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

Working Papers

2020

1. Forecasting Commodity Markets Volatility: HAR or Rough?
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
2. The Economic Impact of Volatility Persistence on Energy Markets
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
3. 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

4. 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)
5. 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

6. Pricing American Options with Jumps in Asset and Volatility
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)

2016

7. Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (5)
8. 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)
9. Hedging Futures Options with Stochastic Interest Rates
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
10. 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

11. 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

12. 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

13. Alternative Term Structure Models for Reviewing Expectations Puzzles
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
14. 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 (27) (2013)

2011

15. 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

16. 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

17. 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

18. 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

19. 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

20. 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)
21. 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

22. An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
    Computing in Economics and Finance 2003, Society for Computational Economics

Journal Articles

2022

1. Forecasting volatility in commodity markets with long-memory models
   Journal of Commodity Markets, 2022, 28, (C) View citations (7)
2. Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies
   Energy Economics, 2022, 115, (C) View citations (3)

2021

3. 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

4. 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

5. 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

6. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
   Journal of Banking & Finance, 2018, 95, (C), 148-166 View citations (20)

2017

7. Determinants of the crude oil futures curve: Inventory, consumption and volatility
   Journal of Banking & Finance, 2017, 84, (C), 53-67 View citations (21)

2016

8. 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

9. 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)
10. Humps in the volatility structure of the crude oil futures market: New evidence
    Energy Economics, 2013, 40, (C), 989-1000 View citations (27)
    See also Working Paper Humps in the Volatility Structure of the Crude Oil Futures Market, Research Paper Series (2012) View citations (2) (2012)

2010

11. Real-world jump-diffusion term structure models
    Quantitative Finance, 2010, 10, (1), 23-37 View citations (17)

2009

12. 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

13. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
    Applied Mathematical Finance, 2007, 14, (5), 365-399
14. 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

15. First Order Strong Approximations of Jump Diffusions
    Monte Carlo Methods and Applications, 2006, 12, (3), 191-209 View citations (3)

2003

16. 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

1. Derivative Security Pricing
   Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (3)

2005

2. 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)