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Details about Carl Chiarella

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

Access statistics for papers by Carl Chiarella.

Last updated 2019-01-26. Update your information in the RePEc Author Service.

Short-id: pch240


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Working Papers

2016

  1. Pricing American Options under Regime Switching Using Method of Lines
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2015

  1. Modelling the "Animal Spirits" of Bank's Lending Behaviour
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  2. 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 Downloads

2014

  1. A Behavioural Model of Investor Sentiment in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2017)
  2. 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 Downloads
  3. Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (38)
    See also Journal Article in Journal of Economic Behavior & Organization (2014)

2013

  1. Approximate Hedging of Options under Jump-Diffusion Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
  2. Investigating Time-Efficient Methods to Price Compound Options in the Heston Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  3. Learning and Evolution of Trading Strategies in Limit Order Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  4. Monetary Policy and Debt Deflation: Some Computational Experiments
    Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) Downloads View citations (1)

    See also Journal Article in Macroeconomic Dynamics (2017)
  5. Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  6. The Return-Volatility Relation in Commodity Futures Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
    See also Journal Article in Journal of Futures Markets (2016)

2012

  1. An Evolutionary CAPM Under Heterogeneous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Annals of Finance (2013)
  2. Humps in the Volatility Structure of the Crude Oil Futures Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Energy Economics (2013)
  3. Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  4. Particle Filters for Markov Switching Stochastic Volatility Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  5. Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)

2011

  1. A Modern View on Merton's Jump-Diffusion Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  2. Credit Derivative Pricing with Stochastic Volatility Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2013)
  3. Estimating Behavioural Heterogeneity Under Regime Switching
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (27)
    See also Journal Article in Journal of Economic Behavior & Organization (2012)
  4. Limit Distribution of Evolving Strategies in Financial Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  5. Stochastic Correlation and Risk Premia in Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in Journal of Empirical Finance (2016)
  6. 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 Downloads View citations (1)
    See also Journal Article in Journal of Economic Behavior & Organization (2012)
  7. The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2016)
  8. Two Stochastic Volatility Processes - American Option Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2010

  1. A Survey of Non-linear Methods for No-arbitrage Bond Pricing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  2. Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (9)
  3. Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  4. Small Traders in Currency Futures Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in Journal of Futures Markets (2011)
  5. The Evaluation Of Barrier Option Prices Under Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (13)
  6. The Financial Instability Hypothesis: A Stochastic Microfoundation Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  7. Time-Varying Beta: A Boundedly Rational Equilibrium Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in Journal of Evolutionary Economics (2013)

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 Downloads View citations (1)
    See also Journal Article in Macroeconomic Dynamics (2012)
  2. A Framework for CAPM with Heterogenous Beliefs
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (18)
  3. An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  4. Heterogeneous Expectations and Exchange Rate Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2013)
  5. Modelling and Estimating the Forward Price Curve in the Energy Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  6. 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 Downloads
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2008) Downloads View citations (1)

    See also Journal Article in European Journal of Operational Research (2011)
  7. Stabilizing an unstable economy: on the choice of proper policy measures
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW) Downloads View citations (7)
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2010)
  8. 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 Downloads View citations (10)

2008

  1. Exchange Options Under Jump-Diffusion Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Applied Mathematical Finance (2011)
  2. Hedge Portfolios in Markets with Price Discontinuities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  3. Heterogeneity, Market Mechanisms, and Asset Price Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (124)
  4. 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 Downloads View citations (25)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
  5. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
    Working Papers, Department of Economics, City University London Downloads View citations (1)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (19)
    Papers, arXiv.org (2007) Downloads View citations (33)

    See also Journal Article in Journal of Economic Dynamics and Control (2009)

2007

  1. Intertemporal Investment Strategies Under Inflation Risk
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
  2. Keynesian AD-AS, Quo Vadis?
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  3. The History of the Quantitative Methods in Finance Conference Series. 1992-2007
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  4. The Stochastic Dynamics of Speculative Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)

2006

  1. A Dynamic Heterogeneous Beliefs CAPM
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (2)
  2. Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
  3. Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (1)
  4. American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Applied Mathematical Finance (2009)
  5. 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 Downloads View citations (8)
    Also in Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2006) Downloads

    See also Journal Article in Journal of Futures Markets (2007)
  6. 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 Downloads View citations (7)
  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 Downloads View citations (22)
  8. Numerical Methods for American Spread Options under Jump Diffusion Processes
    Computing in Economics and Finance 2006, Society for Computational Economics
  9. Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics
    Computing in Economics and Finance 2006, Society for Computational Economics
  10. The Volatility Structure of the Fixed Income Markets under the HJM Framework
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

  1. 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 Downloads
  2. A Dynamic Analysis of Moving Average Rules
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004) Downloads View citations (6)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2004) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  3. Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
    See also Journal Article in Journal of Economic Behavior & Organization (2007)
  4. Intertemporal Asset Allocation with Inflation-Indexed Bonds
    Computing in Economics and Finance 2005, Society for Computational Economics
  5. Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (3)
  6. Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004)
  7. Pricing American Options under Stochastic Volatility
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (6)
  8. THE VALUATION OF AMERICAN EXCHANGE OPTIONS UNDER
    Computing in Economics and Finance 2005, Society for Computational Economics
  9. 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 Downloads
    See also Journal Article in Computational Economics (2006)
  10. The Multifactor Nature of the Volatility of the Eurodollar Futures Market
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  11. The Valuation of Multiple Asset American Options under Jump Diffusion Processes
    Computing in Economics and Finance 2005, Society for Computational Economics
  12. 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 Downloads View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2004

  1. A Behavioural Asset Pricing Model with a Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
  2. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Asia-Pacific Financial Markets (2003)
  3. A Markovian Defaultable Term Structure Model with State Dependent Volatilities
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2007)
  4. A Survey of the Integral Representation of American Option Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (11)
  5. Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (3)

    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  6. Continuous Time Model Estimation
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)
  7. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
    Finance, University Library of Munich, Germany Downloads View citations (2)
  8. Estimation of the Volatility Structure of the Fixed Income Market
    Econometric Society 2004 Australasian Meetings, Econometric Society
  9. 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 Downloads View citations (3)
  10. Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach
    Macroeconomics, University Library of Munich, Germany Downloads View citations (3)
    Also in Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney (2004) Downloads View citations (6)
  11. Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach
    Computing in Economics and Finance 2004, Society for Computational Economics Downloads View citations (4)
  12. McKean's Methods Applied to American Call Options on Jump-Diffusion Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003)
  13. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  14. Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming
    Computing in Economics and Finance 2004, Society for Computational Economics
  15. The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach
    Finance, University Library of Munich, Germany Downloads View citations (1)

2003

  1. A Dynamic Analysis of Speculation Across Two Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  2. An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
    Computing in Economics and Finance 2003, Society for Computational Economics
  3. Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (7)
  4. Interacting Two-Country Business Fluctuations
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
    Also in Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics Downloads
  5. Issues in Evaluating Multifactor Options in a PDE Framework
    Computing in Economics and Finance 2003, Society for Computational Economics
  6. Keynes-Metzler-Goodwin Model Building: The Closed Economy
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)
  7. Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (1)
  8. Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)
  9. The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (12)
    See also Journal Article in Journal of Futures Markets (2003)
  10. The Structure of Keynesian Macrodynamics: A Framework for Future Research
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  11. Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (6)
  12. Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (4)

2002

  1. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  2. 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
  3. A simple microstructure model of double auction markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (10)
  4. An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (25)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2002) Downloads View citations (29)
  5. Asset Price Dynamics among Heterogeneous Interacting Agents
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)
    See also Journal Article in Computational Economics (2003)
  6. Evaluation of American Strangles
    Computing in Economics and Finance 2002, Society for Computational Economics Downloads
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2002) Downloads View citations (3)

    See also Journal Article in Journal of Economic Dynamics and Control (2005)
  7. Modelling the Value of the S&P 500 - A System Dynamics Perspective
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (3)
  8. Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (15)
  9. 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 View citations (1)
  10. Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)
  11. On Market Games with Misspecified Demand Functions: Long Run Outcomes and Global Dynamics
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (2)
  12. PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS
    Computing in Economics and Finance 2002, Society for Computational Economics
  13. Solving the Price-Earnings Puzzle
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (2)
  14. Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (6)
  15. 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
  16. Type I Spurious Regression in Econometrics
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (14)

2001

  1. A Non-Stationary Asset Pricing Model under Heterogeneous Expectations
    Computing in Economics and Finance 2001, Society for Computational Economics
  2. Asset Price and Wealth Dynamics Under Heterogeneous Expectations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (115)
    Also in CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (127)

    See also Journal Article in Quantitative Finance (2001)
  3. Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (12)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  4. Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
  5. 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 Downloads View citations (3)
  6. Filtering Equity Risk Premia From Derivative Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  7. On Filtering in Markovian Term Structure Models (An Approximation Approach)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
  8. 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 (1)
  9. 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 Downloads View citations (5)
  10. 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 Downloads
  11. 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 in Journal of Economic Behavior & Organization (2002)
  12. State Variables and the Affine Nature of Markovian HJM Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2000

  1. A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  2. A Complete Stochastic Volatility Model in the HJM Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  3. 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 Downloads
  4. 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 Downloads View citations (42)
    See also Journal Article in Macroeconomic Dynamics (2003)
  5. Infering Forward Looking Financial Market Risk Premia from Derivatives Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  6. Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  7. Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (23)
    See also Journal Article in Mathematical Finance (2005)
  8. Modeling the Currency Forward Risk Premium: Theory and Evidence
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  9. Output, Financial Markets and Growth
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  10. 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 Downloads View citations (3)
  11. Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
  12. THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS
    Computing in Economics and Finance 2000, Society for Computational Economics
  13. The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)
  14. 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 Downloads View citations (6)

1999

  1. Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (3)
  2. Classes of Interest Rate Models Under the HJM Framework
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (13)
  3. Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (3)
  4. Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (13)
    See also Journal Article in Finance and Stochastics (2001)
  5. Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (46)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) Downloads View citations (11)

    See also Journal Article in Computational Economics (2002)
  6. 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 Downloads View citations (5)
  7. 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 Downloads View citations (2)
  8. The Dynamics of the Cobweb when Producers are Risk Averse Learners
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (9)
  9. The Macrodynamics of Debt Deflation
    SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization., Schwartz Center for Economic Policy Analysis (SCEPA), The New School Downloads View citations (11)
    See also Chapter (2001)
  10. Towards Applied Disequilibrium Growth Theory: I The Starting Model
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (6)
  11. 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 Downloads View citations (7)
  12. 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 Downloads View citations (7)
  13. 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 Downloads View citations (7)
  14. 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 Downloads View citations (6)

1997

  1. A Survey of Models for the Pricing of Interest Rate Derivatives
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney
  2. 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 Downloads View citations (16)

1996

  1. 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 Downloads View citations (9)
  2. 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 Downloads
  3. 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 Downloads
  4. Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads

1995

  1. 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 Downloads View citations (1)
  2. 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 Downloads View citations (1)
  3. 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 Downloads View citations (1)
    See also Journal Article in Applied Mathematical Finance (1997)
  4. Keynesian Monetary Growth Dynamics: The Missing Prototype
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads
  5. 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 Downloads View citations (8)
  6. Transformation of Heath-Jarrow-Morton Models to Markovian Systems
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (30)
    See also Journal Article in The European Journal of Finance (1997)

1992

  1. Developments in Nonlinear Economic Dynamics: Past, Present and Future
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (8)
  2. The Dynamics of Speculative Behaviour
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (254)

1991

  1. Determinants of Corporate Capital Structure: Australian Evidence
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (18)
  2. Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics
    Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (4)
  3. 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 Downloads View citations (3)
    See also Journal Article in Pure Mathematics and Applications (1991)
  4. 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 Downloads View citations (1)

Undated

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

Journal Articles

2017

  1. A behavioural model of investor sentiment in limit order markets
    Quantitative Finance, 2017, 17, (1), 71-86 Downloads View citations (6)
    See also Working Paper (2014)
  2. MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS
    Macroeconomic Dynamics, 2017, 21, (1), 214-242 Downloads View citations (3)
    See also Working Paper (2013)

2016

  1. Chasing trends at the micro-level: The effect of technical trading on order book dynamics
    Journal of Banking & Finance, 2016, 72, (S), S119-S131 Downloads View citations (2)
  2. Stochastic correlation and risk premia in term structure models
    Journal of Empirical Finance, 2016, 37, (C), 59-78 Downloads View citations (2)
    See also Working Paper (2011)
  3. THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (01), 1-25 Downloads View citations (1)
    See also Working Paper (2011)
  4. The Return–Volatility Relation in Commodity Futures Markets
    Journal of Futures Markets, 2016, 36, (2), 127-152 Downloads View citations (12)
    See also Working Paper (2013)

2015

  1. APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (04), 1-26 Downloads View citations (1)
    See also Working Paper (2013)
  2. Correction: Exchange Option under Jump-diffusion Dynamics
    Applied Mathematical Finance, 2015, 22, (1), 99-103 Downloads View citations (1)
  3. Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
    Journal of Empirical Finance, 2015, 32, (C), 19-34 Downloads View citations (20)
  4. Learning, information processing and order submission in limit order markets
    Journal of Economic Dynamics and Control, 2015, 61, (C), 245-268 Downloads View citations (5)
  5. The limit distribution of evolving strategies in financial markets
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (2), 137-159 Downloads View citations (2)
    See also Working Paper (2011)

2014

  1. Financial instability and debt deflation dynamics in a bottom-up approach
    Economics Bulletin, 2014, 34, (1), 125-132 Downloads
  2. Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
    Journal of Economic Behavior & Organization, 2014, 105, (C), 1-16 Downloads View citations (36)
    See also Working Paper (2014)
  3. Pricing American options written on two underlying assets
    Quantitative Finance, 2014, 14, (3), 409-426 Downloads View citations (2)
  4. Pricing range notes within Wishart affine models
    Insurance: Mathematics and Economics, 2014, 58, (C), 193-203 Downloads View citations (1)
  5. Volatility swaps and volatility options on discretely sampled realized variance
    Journal of Economic Dynamics and Control, 2014, 47, (C), 239-262 Downloads View citations (3)

2013

  1. An evolutionary CAPM under heterogeneous beliefs
    Annals of Finance, 2013, 9, (2), 185-215 Downloads View citations (20)
    See also Working Paper (2012)
  2. CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (04), 1-28 Downloads View citations (1)
    See also Working Paper (2011)
  3. Heterogeneous expectations and exchange rate dynamics
    The European Journal of Finance, 2013, 19, (5), 392-419 Downloads View citations (5)
    See also Working Paper (2009)
  4. Humps in the volatility structure of the crude oil futures market: New evidence
    Energy Economics, 2013, 40, (C), 989-1000 Downloads View citations (12)
    See also Working Paper (2012)
  5. The representation of American options prices under stochastic volatility and jump-diffusion dynamics
    Quantitative Finance, 2013, 13, (2), 241-253 Downloads View citations (7)
  6. Time-varying beta: a boundedly rational equilibrium approach
    Journal of Evolutionary Economics, 2013, 23, (3), 609-639 Downloads View citations (10)
    See also Working Paper (2010)

2012

  1. A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET
    Macroeconomic Dynamics, 2012, 16, (4), 556-575 Downloads View citations (6)
    See also Working Paper (2009)
  2. Estimating behavioural heterogeneity under regime switching
    Journal of Economic Behavior & Organization, 2012, 83, (3), 446-460 Downloads View citations (35)
    See also Working Paper (2011)
  3. Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (2), 1-38 Downloads
  4. 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 Downloads View citations (10)
    See also Working Paper (2011)
  5. Structural contagion and vulnerability to unexpected liquidity shortfalls
    Journal of Economic Behavior & Organization, 2012, 83, (3), 558-569 Downloads View citations (9)
  6. The Fiscal Cost of Financial Instability
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (4), 1-29 Downloads View citations (3)

2011

  1. 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 Downloads View citations (26)
  2. Do heterogeneous beliefs diversify market risk?
    The European Journal of Finance, 2011, 17, (3), 241-258 Downloads View citations (18)
  3. Exchange Options Under Jump-Diffusion Dynamics
    Applied Mathematical Finance, 2011, 18, (3), 245-276 Downloads View citations (3)
    See also Working Paper (2008)
  4. Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance
    Computational Economics, 2011, 38, (3), 207-208 Downloads
  5. 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 Downloads View citations (13)
    See also Working Paper (2009)
  6. STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY
    Journal of Economic Surveys, 2011, 25, (3), 569-599 View citations (3)
  7. Small traders in currency futures markets
    Journal of Futures Markets, 2011, 31, (9), 898-914 Downloads View citations (3)
    See also Working Paper (2010)
  8. The dynamic behaviour of asset prices in disequilibrium: a survey
    International Journal of Behavioural Accounting and Finance, 2011, 2, (2), 101-139 Downloads View citations (8)
  9. The financial instability hypothesis: A stochastic microfoundation framework
    Journal of Economic Dynamics and Control, 2011, 35, (8), 1151-1171 Downloads View citations (48)
    See also Working Paper (2010)

2010

  1. Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations
    Czech Economic Review, 2010, 4, (3), 236-262 Downloads
  2. Preface
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2231-2231 Downloads
  3. Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model
    Indian Economic Review, 2010, 45, (1), 1-28
  4. Stabilizing an unstable economy: On the choice of proper policy measures
    Economics - The Open-Access, Open-Assessment E-Journal, 2010, 4, 1-43 Downloads View citations (13)
    See also Working Paper (2009)

2009

  1. American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach
    Applied Mathematical Finance, 2009, 16, (1), 37-79 Downloads View citations (9)
    See also Working Paper (2006)
  2. Does the market maker stabilize the market?
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (15), 3164-3180 Downloads View citations (16)
  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 Downloads View citations (13)
    See also Working Paper (2008)
  4. 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 Downloads View citations (83)
    See also Working Paper (2008)
  5. 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 Downloads View citations (5)
    See also Working Paper (2005)

2008

  1. A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence
    Computational Economics, 2008, 32, (1), 55-72 Downloads View citations (2)
  2. The stochastic bifurcation behaviour of speculative financial markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (15), 3837-3846 Downloads View citations (12)

2007

  1. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
    Applied Mathematical Finance, 2007, 14, (5), 365-399 Downloads
  2. A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (01), 155-202 Downloads View citations (2)
    See also Working Paper (2004)
  3. Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
    Journal of Economic Behavior & Organization, 2007, 62, (3), 408-427 Downloads View citations (71)
    See also Working Paper (2005)
  4. Intertemporal asset allocation when the underlying factors are unobservable
    Computational Economics, 2007, 29, (3), 383-418 Downloads View citations (1)
  5. 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 Downloads View citations (16)
    See also Working Paper (2006)

2006

  1. A dynamic analysis of moving average rules
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1729-1753 Downloads View citations (89)
    See also Working Paper (2005)
  2. A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis
    Journal of Economic Behavior & Organization, 2006, 60, (4), 526-552 Downloads View citations (15)
  3. An analysis of the cobweb model with boundedly rational heterogeneous producers
    Journal of Economic Behavior & Organization, 2006, 61, (4), 750-768 Downloads View citations (13)
  4. Asset price and wealth dynamics in a financial market with heterogeneous agents
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1755-1786 Downloads View citations (67)
    See also Working Paper (2004)
  5. INTERACTING BUSINESS CYCLE FLUCTUATIONS: A TWO-COUNTRY MODEL
    The Singapore Economic Review (SER), 2006, 51, (03), 365-394 Downloads
  6. Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model
    Journal of Macroeconomics, 2006, 28, (1), 90-130 Downloads View citations (28)
  7. Moving average rules as a source of market instability
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 12-17 Downloads View citations (19)
  8. The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method
    Computational Economics, 2006, 28, (2), 113-137 Downloads
    See also Working Paper (2005)
  9. The Multifactor Nature of the Volatility of Futures Markets
    Computational Economics, 2006, 27, (2), 163-183 Downloads View citations (4)
  10. The feedback channels in macroeconomics: analytical foundations for structural econometric model building
    Central European Journal of Operations Research, 2006, 14, (3), 261-288 Downloads

2005

  1. 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 Downloads View citations (9)
  2. Editorials
    Quantitative Finance, 2005, 5, (3), 235-235 Downloads
  3. Evaluation of American strangles
    Journal of Economic Dynamics and Control, 2005, 29, (1-2), 31-62 Downloads View citations (12)
    See also Working Paper (2002)
  4. 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)
  5. MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
    Mathematical Finance, 2005, 15, (1), 61-97 Downloads View citations (20)
    See also Working Paper (2000)
  6. The Dynamic Interaction of Speculation and Diversification
    Applied Mathematical Finance, 2005, 12, (1), 17-52 Downloads View citations (49)

2004

  1. A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY
    International Game Theory Review (IGTR), 2004, 06, (03), 391-415 Downloads
  2. Dynamic oligopolies without full information and with continuously distributed time lags
    Journal of Economic Behavior & Organization, 2004, 54, (4), 495-511 Downloads View citations (10)
  3. Inferring the Forward Looking Equity Risk Premium from Derivative Prices
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (1), 1-26 Downloads View citations (6)
  4. 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 Downloads View citations (3)
  5. The value of the S&P 500--A macro view of the stock market adjustment process
    Global Finance Journal, 2004, 15, (2), 171-196 Downloads View citations (6)

2003

  1. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
    Asia-Pacific Financial Markets, 2003, 10, (2), 87-127 Downloads View citations (13)
    See also Working Paper (2004)
  2. An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models
    Computational Economics, 2003, 22, (2), 113-138 Downloads View citations (1)
  3. Asset Price Dynamics among Heterogeneous Interacting Agents
    Computational Economics, 2003, 22, (2), 213-223 Downloads View citations (19)
    See also Working Paper (2002)
  4. Book Reviews
    Journal of Economics, 2003, 78, (1), 96-104 Downloads
  5. Dynamics of beliefs and learning under aL-processes -- the heterogeneous case
    Journal of Economic Dynamics and Control, 2003, 27, (3), 503-531 Downloads View citations (66)
    See also Working Paper (2001)
  6. Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields
    Review of Derivatives Research, 2003, 6, (2), 129-155 Downloads View citations (34)
  7. HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
    Macroeconomic Dynamics, 2003, 7, (4), 503-536 Downloads View citations (80)
    See also Working Paper (2000)
  8. THE DYNAMICS OF KEYNESIAN MONETARY GROWTH
    Macroeconomic Dynamics, 2003, 7, (3), 473-475 Downloads View citations (3)
    See also Book (2011)
  9. The jump component of the volatility structure of interest rate futures markets: An international comparison
    Journal of Futures Markets, 2003, 23, (12), 1125-1158 Downloads View citations (2)
    See also Working Paper (2003)

2002

  1. A simulation analysis of the microstructure of double auction markets
    Quantitative Finance, 2002, 2, (5), 346-353 Downloads View citations (90)
  2. Book Reviews
    Journal of Economics, 2002, 75, (2), 186-189 Downloads
  3. Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
    Computational Economics, 2002, 19, (1), 95-132 Downloads View citations (154)
    See also Working Paper (1999)
  4. Speculative behaviour and complex asset price dynamics: a global analysis
    Journal of Economic Behavior & Organization, 2002, 49, (2), 173-197 Downloads View citations (105)
    See also Working Paper (2001)
  5. Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (1), 1-39 Downloads View citations (6)

2001

  1. Asset price and wealth dynamics under heterogeneous expectations
    Quantitative Finance, 2001, 1, (5), 509-526 Downloads View citations (111)
    See also Working Paper (2001)
  2. Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
    Finance and Stochastics, 2001, 5, (2), 237-257 Downloads View citations (27)
    See also Working Paper (1999)
  3. Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique
    Bulletin of the Czech Econometric Society, 2001, 8, (13) Downloads View citations (2)

2000

  1. 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 Downloads View citations (8)
  2. High order disequilibrium growth dynamics: Theoretical aspects and numerical features
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 935-963 Downloads View citations (6)

1999

  1. Adaptively evolving expectations in models of monetarydynamics‐ The fundamentalists forward looking
    Annals of Operations Research, 1999, 89, 21-34 Downloads View citations (4)
  2. 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 Downloads View citations (28)
  3. Keynesian monetary growth dynamicsin open economies
    Annals of Operations Research, 1999, 89, 35-59 Downloads View citations (1)

1998

  1. DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT
    Macroeconomic Dynamics, 1998, 2, (3), 345-368 Downloads View citations (6)

1997

  1. Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
    Applied Mathematical Finance, 1997, 4, (4), 181-199 Downloads View citations (7)
    See also Working Paper (1995)
  2. Transformation of Heath?Jarrow?Morton models to Markovian systems
    The European Journal of Finance, 1997, 3, (1), 1-26 Downloads View citations (38)
    See also Working Paper (1995)

1996

  1. Book reviews
    Journal of Economics, 1996, 63, (2), 213-235 Downloads
  2. Real and monetary cycles in models of Keynes-Wicksell type
    Journal of Economic Behavior & Organization, 1996, 30, (3), 327-351 Downloads View citations (20)

1992

  1. 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 Downloads

1991

  1. 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 Downloads View citations (4)
  2. The birth of limit cycles in Cournot oligopoly models with time delays
    Pure Mathematics and Applications, 1991, 2, (2-3), 81-92 View citations (2)
    See also Working Paper (1991)

1990

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

1989

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

1988

  1. The cobweb model: Its instability and the onset of chaos
    Economic Modelling, 1988, 5, (4), 377-384 Downloads View citations (69)

1986

  1. Competitive capitalism and cooperative labor management in a dynamic nutshell
    European Journal of Political Economy, 1986, 2, (4), 499-519 Downloads View citations (1)
  2. Perfect foresight models and the dynamic instability problem from a higher viewpoint
    Economic Modelling, 1986, 3, (4), 283-292 Downloads View citations (19)

1984

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

1978

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

Books

2016

  1. Sustainable Asset Accumulation and Dynamic Portfolio Decisions
    Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (1)

2015

  1. Derivative Security Pricing
    Dynamic Modeling and Econometrics in Economics and Finance, Springer
  2. Financial Assets, Debt and Liquidity Crises
    Cambridge Books, Cambridge University Press View citations (2)
    Also in Cambridge Books, Cambridge University Press (2011) View citations (20)

2014

  1. The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads View citations (1)

2011

  1. Foundations for a Disequilibrium Theory of the Business Cycle
    Cambridge Books, Cambridge University Press View citations (1)
    Also in Cambridge Books, Cambridge University Press (2005) View citations (54)
  2. The Dynamics of Keynesian Monetary Growth
    Cambridge Books, Cambridge University Press
    Also in Cambridge Books, Cambridge University Press (2000) View citations (97)

    See also Journal Article in Macroeconomic Dynamics (2003)

Edited books

2008

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

2000

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

Chapters

2014

  1. 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 Downloads
  2. 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 Downloads
  3. 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 Downloads
  4. Conclusion
    Chapter 8 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 199-200 Downloads
  5. 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 Downloads
  6. Introduction
    Chapter 1 in The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, 2014, pp 1-2 Downloads
  7. 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 Downloads
  8. 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 Downloads

2001

  1. On Filtering in Markovian Term Structure Models
    Chapter 12 in Recent Developments In Mathematical Finance, 2001, pp 139-150 Downloads View citations (1)
  2. The macrodynamics of debt deflation
    Chapter 7 in Financial Fragility and Investment in the Capitalist Economy, 2001 Downloads View citations (5)
    See also Working Paper (1999)
 
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