Details about Christina Nikitopoulos-Sklibosios
Access statistics for papers by Christina Nikitopoulos-Sklibosios.
Last updated 2023-01-04. Update your information in the RePEc Author Service.
Short-id: pni44
Jump to Journal Articles Books
Working Papers
2020
- Forecasting Commodity Markets Volatility: HAR or Rough?
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
- The Economic Impact of Volatility Persistence on Energy Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
- Wind Generation and the Dynamics of Electricity Prices in Australia
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
See also Journal Article Wind generation and the dynamics of electricity prices in Australia, Energy Economics, Elsevier (2021) View citations (12) (2021)
2019
- Economic Determinants of Oil Futures Volatility: A Term Structure Perspective
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article Economic determinants of oil futures volatility: A term structure perspective, Energy Economics, Elsevier (2020) View citations (18) (2020)
- The Impact of Jumps on American Option Pricing: The S&P 100 Options Case
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
2018
- Pricing American Options with Jumps in Asset and Volatility
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
2016
- Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
- Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
- Hedging Futures Options with Stochastic Interest Rates
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
- Pricing American Options under Regime Switching Using Method of Lines
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
2015
- Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
2013
- The Return-Volatility Relation in Commodity Futures Markets
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (13)
See also Journal Article The Return–Volatility Relation in Commodity Futures Markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (2016) View citations (39) (2016)
2012
- Alternative Term Structure Models for Reviewing Expectations Puzzles
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
- Humps in the Volatility Structure of the Crude Oil Futures Market
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
See also Journal Article Humps in the volatility structure of the crude oil futures market: New evidence, Energy Economics, Elsevier (2013) View citations (25) (2013)
2011
- Credit Derivative Pricing with Stochastic Volatility Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (1) (2013)
2010
- Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)
2009
- Alternative Defaultable Term Structure Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 
See also Journal Article Alternative Defaultable Term Structure Models, Asia-Pacific Financial Markets, Springer (2009) (2009)
2007
- Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
2005
- 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
2004
- 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 (4)
See also Journal Article A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework, Asia-Pacific Financial Markets, Springer (2003) View citations (14) (2003)
- A Markovian Defaultable Term Structure Model with State Dependent Volatilities
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
See also Journal Article A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2007) View citations (3) (2007)
2003
- An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
Computing in Economics and Finance 2003, Society for Computational Economics
Journal Articles
2022
- Forecasting volatility in commodity markets with long-memory models
Journal of Commodity Markets, 2022, 28, (C) View citations (7)
- Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies
Energy Economics, 2022, 115, (C) View citations (3)
2021
- Wind generation and the dynamics of electricity prices in Australia
Energy Economics, 2021, 103, (C) View citations (12)
See also Working Paper Wind Generation and the Dynamics of Electricity Prices in Australia, Research Paper Series (2020) View citations (2) (2020)
2020
- Economic determinants of oil futures volatility: A term structure perspective
Energy Economics, 2020, 88, (C) View citations (18)
See also Working Paper Economic Determinants of Oil Futures Volatility: A Term Structure Perspective, Research Paper Series (2019) View citations (1) (2019)
2019
- Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?
Journal of Futures Markets, 2019, 39, (1), 109-127
2018
- Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
Journal of Banking & Finance, 2018, 95, (C), 148-166 View citations (20)
2017
- Determinants of the crude oil futures curve: Inventory, consumption and volatility
Journal of Banking & Finance, 2017, 84, (C), 53-67 View citations (20)
2016
- The Return–Volatility Relation in Commodity Futures Markets
Journal of Futures Markets, 2016, 36, (2), 127-152 View citations (39)
See also Working Paper The Return-Volatility Relation in Commodity Futures Markets, Research Paper Series (2013) View citations (13) (2013)
2013
- CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS
International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (04), 1-28 View citations (1)
See also Working Paper Credit Derivative Pricing with Stochastic Volatility Models, Research Paper Series (2011) View citations (1) (2011)
- Humps in the volatility structure of the crude oil futures market: New evidence
Energy Economics, 2013, 40, (C), 989-1000 View citations (25)
See also Working Paper Humps in the Volatility Structure of the Crude Oil Futures Market, Research Paper Series (2012) View citations (2) (2012)
2010
- Real-world jump-diffusion term structure models
Quantitative Finance, 2010, 10, (1), 23-37 View citations (17)
2009
- Alternative Defaultable Term Structure Models
Asia-Pacific Financial Markets, 2009, 16, (1), 1-31 
See also Working Paper Alternative Defaultable Term Structure Models, Research Paper Series (2009) (2009)
2007
- A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
Applied Mathematical Finance, 2007, 14, (5), 365-399
- A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (01), 155-202 View citations (3)
See also Working Paper A Markovian Defaultable Term Structure Model with State Dependent Volatilities, Research Paper Series (2004) View citations (4) (2004)
2006
- First Order Strong Approximations of Jump Diffusions
Monte Carlo Methods and Applications, 2006, 12, (3), 191-209 View citations (3)
2003
- A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
Asia-Pacific Financial Markets, 2003, 10, (2), 87-127 View citations (14)
See also Working Paper A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework, Research Paper Series (2004) View citations (4) (2004)
Books
2015
- Derivative Security Pricing
Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (3)
2005
- A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions
PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|