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2011 Research Papers

287. Gerald H.L. Cheung and Carl Chiarella A Modern View on Merton’s Jump-Diffusion Model PDF 422 KB

288. Carl Chiarella, Les Clewlow and Boda Kang  The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching  PDF 912 KB

289. Eckhard Platen and Stefan Tappe  Affine Realizations for Lévy Driven Interest Rate Models with Real-World Forward Rate Dynamics  PDF 912 KB

290. Carl Chiarella, Xue-Zhong He, Weihong Huang and Huanhuan Zheng Estimating Behavioural Heterogeneity under Regime Switching PDF 600 KB

291. Xue-Zhong He and  Kai Li Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model PDF 646 KB

292. Carl Chiarella and Jonathan Ziveyi Two Stochastic Volatility Processes - American Option Pricing PDF 1,289 KB

293. Carl Chiarella, Samuel Chege Maina and Christina Nikitopoulos Sklibosios Credit Derivative Pricing with Stochastic Volatility Models PDF 859 KB

294. Carl Chiarella and Corrado Di Guilmi Limit Distribution of Evolving Strategies in Financial Markets PDF 1,495 KB

295. Kris Glover, Hardy Hulley and Goran Peskir Three- Dimensional Brownian Motion and the Golden Ratio Rule PDF 318.65 KB

296.  Ke Du and Eckhard Platen Benchmarked Risk Minimization PDF 802 KB

297.  Zhi Guo and Eckhard Platen The Small and Large Time Implied Volatilities in the Minimal Market Model PDF 616 KB

298.  Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong To Stochastic Correlation and Risk Premia in Term Structure Models PDF 1.01 MB