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Details about Christina Nikitopoulos-Sklibosios

E-mail:
Homepage:https://www.uts.edu.au/staff/christina.nikitopoulos
Phone:02 9514 7768
Postal address:PO Box 123 Broadway NSW 2007 Australia
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
Quantitative Finance Research Centre, Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Christina Nikitopoulos-Sklibosios.

Last updated 2020-05-06. Update your information in the RePEc Author Service.

Short-id: pni44


Jump to Journal Articles Books

Working Papers

2019

  1. 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 Downloads

2018

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

2016

  1. Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  2. 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 Downloads View citations (5)
  3. Hedging Futures Options with Stochastic Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)
  4. Pricing American Options under Regime Switching Using Method of Lines
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)

2015

  1. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)

2013

  1. 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. Alternative Term Structure Models for Reviewing Expectations Puzzles
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
  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)

2011

  1. 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)

2010

  1. 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)

2009

  1. Alternative Defaultable Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Asia-Pacific Financial Markets (2009)

2007

  1. Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

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

2004

  1. 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)
  2. 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)

2003

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

Journal Articles

2019

  1. Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?
    Journal of Futures Markets, 2019, 39, (1), 109-127 Downloads

2018

  1. Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
    Journal of Banking & Finance, 2018, 95, (C), 148-166 Downloads View citations (7)

2017

  1. Determinants of the crude oil futures curve: Inventory, consumption and volatility
    Journal of Banking & Finance, 2017, 84, (C), 53-67 Downloads View citations (4)

2016

  1. The Return–Volatility Relation in Commodity Futures Markets
    Journal of Futures Markets, 2016, 36, (2), 127-152 Downloads View citations (13)
    See also Working Paper (2013)

2013

  1. 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)
  2. Humps in the volatility structure of the crude oil futures market: New evidence
    Energy Economics, 2013, 40, (C), 989-1000 Downloads View citations (15)
    See also Working Paper (2012)

2010

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

2009

  1. Alternative Defaultable Term Structure Models
    Asia-Pacific Financial Markets, 2009, 16, (1), 1-31 Downloads
    See also Working Paper (2009)

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)

2006

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

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)

Books

2015

  1. Derivative Security Pricing
    Dynamic Modeling and Econometrics in Economics and Finance, Springer

2005

  1. 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 Downloads View citations (4)
 
Page updated 2020-07-30