Access Statistics for Carl Chiarella

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A Behavioural Asset Pricing Model with a Time-Varying Second Moment 0 0 0 147 2 6 19 504
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 0 0 126 1 1 8 313
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 0 187 2 2 9 440
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 0 375 4 6 19 1,002
A Complete Stochastic Volatility Model in the HJM Framework 0 0 0 302 4 4 12 672
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 0 0 0 445 5 6 14 1,503
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets 0 0 0 55 2 2 2 202
A Dynamic Analysis of Moving Average Rules 0 0 0 134 5 6 18 532
A Dynamic Analysis of Moving Average Rules 0 0 2 498 3 4 20 1,536
A Dynamic Analysis of Moving Average Rules 1 1 2 654 2 2 10 2,067
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 80 1 2 7 242
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 102 3 4 13 280
A Dynamic Heterogeneous Beliefs CAPM 0 0 0 133 2 5 16 296
A Dynamical Analysis of Moving Average Rules 0 0 0 9 0 5 12 1,654
A Framework for CAPM with Heterogenous Beliefs 0 0 2 219 1 4 10 508
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 2 3 12 492
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 1 1 2 279 4 7 18 824
A Model of Monetary Growth for a Small Open Economy 0 0 0 54 0 1 3 118
A Modern View on Merton's Jump-Diffusion Model 1 2 4 196 4 11 24 506
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 1 2 6 219
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 1 2 7 642
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 1 3 5 349
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 0 0 5 185
A Survey of Non-linear Methods for No-arbitrage Bond Pricing 0 0 0 88 0 2 2 135
A Survey of the Integral Representation of American Option Prices 0 1 2 350 6 10 21 739
A simple microstructure model of double auction markets 0 0 0 0 3 4 14 523
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 83 0 2 6 212
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 134 1 2 8 364
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 1 136 1 6 13 333
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 1 557 2 6 14 1,343
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 1 5 21 380
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 234 1 2 8 684
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 0 0 161 6 10 15 372
An Evolutionary CAPM Under Heterogeneous Beliefs 0 0 0 94 3 5 17 234
An Implementation of the Shirakawa Jump-Diffusion Term Structure Model 0 0 0 1 1 2 6 239
Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation 0 0 0 303 2 3 12 1,110
Approximate Hedging of Options under Jump-Diffusion Processes 0 0 0 21 2 4 11 96
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 0 79 2 2 4 244
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 2 6 12 325
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 0 0 220 0 1 10 511
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 178 0 3 13 471
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 0 2 8 795
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 0 1 8 301
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 2 5 11 234
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 0 43 2 2 7 179
Classes of Interest Rate Models Under the HJM Framework 0 0 2 410 5 5 13 1,217
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 0 0 1 3,682 5 9 24 10,652
Continuous Time Model Estimation 0 0 0 447 0 3 11 1,277
Credit Derivative Pricing with Stochastic Volatility Models 0 0 0 64 4 9 20 234
Determinants of Corporate Capital Structure: Australian Evidence 0 0 0 410 2 8 15 1,329
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 0 76 1 2 4 247
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 1 1 1 46 5 7 18 244
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 1 1 8 300
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 90 1 3 4 291
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 1 2 13 320
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 1 1 1 376 2 4 10 1,006
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 0 89 3 3 16 356
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 4 5 7 162
Evaluation of American Strangles 0 0 0 149 1 1 8 1,302
Evaluation of American Strangles 0 0 0 107 2 2 6 306
Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques 0 0 0 115 2 3 14 385
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 0 7 4 4 6 365
Exchange Options Under Jump-Diffusion Dynamics 0 0 0 116 4 6 13 293
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 2 3 11 803
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 6 7 12 296
Filtering Equity Risk Premia From Derivative Prices 0 0 0 154 1 1 3 465
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model 0 0 0 89 2 3 13 332
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 75 3 7 23 262
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 0 1 293 2 3 18 653
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 0 0 182 1 2 12 499
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model 0 0 0 419 1 5 9 1,260
Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model 0 0 0 69 1 3 11 289
Heterogeneous Expectations and Exchange Rate Dynamics 0 1 2 98 1 6 20 201
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 0 114 0 2 11 352
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 0 85 1 4 75 313
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 1 65 6 8 18 248
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 0 70 0 1 7 526
Interacting Two-Country Business Fluctuations 0 0 0 61 2 3 9 332
Interacting Two-Country Business Fluctuations 0 0 0 35 3 5 12 179
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 1 6 14 567
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 4 4 12 223
Intertemporal Investment Strategies Under Inflation Risk 0 0 4 226 3 3 15 917
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 116 2 5 20 400
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 2 6 16 21
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 0 20 1 1 8 97
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 14 4 5 16 116
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 4 4 9 14
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 2 3 11 24
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models 0 0 0 0 1 1 3 7
Issues in Evaluating Multifactor Options in a PDE Framework 0 0 0 1 2 7 10 265
Keynes-Metzler-Goodwin Model Building: The Closed Economy 1 1 1 228 3 9 11 731
Keynesian AD-AS, Quo Vadis? 0 0 0 152 2 3 11 554
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 0 117 2 6 12 403
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 0 110 2 3 13 517
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 0 143 1 3 9 599
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 1 111 1 7 16 616
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 95 1 2 15 361
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 0 241 1 15 29 786
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 33 1 2 8 139
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 3 5 9 315
Learning and Evolution of Trading Strategies in Limit Order Markets 0 0 0 94 2 2 15 245
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 177 1 4 11 631
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 5 5 11 124
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 2 2 7 161
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 0 0 1 291 1 2 6 809
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 1 4 13 314
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 120 2 3 9 486
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 1 426 7 10 14 1,684
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 3 3 5 112
Modelling and Estimating the Forward Price Curve in the Energy Market 0 0 4 252 2 2 12 611
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 0 2 160 5 7 18 398
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model 0 0 0 109 1 2 7 327
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 1 117 1 4 15 352
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 0 1 502 0 1 13 997
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 109 1 2 9 175
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 103 1 4 15 152
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics 0 0 0 46 2 3 10 230
Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model 0 0 0 105 2 3 12 302
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 1 1 6 151
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 4 5 8 678
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 0 1 66 1 2 10 236
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 3 3 9 253
On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics 0 0 0 9 1 2 3 147
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications 0 0 0 90 3 4 9 236
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 1 6 17 615
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 3 4 14 1,417
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 99 2 4 9 350
Output, Financial Markets and Growth 0 0 0 76 1 2 5 211
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 1 1 5 130
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 2 122 5 7 25 288
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 0 70 3 4 6 366
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 2 3 7 841
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 258 2 3 4 570
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 2 4 5 543
Pricing American Options under Regime Switching Using Method of Lines 0 0 0 39 3 10 14 113
Pricing American Options under Stochastic Volatility 0 0 0 3 6 9 15 452
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 0 3 8 386
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 0 0 1 172 6 8 17 459
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 1 1 101 1 5 9 381
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 0 91 3 5 8 545
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 0 47 2 3 4 203
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 1 2 5 114 2 4 14 284
Small Traders in Currency Futures Markets 0 0 1 62 0 0 8 195
Solving the Price-Earnings Puzzle 0 0 0 124 2 3 16 420
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 3 8 17 266
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 0 2 111 1 6 19 388
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 0 0 0 47 1 3 10 171
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 92 3 4 15 302
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 0 213 2 3 8 602
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 144 2 3 12 452
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 76 1 6 10 208
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 43 0 3 10 123
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 5 7 17 473
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 0 3 6 811
THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER 0 0 0 3 3 5 7 529
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays 0 0 0 35 1 4 12 181
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 4 1 2 4 134
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 1 2 390 3 7 16 919
The Dynamics of Speculative Behaviour 2 3 7 321 4 11 31 725
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 30 3 5 11 142
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 1 180 2 4 9 469
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 161 2 5 12 368
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 1 119 1 3 13 395
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 213 0 5 13 591
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 0 64 4 4 7 173
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 0 0 172 2 9 18 346
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 0 152 0 0 2 363
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 21 4 8 17 102
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 38 3 7 15 181
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 0 158 7 11 37 470
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 90 2 2 6 372
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 85 1 2 5 456
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 0 176 1 2 10 522
The Macrodynamics of Debt Deflation 0 0 0 427 2 2 9 1,055
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 2 2 9 935
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 0 2 7 343
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 181 2 4 12 597
The Return-Volatility Relation in Commodity Futures Markets 1 1 1 201 3 9 15 311
The Stochastic Dynamics of Speculative Prices 0 0 0 99 1 1 5 317
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 0 130 1 4 9 243
The Valuation of Multiple Asset American Options under Jump Diffusion Processes 0 0 0 4 2 5 9 411
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach 0 0 0 285 4 6 9 835
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 4 7 11 177
The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach 0 0 0 197 3 5 7 988
Time-Varying Beta: A Boundedly Rational Equilibrium Approach 0 0 0 101 3 4 15 283
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 0 46 0 1 4 131
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 0 43 2 3 10 240
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 0 10 1 2 5 181
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 0 49 5 6 12 381
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 0 88 1 1 4 341
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 0 50 4 5 8 351
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 0 40 4 4 9 212
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 1 1 218 5 8 21 602
Two Stochastic Volatility Processes - American Option Pricing 0 0 0 62 3 4 9 184
Type I Spurious Regression in Econometrics 0 0 0 163 1 3 11 599
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 0 0 72 0 1 4 193
Total Working Papers 10 18 67 28,075 423 812 2,299 100,460

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 2 3 11 425
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 0 33 0 0 6 212
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 27 3 6 14 118
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 1 1 4 13
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 1 3 6 19
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 6 9 13 123
A behavioral asset pricing model with a time-varying second moment 0 0 0 1 1 1 11 17
A behavioural model of investor sentiment in limit order markets 0 0 0 12 5 5 9 57
A dynamic analysis of moving average rules 0 0 0 216 3 4 14 681
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 22 0 0 6 110
A simulation analysis of the microstructure of double auction markets 4 6 25 296 10 18 59 583
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 2 4 10 205
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 2 3 14 36
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 1 1 4 18
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 1 2 6 180
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 41 2 3 6 196
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 1 47 1 2 14 253
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 0 51 2 3 10 188
An evolutionary CAPM under heterogeneous beliefs 0 1 3 32 4 7 16 176
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 109 1 8 16 269
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 1 87 4 5 14 274
Asset price and wealth dynamics under heterogeneous expectations 0 0 0 22 3 3 12 106
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 2 4 1 1 5 15
Book Reviews 0 0 0 0 1 1 2 4
Book Reviews 0 0 0 1 1 3 5 13
Book reviews 0 0 0 7 0 0 9 69
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 2 0 3 4 25
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 1 2 16 3 8 20 82
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 0 40 3 4 11 297
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 0 5 0 1 3 42
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 0 20 1 1 8 64
Do heterogeneous beliefs diversify market risk? 0 0 0 24 3 4 11 129
Does the market maker stabilize the market? 0 0 1 30 2 2 11 166
Dynamic monopoly with bounded continuously distributed delay 0 0 0 1 3 3 7 10
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 19 0 1 8 81
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 1 1 1 48 5 5 13 241
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 1 3 7 569
Editorials 0 0 0 0 1 1 2 39
Estimating behavioural heterogeneity under regime switching 0 0 0 23 5 6 11 124
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 136 2 3 8 395
Evaluation of American strangles 0 0 0 61 0 1 6 235
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 28 1 1 4 112
Exchange Options Under Jump-Diffusion Dynamics 1 1 1 24 5 5 9 118
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 3 3 11 313
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 0 30 1 1 8 119
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 0 86 4 4 12 264
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 5 8 18 369
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 2 2 5 46
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 320 3 5 11 1,203
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 0 0 46 1 4 15 203
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 0 0 146 2 5 14 514
Heterogeneous expectations and exchange rate dynamics 0 1 1 25 3 5 11 108
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 0 73 4 7 15 237
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 1 27 4 7 23 122
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 26 1 3 8 104
Humps in the volatility structure of the crude oil futures market: New evidence 1 2 2 13 3 10 26 114
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 0 2 0 0 3 19
Inference on forward exchange rate risk premium: reviewing signal extraction methods 0 0 0 27 2 2 4 141
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 0 224 0 0 3 763
Innovation and the transfer of technology: A leader-follower model 0 0 0 83 1 1 5 297
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 1 1 1 145 3 4 10 666
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 2 2 7 174
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 1 3 2 4 13 36
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 1 21 5 5 18 181
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 2 52 0 1 16 231
Keynesian monetary growth dynamicsin open economies 0 0 0 0 2 3 4 15
Learning, information processing and order submission in limit order markets 0 0 0 22 3 3 15 137
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 3 3 10 110
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 0 1 27 2 7 13 82
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 0 36 4 4 8 153
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 0 45 2 4 10 164
Moving average rules as a source of market instability 0 0 0 10 0 0 6 78
On the Economics of International Fisheries 0 0 0 37 0 0 6 116
Option Valuation: Some Empirical Results 0 0 0 1 1 1 4 20
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 15 1 3 10 87
Preface 0 0 0 3 1 1 4 21
Pricing American options written on two underlying assets 0 0 1 12 2 3 7 52
Pricing range notes within Wishart affine models 0 0 0 8 3 4 9 63
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 1 1 5 138
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 2 9 187
Small traders in currency futures markets 0 0 1 5 0 0 4 33
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 4 4 6 173
Speculative behaviour and complex asset price dynamics: a global analysis 0 0 0 116 1 2 5 319
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 0 50 5 5 9 224
Stochastic correlation and risk premia in term structure models 0 0 0 5 7 8 11 68
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 0 353 0 1 14 1,312
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 0 40 0 3 10 173
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 18 4 5 9 100
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 1 40 3 4 13 131
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 2 4 3 3 16 39
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 0 3 3 3 6 31
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 3 2 4 17 35
The Dynamic Interaction of Speculation and Diversification 0 1 1 60 2 4 15 263
The Fiscal Cost of Financial Instability 0 0 2 43 0 1 11 148
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 3 3 5 152
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 1 3 12 144
The Return–Volatility Relation in Commodity Futures Markets 1 1 3 10 8 10 24 105
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 19 2 4 11 94
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 1 2 11 53
The cobweb model: Its instability and the onset of chaos 0 0 2 192 0 1 10 528
The dynamic behaviour of asset prices in disequilibrium: a survey 1 1 1 46 1 3 15 166
The dynamic behaviour of workers' enterprises 0 0 0 4 0 1 3 28
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 0 18 1 2 3 74
The financial instability hypothesis: A stochastic microfoundation framework 0 0 1 139 2 4 8 420
The impact of heterogeneous trading rules on the limit order book and order flows 0 0 6 26 2 5 20 111
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 1 3 11 34
The limit distribution of evolving strategies in financial markets 0 0 1 14 1 3 14 72
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options 0 0 0 0 3 4 8 10
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 0 11 2 3 13 62
The stochastic bifurcation behaviour of speculative financial markets 0 0 1 10 1 4 22 71
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 1 90 1 3 10 248
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 43 4 5 10 189
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 14 1 2 11 140
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 1 118 0 7 18 427
Volatility swaps and volatility options on discretely sampled realized variance 0 0 1 28 5 6 21 117
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach 0 1 2 7 2 4 15 65
Total Journal Articles 10 18 78 5,345 245 399 1,236 21,095
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 3 17 65
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 2 5 94
Financial Assets, Debt and Liquidity Crises 0 0 0 0 0 0 2 57
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 1 2 7 164
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 1 1 6 88
Nonlinear Oligopolies 0 0 0 1 2 3 8 25
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 5 6 46
The Dynamics of Keynesian Monetary Growth 0 0 0 0 1 3 5 87
The Dynamics of Keynesian Monetary Growth 0 0 0 0 1 2 4 96
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 1 1 4 49 4 4 9 180
Total Books 1 1 4 51 11 25 69 902

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 6 8
A Numerical Approach to Pricing American Call Options under SVJD 0 0 3 7 3 3 10 61
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents 0 0 0 0 1 2 3 4
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model 0 0 0 0 0 2 4 6
Allowing for Stochastic Interest Rates in the Black–Scholes Model 0 0 0 0 3 6 14 31
American Call Options under Jump-Diffusion Processes 0 0 0 5 1 1 2 45
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 1 6 3 3 8 40
An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies 0 0 0 0 2 2 5 9
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects 0 0 0 0 2 3 8 10
An Initial Attempt at Pricing an Option 0 0 0 0 2 4 10 13
Applying the General Pricing Framework 0 0 0 0 0 2 9 10
Asset Accumulation and Portfolio Decisions Under Inflation Risk 0 0 0 0 1 4 10 15
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income 0 0 0 0 2 6 9 13
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns 0 0 0 0 0 2 6 10
Asset Price Dynamics and Diversification with Heterogeneous Agents 0 0 0 0 2 2 4 8
Change of Numeraire 0 0 0 0 2 3 6 35
Concave Oligopolies 0 0 0 0 2 2 4 5
Concluding Remarks 0 0 0 0 0 1 8 10
Conclusion 0 0 0 0 2 4 8 40
Continuous and Discrete Time Modeling 0 0 0 0 0 1 3 13
Dynamic Saving and Portfolio Decisions-Theory 0 0 0 0 0 2 7 14
Forecasting and Low Frequency Movements of Asset Returns 0 0 0 0 1 2 9 13
Fourier Cosine Expansion Approach 0 0 0 11 4 5 14 62
General Oligopolies 0 0 0 0 1 1 1 2
Interest Rate Derivatives: Multi-Factor Models 0 0 0 0 0 1 5 16
Interest Rate Derivatives: One Factor Spot Rate Models 0 0 0 0 2 4 13 18
Introduction 0 0 0 0 0 0 4 5
Introduction 0 0 0 0 1 3 5 9
Introduction 0 0 0 2 1 1 1 31
Ito’s Lemma and Its Applications 0 0 0 1 3 10 14 81
Jump-Diffusion Processes 0 0 0 0 2 3 6 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 1 3 6 9
Manipulating Stochastic Differential Equations and Stochastic Integrals 0 0 0 0 0 2 5 9
Modelling Interest Rate Dynamics 0 0 0 0 2 6 10 18
Modified and Extended Oligopolies 0 0 0 0 3 3 5 6
Oligopolies with Misspecified and Uncertain Price Functions, and Learning 0 0 0 0 2 2 4 5
On Filtering in Markovian Term Structure Models 0 0 0 1 0 1 5 26
Option Pricing Under Jump-Diffusion Processes 0 0 0 0 0 3 6 8
Overview and Directions for Future Research 0 0 0 0 4 4 6 7
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process 0 0 0 0 0 1 4 10
Portfolio Modeling with Sustainability Constraints 0 0 0 0 1 2 6 12
Pricing Derivative Securities: A General Approach 0 0 0 0 3 5 11 71
Pricing Options Using Binomial Trees 0 0 0 0 1 3 8 15
Pricing the American Feature 0 0 0 0 0 2 11 16
Representation and Numerical Approximation of American Option Prices under Heston 0 0 0 9 3 3 10 43
Representation of American Option Prices Under Heston Stochastic Volatility Dynamics Using Integral Transforms 0 0 0 0 1 4 4 4
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment 0 0 0 0 0 1 4 5
Stochastic Processes for Asset Price Modelling 0 0 0 0 2 5 8 15
Stochastic Volatility 0 0 0 0 3 5 12 16
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 0 0 1 5 7
The Classical Cournot Model 0 0 0 0 2 2 6 14
The Continuous Hedging Argument 0 0 0 0 2 2 7 14
The Evaluation of Discrete Barrier Options in a Path Integral Framework 0 0 0 0 0 1 6 11
The Heath–Jarrow–Morton Framework 0 0 0 0 1 4 11 25
The LIBOR Market Model 0 0 0 0 0 2 2 10
The Martingale Approach 0 0 0 0 2 3 7 14
The Merton and Heston Model for a Call 0 0 0 3 4 5 11 43
The Paradigm Interest Rate Option Problem 0 0 0 0 1 2 9 21
The Partial Differential Equation Approach Under Geometric Brownian Motion 0 0 0 0 4 5 7 15
The Stochastic Differential Equation 0 0 1 2 1 2 8 15
The Stock Option Problem 0 0 0 0 1 2 8 16
The macrodynamics of debt deflation 0 1 1 15 2 3 9 63
Volatility Smiles 0 0 0 0 1 4 9 14
Total Chapters 0 1 6 64 91 179 449 1,237

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