Details about Carl Chiarella

E-mail:
Homepage:	http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=72
Phone:	+61 2 9514 7719
Postal address:	PO Box 123 Broadway NSW 2007 Australia
Workplace:	School of Finance and Economics, University of Technology, (more information at EDIRC) Quantitative Finance Research Centre, School of Finance and Economics, University of Technology, (more information at EDIRC)

Access statistics for papers by Carl Chiarella.

Last updated 2009-10-29. Update your information in the RePEc Author Service.

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Working Papers

2009

1. 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
2. Heterogeneous Expectations and Exchange Rate Dynamics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
3. 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

2008

4. Exchange Options Under Jump-Diffusion Dynamics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
5. Hedge Portfolios in Markets with Price Discontinuities
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
6. Heterogeneity, Market Mechanisms, and Asset Price Dynamics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
7. Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
8. 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
   See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
9. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
   City University Economics Discussion Papers, Department of Economics, City University, London View citations
   Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations
   Quantitative Finance Papers, arXiv.org (2007) View citations

2007

10. Intertemporal Investment Strategies under Inflation Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
11. Keynesian AD-AS, Quo Vadis?
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
12. The History of the Quantitative Methods in Finance Conference Series. 1992-2007
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
13. The Stochastic Dynamics of Speculative Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney

2006

14. A Dynamic Heterogeneous Beliefs CAPM
    Computing in Economics and Finance 2006, Society for Computational Economics View citations
15. 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
16. Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis
    Computing in Economics and Finance 2006, Society for Computational Economics
17. American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
18. Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Darmstadt Discussion Papers in Economics, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology) (2006)
19. Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
20. Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
21. Numerical Methods for American Spread Options under Jump Diffusion Processes
    Computing in Economics and Finance 2006, Society for Computational Economics
22. Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics
    Computing in Economics and Finance 2006, Society for Computational Economics
23. The Volatility Structure of the Fixed Income Markets under the HJM Framework
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

24. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
25. A Dynamic Analysis of Moving Average Rules
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2004)
    Computing in Economics and Finance 2004, Society for Computational Economics (2004)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)
26. Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Journal of Economic Behavior & Organization (2007)
27. Intertemporal Asset Allocation with Inflation-Indexed Bonds
    Computing in Economics and Finance 2005, Society for Computational Economics
28. Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach
    Computing in Economics and Finance 2005, Society for Computational Economics View citations
29. Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004)
30. Pricing American Options under Stochastic Volatility
    Computing in Economics and Finance 2005, Society for Computational Economics
31. THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER
    Computing in Economics and Finance 2005, Society for Computational Economics
32. The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article in Computational Economics (2006)
33. The Valuation of Multiple Asset American Options under Jump Diffusion Processes
    Computing in Economics and Finance 2005, Society for Computational Economics
34. The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2004

35. A Behavioural Asset Pricing Model with a Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
36. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Asia-Pacific Financial Markets (2003)
37. A Markovian Defaultable Term Structure Model with State Dependent Volatilities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2007)
38. A Survey of the Integral Representation of American Option Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
39. Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)
40. Continuous Time Model Estimation
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
41. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
    Finance, EconWPA View citations
42. Estimation of the Volatility Structure of the Fixed Income Market
    Econometric Society 2004 Australasian Meetings, Econometric Society
43. Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
44. Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach
    Macroeconomics, EconWPA View citations
45. Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
    See also Journal Article in Journal of Macroeconomics (2006)
46. Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach
    Computing in Economics and Finance 2004, Society for Computational Economics View citations
47. McKean's Methods Applied to American Call Options on Jump-Diffusion Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003)
48. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
49. Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming
    Computing in Economics and Finance 2004, Society for Computational Economics
50. The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach
    Finance, EconWPA View citations

2003

51. A Dynamic Analysis of Speculation Across Two Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
52. An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
    Computing in Economics and Finance 2003, Society for Computational Economics
53. Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations
54. Interacting Two-Country Business Fluctuations
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
    Also in Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics
55. Issues in Evaluating Multifactor Options in a PDE Framework
    Computing in Economics and Finance 2003, Society for Computational Economics
56. Keynes-Metzler-Goodwin Model Building: The Closed Economy
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
57. Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
58. Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
59. The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations
60. The Structure of Keynesian Macrodynamics: A Framework for Future Research
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
61. Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
62. Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney

2002

63. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
64. A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models
    Computing in Economics and Finance 2002, Society for Computational Economics
65. A simple microstructure model of double auction markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations
66. An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations
67. Asset Price Dynamics among Heterogeneous Interacting Agents
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article in Computational Economics (2003)
68. Evaluation of American Strangles
    Computing in Economics and Finance 2002, Society for Computational Economics
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2002) View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2005)
69. Modelling the Value of the S&P 500 - A System Dynamics Perspective
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
70. Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
71. Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules
    Computing in Economics and Finance 2002, Society for Computational Economics
72. Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
    Computing in Economics and Finance 2002, Society for Computational Economics
73. On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics
    Computing in Economics and Finance 2002, Society for Computational Economics
74. PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS
    Computing in Economics and Finance 2002, Society for Computational Economics
75. Solving the Price-Earnings Puzzle
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
76. Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
77. The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions
    Computing in Economics and Finance 2002, Society for Computational Economics
78. Type I Spurious Regression in Econometrics
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

2001

79. A Non-Stationary Asset Pricing Model under Heterogeneous Expectations
    Computing in Economics and Finance 2001, Society for Computational Economics
80. Asset Price and Wealth Dynamics Under Heterogeneous Expectations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations
81. Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
82. Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
83. 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
84. Filtering Equity Risk Premia From Derivative Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
85. On Filtering in Markovian Term Structure Models (An Approximation Approach)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
86. 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
87. Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
88. Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
89. Speculative Behaviour and Complex Asset Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
90. 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

2000

91. 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
92. A Complete Stochastic Volatility Model in the HJM Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
93. Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
94. 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
    See also Journal Article in Macroeconomic Dynamics (2003)
95. Infering Forward Looking Financial Market Risk Premia from Derivatives Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
96. Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
97. 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
    See also Journal Article in Mathematical Finance (2005)
98. Modeling the Currency Forward Risk Premium: Theory and Evidence
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
99. Output, Financial Markets and Growth
    Working Paper Series, School of Finance and Economics, University of Technology, Sydney
100. Price Flexibility and Debt Dynamics in a High Order AS-AD Model
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
101. Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
102. THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
     Computing in Economics and Finance 2000, Society for Computational Economics
103. The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
104. 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

1999

105. Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation
     Computing in Economics and Finance 1999, Society for Computational Economics
106. Classes of Interest Rate Models Under the HJM Framework
     Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
107. Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
108. 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
     See also Journal Article in Finance and Stochastics (2001)
109. Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model
     Computing in Economics and Finance 1999, Society for Computational Economics View citations
     Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999)
     See also Journal Article in Computational Economics (2002)
110. 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
111. The Birth of Limit Cycles in Nonlinear Oligipolies with Continuously Distributed Information Lags
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
112. The Dynamics of the Cobweb when Producers are Risk Averse Learners
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
113. The Macrodynamics of Debt Deflation
     SCEPA Working Papers, Schwartz Center for Economic Policy Analysis (SCEPA), The New School View citations
114. Towards Applied Disequilibrium Growth Theory: I The Starting Model
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
115. Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
116. Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
117. Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
118. Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

1997

119. A Survey of Models for the Pricing of Interest Rate Derivatives
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
120. Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

1996

121. A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
122. Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
123. Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
124. Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney

1995

125. A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
126. Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
127. Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
     See also Journal Article in Applied Mathematical Finance (1997)
128. Keynesian Monetary Growth Dynamics: The Missing Prototype
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
129. The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
130. Transformation of Heath-Jarrow-Morton Models to Markovian Systems
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

1992

131. Developments in Nonlinear Economic Dynamics: Past, Present and Future
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
132. The Dynamics of Speculative Behaviour
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations

1991

133. Determinants of Corporate Capital Structure: Australian Evidence
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
134. Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney View citations
135. The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney
     See also Journal Article in Pure Mathematics and Applications (1991)
136. The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context
     Working Paper Series, School of Finance and Economics, University of Technology, Sydney

Undated

137. A Model of Monetary Growth for a Small Open Economy
     Computing in Economics and Finance 1997, Society for Computational Economics
138. Adaptive Rational Expectations in Models of Monetary Dynamics
     Computing in Economics and Finance 1997, Society for Computational Economics
139. Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions
     Computing in Economics and Finance 1997, Society for Computational Economics
140. Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems
     Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2009

1. American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach
   Applied Mathematical Finance, 2009, 16, (1), 37-79
2. Inference on forward exchange rate risk premium: reviewing signal extraction methods
   International Journal of Monetary Economics and Finance, 2009, 2, (2), 115-125
3. 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
   See also Working Paper (2008)
4. 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
   See also Working Paper (2005)

2008

5. A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence
   Computational Economics, 2008, 32, (1), 55-72

2007

6. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
   Applied Mathematical Finance, 2007, 14, (5), 365-399
7. A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
   International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (01), 155-202
   See also Working Paper (2004)
8. Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
   Journal of Economic Behavior & Organization, 2007, 62, (3), 408-427 View citations
   See also Working Paper (2005)
9. Intertemporal asset allocation when the underlying factors are unobservable
   Computational Economics, 2007, 29, (3), 383-418

2006

10. A dynamic analysis of moving average rules
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1729-1753 View citations
    See also Working Paper (2005)
11. A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis
    Journal of Economic Behavior & Organization, 2006, 60, (4), 526-552
12. An analysis of the cobweb model with boundedly rational heterogeneous producers
    Journal of Economic Behavior & Organization, 2006, 61, (4), 750-768 View citations
13. 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
    See also Working Paper (2004)
14. INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL
    The Singapore Economic Review (SER), 2006, 51, (03), 365-394
15. Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model
    Journal of Macroeconomics, 2006, 28, (1), 90-130 View citations
    See also Working Paper (2004)
16. 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 (2005)
17. The Multifactor Nature of the Volatility of Futures Markets
    Computational Economics, 2006, 27, (2), 163-183

2005

18. 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
19. Evaluation of American strangles
    Journal of Economic Dynamics and Control, 2005, 29, (1-2), 31-62
    See also Working Paper (2002)
20. Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model
    Icfai University Journal of Monetary Economics, 2005, III, (3), 6 - 49 View citations
21. MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
    Mathematical Finance, 2005, 15, (1), 61-97 View citations
    See also Working Paper (2000)
22. The Dynamic Interaction of Speculation and Diversification
    Applied Mathematical Finance, 2005, 12, (1), 17-52 View citations

2004

23. Dynamic oligopolies without full information and with continuously distributed time lags
    Journal of Economic Behavior & Organization, 2004, 54, (4), 495-511
24. Inferring the Forward Looking Equity Risk Premium from Derivative Prices
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1) View citations
25. The value of the S&P 500--A macro view of the stock market adjustment process
    Global Finance Journal, 2004, 15, (2), 171-196

2003

26. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
    Asia-Pacific Financial Markets, 2003, 10, (2), 87-127 View citations
    See also Working Paper (2004)
27. An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
    Computational Economics, 2003, 22, (2), 113-138
28. Asset Price Dynamics among Heterogeneous Interacting Agents
    Computational Economics, 2003, 22, (2), 213-223 View citations
    See also Working Paper (2002)
29. Dynamics of beliefs and learning under aL-processes -- the heterogeneous case
    Journal of Economic Dynamics and Control, 2003, 27, (3), 503-531 View citations
    See also Working Paper (2001)
30. 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
31. HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
    Macroeconomic Dynamics, 2003, 7, (04), 503-536 View citations
    See also Working Paper (2000)
32. THE DYNAMICS OF KEYNESIAN MONETARY GROWTH
    Macroeconomic Dynamics, 2003, 7, (03), 473-475 View citations

2002

33. Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
    Computational Economics, 2002, 19, (1), 95-132 View citations
    See also Working Paper (1999)
34. Speculative behaviour and complex asset price dynamics: a global analysis
    Journal of Economic Behavior & Organization, 2002, 49, (2), 173-197 View citations
35. Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1) View citations

2001

36. Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
    Finance and Stochastics, 2001, 5, (2), 237-257 View citations
    See also Working Paper (1999)

2000

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

1999

39. 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

1998

40. DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT
    Macroeconomic Dynamics, 1998, 2, (03), 345-368 View citations

1997

41. Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
    Applied Mathematical Finance, 1997, 4, (4), 181-199 View citations
    See also Working Paper (1995)
42. Transformation of Heath–Jarrow–Morton models to Markovian systems
    European Journal of Finance, 1997, 3, (1), 1-26

1996

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

1992

45. 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

46. 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
47. The birth of limit cycles in Cournot oligopoly models with time delays
    Pure Mathematics and Applications, 1991, 2, (2-3), 81-92
    See also Working Paper (1991)

1990

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

1989

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

1988

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

1986

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

1984

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

Editor

1. Journal of Economic Dynamics and Control
   Elsevier