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Nikitipoulos Sklibosios, Christina's
Scholarly Papers
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Total
Downloads
465 |
Total
Citations
4 |
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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153
(96,187)
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HJM model, jump process, bond option prices, control variate, Monte Carlo simulations
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2.
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
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136
(106,521)
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3
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Interest rates, credit risk, default, Markov property, jump diffusion
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3.
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Maina, Samuel Chege
University of Technology, Sydney (UTS) - School of Finance and Economics Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
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66
(174,831)
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stochastic volatility, Heath-Jarrow-Morton model, defaultable forward rates, credit spreads
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4.
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Kang, Boda
University of Technology, Sydney (UTS) Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business To, Thuy Duong
University of New South Wales, Sydney
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56
(190,124)
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Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging
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5.
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Chiarella, Carl
University of Technology, Sydney - UTS Business School, Finance Discipline Group Maina, Samuel Chege
University of Technology, Sydney (UTS) - School of Finance and Economics Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business
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22
(268,261)
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stochastic volatility, Heath-Jarrow-Morton framework, defaultable bond prices, credit spreads, CDS rates
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6.
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Alternative Term Structure Models for Reviewing Expectations Puzzles
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Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
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Posted:
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27 Oct 12
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Last Revised:
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29 Oct 12
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19
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Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
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10
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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk
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Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
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9
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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk
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7.
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Bruti-Liberati, Nicola
affiliation not provided to SSRN Nikitipoulos Sklibosios, Christina
University of Technology, Sydney - Faculty of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics Schlogl, Erik
University of Technology, Sydney (UTS) - School of Finance and Economics
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13
(300,084)
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defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing
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7
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