 |
198 |

Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability |
0 |
0 |
0 |
43 |
0 |
0 |
1 |
108 |

Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
455 |

THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
803 |

THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
522 |

The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
169 |

The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
129 |

The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology |
0 |
0 |
1 |
388 |
2 |
2 |
6 |
899 |

The Dynamics of Speculative Behaviour |
0 |
0 |
6 |
310 |
1 |
1 |
8 |
686 |

The Dynamics of the Cobweb when Producers are Risk Averse Learners |
0 |
0 |
1 |
30 |
0 |
0 |
3 |
131 |

The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques |
0 |
0 |
0 |
178 |
0 |
0 |
1 |
459 |

The Evaluation Of Barrier Option Prices Under Stochastic Volatility |
0 |
0 |
1 |
161 |
0 |
0 |
2 |
356 |

The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach |
0 |
0 |
0 |
118 |
0 |
0 |
0 |
379 |

The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines |
0 |
0 |
0 |
213 |
0 |
0 |
1 |
577 |

The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching |
0 |
0 |
0 |
64 |
0 |
0 |
0 |
165 |

The Financial Instability Hypothesis: A Stochastic Microfoundation Framework |
0 |
0 |
0 |
172 |
0 |
0 |
1 |
328 |

The History of the Quantitative Methods in Finance Conference Series. 1992-2007 |
1 |
1 |
1 |
152 |
1 |
1 |
2 |
360 |

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows |
0 |
0 |
2 |
37 |
0 |
0 |
6 |
158 |

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
84 |

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows |
0 |
0 |
0 |
158 |
2 |
4 |
11 |
424 |

The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method |
0 |
0 |
0 |
89 |
0 |
0 |
0 |
365 |

The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context |
0 |
0 |
0 |
84 |
0 |
0 |
0 |
450 |

The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison |
0 |
0 |
0 |
176 |
0 |
0 |
0 |
512 |

The Macrodynamics of Debt Deflation |
0 |
0 |
1 |
425 |
0 |
0 |
2 |
1,044 |

The Multifactor Nature of the Volatility of the Eurodollar Futures Market |
0 |
0 |
0 |
284 |
0 |
1 |
3 |
922 |

The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
336 |

The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option |
0 |
0 |
0 |
181 |
0 |
0 |
0 |
584 |

The Return-Volatility Relation in Commodity Futures Markets |
0 |
0 |
0 |
200 |
0 |
0 |
2 |
294 |

The Stochastic Dynamics of Speculative Prices |
0 |
0 |
0 |
99 |
0 |
1 |
3 |
311 |

The Structure of Keynesian Macrodynamics: A Framework for Future Research |
1 |
1 |
1 |
130 |
1 |
1 |
3 |
234 |

The Valuation of Multiple Asset American Options under Jump Diffusion Processes |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
402 |

The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach |
0 |
0 |
0 |
285 |
0 |
0 |
2 |
823 |

The Volatility Structure of the Fixed Income Markets under the HJM Framework |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
165 |

The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach |
0 |
0 |
0 |
197 |
0 |
0 |
0 |
981 |

Time-Varying Beta: A Boundedly Rational Equilibrium Approach |
0 |
0 |
1 |
101 |
0 |
1 |
3 |
267 |

Towards Applied Disequilibrium Growth Theory: I The Starting Model |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
126 |

Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model |
0 |
0 |
0 |
42 |
0 |
0 |
2 |
229 |

Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
175 |

Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
369 |

Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation |
0 |
0 |
0 |
88 |
0 |
0 |
1 |
336 |

Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions |
0 |
0 |
0 |
50 |
0 |
1 |
2 |
343 |

Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution |
0 |
0 |
0 |
38 |
0 |
0 |
3 |
201 |

Transformation of Heath-Jarrow-Morton Models to Markovian Systems |
0 |
0 |
0 |
216 |
0 |
0 |
2 |
578 |

Two Stochastic Volatility Processes - American Option Pricing |
0 |
0 |
1 |
62 |
0 |
0 |
1 |
174 |

Type I Spurious Regression in Econometrics |
0 |
1 |
1 |
163 |
0 |
1 |
3 |
588 |

Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems |
0 |
0 |
0 |
72 |
0 |
0 |
0 |
188 |

Total Working Papers |
8 |
19 |
85 |
27,941 |
26 |
92 |
397 |
97,850 |