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 0 0 485
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 1 125 0 0 2 304
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 0 0 2 431
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 1 375 0 0 1 983
A Complete Stochastic Volatility Model in the HJM Framework 0 0 1 302 0 0 2 659
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 1 1 1 445 1 1 1 1,489
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 0 652 1 1 1 2,057
A Dynamic Analysis of Moving Average Rules 0 0 0 134 0 2 2 514
A Dynamic Analysis of Moving Average Rules 0 0 0 496 1 1 3 1,516
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 0 0 1 235
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 0 1 3 267
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 0 0 2 279
A Dynamical Analysis of Moving Average Rules 0 0 0 9 0 1 2 1,642
A Framework for CAPM with Heterogenous Beliefs 0 1 4 217 0 1 7 498
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 1 2 480
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 1 277 0 1 3 806
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 0 0 0 115
A Modern View on Merton's Jump-Diffusion Model 0 0 1 192 0 0 5 480
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 1 1 634
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 1 1 1 344
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 1 88 1 1 3 133
A Survey of the Integral Representation of American Option Prices 0 0 0 348 1 2 4 718
A simple microstructure model of double auction markets 0 0 0 0 0 0 7 509
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 1 1 1 205
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 0 1 1 356
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 0 135 0 0 0 320
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 1 556 0 1 2 1,328
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 0 1 1 359
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 1 161 0 0 3 357
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 0 0 1 217
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 1 1,097
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 0 0 1 85
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 0 0 0 239
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 2 3 501
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 4 787
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 0 0 2 293
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 0 1 1 223
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 1 43 1 2 5 172
Classes of Interest Rate Models Under the HJM Framework 1 2 2 408 2 3 3 1,204
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 0 0 1 3,681 0 1 11 10,627
Continuous Time Model Estimation 0 0 0 447 0 0 0 1,266
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 1 1 2 213
Determinants of Corporate Capital Structure: Australian Evidence 0 0 3 410 1 3 15 1,314
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 1 76 0 0 1 243
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 0 45 0 0 0 226
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 0 0 2 287
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 0 0 1 307
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 1 1 375 1 2 2 996
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 0 155
Evaluation of American Strangles 0 0 1 149 0 0 1 1,294
Evaluation of American Strangles 0 0 0 107 0 0 1 300
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 1 371
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 0 0 1 359
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 0 0 1 279
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 0 0 1 792
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 0 0 0 284
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 0 239
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 0 4 291 0 0 7 633
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 0 1 2 487
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 1 2 4 278
Heterogeneous Expectations and Exchange Rate Dynamics 0 0 0 96 0 1 1 181
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 0 85 0 0 0 238
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 0 64 0 1 3 230
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 1 1 1 519
Interacting Two-Country Business Fluctuations 0 0 0 35 0 0 0 167
Interacting Two-Country Business Fluctuations 0 0 0 61 0 0 0 323
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 0 0 0 553
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 0 1 1 211
Intertemporal Investment Strategies Under Inflation Risk 0 1 4 222 1 2 6 902
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 0 4
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 0 0 1 89
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 1 14 0 0 2 100
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 0 0 0 13
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 0 0 1 5
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 2 226 0 1 5 718
Keynesian AD-AS, Quo Vadis? 0 0 1 152 2 2 4 543
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 1 2 2 391
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 1 110 0 0 2 504
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 1 143 0 0 1 590
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 0 110 0 0 0 600
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 0 1 1 346
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 0 0 1 757
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 0 0 6 131
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 0 1 1 305
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 0 93 0 0 1 228
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 177 1 1 1 620
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 3 154
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 0 0 290 0 2 3 803
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 0 0 4 477
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 1 425 0 0 1 1,670
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 0 0 0 106
Modelling and Estimating the Forward Price Curve in the Energy Market 0 1 4 246 1 2 8 596
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 0 3 158 1 1 5 380
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model 0 0 0 109 0 0 0 319
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 1 337
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 0 0 501 0 2 2 984
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 0 0 1 135
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 0 0 0 166
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 1 1 105 0 1 1 288
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 1 1 1 145
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 3 670
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 0 1 65 0 0 1 226
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 0 1 1 244
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 90 1 1 3 225
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 0 0 0 598
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 1 1 3 1,403
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 0 0 1 341
Output, Financial Markets and Growth 0 0 0 76 0 0 1 206
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 1 1 4 263
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 0 0 0 834
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 0 0 0 566
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 0 0 2 538
Pricing American Options under Regime Switching Using Method of Lines 1 1 1 39 2 2 3 99
Pricing American Options under Stochastic Volatility 0 0 0 3 0 2 7 437
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 2 2 2 378
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 0 0 1 171 0 0 8 442
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 0 99 0 0 1 371
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 1 1 5 537
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 1 47 0 0 3 199
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 1 1 3 108 1 1 5 269
Small Traders in Currency Futures Markets 0 0 1 61 0 0 2 187
Solving the Price-Earnings Puzzle 0 0 1 124 0 0 5 403
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 0 1 2 249
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 0 1 109 1 1 3 369
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 0 1 92 0 0 2 287
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 1 213 0 0 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 0 76 0 0 1 198
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 0 3 4 112
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 0 0 1 456
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 1 2 3 805
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 1 1 130
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 0 0 388 0 2 4 901
The Dynamics of Speculative Behaviour 1 2 4 314 2 3 9 694
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 0 0 0 131
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 1 179 0 0 1 460
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 0 0 0 356
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 0 118 0 0 3 382
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 0 0 1 578
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 0 1 1 166
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 0 0 0 328
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 1 152 0 0 2 361
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 0 5 13 433
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 1 38 0 1 6 164
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 0 0 0 84
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 1 90 0 0 1 366
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 1 85 0 0 1 451
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 1 1 2 427 1 1 2 1,046
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 0 1 5 926
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 0 0 0 336
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 0 0 1 585
The Return-Volatility Relation in Commodity Futures Markets 0 0 0 200 0 1 2 296
The Stochastic Dynamics of Speculative Prices 0 0 0 99 0 0 2 312
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 1 130 0 0 1 234
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 3 826
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 0 0 1 166
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 0 0 1 267
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 1 46 0 0 1 127
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 1 43 0 0 1 230
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 1 10 0 0 2 176
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 0 0 0 369
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 0 88 0 0 1 337
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 0 0 1 343
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 1 39 0 0 1 202
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 1 217 0 0 2 580
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 1 1 1 175
Type I Spurious Regression in Econometrics 0 0 1 163 0 0 1 588
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 0 0 72 1 1 1 189
Total Working Papers 6 13 77 27,999 41 101 358 98,116

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 0 1 414
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 1 1 1 33 1 1 2 206
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 1 1 2 104
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 0 0 0 9
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 0 13
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 0 0 0 109
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 1 1 48
A dynamic analysis of moving average rules 1 1 6 216 2 2 12 667
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 0 0 2 104
A simulation analysis of the microstructure of double auction markets 1 2 25 269 4 8 45 522
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 1 1 1 195
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 3 3 4 22
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 0 0 0 14
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 0 0 1 173
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 0 0 1 190
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 1 46 0 0 3 239
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 0 0 1 178
An evolutionary CAPM under heterogeneous beliefs 0 0 3 29 0 0 6 160
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 0 0 0 253
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 1 86 1 1 2 259
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 0 1 2 94
Asset price dynamics in a financial market with fundamentalists and chartists 0 1 1 2 1 2 3 10
Book Reviews 0 0 0 1 0 0 0 8
Book Reviews 0 0 0 0 0 0 0 2
Book reviews 0 0 0 7 0 0 0 60
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 1 2 14 0 2 4 62
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 0 0 0 286
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 0 1 1 39
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 0 19 0 0 0 55
Do heterogeneous beliefs diversify market risk? 0 0 0 24 0 0 0 118
Does the market maker stabilize the market? 0 0 0 29 1 1 8 155
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 0 0 0 3
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 1 1 2 73
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 1 47 0 0 1 228
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 2 177 0 0 2 562
Editorials 0 0 0 0 0 1 3 37
Estimating behavioural heterogeneity under regime switching 0 0 0 23 0 0 0 111
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 0 1 3 387
Evaluation of American strangles 0 0 0 61 0 0 1 229
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 1 28 0 0 1 108
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 23 0 0 2 109
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 0 0 1 302
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 1 2 29 0 1 2 110
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 0 0 3 252
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 0 0 1 350
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 0 0 0 41
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 0 1 2 1,192
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 1 46 1 1 6 188
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 0 0 0 500
Heterogeneous expectations and exchange rate dynamics 0 0 0 24 0 0 0 96
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 2 73 1 1 3 222
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 2 26 2 3 6 98
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 0 0 1 96
Humps in the volatility structure of the crude oil futures market: New evidence 0 0 0 11 0 0 3 87
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 0 0 0 16
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 0 0 1 137
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 0 223 0 0 0 759
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 0 1 1 292
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 0 144 1 1 1 656
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 0 0 0 159
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 0 0 0 23
Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model 0 0 0 1 1 3 13 261
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 20 0 0 1 163
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 0 50 0 0 1 215
Keynesian monetary growth dynamicsin open economies 0 0 0 0 1 1 1 11
Learning, information processing and order submission in limit order markets 0 1 1 22 1 3 5 122
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 0 0 1 99
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 0 0 26 0 1 1 69
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 0 0 3 145
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 1 2 3 43 1 3 14 151
Moving average rules as a source of market instability 0 0 0 10 0 0 1 71
On the Economics of International Fisheries 0 0 1 37 1 1 2 110
Option Valuation: Some Empirical Results 0 0 0 1 0 0 0 16
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 1 15 1 2 5 77
Preface 0 0 0 3 0 0 0 17
Pricing American options written on two underlying assets 1 1 1 11 1 1 1 44
Pricing range notes within Wishart affine models 0 0 1 8 0 1 6 54
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 0 0 0 133
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 0 2 176
Small traders in currency futures markets 0 0 1 4 1 1 3 29
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 1 314
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 0 50 0 0 3 214
Stochastic correlation and risk premia in term structure models 0 0 0 5 0 0 1 57
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 1 353 0 1 2 1,297
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 1 40 0 1 5 162
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 0 0 1 91
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 0 39 0 1 1 118
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 0 2 0 0 0 23
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 0 1 2 25
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 0 0 0 17
The Dynamic Interaction of Speculation and Diversification 0 0 1 59 0 0 6 248
The Fiscal Cost of Financial Instability 0 0 0 41 0 0 0 136
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 1 1 1 132
The Return–Volatility Relation in Commodity Futures Markets 0 0 1 6 0 5 11 80
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 1 2 2 83
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 0 1 1 42
The cobweb model: Its instability and the onset of chaos 0 0 1 190 0 0 3 518
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 0 45 0 0 1 151
The dynamic behaviour of workers' enterprises 0 0 0 4 0 0 0 25
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 0 0 138 1 1 4 412
The impact of heterogeneous trading rules on the limit order book and order flows 0 1 4 20 0 1 6 87
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 0 0 0 23
The limit distribution of evolving strategies in financial markets 0 0 0 13 1 1 1 58
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 0 0 1 49
The stochastic bifurcation behaviour of speculative financial markets 0 0 1 9 0 0 1 47
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 2 89 0 1 5 238
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 0 1 1 179
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 0 0 2 128
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 0 116 0 1 3 408
Volatility swaps and volatility options on discretely sampled realized variance 0 0 0 27 0 0 0 96
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 0 0 0 5 2 3 4 50
Total Journal Articles 5 12 72 5,259 35 76 277 20,074
1 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 0 0 2 9 47
Financial Assets, Debt and Liquidity Crises 0 0 0 0 1 1 2 54
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 2 6 88
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 0 1 1 82
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 1 2 6 155
Nonlinear Oligopolies 0 0 1 1 1 2 4 17
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 1 5 39
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 2 82
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 0 0 92
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 0 0 0 45 1 1 5 170
Total Books 0 0 1 46 4 12 40 826

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 1 1 1 2
A Numerical Approach to Pricing American Call Options under SVJD 0 0 0 4 1 1 2 51
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 1 1 1 1
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 0 1 2
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 0 1 2 17
American Call Options under Jump-Diffusion Processes 0 0 1 5 0 0 1 43
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 1 5 0 0 2 32
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 0 1 1 4
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 0 1 1 2
An Initial Attempt at Pricing an Option 0 0 0 0 0 0 0 3
Applying the General Pricing Framework 0 0 0 0 0 0 0 1
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 1 1 2 5
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 0 0 0 4
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 1 1 1 4
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 0 0 0 4
Change of Numeraire 0 0 0 0 0 1 10 27
Concave Oligopolies 0 0 0 0 0 0 0 1
Concluding Remarks 0 0 0 0 0 0 0 2
Conclusion 0 0 0 0 0 0 2 32
Continuous and Discrete Time Modeling 0 0 0 0 1 1 3 10
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 0 0 1 7
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 0 0 2 4
Fourier Cosine Expansion Approach 0 0 1 10 0 0 2 46
General Oligopolies 0 0 0 0 1 1 1 1
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 1 1 1 10
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 0 0 0 5
Introduction 0 0 0 0 1 1 1 4
Introduction 1 1 1 2 1 1 3 30
Introduction 0 0 0 0 0 0 0 1
Ito’s Lemma and Its Applications 0 1 1 1 0 2 9 66
Jump-Diffusion Processes 0 0 0 0 0 0 4 12
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy 0 0 1 1 0 0 1 2
Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics 0 0 0 0 0 0 1 3
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 1 1 2 4
Modelling Interest Rate Dynamics 0 0 0 0 0 0 2 8
Modified and Extended Oligopolies 0 0 0 0 1 1 1 1
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 0 0 21
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 0 0 1 2
Overview and Directions for Future Research 0 0 0 0 0 0 0 1
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 0 0 2 6
Portfolio Modeling with Sustainability Constraints 0 0 0 0 1 1 1 5
Pricing Derivative Securities: A General Approach 0 0 0 0 0 1 12 59
Pricing Options Using Binomial Trees 0 0 0 0 0 0 2 7
Pricing the American Feature 0 0 0 0 1 1 2 5
Representation and Numerical Approximation of American Option Prices under Heston 0 0 0 8 1 1 1 32
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 0 1 7
Stochastic Volatility 0 0 0 0 0 0 0 4
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 1 1 1 2
The Classical Cournot Model 0 0 0 0 0 0 2 8
The Continuous Hedging Argument 0 0 0 0 0 0 0 7
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 0 0 2 4
The Heath–Jarrow–Morton Framework 0 0 0 0 3 3 9 14
The LIBOR Market Model 0 0 0 0 0 0 2 7
The Martingale Approach 0 0 0 0 0 0 1 7
The Merton and Heston Model for a Call 0 0 0 2 0 0 0 31
The Paradigm Interest Rate Option Problem 0 0 0 0 0 1 6 12
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 0 1 2 8
The Stochastic Differential Equation 0 0 0 1 0 1 2 6
The Stock Option Problem 0 0 0 0 0 1 2 8
The macrodynamics of debt deflation 0 0 0 14 0 0 2 54
Volatility Smiles 0 0 0 0 1 1 1 5
Total Chapters 1 2 6 55 20 31 115 775

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