Access Statistics for Carl Chiarella

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A Behavioural Asset Pricing Model with a Time-Varying Second Moment 0 0 0 147 1 1 2 487
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 1 126 0 1 2 306
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 0 0 0 431
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 375 3 4 4 987
A Complete Stochastic Volatility Model in the HJM Framework 0 0 0 302 2 4 5 664
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 1 445 2 2 4 1,492
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 1 2 498 2 6 10 1,525
A Dynamic Analysis of Moving Average Rules 0 0 0 134 4 5 7 519
A Dynamic Analysis of Moving Average Rules 0 0 0 652 0 0 1 2,057
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 0 0 1 236
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 0 3 4 270
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 4 4 6 285
A Dynamical Analysis of Moving Average Rules 0 0 0 9 1 2 3 1,644
A Framework for CAPM with Heterogenous Beliefs 0 1 3 219 1 5 7 504
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 1 2 4 483
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 1 278 1 1 5 810
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 1 1 1 116
A Modern View on Merton's Jump-Diffusion Model 1 1 1 193 4 6 11 491
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 0 0 0 213
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 0 0 3 636
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 0 0 1 344
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 0 0 1 181
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 2 4 7 723
A simple microstructure model of double auction markets 0 0 0 0 4 5 5 514
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 1 1 3 207
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 1 2 4 359
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 1 1 136 0 1 2 322
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 1 557 1 4 7 1,334
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 234 0 0 2 678
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 1 1 4 362
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 0 0 161 0 1 2 359
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 1 2 4 221
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 1 1,098
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 1 2 2 87
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 0 1 2 241
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 1 2 2 315
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 0 0 220 1 2 4 503
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 178 2 2 2 460
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 2 2 5 790
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 2 4 4 297
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 0 0 2 224
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 0 43 2 2 4 174
Classes of Interest Rate Models Under the HJM Framework 0 1 3 409 2 3 7 1,208
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 0 0 0 3,681 3 5 9 10,635
Continuous Time Model Estimation 0 0 0 447 2 2 2 1,268
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 3 3 5 217
Determinants of Corporate Capital Structure: Australian Evidence 0 0 0 410 0 2 5 1,316
Developments in Nonlinear Economic Dynamics: Past, Present and Future 0 0 0 87 0 0 0 199
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives 0 0 0 76 0 0 1 244
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 0 45 1 1 4 230
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 1 3 4 296
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 90 0 0 0 287
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 1 3 4 311
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 0 1 375 1 2 4 998
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 0 89 1 1 5 344
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 1 1 1 156
Evaluation of American Strangles 0 0 0 149 0 2 2 1,296
Evaluation of American Strangles 0 0 0 107 0 0 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 5 5 376
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 0 0 0 359
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 0 2 3 282
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 1 1 1 285
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 1 1 2 794
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 2 3 4 323
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 75 0 1 4 243
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 1 1 2 293 4 7 12 645
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 0 2 4 490
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 4 4 6 282
Heterogeneous Expectations and Exchange Rate Dynamics 0 1 1 97 3 4 6 186
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 0 114 0 0 2 343
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 0 85 3 3 4 242
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 0 64 1 2 4 233
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 0 1 4 522
Interacting Two-Country Business Fluctuations 0 0 0 35 0 1 1 168
Interacting Two-Country Business Fluctuations 0 0 0 61 0 1 2 325
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 1 2 2 555
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 0 1 2 212
Intertemporal Investment Strategies Under Inflation Risk 0 1 3 224 0 4 7 907
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 116 2 4 5 385
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 4 4 5 9
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 1 3 4 93
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 14 2 2 3 103
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 2 2 2 15
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 1 1 1 6
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 1 2 2 257
Keynes-Metzler-Goodwin Model Building: The Closed Economy 0 0 1 227 1 1 4 721
Keynesian AD-AS, Quo Vadis? 0 0 0 152 1 2 4 545
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 0 0 2 391
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 0 110 1 3 3 507
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 0 143 0 1 2 592
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 1 1 111 2 4 5 605
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 0 0 1 346
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 1 2 2 759
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 1 1 1 132
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 1 1 3 307
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 1 94 1 2 6 234
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 177 1 1 2 621
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 0 0 1 114
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 0 0 1 154
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 0 1 291 0 1 5 806
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 1 1 2 303
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 120 0 1 1 478
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 0 425 2 2 2 1,672
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 0 1 2 108
Modelling and Estimating the Forward Price Curve in the Energy Market 0 2 6 251 0 6 12 606
Modelling the "Animal Spirits" of Bank's Lending Behaviour 1 1 2 160 2 5 8 387
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 3 322
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 1 117 1 2 3 340
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 0 1 502 0 0 7 989
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 0 1 3 138
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 0 1 2 168
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 1 105 2 4 8 295
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 2 2 4 148
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 1 1 2 671
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 0 0 65 1 2 2 228
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 0 1 3 246
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 0 90 1 1 5 229
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 2 2 3 601
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 2 3 5 1,407
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 1 1 1 342
Output, Financial Markets and Growth 0 0 0 76 0 1 1 207
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 0 0 2 127
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 2 122 1 9 13 275
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 0 70 0 0 0 360
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 1 2 2 836
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 0 1 1 567
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 0 0 0 538
Pricing American Options under Regime Switching Using Method of Lines 0 0 1 39 2 3 5 102
Pricing American Options under Stochastic Volatility 0 0 0 3 1 1 5 440
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 0 1 5 381
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 0 1 1 172 2 4 5 447
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 1 100 1 1 2 373
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 2 2 3 539
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 0 0 3 110 0 1 4 272
Small Traders in Currency Futures Markets 0 0 1 62 2 2 4 191
Solving the Price-Earnings Puzzle 0 0 0 124 0 4 6 409
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 1 1 4 252
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 0 1 110 3 5 8 376
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 0 0 0 47 0 2 2 163
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 92 2 6 8 295
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 0 213 1 1 1 595
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 144 2 2 3 443
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 76 1 2 2 200
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 0 1 5 114
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 0 0 0 456
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 0 1 3 806
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 1 3 172
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 4 0 0 1 130
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 0 1 389 0 1 8 907
The Dynamics of Speculative Behaviour 0 1 5 317 0 5 16 707
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 1 1 1 132
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 1 180 0 0 1 461
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 0 1 1 357
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 1 119 1 3 5 387
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 0 4 4 582
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 0 0 1 166
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 0 4 4 332
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 1 1 362
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 4 5 10 438
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 3 4 5 89
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 38 1 5 8 171
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 90 1 1 1 367
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 85 0 0 1 452
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 0 176 2 2 3 515
The Macrodynamics of Debt Deflation 0 0 1 427 0 2 3 1,048
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 1 1 2 927
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 1 1 1 337
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 1 1 1 586
The Return-Volatility Relation in Commodity Futures Markets 0 0 0 200 0 2 4 299
The Stochastic Dynamics of Speculative Prices 0 0 0 99 0 2 2 314
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 0 130 1 2 3 237
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 1 1 827
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 0 0 0 166
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 0 101 1 2 3 270
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 0 46 1 1 1 128
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 0 43 1 1 2 232
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 0 10 0 0 0 176
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 0 0 1 370
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 0 88 0 0 0 337
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 0 0 0 343
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 1 40 1 2 3 205
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 0 217 3 7 8 588
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 0 0 1 175
Type I Spurious Regression in Econometrics 0 0 0 163 1 1 4 592
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 0 0 72 0 0 1 189
Total Working Papers 3 14 57 28,043 179 350 632 98,647

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 0 2 3 417
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 1 33 0 1 2 207
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 1 1 4 107
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 1 1 2 11
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 1 14
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 0 0 2 111
A behavioral asset pricing model with a time-varying second moment 0 0 0 1 0 0 0 6
A behavioural model of investor sentiment in limit order markets 0 0 0 12 0 0 2 49
A dynamic analysis of moving average rules 0 0 1 216 2 3 7 672
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 1 2 2 106
A simulation analysis of the microstructure of double auction markets 2 8 21 288 6 18 40 554
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 0 1 2 196
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 1 3 7 26
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 1 1 1 15
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 0 1 2 175
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 1 1 1 191
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 0 46 2 3 5 244
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 4 4 4 182
An evolutionary CAPM under heterogeneous beliefs 0 1 2 31 1 4 7 167
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 3 4 5 258
Asset price and wealth dynamics in a financial market with heterogeneous agents 1 1 1 87 3 3 8 266
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 1 3 5 98
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 3 4 0 0 4 12
Book Reviews 0 0 0 0 0 0 0 2
Book Reviews 0 0 0 1 0 0 0 8
Book reviews 0 0 0 7 0 1 1 61
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 2 0 0 0 21
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 0 2 15 1 2 7 67
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 2 3 4 290
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 0 0 2 40
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 1 20 1 2 3 58
Do heterogeneous beliefs diversify market risk? 0 0 0 24 1 2 2 120
Does the market maker stabilize the market? 0 1 1 30 1 2 3 157
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 0 0 1 4
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 1 2 3 75
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 0 47 1 1 2 230
Economic dynamics: Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper) 1 3 3 180 1 3 3 565
Editorials 0 0 0 0 1 1 2 38
Estimating behavioural heterogeneity under regime switching 0 0 0 23 0 0 5 116
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 0 1 3 389
Evaluation of American strangles 0 0 0 61 2 2 3 232
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 28 0 0 0 108
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 23 0 0 0 109
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 0 1 1 303
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 2 30 1 1 5 114
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 1 4 5 257
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 2 4 5 355
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 0 0 2 43
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 0 1 2 1,193
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 0 46 2 3 5 192
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 0 0 1 501
Heterogeneous expectations and exchange rate dynamics 0 0 0 24 0 1 4 100
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 0 73 1 2 5 226
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 1 1 27 5 7 16 111
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 1 2 4 100
Humps in the volatility structure of the crude oil futures market: New evidence 0 0 0 11 2 2 5 92
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 0 1 1 17
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 1 2 2 139
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 1 224 1 1 2 761
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 0 1 3 294
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 0 144 0 2 3 658
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 1 2 10 169
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 1 3 2 3 4 27
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 1 1 21 2 5 5 168
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 0 50 1 4 7 222
Keynesian monetary growth dynamicsin open economies 0 0 0 0 0 0 1 11
Learning, information processing and order submission in limit order markets 0 0 1 22 2 4 7 126
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 0 0 2 101
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 1 1 27 1 3 4 72
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 0 0 0 145
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 4 45 0 1 9 157
Moving average rules as a source of market instability 0 0 0 10 0 3 4 75
On the Economics of International Fisheries 0 0 0 37 0 0 2 111
Option Valuation: Some Empirical Results 0 0 0 1 0 1 1 17
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 15 1 1 6 81
Preface 0 0 0 3 0 0 0 17
Pricing American options written on two underlying assets 0 1 2 12 0 2 4 47
Pricing range notes within Wishart affine models 0 0 0 8 0 0 1 54
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 0 1 1 134
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 1 4 180
Small traders in currency futures markets 0 0 1 5 0 1 4 32
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 0 0 0 167
Speculative behaviour and complex asset price dynamics: a global analysis 0 0 0 116 0 0 1 315
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 0 50 1 1 4 218
Stochastic correlation and risk premia in term structure models 0 0 0 5 0 0 0 57
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 1 1 4 1,300
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 40 0 2 4 165
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 0 0 1 92
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 1 40 0 2 5 122
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 1 2 4 4 6 8 31
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 0 1 2 26
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 1 1 2 19
The Dynamic Interaction of Speculation and Diversification 0 0 0 59 1 2 3 251
The Fiscal Cost of Financial Instability 0 1 1 42 0 1 2 138
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 0 0 0 147
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 0 1 2 133
The Return–Volatility Relation in Commodity Futures Markets 0 0 3 9 2 4 13 88
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 0 1 5 86
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 0 0 1 42
The cobweb model: Its instability and the onset of chaos 1 2 2 192 1 3 4 522
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 0 45 1 1 3 154
The dynamic behaviour of workers' enterprises 0 0 0 4 0 0 1 26
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 0 18 0 0 0 71
The financial instability hypothesis: A stochastic microfoundation framework 0 1 1 139 1 3 4 415
The impact of heterogeneous trading rules on the limit order book and order flows 2 3 6 25 4 7 18 104
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 2 2 3 26
The limit distribution of evolving strategies in financial markets 1 1 1 14 2 3 4 61
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options 0 0 0 0 1 2 5 5
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 2 4 4 53
The stochastic bifurcation behaviour of speculative financial markets 0 0 0 9 5 7 10 57
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 1 90 1 2 5 242
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 2 2 3 181
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 2 3 4 132
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 2 118 0 2 6 413
Volatility swaps and volatility options on discretely sampled realized variance 0 0 1 28 0 2 6 102
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 0 1 1 6 2 5 9 56
Total Journal Articles 8 28 73 5,319 103 216 453 20,193
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 9 13 58
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 3 89
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 3 56
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 1 2 9 162
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 2 5 86
Nonlinear Oligopolies 0 0 0 1 0 0 3 18
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 0 2 40
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 0 82
The Dynamics of Keynesian Monetary Growth 0 0 0 0 1 1 1 93
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 0 0 3 48 0 1 7 176
Total Books 0 0 4 50 3 15 46 860

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 1 2
A Numerical Approach to Pricing American Call Options under SVJD 0 0 3 7 0 0 5 55
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 0 1 2 2
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 0 1 3
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 0 2 3 19
American Call Options under Jump-Diffusion Processes 0 0 0 5 0 0 0 43
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 0 5 1 2 2 34
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 0 0 1 4
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 2 2 4 5
An Initial Attempt at Pricing an Option 0 0 0 0 4 5 5 8
Applying the General Pricing Framework 0 0 0 0 3 3 3 4
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 1 1 3 7
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 1 1 1 5
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 1 1 4 7
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 1 1 1 5
Change of Numeraire 0 0 0 0 1 1 4 30
Concave Oligopolies 0 0 0 0 0 1 2 3
Concluding Remarks 0 0 0 0 0 1 1 3
Conclusion 0 0 0 0 0 0 0 32
Continuous and Discrete Time Modeling 0 0 0 0 1 1 2 11
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 1 1 2 9
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 0 0 4 8
Fourier Cosine Expansion Approach 0 0 1 11 0 0 4 50
General Oligopolies 0 0 0 0 0 0 1 1
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 0 2 4 13
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 3 3 6 11
Introduction 0 0 0 0 1 2 3 4
Introduction 0 0 1 2 0 0 1 30
Introduction 0 0 0 0 0 1 2 5
Ito’s Lemma and Its Applications 0 0 1 1 0 2 7 71
Jump-Diffusion Processes 0 0 0 0 1 1 2 14
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy 0 0 0 1 1 1 1 3
Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics 0 0 0 0 0 1 1 4
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 1 1 2 5
Modelling Interest Rate Dynamics 0 0 0 0 3 4 4 12
Modified and Extended Oligopolies 0 0 0 0 1 1 2 2
Oligopolies with Misspecified and Uncertain Price Functions, and Learning 0 0 0 0 0 0 0 1
On Filtering in Markovian Term Structure Models 0 0 0 1 0 1 1 22
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 0 0 1 3
Overview and Directions for Future Research 0 0 0 0 1 1 2 3
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 0 1 1 7
Portfolio Modeling with Sustainability Constraints 0 0 0 0 0 1 3 7
Pricing Derivative Securities: A General Approach 0 0 0 0 2 2 6 64
Pricing Options Using Binomial Trees 0 0 0 0 4 4 4 11
Pricing the American Feature 0 0 0 0 6 6 7 11
Representation and Numerical Approximation of American Option Prices under Heston 0 0 1 9 1 2 4 35
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment 0 0 0 0 0 0 0 1
Stochastic Processes for Asset Price Modelling 0 0 0 0 0 1 2 9
Stochastic Volatility 0 0 0 0 4 5 5 9
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 0 0 2 3
The Classical Cournot Model 0 0 0 0 1 2 2 10
The Continuous Hedging Argument 0 0 0 0 1 2 2 9
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 2 3 5 9
The Heath–Jarrow–Morton Framework 0 0 0 0 3 3 6 17
The LIBOR Market Model 0 0 0 0 0 0 1 8
The Martingale Approach 0 0 0 0 1 1 1 8
The Merton and Heston Model for a Call 0 0 1 3 0 1 3 34
The Paradigm Interest Rate Option Problem 0 0 0 0 0 0 1 12
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 0 0 2 9
The Stochastic Differential Equation 0 0 1 2 1 1 5 10
The Stock Option Problem 0 0 0 0 1 1 2 9
The macrodynamics of debt deflation 0 0 0 14 1 1 2 56
Volatility Smiles 0 0 0 0 2 2 3 7
Total Chapters 0 0 9 62 59 84 164 908

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