Access Statistics for Carl Chiarella

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A Behavioural Asset Pricing Model with a Time-Varying Second Moment 1 1 1 147 1 1 4 481
A Behavioural Model of Investor Sentiment in Limit Order Markets 0 1 6 120 3 5 26 289
A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility 0 0 1 187 0 3 7 427
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework 0 0 3 370 0 1 64 964
A Complete Stochastic Volatility Model in the HJM Framework 1 1 4 296 1 1 8 640
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps 1 1 2 444 2 3 10 1,485
A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets 0 0 0 54 0 0 1 195
A Dynamic Analysis of Moving Average Rules 0 0 4 652 1 3 12 2,034
A Dynamic Analysis of Moving Average Rules 0 0 3 133 0 5 19 494
A Dynamic Analysis of Moving Average Rules 0 0 1 495 0 0 8 1,504
A Dynamic Analysis of Speculation Across Two Markets 0 0 0 79 0 2 7 231
A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market 0 0 0 101 0 1 5 253
A Dynamic Heterogeneous Beliefs CAPM 0 0 1 130 1 3 9 263
A Dynamical Analysis of Moving Average Rules 0 0 0 9 0 0 27 1,630
A Framework for CAPM with Heterogenous Beliefs 1 1 1 209 1 1 4 482
A Markovian Defaultable Term Structure Model with State Dependent Volatilities 0 0 0 180 0 2 7 475
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models 0 0 0 270 0 0 6 777
A Model of Monetary Growth for a Small Open Economy 0 0 1 53 0 1 5 111
A Modern View on Merton's Jump-Diffusion Model 1 6 20 176 3 12 43 439
A Non-Stationary Asset Pricing Model under Heterogeneous Expectations 0 0 0 0 0 1 4 211
A Preference Free Partial Differential Equation for the Term Structure of Interest Rates 0 0 0 153 0 0 6 626
A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models 0 0 0 0 0 1 1 339
A Survey of Models for the Pricing of Interest Rate Derivatives 0 0 0 0 1 1 1 179
A Survey of Non-linear Methods for No-arbitrage Bond Pricing 0 0 1 87 0 1 5 128
A Survey of the Integral Representation of American Option Prices 0 0 5 332 0 3 16 684
A simple microstructure model of double auction markets 0 0 0 0 1 3 14 479
Adaptive Rational Expectations in Models of Monetary Dynamics 0 0 0 81 0 0 1 199
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis 0 0 0 131 0 3 7 346
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis 0 0 1 130 0 3 7 310
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach 0 0 1 554 0 3 9 1,320
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 233 0 1 7 671
An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies 0 0 0 0 0 2 5 352
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics 0 0 5 154 0 1 12 340
An Evolutionary CAPM Under Heterogeneous Beliefs 0 1 2 91 2 7 14 196
An Implementation of the Shirakawa Jump-Diffusion Term Structure Model 0 0 0 1 0 1 4 228
Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation 0 0 0 303 1 2 8 1,096
Approximate Hedging of Options under Jump-Diffusion Processes 1 1 2 20 2 4 5 74
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems 0 0 1 79 0 1 5 232
Asset Price Dynamics among Heterogeneous Interacting Agents 0 0 0 0 0 1 6 306
Asset Price and Wealth Dynamics Under Heterogeneous Expectations 0 1 3 218 1 5 11 489
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents 0 0 0 175 1 4 7 452
Asset Price and Wealth Dynamics under Heterogeneous Expectations 0 0 0 74 1 4 10 772
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 0 0 3 6 283
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model 0 0 0 53 0 0 1 218
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics 0 0 3 37 0 3 10 150
Classes of Interest Rate Models Under the HJM Framework 0 1 6 404 2 7 121 1,185
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data 3 4 7 3,669 8 17 51 10,505
Continuous Time Model Estimation 0 0 4 446 0 2 11 1,250
Credit Derivative Pricing with Stochastic Volatility Models 0 0 1 61 0 5 15 204
Determinants of Corporate Capital Structure: Australian Evidence 0 1 5 373 4 9 33 1,173
Developments in Nonlinear Economic Dynamics: Past, Present and Future 0 0 0 87 0 0 2 198
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives 0 0 1 73 0 2 6 237
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case 0 0 0 45 0 3 7 223
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case 0 0 0 46 0 2 6 288
Estimating Behavioural Heterogeneity Under Regime Switching 0 0 0 89 0 0 8 274
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach 0 0 0 87 0 1 5 305
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets 0 0 0 374 0 1 4 988
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm 0 0 1 89 1 3 12 336
Estimation of the Volatility Structure of the Fixed Income Market 0 0 0 4 0 0 0 153
Evaluation of American Strangles 0 0 1 105 4 7 12 294
Evaluation of American Strangles 0 0 3 148 0 2 10 1,290
Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques 0 0 0 113 2 2 4 358
Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions 0 0 1 5 0 0 4 350
Exchange Options Under Jump-Diffusion Dynamics 0 0 1 116 0 1 5 272
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 111 1 2 8 788
Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers 0 0 0 0 0 0 3 269
Filtering Equity Risk Premia From Derivative Prices 0 0 0 151 0 3 10 450
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model 0 0 0 89 0 0 2 316
Hedge Portfolios in Markets with Price Discontinuities 0 0 0 73 0 0 2 224
Heterogeneity, Market Mechanisms, and Asset Price Dynamics 0 0 3 274 0 2 10 586
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker 0 1 4 179 0 4 12 467
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model 0 1 1 418 1 7 12 1,240
Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model 0 0 0 69 0 4 6 270
Heterogeneous Expectations and Exchange Rate Dynamics 0 0 0 93 0 1 6 168
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework 0 0 1 113 0 2 9 333
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500 0 0 2 82 0 2 16 217
Humps in the Volatility Structure of the Crude Oil Futures Market 0 0 0 61 1 4 16 213
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices 0 0 1 70 0 1 7 514
Interacting Two-Country Business Fluctuations 0 0 0 60 1 2 6 315
Interacting Two-Country Business Fluctuations 0 0 0 35 0 0 7 161
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework 0 0 0 147 0 2 9 510
Intertemporal Asset Allocation with Inflation-Indexed Bonds 0 0 0 0 0 0 6 203
Intertemporal Investment Strategies Under Inflation Risk 0 0 0 210 0 1 10 885
Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models 0 0 0 115 0 1 2 367
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models 0 0 0 0 0 0 0 0
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model 0 0 1 20 0 3 6 86
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 0 1 1 1
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 0 0 2 3 3
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 12 0 1 5 88
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models 0 0 0 0 0 0 0 0
Issues in Evaluating Multifactor Options in a PDE Framework 0 0 0 1 0 0 2 255
Keynes-Metzler-Goodwin Model Building: The Closed Economy 0 1 6 217 2 6 22 689
Keynesian AD-AS, Quo Vadis? 0 0 1 149 0 1 9 522
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 1 113 0 1 7 380
Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach 0 0 1 104 1 1 6 485
Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model 0 0 1 136 1 2 10 573
Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach 0 0 0 110 1 1 1 581
Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach 0 0 0 94 0 0 16 339
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy 0 0 7 237 0 1 14 737
Keynesian Monetary Growth Dynamics: The Missing Prototype 0 0 0 31 0 0 3 118
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates 0 0 0 84 0 0 2 302
Learning and Evolution of Trading Strategies in Limit Order Markets 1 1 2 92 2 2 7 222
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics 0 0 0 175 0 1 6 610
Limit Distribution of Evolving Strategies in Financial Markets 0 0 0 39 0 1 7 110
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility 0 0 0 42 0 1 2 144
McKean's Methods Applied to American Call Options on Jump-Diffusion Processes 1 1 1 289 1 6 18 798
McKean’s Method applied to American Call Options on Jump-Diffusion Processes 0 0 0 0 0 3 8 297
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices 0 0 0 119 1 7 11 469
Modeling the Currency Forward Risk Premium: Theory and Evidence 0 0 1 423 1 2 5 1,665
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios 0 0 0 38 0 2 3 97
Modelling and Estimating the Forward Price Curve in the Energy Market 0 0 0 230 0 1 14 552
Modelling the "Animal Spirits" of Bank's Lending Behaviour 0 0 13 143 1 6 51 329
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model 1 1 1 108 1 3 12 315
Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model 0 0 1 116 0 1 4 332
Modelling the Value of the S&P 500 - A System Dynamics Perspective 0 0 1 497 0 0 4 975
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 0 104 1 3 3 153
Monetary Policy and Debt Deflation: Some Computational Experiments 0 0 1 102 1 2 7 125
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics 0 0 0 46 0 0 3 218
Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model 0 0 2 103 1 1 6 277
Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules 0 0 0 0 0 1 5 141
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 7 17 645
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models 0 0 1 61 1 1 13 211
On Filtering in Markovian Term Structure Models (An Approximation Approach) 0 0 0 65 0 2 5 242
On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics 0 0 0 4 0 1 2 141
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications 0 1 1 87 0 3 4 213
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions 0 0 0 291 0 1 2 593
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies 0 0 0 0 0 0 6 1,384
Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum 0 0 0 94 0 2 12 325
Output, Financial Markets and Growth 0 0 0 76 2 4 7 200
PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS 0 0 0 0 0 1 3 123
Particle Filters for Markov Switching Stochastic Volatility Models 0 0 0 117 0 3 9 243
Price Flexibility and Debt Dynamics in a High Order AS-AD Model 0 0 1 68 0 2 9 356
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines 0 0 0 249 0 1 4 831
Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions 0 0 0 257 0 3 8 561
Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions 0 0 0 2 0 2 5 532
Pricing American Options under Regime Switching Using Method of Lines 0 1 4 33 0 3 14 82
Pricing American Options under Stochastic Volatility 0 0 0 3 0 3 13 403
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics 0 0 0 0 0 0 3 369
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time 2 7 14 147 6 26 50 364
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient 0 0 1 98 0 2 7 363
Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation 0 0 1 89 0 1 5 525
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market 0 0 1 44 0 1 9 190
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics 0 0 9 84 0 1 20 226
Small Traders in Currency Futures Markets 1 1 2 59 2 4 9 179
Solving the Price-Earnings Puzzle 1 1 1 122 2 6 14 388
Speculative Behaviour and Complex Asset Price Dynamics 0 0 0 1 0 4 10 239
Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach 0 1 3 107 0 2 6 361
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning 1 1 2 47 1 2 9 154
Stabilizing an unstable economy: on the choice of proper policy measures 0 0 0 87 0 1 10 280
State Variables and the Affine Nature of Markovian HJM Term Structure Models 0 0 1 209 0 0 6 588
Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment 0 0 0 143 0 4 10 436
Stochastic Correlation and Risk Premia in Term Structure Models 0 0 0 74 1 2 7 188
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 0 0 3 39 0 1 11 97
Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming 0 0 0 1 1 4 6 450
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS 0 0 0 0 0 0 1 795
THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER 0 0 0 3 0 1 5 515
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays 0 0 1 35 0 1 3 167
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags 0 0 0 2 0 0 3 125
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology 0 1 4 378 1 2 6 853
The Dynamics of Speculative Behaviour 1 2 10 293 2 8 41 643
The Dynamics of the Cobweb when Producers are Risk Averse Learners 0 0 0 29 0 1 4 126
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques 0 0 0 177 0 2 10 451
The Evaluation Of Barrier Option Prices Under Stochastic Volatility 0 0 0 159 0 1 4 352
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach 0 0 0 116 0 2 9 354
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines 0 0 0 212 0 1 4 566
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching 0 0 2 64 2 2 8 161
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework 0 1 1 170 0 2 4 323
The History of the Quantitative Methods in Finance Conference Series. 1992-2007 0 0 1 149 0 0 1 352
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 1 20 1 3 12 73
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 1 152 0 9 25 399
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows 0 0 2 32 2 4 11 143
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 1 89 0 0 3 363
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context 0 0 0 84 1 2 6 444
The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison 0 0 1 176 0 0 1 508
The Macrodynamics of Debt Deflation 0 0 2 417 0 2 15 1,031
The Multifactor Nature of the Volatility of the Eurodollar Futures Market 0 0 0 284 0 4 10 913
The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions 0 0 0 0 0 4 9 333
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option 0 0 0 178 0 0 1 576
The Return-Volatility Relation in Commodity Futures Markets 1 1 3 195 2 4 16 268
The Stochastic Dynamics of Speculative Prices 0 0 0 96 0 0 1 303
The Structure of Keynesian Macrodynamics: A Framework for Future Research 0 0 2 129 0 1 8 231
The Valuation of Multiple Asset American Options under Jump Diffusion Processes 0 0 0 4 0 1 2 393
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach 0 0 1 284 1 2 10 812
The Volatility Structure of the Fixed Income Markets under the HJM Framework 0 0 0 0 0 1 2 161
The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach 0 1 2 197 1 2 7 979
Time-Varying Beta: A Boundedly Rational Equilibrium Approach 0 0 0 100 1 1 6 259
Towards Applied Disequilibrium Growth Theory: I The Starting Model 0 0 4 41 0 2 14 119
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model 0 0 1 41 0 1 6 223
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues 0 0 1 3 0 1 9 160
Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model 0 0 1 47 0 0 8 362
Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation 0 0 2 86 0 0 11 330
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions 0 0 2 49 0 1 11 338
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution 0 0 1 36 0 1 8 191
Transformation of Heath-Jarrow-Morton Models to Markovian Systems 0 0 2 213 0 3 8 567
Two Stochastic Volatility Processes - American Option Pricing 2 2 6 56 2 4 11 159
Type I Spurious Regression in Econometrics 0 0 0 161 0 2 8 576
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems 0 0 0 72 0 0 0 187
Total Working Papers 21 47 256 27,456 96 445 1,879 95,538


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 3 407
A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps 0 0 0 32 0 0 2 197
A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET 0 0 0 25 0 0 3 90
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY 0 0 0 0 0 0 1 2
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES 0 0 0 0 0 0 3 5
A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence 0 0 0 32 0 1 5 106
A behavioural model of investor sentiment in limit order markets 0 0 0 3 0 1 11 28
A dynamic analysis of moving average rules 0 2 7 204 1 4 25 631
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis 0 0 0 21 1 1 4 96
A simulation analysis of the microstructure of double auction markets 2 4 20 129 6 13 42 280
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models 0 0 0 47 0 0 5 194
APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES 0 0 0 1 0 1 3 9
Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking 0 0 0 1 0 0 0 12
American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach 0 0 0 57 0 2 6 170
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models 0 0 0 39 0 0 1 187
An analysis of the cobweb model with boundedly rational heterogeneous producers 0 0 0 40 2 2 4 223
An analysis of the effect of noise in a heterogeneous agent financial market model 0 0 1 49 0 1 9 166
An evolutionary CAPM under heterogeneous beliefs 0 1 4 24 1 3 18 133
Asset Price Dynamics among Heterogeneous Interacting Agents 0 2 2 107 2 4 11 242
Asset price and wealth dynamics in a financial market with heterogeneous agents 0 0 0 79 0 4 13 234
Asset price and wealth dynamics under heterogeneous expectations 0 0 1 19 1 1 5 81
Asset price dynamics in a financial market with fundamentalists and chartists 0 0 0 0 0 0 0 1
Book Reviews 0 0 0 0 0 0 1 2
Book Reviews 0 0 0 0 0 1 4 4
Book reviews 0 0 0 7 0 0 8 58
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS 0 0 0 1 0 1 5 12
Chasing trends at the micro-level: The effect of technical trading on order book dynamics 0 0 4 8 0 0 12 41
Competitive capitalism and cooperative labor management in a dynamic nutshell 0 0 1 39 0 0 4 283
Correction: Exchange Option under Jump-diffusion Dynamics 0 0 1 4 0 1 8 29
DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT 0 0 0 18 0 0 6 50
Do heterogeneous beliefs diversify market risk? 0 0 1 21 0 0 7 108
Does the market maker stabilize the market? 0 0 2 21 1 3 17 105
Dynamic oligopolies without full information and with continuously distributed time lags 0 0 0 17 0 0 0 65
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case 0 0 0 42 0 2 5 218
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 2 172 0 1 10 553
Editorials 0 0 0 0 1 1 3 28
Estimating behavioural heterogeneity under regime switching 0 0 2 20 1 2 12 106
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions 0 0 0 132 0 1 7 373
Evaluation of American strangles 0 0 1 60 1 2 10 217
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics 0 0 0 26 0 0 1 104
Exchange Options Under Jump-Diffusion Dynamics 0 0 1 20 0 0 5 96
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives 0 0 0 57 1 3 5 296
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market 0 0 2 21 0 2 10 94
Financial instability and debt deflation dynamics in a bottom-up approach 0 0 5 80 1 1 10 212
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 0 0 0 98 0 0 2 340
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance 0 0 0 11 0 0 1 39
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model 0 0 0 319 0 3 6 1,187
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER 0 1 4 43 0 2 7 169
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model 0 1 1 144 0 2 5 484
Heterogeneous expectations and exchange rate dynamics 0 0 1 22 0 1 9 82
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 0 0 1 67 0 2 16 201
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 0 0 1 15 1 1 9 67
High order disequilibrium growth dynamics: Theoretical aspects and numerical features 0 0 0 25 0 0 5 91
Humps in the volatility structure of the crude oil futures market: New evidence 0 1 1 8 2 5 10 58
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL 0 0 1 1 0 0 5 10
Inferring the Forward Looking Equity Risk Premium from Derivative Prices 0 0 1 222 0 0 3 751
Innovation and the transfer of technology: A leader-follower model 0 1 3 82 0 1 5 287
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework 0 0 0 144 0 1 7 652
Intertemporal asset allocation when the underlying factors are unobservable 0 0 0 26 0 0 3 157
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models 0 0 0 2 0 1 2 19
Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model 0 0 0 1 1 5 8 197
Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations 0 0 1 19 0 0 7 161
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model 0 0 1 48 4 5 10 196
Keynesian monetary growth dynamicsin open economies 0 0 0 0 0 0 3 10
Learning, information processing and order submission in limit order markets 0 0 0 15 2 2 9 94
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES 0 0 0 25 0 1 5 95
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS 0 0 2 24 0 0 6 65
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies 0 0 1 34 0 1 7 134
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model 0 0 0 37 0 0 4 125
Moving average rules as a source of market instability 0 0 1 10 0 0 5 59
On the Economics of International Fisheries 0 0 0 35 0 0 2 103
Option Valuation: Some Empirical Results 0 0 0 1 0 0 3 15
Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique 0 0 0 22 0 0 1 84
Perfect foresight models and the dynamic instability problem from a higher viewpoint 0 0 0 13 1 1 1 66
Preface 0 0 0 3 0 0 2 17
Pricing American options written on two underlying assets 0 0 0 10 0 0 5 42
Pricing range notes within Wishart affine models 0 0 0 5 0 0 6 38
Real and monetary cycles in models of Keynes-Wicksell type 0 0 0 35 0 0 5 132
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY 0 0 0 0 0 0 8 164
Small traders in currency futures markets 0 0 0 2 0 1 4 17
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model 0 0 0 0 0 1 8 165
Speculative behaviour and complex asset price dynamics: a global analysis 1 2 4 114 1 2 6 305
Stabilizing an unstable economy: On the choice of proper policy measures 0 0 0 49 0 0 7 193
Stochastic correlation and risk premia in term structure models 0 0 0 3 0 1 5 48
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data 0 0 1 351 0 0 10 1,284
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability 1 1 2 34 2 5 10 142
Structural contagion and vulnerability to unexpected liquidity shortfalls 0 0 0 15 1 1 6 84
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH 0 0 1 36 0 1 8 108
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES 0 0 0 1 0 2 6 13
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING 0 0 1 1 0 1 5 15
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS 0 0 0 0 0 2 7 9
The Dynamic Interaction of Speculation and Diversification 0 0 0 57 0 1 4 238
The Fiscal Cost of Financial Instability 0 0 1 40 0 1 6 126
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method 0 0 0 26 0 0 2 143
The Multifactor Nature of the Volatility of Futures Markets 0 0 0 28 0 1 6 127
The Return–Volatility Relation in Commodity Futures Markets 0 0 0 2 1 1 4 48
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy 0 0 0 17 0 0 2 76
The birth of limit cycles in Cournot oligopoly models with time delays 0 0 0 0 0 0 1 40
The cobweb model: Its instability and the onset of chaos 0 0 7 150 0 1 19 437
The dynamic behaviour of asset prices in disequilibrium: a survey 0 0 2 45 0 0 7 145
The dynamic behaviour of workers' enterprises 0 0 0 4 0 0 2 25
The feedback channels in macroeconomics: analytical foundations for structural econometric model building 0 0 1 18 0 0 3 69
The financial instability hypothesis: A stochastic microfoundation framework 0 1 6 131 0 3 15 378
The impact of heterogeneous trading rules on the limit order book and order flows 0 1 1 10 1 3 5 41
The jump component of the volatility structure of interest rate futures markets: An international comparison 0 0 0 0 1 3 3 19
The limit distribution of evolving strategies in financial markets 0 0 0 11 0 1 5 49
The representation of American options prices under stochastic volatility and jump-diffusion dynamics 0 0 2 9 0 0 2 39
The stochastic bifurcation behaviour of speculative financial markets 0 0 0 5 1 2 5 38
The value of the S&P 500--A macro view of the stock market adjustment process 0 0 4 76 0 0 6 210
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach 0 0 0 42 0 1 4 169
Time-varying beta: a boundedly rational equilibrium approach 0 0 0 11 3 4 17 109
Transformation of Heath?Jarrow?Morton models to Markovian systems 0 0 1 112 1 1 7 395
Volatility swaps and volatility options on discretely sampled realized variance 0 0 2 21 0 0 10 75
Total Journal Articles 4 18 113 4,804 43 133 733 18,318


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 1 1 9 18
Financial Assets, Debt and Liquidity Crises 0 0 0 0 2 3 13 68
Financial Assets, Debt and Liquidity Crises 0 0 0 0 1 2 6 38
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 2 2 5 75
Foundations for a Disequilibrium Theory of the Business Cycle 0 0 0 0 1 1 8 130
Nonlinear Oligopolies 0 0 0 0 0 0 1 1
Sustainable Asset Accumulation and Dynamic Portfolio Decisions 0 0 0 0 0 0 5 24
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 2 9 68
The Dynamics of Keynesian Monetary Growth 0 0 0 0 0 1 5 69
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 2 3 6 44 2 8 20 137
Total Books 2 3 6 44 9 20 81 628


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Numerical Approach to Pricing American Call Options under SVJD 0 0 0 4 0 0 4 43
American Call Options under Jump-Diffusion Processes 0 0 0 3 0 3 9 34
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach 0 0 0 2 0 0 2 22
Conclusion 0 0 0 0 1 2 5 21
Fourier Cosine Expansion Approach 1 1 3 7 1 1 7 33
Introduction 0 0 0 0 1 1 4 13
On Filtering in Markovian Term Structure Models 0 0 0 0 1 2 6 14
Representation and Numerical Approximation of American Option Prices under Heston 0 0 1 5 0 0 3 25
The Merton and Heston Model for a Call 0 0 0 1 0 0 3 27
The macrodynamics of debt deflation 0 0 1 11 0 2 13 46
Total Chapters 1 1 5 33 4 11 56 278


Statistics updated 2020-11-03