Details about Carl Chiarella

This author is deceased (2016-06-21).

Access statistics for papers by Carl Chiarella.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pch240

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Working Papers

2016

Pricing American Options under Regime Switching Using Method of Lines
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)

2015

Modelling the "Animal Spirits" of Bank's Lending Behaviour
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)
On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2014

A Behavioural Model of Investor Sentiment in Limit Order Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
See also Journal Article A behavioural model of investor sentiment in limit order markets, Quantitative Finance, Taylor & Francis Journals (2017) View citations (10) (2017)
Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics
Working Papers, New School for Social Research, Department of Economics
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (73)
See also Journal Article Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500, Journal of Economic Behavior & Organization, Elsevier (2014) View citations (72) (2014)

2013

Approximate Hedging of Options under Jump-Diffusion Processes
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
See also Journal Article APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (2) (2015)
Investigating Time-Efficient Methods to Price Compound Options in the Heston Model
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
Learning and Evolution of Trading Strategies in Limit Order Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
Monetary Policy and Debt Deflation: Some Computational Experiments
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
Also in Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2013) View citations (1)
See also Journal Article MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS, Macroeconomic Dynamics, Cambridge University Press (2017) View citations (13) (2017)
Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (11)
The Return-Volatility Relation in Commodity Futures Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
See also Journal Article The Return–Volatility Relation in Commodity Futures Markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (2016) View citations (39) (2016)

2012

An Evolutionary CAPM Under Heterogeneous Beliefs
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
See also Journal Article An evolutionary CAPM under heterogeneous beliefs, Annals of Finance, Springer (2013) View citations (35) (2013)
Humps in the Volatility Structure of the Crude Oil Futures Market
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
See also Journal Article Humps in the volatility structure of the crude oil futures market: New evidence, Energy Economics, Elsevier (2013) View citations (25) (2013)
Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
Particle Filters for Markov Switching Stochastic Volatility Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2011

A Modern View on Merton's Jump-Diffusion Model
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
Credit Derivative Pricing with Stochastic Volatility Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (1) (2013)
Estimating Behavioural Heterogeneity Under Regime Switching
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (29)
See also Journal Article Estimating behavioural heterogeneity under regime switching, Journal of Economic Behavior & Organization, Elsevier (2012) View citations (56) (2012)
Limit Distribution of Evolving Strategies in Financial Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
See also Journal Article The limit distribution of evolving strategies in financial markets, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) View citations (3) (2015)
Stochastic Correlation and Risk Premia in Term Structure Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
See also Journal Article Stochastic correlation and risk premia in term structure models, Journal of Empirical Finance, Elsevier (2016) View citations (3) (2016)
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability
Working Papers, New School for Social Research, Department of Economics View citations (3)
See also Journal Article Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability, Journal of Economic Behavior & Organization, Elsevier (2012) View citations (17) (2012)
The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
See also Journal Article THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2016) View citations (1) (2016)
Two Stochastic Volatility Processes - American Option Pricing
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)

2010

A Survey of Non-linear Methods for No-arbitrage Bond Pricing
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)
Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
Small Traders in Currency Futures Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article Small traders in currency futures markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (2011) View citations (8) (2011)
The Evaluation Of Barrier Option Prices Under Stochastic Volatility
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (17)
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
See also Journal Article The financial instability hypothesis: A stochastic microfoundation framework, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (70) (2011)
Time-Varying Beta: A Boundedly Rational Equilibrium Approach
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
See also Journal Article Time-varying beta: a boundedly rational equilibrium approach, Journal of Evolutionary Economics, Springer (2013) View citations (15) (2013)

2009

A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET, Macroeconomic Dynamics, Cambridge University Press (2012) View citations (12) (2012)
A Framework for CAPM with Heterogenous Beliefs
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (19)
An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
Heterogeneous Expectations and Exchange Rate Dynamics
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article Heterogeneous expectations and exchange rate dynamics, The European Journal of Finance, Taylor & Francis Journals (2013) View citations (7) (2013)
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)
Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2007) View citations (26)
Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2006)
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2006) View citations (7)
Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2006)
See also Journal Article Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models, Journal of Futures Markets, John Wiley & Sons, Ltd. (2007) View citations (22) (2007)
Modelling and Estimating the Forward Price Curve in the Energy Market
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008) View citations (1)
See also Journal Article Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model, European Journal of Operational Research, Elsevier (2011) View citations (15) (2011)
Stabilizing an unstable economy: on the choice of proper policy measures
Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (7)
See also Journal Article Stabilizing an unstable economy: On the choice of proper policy measures, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2010) View citations (22) (2010)
The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)

2008

Exchange Options Under Jump-Diffusion Dynamics
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
See also Journal Article Exchange Options Under Jump-Diffusion Dynamics, Applied Mathematical Finance, Taylor & Francis Journals (2011) View citations (13) (2011)
Hedge Portfolios in Markets with Price Discontinuities
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
Heterogeneity, Market Mechanisms, and Asset Price Dynamics
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (143)
The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (31)
See also Journal Article THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2009) View citations (42) (2009)
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
Working Papers, Department of Economics, City University London View citations (2)
Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (20)
Papers, arXiv.org (2007) View citations (32)
See also Journal Article The impact of heterogeneous trading rules on the limit order book and order flows, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (154) (2009)

2007

Intertemporal Investment Strategies Under Inflation Risk
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)
Keynesian AD-AS, Quo Vadis?
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
The History of the Quantitative Methods in Finance Conference Series. 1992-2007
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
The Stochastic Dynamics of Speculative Prices
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)

2006

A Dynamic Heterogeneous Beliefs CAPM
Computing in Economics and Finance 2006, Society for Computational Economics View citations (2)
Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis
Computing in Economics and Finance 2006, Society for Computational Economics View citations (4)
American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
See also Journal Article American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach, Applied Mathematical Finance, Taylor & Francis Journals (2009) View citations (14) (2009)
Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models
Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)
Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (25)
Numerical Methods for American Spread Options under Jump Diffusion Processes
Computing in Economics and Finance 2006, Society for Computational Economics
Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics
Computing in Economics and Finance 2006, Society for Computational Economics
The Volatility Structure of the Fixed Income Markets under the HJM Framework
Computing in Economics and Finance 2006, Society for Computational Economics

2001

A Non-Stationary Asset Pricing Model under Heterogeneous Expectations
Computing in Economics and Finance 2001, Society for Computational Economics
Asset Price and Wealth Dynamics Under Heterogeneous Expectations
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (173)
Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (175)
See also Journal Article Asset price and wealth dynamics under heterogeneous expectations, Quantitative Finance, Taylor & Francis Journals (2001) View citations (156) (2001)
Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
See also Journal Article Dynamics of beliefs and learning under aL-processes -- the heterogeneous case, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (78) (2003)
Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (11)
Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
Filtering Equity Risk Premia From Derivative Prices
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
On Filtering in Markovian Term Structure Models (An Approximation Approach)
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)
Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies
CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (2)
Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
Speculative Behaviour and Complex Asset Price Dynamics
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (23)
See also Journal Article Speculative behaviour and complex asset price dynamics: a global analysis, Journal of Economic Behavior & Organization, Elsevier (2002) View citations (126) (2002)
State Variables and the Affine Nature of Markovian HJM Term Structure Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2000

A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
A Complete Stochastic Volatility Model in the HJM Framework
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (46)
See also Journal Article HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER, Macroeconomic Dynamics, Cambridge University Press (2003) View citations (128) (2003)
Infering Forward Looking Financial Market Risk Premia from Derivatives Prices
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
See also Chapter Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics, Chapters, Edward Elgar Publishing (2002) (2002)
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (23)
See also Journal Article MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES, Mathematical Finance, Wiley Blackwell (2005) View citations (38) (2005)
Modeling the Currency Forward Risk Premium: Theory and Evidence
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
Output, Financial Markets and Growth
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
Price Flexibility and Debt Dynamics in a High Order AS-AD Model
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (5)
Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
Computing in Economics and Finance 2000, Society for Computational Economics
The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
See also Journal Article The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options, Journal of Computational Finance, Journal of Computational Finance

1999

Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation
Computing in Economics and Finance 1999, Society for Computational Economics View citations (3)
Classes of Interest Rate Models Under the HJM Framework
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (18)
Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (3)
Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
See also Journal Article Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model, Finance and Stochastics, Springer (2001) View citations (33) (2001)
Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model
Computing in Economics and Finance 1999, Society for Computational Economics View citations (47)
Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) View citations (15)
See also Journal Article Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model, Computational Economics, Springer (2002) View citations (209) (2002)
Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
See also Chapter The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags, International Series in Operations Research & Management Science, Springer (2002) View citations (2) (2002)
The Dynamics of the Cobweb when Producers are Risk Averse Learners
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (9)
The Macrodynamics of Debt Deflation
SCEPA working paper series., Schwartz Center for Economic Policy Analysis (SCEPA), The New School View citations (15)
See also Chapter The macrodynamics of debt deflation, Chapters, Edward Elgar Publishing (2001) View citations (8) (2001)
Towards Applied Disequilibrium Growth Theory: I The Starting Model
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)
Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (7)
Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (6)

1997

A Survey of Models for the Pricing of Interest Rate Derivatives
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (16)

1996

A Preference Free Partial Differential Equation for the Term Structure of Interest Rates
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (9)
Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney

1995

A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (3)
Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
See also Journal Article Interest rate futures: estimation of volatility parameters in an arbitrage-free framework, Applied Mathematical Finance, Taylor & Francis Journals (1997) View citations (7) (1997)
Keynesian Monetary Growth Dynamics: The Missing Prototype
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (11)
Transformation of Heath-Jarrow-Morton Models to Markovian Systems
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (32)
See also Journal Article Transformation of Heath?Jarrow?Morton models to Markovian systems, The European Journal of Finance, Taylor & Francis Journals (1997) View citations (41) (1997)

1992

Developments in Nonlinear Economic Dynamics: Past, Present and Future
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (9)
The Dynamics of Speculative Behaviour
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (312)

1991

Determinants of Corporate Capital Structure: Australian Evidence
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (22)
Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)
The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (3)
See also Journal Article The birth of limit cycles in Cournot oligopoly models with time delays, Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest (1991) View citations (3) (1991)
The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context
Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)

Undated

A Model of Monetary Growth for a Small Open Economy
Computing in Economics and Finance 1997, Society for Computational Economics
Adaptive Rational Expectations in Models of Monetary Dynamics
Computing in Economics and Finance 1997, Society for Computational Economics View citations (2)
Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions
Computing in Economics and Finance 1997, Society for Computational Economics View citations (14)
Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems
Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2020

“Animal spirits” and bank’s lending behaviour, a disequilibrium approach
Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 21

2017

A behavioural model of investor sentiment in limit order markets
Quantitative Finance, 2017, 17, (1), 71-86 View citations (10)
See also Working Paper A Behavioural Model of Investor Sentiment in Limit Order Markets, Research Paper Series (2014) View citations (2) (2014)
MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS
Macroeconomic Dynamics, 2017, 21, (1), 214-242 View citations (13)
See also Working Paper Monetary Policy and Debt Deflation: Some Computational Experiments, CAMA Working Papers (2013) View citations (1) (2013)

2016

Chasing trends at the micro-level: The effect of technical trading on order book dynamics
Journal of Banking & Finance, 2016, 72, (S), S119-S131 View citations (7)
Stochastic correlation and risk premia in term structure models
Journal of Empirical Finance, 2016, 37, (C), 59-78 View citations (3)
See also Working Paper Stochastic Correlation and Risk Premia in Term Structure Models, Research Paper Series (2011) View citations (4) (2011)
THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING
International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (01), 1-25 View citations (1)
See also Working Paper The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching, Research Paper Series (2011) (2011)
The Return–Volatility Relation in Commodity Futures Markets
Journal of Futures Markets, 2016, 36, (2), 127-152 View citations (39)
See also Working Paper The Return-Volatility Relation in Commodity Futures Markets, Research Paper Series (2013) View citations (13) (2013)

2015

APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (04), 1-26 View citations (2)
See also Working Paper Approximate Hedging of Options under Jump-Diffusion Processes, Research Paper Series (2013) (2013)
Correction: Exchange Option under Jump-diffusion Dynamics
Applied Mathematical Finance, 2015, 22, (1), 99-103 View citations (6)
Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
Journal of Empirical Finance, 2015, 32, (C), 19-34 View citations (32)
Learning, information processing and order submission in limit order markets
Journal of Economic Dynamics and Control, 2015, 61, (C), 245-268 View citations (17)
The limit distribution of evolving strategies in financial markets
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (2), 137-159 View citations (3)
See also Working Paper Limit Distribution of Evolving Strategies in Financial Markets, Research Paper Series (2011) View citations (4) (2011)

2014

Financial instability and debt deflation dynamics in a bottom-up approach
Economics Bulletin, 2014, 34, (1), 125-132 View citations (1)
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
Journal of Economic Behavior & Organization, 2014, 105, (C), 1-16 View citations (72)
See also Working Paper Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500, Research Paper Series (2014) View citations (73) (2014)
Pricing American options written on two underlying assets
Quantitative Finance, 2014, 14, (3), 409-426 View citations (5)
Pricing range notes within Wishart affine models
Insurance: Mathematics and Economics, 2014, 58, (C), 193-203 View citations (7)
Volatility swaps and volatility options on discretely sampled realized variance
Journal of Economic Dynamics and Control, 2014, 47, (C), 239-262 View citations (10)

2013

An evolutionary CAPM under heterogeneous beliefs
Annals of Finance, 2013, 9, (2), 185-215 View citations (35)
See also Working Paper An Evolutionary CAPM Under Heterogeneous Beliefs, Research Paper Series (2012) (2012)
CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (04), 1-28 View citations (1)
See also Working Paper Credit Derivative Pricing with Stochastic Volatility Models, Research Paper Series (2011) View citations (1) (2011)
Dynamic monopoly with bounded continuously distributed delay
Chaos, Solitons & Fractals, 2013, 47, (C), 66-72 View citations (5)
Heterogeneous expectations and exchange rate dynamics
The European Journal of Finance, 2013, 19, (5), 392-419 View citations (7)
See also Working Paper Heterogeneous Expectations and Exchange Rate Dynamics, Research Paper Series (2009) View citations (1) (2009)
Humps in the volatility structure of the crude oil futures market: New evidence
Energy Economics, 2013, 40, (C), 989-1000 View citations (25)
See also Working Paper Humps in the Volatility Structure of the Crude Oil Futures Market, Research Paper Series (2012) View citations (2) (2012)
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Quantitative Finance, 2013, 13, (2), 241-253 View citations (13)
Time-varying beta: a boundedly rational equilibrium approach
Journal of Evolutionary Economics, 2013, 23, (3), 609-639 View citations (15)
See also Working Paper Time-Varying Beta: A Boundedly Rational Equilibrium Approach, Research Paper Series (2010) View citations (4) (2010)

2012

A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET
Macroeconomic Dynamics, 2012, 16, (4), 556-575 View citations (12)
See also Working Paper A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market, Research Paper Series (2009) View citations (1) (2009)
Estimating behavioural heterogeneity under regime switching
Journal of Economic Behavior & Organization, 2012, 83, (3), 446-460 View citations (56)
See also Working Paper Estimating Behavioural Heterogeneity Under Regime Switching, Research Paper Series (2011) View citations (29) (2011)
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies
Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (2), 38 View citations (2)
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability
Journal of Economic Behavior & Organization, 2012, 83, (3), 410-423 View citations (17)
See also Working Paper Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability, Working Papers (2011) View citations (3) (2011)
Structural contagion and vulnerability to unexpected liquidity shortfalls
Journal of Economic Behavior & Organization, 2012, 83, (3), 558-569 View citations (10)
The Fiscal Cost of Financial Instability
Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (4), 29 View citations (5)

2011

An analysis of the effect of noise in a heterogeneous agent financial market model
Journal of Economic Dynamics and Control, 2011, 35, (1), 148-162 View citations (35)
Do heterogeneous beliefs diversify market risk?
The European Journal of Finance, 2011, 17, (3), 241-258 View citations (21)
Exchange Options Under Jump-Diffusion Dynamics
Applied Mathematical Finance, 2011, 18, (3), 245-276 View citations (13)
See also Working Paper Exchange Options Under Jump-Diffusion Dynamics, Research Paper Series (2008) View citations (3) (2008)
Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance
Computational Economics, 2011, 38, (3), 207-208
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model
European Journal of Operational Research, 2011, 208, (2), 95-108 View citations (15)
See also Working Paper Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model, Research Paper Series (2009) (2009)
STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY
Journal of Economic Surveys, 2011, 25, (3), 569-599 View citations (12)
Small traders in currency futures markets
Journal of Futures Markets, 2011, 31, (9), 898-914 View citations (8)
See also Working Paper Small Traders in Currency Futures Markets, Research Paper Series (2010) View citations (1) (2010)
The dynamic behaviour of asset prices in disequilibrium: a survey
International Journal of Behavioural Accounting and Finance, 2011, 2, (2), 101-139 View citations (9)
The financial instability hypothesis: A stochastic microfoundation framework
Journal of Economic Dynamics and Control, 2011, 35, (8), 1151-1171 View citations (70)
See also Working Paper The Financial Instability Hypothesis: A Stochastic Microfoundation Framework, Research Paper Series (2010) View citations (3) (2010)

2010

Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations
Czech Economic Review, 2010, 4, (3), 236-262
Preface
Journal of Economic Dynamics and Control, 2010, 34, (11), 2231-2231
Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model
Indian Economic Review, 2010, 45, (1), 1-28
Stabilizing an unstable economy: On the choice of proper policy measures
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2010, 4, 1-43 View citations (22)
See also Working Paper Stabilizing an unstable economy: on the choice of proper policy measures, Economics Discussion Papers (2009) View citations (7) (2009)

2009

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach
Applied Mathematical Finance, 2009, 16, (1), 37-79 View citations (14)
See also Working Paper American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach, Research Paper Series (2006) View citations (3) (2006)
Does the market maker stabilize the market?
Physica A: Statistical Mechanics and its Applications, 2009, 388, (15), 3164-3180 View citations (31)
Inference on forward exchange rate risk premium: reviewing signal extraction methods
International Journal of Monetary Economics and Finance, 2009, 2, (2), 115-125 View citations (2)
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (03), 393-425 View citations (42)
See also Working Paper The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines, Research Paper Series (2008) View citations (31) (2008)
The impact of heterogeneous trading rules on the limit order book and order flows
Journal of Economic Dynamics and Control, 2009, 33, (3), 525-537 View citations (154)
See also Working Paper The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows, Working Papers (2008) View citations (2) (2008)
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach
Computational Statistics & Data Analysis, 2009, 53, (6), 2075-2088 View citations (8)
See also Working Paper The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach, Research Paper Series (2005) View citations (3) (2005)

2008

A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence
Computational Economics, 2008, 32, (1), 55-72 View citations (2)
The stochastic bifurcation behaviour of speculative financial markets
Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3837-3846 View citations (17)

2007

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
Applied Mathematical Finance, 2007, 14, (5), 365-399
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (01), 155-202 View citations (3)
See also Working Paper A Markovian Defaultable Term Structure Model with State Dependent Volatilities, Research Paper Series (2004) View citations (4) (2004)
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
Journal of Economic Behavior & Organization, 2007, 62, (3), 408-427 View citations (100)
See also Working Paper Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework, Research Paper Series (2005) View citations (12) (2005)
Intertemporal asset allocation when the underlying factors are unobservable
Computational Economics, 2007, 29, (3), 383-418 View citations (2)
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Journal of Futures Markets, 2007, 27, (8), 719-737 View citations (22)
See also Working Paper Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) (2009)

2006

A behavioral asset pricing model with a time-varying second moment
Chaos, Solitons & Fractals, 2006, 29, (3), 535-555 View citations (14)
See also Working Paper A Behavioural Asset Pricing Model with a Time-Varying Second Moment, Research Paper Series (2004) View citations (12) (2004)
A dynamic analysis of moving average rules
Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1729-1753 View citations (110)
See also Working Paper A Dynamic Analysis of Moving Average Rules, Tinbergen Institute Discussion Papers (2005) View citations (5) (2005)
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis
Journal of Economic Behavior & Organization, 2006, 60, (4), 526-552 View citations (20)
An analysis of the cobweb model with boundedly rational heterogeneous producers
Journal of Economic Behavior & Organization, 2006, 61, (4), 750-768 View citations (20)
Asset price and wealth dynamics in a financial market with heterogeneous agents
Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1755-1786 View citations (94)
See also Working Paper Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents, Research Paper Series (2004) View citations (2) (2004)
INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL
The Singapore Economic Review (SER), 2006, 51, (03), 365-394
Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model
Journal of Macroeconomics, 2006, 28, (1), 90-130 View citations (44)
Moving average rules as a source of market instability
Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 12-17 View citations (22)
The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
Computational Economics, 2006, 28, (2), 113-137
See also Working Paper The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method, Research Paper Series (2005) (2005)
The Multifactor Nature of the Volatility of Futures Markets
Computational Economics, 2006, 27, (2), 163-183 View citations (4)
The feedback channels in macroeconomics: analytical foundations for structural econometric model building
Central European Journal of Operations Research, 2006, 14, (3), 261-288

2005

A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models
European Journal of Operational Research, 2005, 161, (2), 325-336 View citations (9)
Editorials
Quantitative Finance, 2005, 5, (3), 235-235
Evaluation of American strangles
Journal of Economic Dynamics and Control, 2005, 29, (1-2), 31-62 View citations (22)
See also Working Paper Evaluation of American Strangles, Research Paper Series (2002) View citations (3) (2002)
Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model
The IUP Journal of Monetary Economics, 2005, III, (3), 6 - 49 View citations (2)
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
Mathematical Finance, 2005, 15, (1), 61-97 View citations (38)
See also Working Paper Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices, Research Paper Series (2000) View citations (23) (2000)
The Dynamic Interaction of Speculation and Diversification
Applied Mathematical Finance, 2005, 12, (1), 17-52 View citations (65)

2004

A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY
International Game Theory Review (IGTR), 2004, 06, (03), 391-415
Dynamic oligopolies without full information and with continuously distributed time lags
Journal of Economic Behavior & Organization, 2004, 54, (4), 495-511 View citations (11)
Inferring the Forward Looking Equity Risk Premium from Derivative Prices
Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 26 View citations (7)
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS
International Game Theory Review (IGTR), 2004, 06, (03), 343-379 View citations (13)
The value of the S&P 500--A macro view of the stock market adjustment process
Global Finance Journal, 2004, 15, (2), 171-196 View citations (6)

2003

A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
Asia-Pacific Financial Markets, 2003, 10, (2), 87-127 View citations (14)
See also Working Paper A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework, Research Paper Series (2004) View citations (4) (2004)
An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
Computational Economics, 2003, 22, (2), 113-138 View citations (3)
Asset Price Dynamics among Heterogeneous Interacting Agents
Computational Economics, 2003, 22, (2), 213-223 View citations (23)
See also Working Paper Asset Price Dynamics among Heterogeneous Interacting Agents, Computing in Economics and Finance 2002 (2002) View citations (1) (2002)
Book Reviews
Journal of Economics, 2003, 78, (1), 96-104
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case
Journal of Economic Dynamics and Control, 2003, 27, (3), 503-531 View citations (78)
See also Working Paper Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case, Research Paper Series (2001) View citations (13) (2001)
Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
Review of Derivatives Research, 2003, 6, (2), 129-155 View citations (38)
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
Macroeconomic Dynamics, 2003, 7, (4), 503-536 View citations (128)
See also Working Paper Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker, Research Paper Series (2000) View citations (46) (2000)
THE DYNAMICS OF KEYNESIAN MONETARY GROWTH
Macroeconomic Dynamics, 2003, 7, (3), 473-475 View citations (4)
See also Book The Dynamics of Keynesian Monetary Growth, Cambridge Books, 2011 (2011) View citations (1) (2011)
The jump component of the volatility structure of interest rate futures markets: An international comparison
Journal of Futures Markets, 2003, 23, (12), 1125-1158 View citations (2)
See also Working Paper The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison, Royal Economic Society Annual Conference 2003 (2003) View citations (12) (2003)

2002

A simulation analysis of the microstructure of double auction markets
Quantitative Finance, 2002, 2, (5), 346-353 View citations (145)
Book Reviews
Journal of Economics, 2002, 75, (2), 186-189
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
Computational Economics, 2002, 19, (1), 95-132 View citations (209)
See also Working Paper Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model, Computing in Economics and Finance 1999 (1999) View citations (47) (1999)
Speculative behaviour and complex asset price dynamics: a global analysis
Journal of Economic Behavior & Organization, 2002, 49, (2), 173-197 View citations (126)
See also Working Paper Speculative Behaviour and Complex Asset Price Dynamics, Research Paper Series (2001) View citations (23) (2001)
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1), 39 View citations (9)

2001

Asset price and wealth dynamics under heterogeneous expectations
Quantitative Finance, 2001, 1, (5), 509-526 View citations (156)
See also Working Paper Asset Price and Wealth Dynamics Under Heterogeneous Expectations, Research Paper Series (2001) View citations (173) (2001)
Asset price dynamics in a financial market with fundamentalists and chartists
Discrete Dynamics in Nature and Society, 2001, 6, 1-31 View citations (1)
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Finance and Stochastics, 2001, 5, (2), 237-257 View citations (33)
See also Working Paper Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model, Research Paper Series (1999) View citations (13) (1999)

2000

Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives
The European Journal of Finance, 2000, 6, (2), 113-125 View citations (8)
High order disequilibrium growth dynamics: Theoretical aspects and numerical features
Journal of Economic Dynamics and Control, 2000, 24, (5-7), 935-963 View citations (7)

1999

Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking
Annals of Operations Research, 1999, 89, 21-34 View citations (7)
Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1387-1424 View citations (33)
Keynesian monetary growth dynamicsin open economies
Annals of Operations Research, 1999, 89, 35-59 View citations (1)

1998

DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT
Macroeconomic Dynamics, 1998, 2, (3), 345-368 View citations (7)

1997

Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
Applied Mathematical Finance, 1997, 4, (4), 181-199 View citations (7)
See also Working Paper Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework, Working Paper Series (1995) View citations (1) (1995)
Transformation of Heath?Jarrow?Morton models to Markovian systems
The European Journal of Finance, 1997, 3, (1), 1-26 View citations (41)
See also Working Paper Transformation of Heath-Jarrow-Morton Models to Markovian Systems, Working Paper Series (1995) View citations (32) (1995)

1996

Book reviews
Journal of Economics, 1996, 63, (2), 213-235
Real and monetary cycles in models of Keynes-Wicksell type
Journal of Economic Behavior & Organization, 1996, 30, (3), 327-351 View citations (24)

1992

Economic dynamics: Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper)
Journal of Economic Behavior & Organization, 1992, 18, (3), 443-445

1991

The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy
European Journal of Political Economy, 1991, 7, (1), 65-78 View citations (4)
The birth of limit cycles in Cournot oligopoly models with time delays
Pure Mathematics and Applications, 1991, 2, (2-3), 81-92 View citations (3)
See also Working Paper The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays, Working Paper Series (1991) View citations (3) (1991)

1990

Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics
European Journal of Political Economy, 1990, 6, (3), 315-352 View citations (13)

1989

Innovation and the transfer of technology: A leader-follower model
Economic Modelling, 1989, 6, (4), 452-456 View citations (2)
The dynamic behaviour of workers' enterprises
European Journal of Political Economy, 1989, 5, (2-3), 317-331 View citations (1)

1988

The cobweb model: Its instability and the onset of chaos
Economic Modelling, 1988, 5, (4), 377-384 View citations (79)

1986

Competitive capitalism and cooperative labor management in a dynamic nutshell
European Journal of Political Economy, 1986, 2, (4), 499-519 View citations (1)
Perfect foresight models and the dynamic instability problem from a higher viewpoint
Economic Modelling, 1986, 3, (4), 283-292 View citations (20)

1984

On the Economics of International Fisheries
International Economic Review, 1984, 25, (1), 85-92 View citations (29)

1978

Option Valuation: Some Empirical Results
Australian Journal of Management, 1978, 3, (1), 37-48

Undated

The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options
Journal of Computational Finance
See also Working Paper The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option, Research Paper Series (2000) View citations (7) (2000)

Books

2016

Sustainable Asset Accumulation and Dynamic Portfolio Decisions
Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (5)

2015

Derivative Security Pricing
Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (3)
Financial Assets, Debt and Liquidity Crises
Cambridge Books, Cambridge University Press View citations (11)
Also in Cambridge Books, Cambridge University Press (2011) View citations (33)

2014

The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (3)

2011

Foundations for a Disequilibrium Theory of the Business Cycle
Cambridge Books, Cambridge University Press View citations (2)
Also in Cambridge Books, Cambridge University Press (2005) View citations (113)
The Dynamics of Keynesian Monetary Growth
Cambridge Books, Cambridge University Press View citations (1)
Also in Cambridge Books, Cambridge University Press (2000) View citations (142)
See also Journal Article THE DYNAMICS OF KEYNESIAN MONETARY GROWTH, Macroeconomic Dynamics, Cambridge University Press (2003) View citations (4) (2003)

2010

Nonlinear Oligopolies
Springer Books, Springer View citations (8)

Edited books

2013

Global Analysis of Dynamic Models in Economics and Finance
Springer Books, Springer View citations (28)

2010

Nonlinear Dynamics in Economics, Finance and Social Sciences
Springer Books, Springer View citations (40)

2008

Commerce, Complexity, and Evolution
Cambridge Books, Cambridge University Press

2000

Commerce, Complexity, and Evolution
Cambridge Books, Cambridge University Press View citations (21)

Chapters

2016

Asset Accumulation and Portfolio Decisions Under Inflation Risk
Springer
Asset Accumulation and Portfolio Decisions with Time Varying Asset Returns and Labor Income
Springer
Asset Accumulation with Estimated Low Frequency Movements of Asset Returns
Springer
Concluding Remarks
Springer
Continuous and Discrete Time Modeling
Springer
Dynamic Saving and Portfolio Decisions-Theory
Springer
Forecasting and Low Frequency Movements of Asset Returns
Springer
Introduction
Springer
Portfolio Modeling with Sustainability Constraints
Springer

2015

Allowing for Stochastic Interest Rates in the Black–Scholes Model
Springer
An Initial Attempt at Pricing an Option
Springer
Applying the General Pricing Framework
Springer
Change of Numeraire
Springer
Interest Rate Derivatives: Multi-Factor Models
Springer
Interest Rate Derivatives: One Factor Spot Rate Models
Springer
Ito’s Lemma and Its Applications
Springer
Jump-Diffusion Processes
Springer
Manipulating Stochastic Differential Equations and Stochastic Integrals
Springer
Modelling Interest Rate Dynamics
Springer View citations (1)
Option Pricing Under Jump-Diffusion Processes
Springer
Partial Differential Equation Approach Under Geometric Jump-Diffusion Process
Springer
Pricing Derivative Securities: A General Approach
Springer
Pricing Options Using Binomial Trees
Springer
Pricing the American Feature
Springer View citations (1)
Stochastic Processes for Asset Price Modelling
Springer
Stochastic Volatility
Springer
The Continuous Hedging Argument
Springer
The Heath–Jarrow–Morton Framework
Springer
The LIBOR Market Model
Springer
The Martingale Approach
Springer
The Paradigm Interest Rate Option Problem
Springer
The Partial Differential Equation Approach Under Geometric Brownian Motion
Springer
The Stochastic Differential Equation
Springer
The Stock Option Problem
Springer
Volatility Smiles
Springer

2014

A Numerical Approach to Pricing American Call Options under SVJD
Chapter 7 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 169-198
American Call Options under Jump-Diffusion Processes
Chapter 3 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 11-47
American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach
Chapter 4 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 49-91
Conclusion
Chapter 8 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 199-200
Fourier Cosine Expansion Approach
Chapter 6 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 141-168
Introduction
Chapter 1 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 1-2
Representation and Numerical Approximation of American Option Prices under Heston
Chapter 5 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 93-139
The Merton and Heston Model for a Call
Chapter 2 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 3-9

2010

Concave Oligopolies
Springer
General Oligopolies
Springer
Modified and Extended Oligopolies
Springer
Oligopolies with Misspecified and Uncertain Price Functions, and Learning
Springer
Overview and Directions for Future Research
Springer
The Classical Cournot Model
Springer

2008

2006

A High-Dimensional Model of Real-Financial Market Interaction: The Cascade of Stable Matrices Approach
A chapter in Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels, 2006, pp 359-384 View citations (1)
A Stochastic Model of Real-Financial Interaction with Boundedly Rational Heterogeneous Agents
A chapter in Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels, 2006, pp 333-358
AD-AS and the Phillips Curve: A Baseline Disequilibrium Model
A chapter in Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels, 2006, pp 173-227
Introduction
A chapter in Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels, 2006, pp 1-3 View citations (3)
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the U.S. Economy
A chapter in Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels, 2006, pp 229-284
Statistical Properties of a Heterogeneous Asset Pricing Model with Time-varying Second Moment
Springer View citations (2)

2005

2002

Learning in a Generalised Dornbusch Model of Exchange Rate Dynamics
Chapter 16 in Economic Theory and International Trade, 2002, pp 249-267
See also Working Paper Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics, Finance Discipline Group, UTS Business School, University of Technology, Sydney (2000) (2000)
The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags
Springer View citations (2)
See also Working Paper The Birth of Limit Cycles in Nonlinear Oligopolies with Continuously Distributed Information Lags, Finance Discipline Group, UTS Business School, University of Technology, Sydney (1999) View citations (2) (1999)

2001

On Filtering in Markovian Term Structure Models
Chapter 12 in Recent Developments In Mathematical Finance, 2001, pp 139-150 View citations (5)
The macrodynamics of debt deflation
Chapter 7 in Financial Fragility and Investment in the Capitalist Economy, 2001 View citations (8)
See also Working Paper The Macrodynamics of Debt Deflation, Schwartz Center for Economic Policy Analysis (SCEPA), The New School (1999) View citations (15) (1999)