Access Statistics for Carl Chiarella

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A Behavioural Asset Pricing Model with a Time-Varying Second Moment 0 0 0 147 0 1 19 505
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 0 126 1 1 9 314
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 0 0 9 440
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 375 0 0 20 1,003
A Complete Stochastic Volatility Model in the HJM Framework 0 0 0 302 0 1 13 673
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 1 1 15 1,505
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets 0 0 0 55 0 0 2 202
A Dynamic Analysis of Moving Average Rules 0 0 1 498 0 6 27 1,546
A Dynamic Analysis of Moving Average Rules 0 0 2 654 0 0 10 2,067
A Dynamic Analysis of Moving Average Rules 0 0 0 134 2 4 24 538
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 11 11 17 253
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 0 1 14 281
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 1 1 16 297
A Dynamical Analysis of Moving Average Rules 0 0 0 9 0 0 13 1,655
A Framework for CAPM with Heterogenous Beliefs 0 0 1 219 0 1 11 510
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 0 12 493
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 1 279 0 0 16 825
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 0 1 4 119
A Modern View on Merton's Jump-Diffusion Model 0 0 5 197 0 0 23 508
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 0 0 6 219
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 0 0 6 642
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 0 0 5 349
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 0 1 5 186
A Survey of Non-linear Methods for No-arbitrage Bond Pricing 0 0 0 88 0 1 3 136
A Survey of the Integral Representation of American Option Prices 0 0 1 350 0 2 22 741
A simple microstructure model of double auction markets 0 0 0 0 0 1 15 524
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 0 0 6 212
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 0 1 9 366
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 1 136 2 2 14 335
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 0 557 12 12 25 1,355
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 0 0 20 381
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 234 2 4 10 688
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 1 1 162 2 3 18 376
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 7 8 24 243
An Implementation of the Shirakawa Jump-Diffusion Term Structure Model 0 0 0 1 0 0 6 239
Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation 0 0 0 303 0 0 12 1,110
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 0 0 12 97
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 0 0 4 244
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 0 0 12 325
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 0 0 220 1 3 14 515
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 178 0 1 15 473
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 1 3 11 799
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 0 0 9 302
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 0 0 11 235
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 0 43 0 0 7 179
Classes of Interest Rate Models Under the HJM Framework 0 0 2 410 0 1 14 1,219
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 0 0 1 3,682 1 3 28 10,658
Continuous Time Model Estimation 0 0 0 447 0 1 13 1,279
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 2 2 22 236
Determinants of Corporate Capital Structure: Australian Evidence 0 0 0 410 0 1 16 1,330
Developments in Nonlinear Economic Dynamics: Past, Present and Future 0 0 0 87 0 0 7 206
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives 0 0 1 77 1 1 6 250
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 1 46 0 1 16 245
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 0 0 8 301
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 90 0 0 5 292
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 0 1 14 322
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 0 2 377 1 2 13 1,009
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 0 89 0 0 14 357
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 0 0 7 162
Evaluation of American Strangles 0 0 0 149 0 1 9 1,303
Evaluation of American Strangles 0 0 0 107 1 1 7 308
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 14 385
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 0 0 6 365
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 0 1 14 294
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 1 1 13 297
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 1 2 13 806
Filtering Equity Risk Premia From Derivative Prices 0 3 3 157 0 3 6 468
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model 0 0 0 89 0 0 12 332
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 75 0 0 21 263
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 0 1 293 6 6 21 659
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 1 1 15 503
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model 0 0 0 419 1 2 12 1,263
Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model 0 0 0 69 0 1 12 290
Heterogeneous Expectations and Exchange Rate Dynamics 0 0 2 98 2 2 21 203
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 0 114 0 0 11 354
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 0 85 0 2 76 315
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 1 65 2 2 19 250
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 0 0 5 526
Interacting Two-Country Business Fluctuations 0 0 0 61 0 0 8 332
Interacting Two-Country Business Fluctuations 0 0 0 35 0 1 13 180
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 1 1 15 568
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 0 1 14 225
Intertemporal Investment Strategies Under Inflation Risk 0 0 3 226 0 1 16 919
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 116 0 0 19 400
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 0 0 16 21
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 0 0 7 97
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 0 0 12 17
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 14 1 1 16 117
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 0 0 11 24
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models 0 0 0 0 0 0 3 7
Issues in Evaluating Multifactor Options in a PDE Framework 0 0 0 1 0 0 10 265
Keynes-Metzler-Goodwin Model Building: The Closed Economy 0 0 1 228 0 0 13 733
Keynesian AD-AS, Quo Vadis? 0 0 0 152 1 1 13 556
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 0 0 12 403
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 0 110 0 1 15 519
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 0 143 0 0 8 599
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 1 111 0 1 20 621
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 0 0 16 362
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 1 2 32 789
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 0 0 9 140
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 1 1 10 316
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 0 94 0 0 13 245
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 177 0 0 11 631
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 1 2 12 126
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 0 0 7 161
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 0 0 291 1 1 5 810
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 2 2 14 316
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 120 1 2 12 489
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 1 426 0 1 15 1,685
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 1 1 6 113
Modelling and Estimating the Forward Price Curve in the Energy Market 0 0 3 252 0 0 12 612
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 0 1 160 1 2 18 400
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model 0 0 0 109 1 1 8 329
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 0 117 0 2 16 354
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 0 0 502 0 1 9 998
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 2 2 10 177
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 1 4 19 156
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics 0 0 0 46 1 1 12 232
Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model 0 0 0 105 0 0 12 303
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 0 0 5 151
Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility 0 0 0 0 0 0 1 652
Numerical Methods for American Spread Options under Jump Diffusion Processes 0 0 0 0 0 1 9 679
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 1 2 67 0 3 14 240
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 0 1 9 254
On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics 0 0 0 9 0 0 4 148
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications 0 1 1 91 0 1 9 237
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 1 1 17 616
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 1 1 14 1,418
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 0 0 11 352
Output, Financial Markets and Growth 0 0 0 76 2 2 8 214
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 1 2 5 132
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 0 122 0 3 25 291
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 0 70 2 2 8 368
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 0 0 7 841
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 1 3 7 573
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 2 2 7 545
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 1 1 15 114
Pricing American Options under Stochastic Volatility 0 0 0 3 0 0 13 452
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 0 1 7 387
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 0 0 1 172 0 0 20 463
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 1 101 1 1 10 382
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 0 1 10 547
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 0 47 1 1 4 204
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 0 0 4 114 0 0 14 285
Small Traders in Currency Futures Markets 0 0 0 62 0 1 7 196
Solving the Price-Earnings Puzzle 0 0 0 124 0 0 15 420
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 1 1 17 268
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 0 1 111 1 1 19 390
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 0 0 0 47 0 0 10 171
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 92 0 0 13 302
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 0 213 0 0 8 602
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 144 0 1 12 453
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 76 0 0 13 211
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 0 0 10 123
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 1 1 19 475
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 0 0 6 811
THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER 0 0 0 3 0 0 9 531
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays 0 0 0 35 1 1 11 182
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 4 0 0 4 134
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 0 1 390 4 5 19 925
The Dynamics of Speculative Behaviour 0 0 5 321 0 1 24 726
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 1 1 13 144
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 0 180 0 1 9 470
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 0 0 12 368
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 0 119 0 0 12 396
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 0 1 14 592
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 10 10 18 184
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 1 1 20 348
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 0 3 364
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 3 4 21 106
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 38 1 1 16 182
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 1 4 41 474
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 90 8 8 14 380
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 85 0 0 5 457
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 0 176 0 1 10 523
The Macrodynamics of Debt Deflation 0 0 0 427 0 1 10 1,056
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 0 1 11 937
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 0 0 8 344
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 0 0 13 598
The Return-Volatility Relation in Commodity Futures Markets 0 0 1 201 7 7 22 319
The Stochastic Dynamics of Speculative Prices 0 0 0 99 8 8 14 326
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 0 130 1 1 9 244
The Valuation of Multiple Asset American Options under Jump Diffusion Processes 0 0 0 4 0 0 9 411
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach 0 0 0 285 0 1 11 837
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 1 1 14 180
The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach 0 0 0 197 0 0 7 988
Time-Varying Beta: A Boundedly Rational Equilibrium Approach 0 0 0 101 1 2 17 285
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 0 46 0 1 6 133
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 0 43 0 0 9 240
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 0 10 1 1 6 182
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 0 1 13 383
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 0 88 0 1 6 343
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 1 2 10 353
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 0 40 0 0 10 213
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 1 218 0 1 22 603
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 2 2 11 186
Type I Spurious Regression in Econometrics 0 0 0 163 0 0 8 599
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 1 1 73 1 2 6 195
Total Working Papers 0 7 56 28,085 149 246 2,513 100,810

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 1 2 13 428
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 0 33 1 1 7 213
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 0 0 13 119
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 0 0 3 13
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 6 20
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 0 1 14 125
A behavioral asset pricing model with a time-varying second moment 0 0 0 1 1 1 12 18
A behavioural model of investor sentiment in limit order markets 0 0 0 12 1 2 10 59
A dynamic analysis of moving average rules 0 0 0 216 1 3 15 684
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 0 2 8 112
A simulation analysis of the microstructure of double auction markets 1 4 20 300 1 8 56 592
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 0 1 11 206
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 0 0 13 36
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 1 1 5 19
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 1 1 8 182
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 0 0 6 196
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 1 47 0 0 12 253
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 0 0 11 189
An evolutionary CAPM under heterogeneous beliefs 0 0 2 32 0 1 15 178
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 0 0 15 269
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 1 87 0 0 14 277
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 2 3 15 110
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 0 4 4 5 8 20
Book Reviews 0 0 0 0 0 0 2 4
Book Reviews 0 0 0 1 0 0 6 14
Book reviews 0 0 0 7 0 0 10 70
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 2 0 1 5 26
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 0 1 16 0 0 18 83
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 0 0 10 297
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 1 2 5 45
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 0 20 0 0 8 64
Do heterogeneous beliefs diversify market risk? 0 0 0 24 0 0 11 129
Does the market maker stabilize the market? 0 0 1 30 0 1 12 167
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 0 0 7 11
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 0 0 8 81
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 1 48 0 0 12 241
Economic dynamics: Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper) 0 0 3 180 0 1 8 570
Editorials 0 0 0 0 0 2 6 43
Estimating behavioural heterogeneity under regime switching 0 0 0 23 0 0 8 124
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 0 1 9 397
Evaluation of American strangles 0 0 0 61 0 2 7 237
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 28 0 0 4 112
Exchange Options Under Jump-Diffusion Dynamics 0 0 1 24 1 2 11 120
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 1 1 12 314
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 0 30 0 0 6 119
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 0 1 12 265
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 0 0 18 369
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 0 0 3 46
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 0 1 12 1,204
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 0 46 0 0 17 206
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 0 1 15 516
Heterogeneous expectations and exchange rate dynamics 0 0 1 25 0 0 9 108
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 0 73 0 2 16 240
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 1 27 1 2 20 124
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 0 2 8 106
Humps in the volatility structure of the crude oil futures market: New evidence 0 0 2 13 1 2 28 118
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 0 1 4 20
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 0 1 6 143
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 0 224 1 2 5 765
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 0 1 6 299
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 1 145 1 2 13 669
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 0 1 8 175
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 3 0 1 14 38
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 1 21 1 2 21 184
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 2 52 3 4 18 236
Keynesian monetary growth dynamicsin open economies 0 0 0 0 1 1 5 16
Learning, information processing and order submission in limit order markets 0 0 0 22 1 2 17 139
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 0 0 9 110
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 0 1 27 0 0 14 83
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 0 2 10 155
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 1 46 0 1 10 166
Moving average rules as a source of market instability 0 0 0 10 0 1 7 79
On the Economics of International Fisheries 0 0 0 37 0 1 6 117
Option Valuation: Some Empirical Results 0 0 0 1 1 2 6 22
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 15 0 0 7 87
Preface 0 0 0 3 0 0 4 21
Pricing American options written on two underlying assets 0 0 1 12 0 1 8 53
Pricing range notes within Wishart affine models 0 0 0 8 1 3 12 66
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 0 2 7 140
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 1 9 188
Small traders in currency futures markets 0 0 0 5 0 0 2 33
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 0 0 7 174
Speculative behaviour and complex asset price dynamics: a global analysis 0 0 0 116 0 1 5 320
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 1 51 0 0 8 225
Stochastic correlation and risk premia in term structure models 0 0 0 5 0 1 12 69
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 0 0 14 1,313
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 40 1 1 11 174
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 1 1 9 101
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 0 40 1 3 14 134
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 1 4 1 3 18 43
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 0 0 6 31
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 0 0 19 37
The Dynamic Interaction of Speculation and Diversification 0 0 2 61 0 2 18 267
The Fiscal Cost of Financial Instability 0 0 2 43 0 0 13 150
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 0 1 6 153
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 0 1 14 146
The Return–Volatility Relation in Commodity Futures Markets 0 0 1 10 0 0 21 105
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 0 0 9 94
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 0 2 13 55
The cobweb model: Its instability and the onset of chaos 0 0 2 192 0 1 10 529
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 1 46 1 2 15 168
The dynamic behaviour of workers' enterprises 0 0 0 4 0 0 2 28
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 0 18 0 1 4 75
The financial instability hypothesis: A stochastic microfoundation framework 0 0 3 141 18 19 29 441
The impact of heterogeneous trading rules on the limit order book and order flows 0 0 4 26 0 0 15 112
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 0 0 11 35
The limit distribution of evolving strategies in financial markets 0 0 1 14 1 1 15 73
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options 0 0 0 0 0 1 9 12
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 0 0 13 62
The stochastic bifurcation behaviour of speculative financial markets 0 0 1 10 0 0 22 72
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 0 90 0 0 9 249
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 0 0 10 189
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 0 1 12 141
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 0 118 1 1 17 428
Volatility swaps and volatility options on discretely sampled realized variance 0 0 0 28 0 0 20 120
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 1 2 4 9 1 2 17 68
Total Journal Articles 2 6 65 5,356 55 133 1,308 21,285
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 0 1 1 4 21 70
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 5 94
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 2 58
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 4 8 12 172
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 0 5 89
Nonlinear Oligopolies 0 0 0 1 0 1 9 27
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 0 6 46
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 8 90
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 1 5 97
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 0 0 1 49 0 0 5 180
Total Books 0 0 1 51 5 14 78 923

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 0 0 6 8
A Numerical Approach to Pricing American Call Options under SVJD 0 0 0 7 0 0 7 62
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 0 0 3 4
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 0 3 6
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 0 1 15 32
American Call Options under Jump-Diffusion Processes 0 0 0 5 0 1 3 46
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 1 6 0 0 8 40
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 0 0 5 9
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 0 0 7 10
An Initial Attempt at Pricing an Option 0 0 0 0 0 0 10 13
Applying the General Pricing Framework 0 0 0 0 0 0 9 10
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 1 1 10 16
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 0 0 9 13
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 0 0 4 10
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 0 1 5 9
Change of Numeraire 0 0 0 0 0 0 7 36
Concave Oligopolies 0 0 0 0 0 0 3 5
Concluding Remarks 0 0 0 0 0 0 10 12
Conclusion 0 0 0 0 0 0 8 40
Continuous and Discrete Time Modeling 0 0 0 0 0 0 3 13
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 0 0 7 15
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 0 0 6 14
Fourier Cosine Expansion Approach 0 0 0 11 0 0 12 62
General Oligopolies 0 0 0 0 0 0 1 2
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 0 0 5 16
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 0 0 11 19
Introduction 0 0 0 2 0 0 1 31
Introduction 0 0 0 0 0 0 5 9
Introduction 0 0 0 0 0 0 4 6
Ito’s Lemma and Its Applications 0 0 0 1 0 0 13 82
Jump-Diffusion Processes 0 0 0 0 0 0 5 18
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy 0 0 0 1 0 0 3 5
Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics 0 0 0 0 0 0 6 9
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 0 0 6 10
Modelling Interest Rate Dynamics 0 0 0 0 0 0 11 19
Modified and Extended Oligopolies 0 0 0 0 0 0 5 6
Oligopolies with Misspecified and Uncertain Price Functions, and Learning 0 0 0 0 0 0 5 6
On Filtering in Markovian Term Structure Models 0 0 0 1 0 0 5 26
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 1 1 7 10
Overview and Directions for Future Research 0 0 0 0 0 0 5 7
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 0 0 5 11
Portfolio Modeling with Sustainability Constraints 0 0 0 0 1 1 7 13
Pricing Derivative Securities: A General Approach 0 0 0 0 0 2 12 74
Pricing Options Using Binomial Trees 0 0 0 0 0 0 9 16
Pricing the American Feature 0 0 0 0 0 0 12 17
Representation and Numerical Approximation of American Option Prices under Heston 0 0 0 9 0 2 12 45
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms 0 0 0 0 0 0 4 4
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment 0 0 0 0 0 0 5 6
Stochastic Processes for Asset Price Modelling 0 0 0 0 0 0 7 15
Stochastic Volatility 0 0 0 0 1 1 14 18
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 0 0 4 7
The Classical Cournot Model 0 0 0 0 0 0 7 15
The Continuous Hedging Argument 0 0 0 0 0 0 7 14
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 0 0 5 11
The Heath–Jarrow–Morton Framework 0 0 0 0 1 1 12 26
The LIBOR Market Model 0 0 0 0 0 0 2 10
The Martingale Approach 0 0 0 0 0 0 7 14
The Merton and Heston Model for a Call 0 0 0 3 0 1 13 46
The Paradigm Interest Rate Option Problem 0 0 0 0 0 0 10 22
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 0 0 6 15
The Stochastic Differential Equation 0 0 0 2 0 0 7 16
The Stock Option Problem 0 0 0 0 0 0 10 18
The macrodynamics of debt deflation 1 1 2 16 1 2 10 65
Volatility Smiles 0 0 0 0 0 0 9 14
Total Chapters 1 1 3 65 6 15 454 1,278

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