Browsing by Author Chiarella, C

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Issue DateTitleAuthor(s)
1-Jan-2019"Animal spirits" and bank's lending behaviour, a disequilibrium approachChiarella, C; Di Guilmi, C; Zhi, T
2-Jan-2017A behavioural model of investor sentiment in limit order marketsChiarella, C; He, XZ; Shi, L; Wei, L
1-Nov-2016Chasing trends at the micro-level: The effect of technical trading on order book dynamicsChiarella, C; Ladley, D
26-Jun-2016High frequency trading and learning in a dynamic limit order marketArifovic, J; Chiarella, C; He, X; Wei, L
1-Jun-2016Stochastic correlation and risk premia in term structure modelsChiarella, C; Hsiao, CY; Tô, TD
1-Feb-2016The Return-Volatility Relation in Commodity Futures MarketsChiarella, C; Kang, B; Nikitopoulos, CS; Tô, TD
1-Feb-2016The evaluation of multiple year gas sales agreement with regime switchingChiarella, C; Clewlow, L; Kang, B
2016Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion DynamicsCharpe, M; Chiarella, C; Flaschel, P; Proano, C; Bernard, L; Nyambuu, U
2016Sustainable Asset Accumulation and Dynamic Portfolio DecisionsChiarella, C; Semmler, W; Hsiao, C; Mateane, L
25-Mar-2015Derivative Security Pricing Techniques, Methods and ApplicationsChiarella, C; Xue-Zhong, H; Nikitopoulos, CS
1-Jan-2015Learning, information processing and order submission in limit order marketsChiarella, C; He, XZ; Wei, L
1-Jan-2015Approximate hedging of options under jump-diffusion processesMina, KF; Cheang, GHL; Chiarella, C
1-Apr-2014A comparative study on time-efficient methods to price compound options in the Heston modelChiarella, C; Griebsch, S; Kang, B
1-Jan-2014Computational Methods for Derivatives with Early Exercise FeaturesChiarella, C; Kang, B; Meyer, G; Ziogas, A
1-Jan-2014The numerical solution of the American option pricing problem: Finite difference and transform approachesChiarella, C; Kang, B; Meyer, GH
1-Jan-2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500Chiarella, C; He, XZ; Zwinkels, RCJ
1-Nov-2013Humps in the volatility structure of the crude oil futures market: New evidenceChiarella, C; Kang, B; Nikitopoulos, CS; TÔ, TD
4-Oct-2013American option pricing under two stochastic volatility processesChiarella, C; Ziveyi, J
1-Sep-2013The evaluation of American compound option prices under stochastic volatility and stochastic interest ratesChiarella, C; Kang, B