Ioannis Kyriakou

City University London - Sir John Cass Business School

Faculty of Actuarial Science & Insurance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.cass.city.ac.uk/experts/I.Kyriakou

SCHOLARLY PAPERS

18

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1,897

SSRN CITATIONS
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SSRN RANKINGS

Top 25,437

in Total Papers Citations

4

CROSSREF CITATIONS

23

Scholarly Papers (18)

1.

Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates

Quantitative Finance, 2015, 15(1), 115-129
Number of pages: 23 Posted: 04 Jul 2009 Last Revised: 09 Feb 2019
Laura Ballotta and Ioannis Kyriakou
Sir John Cass Business School - City, University of London and City University London - Sir John Cass Business School
Downloads 515 (53,762)

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Convertible bonds pricing, Stochastic interest rates, Affine jump diffusion model, Optimal call strategy

2.

Monte Carlo Simulation of the CGMY Process and Option Pricing

Journal of Futures Markets, 2014, 34(12), 1095-1121
Number of pages: 44 Posted: 31 Oct 2011 Last Revised: 14 Jul 2015
Laura Ballotta and Ioannis Kyriakou
Sir John Cass Business School - City, University of London and City University London - Sir John Cass Business School
Downloads 496 (56,361)
Citation 2

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CGMY process, Fourier transform, Monte Carlo simulation, Multivariate asset model, Option pricing

3.

An Improved Convolution Algorithm for Discretely Sampled Asian Options

Quantitative Finance, 2011, 11(3), 381-389
Number of pages: 19 Posted: 05 Jan 2009 Last Revised: 04 Nov 2013
Aleš Černý and Ioannis Kyriakou
Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 424 (68,308)

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Asian options, Discrete sampling, Convolution, FFT

4.

Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing

Quantitative Finance, 2016, 16(12), 1859-1873
Number of pages: 23 Posted: 24 Jul 2016 Last Revised: 11 Feb 2019
City University London - Sir John Cass Business School, Cass Business School,City, University of London and Cass Business School, City, University of London
Downloads 132 (218,322)

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Oil prices, stochastic volatility, jump diffusion, arithmetic Asian options

5.

Shipping Investor Sentiment and International Stock Return Predictability

Transportation Research Part E: Logistics and Transportation Review 96 (2016), 81-94.
Number of pages: 78 Posted: 12 Feb 2015 Last Revised: 31 Oct 2016
Cass Business School, City, University of London, Cass Business School,City, University of London, Cass Business School, City University London and City University London - Sir John Cass Business School
Downloads 84 (298,281)
Citation 2

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Investor sentiment, asset pricing, return predictability, trading simulation

6.

Freight Options: Price Modelling and Empirical Analysis

Transportation Research Part E: Logistics and Transportation Review, 2013, 51, 82-94
Number of pages: 27 Posted: 17 Dec 2010 Last Revised: 08 Nov 2015
Cass Business School, City University London, City University London - Sir John Cass Business School, Cass Business School, City, University of London and Cass Business School,City, University of London
Downloads 66 (342,119)

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Shipping, Spot freight rates, Jump diffusion model, Forward start average options, Freight option price model

7.

Hedging of Asian Options under Exponential Lévy Models: Computation and Performance

The European Journal of Finance, 2017, 23(4), 297-323
Number of pages: 42 Posted: 12 Jun 2012 Last Revised: 11 Feb 2019
Laura Ballotta, Russell J. Gerrard and Ioannis Kyriakou
Sir John Cass Business School - City, University of London, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 54 (377,878)

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Arithmetic Asian options, Discrete monitoring, Price sensitivities, Lévy processes, Hedging error, Model misspecification

Affine-Structure Models and the Pricing of Energy Commodity Derivatives

European Financial Management, 2016, 22(5), 853-881
Number of pages: 39 Posted: 09 Jul 2014 Last Revised: 11 Feb 2019
City University London - Sir John Cass Business School, Cass Business School, City University London, Cass Business School,City, University of London and Cass Business School, City, University of London
Downloads 40 (436,359)

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Energy prices, affine models, futures, arithmetic Asian options, control variate Monte Carlo

Affine‐Structure Models and the Pricing of Energy Commodity Derivatives

European Financial Management, Vol. 22, Issue 5, pp. 853-881, 2016
Number of pages: 29 Posted: 22 Nov 2016
City University London - Sir John Cass Business School, Cass Business School, City University London, Cass Business School, City, University of London and Cass Business School,City, University of London
Downloads 1 (688,832)
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energy prices, affine models, futures, arithmetic Asian options, control variate Monte Carlo

9.

General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

Mathematics of Operations Research, 2016, 41(2), 531-559
Number of pages: 37 Posted: 04 May 2016 Last Revised: 06 May 2016
Gianluca Fusai and Ioannis Kyriakou
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and City University London - Sir John Cass Business School
Downloads 39 (431,427)
Citation 1

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arithmetic Asian options, CEV diffusion, stochastic volatility models, Lévy processes, discrete average, continuous average

10.

On Equity Risk Prediction and Tail Spillovers

International Journal of Finance & Economics, 2017, 22(4), 379-393
Number of pages: 33 Posted: 27 Feb 2019
Cass Business School,City, University of London, City University London - Sir John Cass Business School and Cass Business School, City, University of London
Downloads 13 (567,552)

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Causality in Risk, Forecasting, Regime Volatility, Risk Spillover, Stock Markets, Value at Risk

11.

Shipping Equity Risk Behavior and Portfolio Management

Transportation Research Part A: Policy and Practice, 2018, 116, 178-200
Number of pages: 47 Posted: 27 Feb 2019
Cass Business School,City, University of London, Cass Business School, City, University of London, City University London - Sir John Cass Business School and Department of Finance, School of Business Administration, American University of Sharjah
Downloads 7 (606,079)

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Shipping Stocks, Volatility Forecasting, Risk Assessment Practices, Tail Systemic Risk, Portfolio Strategies

12.

A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures

European Journal of Operational Research, 2019, 272(3), 1082-1095
Number of pages: 30 Posted: 27 Feb 2019
University of Naples Parthenope - Department of Management Studies and Quantitative Methods, City University London - Sir John Cass Business School, Polytechnic University of Milan - Department of Mathematics and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 7 (606,079)

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Finance, Parallel Computing, Option Pricing, Asian Option, Stochastic Volatility

13.

Self-Selection and Risk Sharing in a Modern World of Life-Long Annuities

British Actuarial Journal, 2018, 23, e30
Number of pages: 23 Posted: 25 Feb 2019
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 7 (606,079)

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Pension, Life-long Optimal Investment Strategy, Customer Communication

14.

Communication and Personal Selection of Pension Saver’s Financial Risk

European Journal of Operational Research, 2019, 274(3), 1102-1111
Number of pages: 22 Posted: 25 Feb 2019
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Cass Business School
Downloads 5 (619,512)

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Investment Analysis, Finance, Utility Theory, Risk Management, OR in Banking

Income Uncertainty and the Decision to Invest in Bulk Shipping

European Financial Management, 2018, 24(3), 387-417
Number of pages: 50 Posted: 30 Sep 2016 Last Revised: 11 Feb 2019
City University London - Sir John Cass Business School, Cass Business School,City, University of London, Cass Business School, City, University of London and Cass Business School, City University London
Downloads 4 (655,037)

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Contingent Claims, Investment, Real Options, Shipping, Uncertainty

Income Uncertainty and the Decision to Invest in Bulk Shipping

European Financial Management, Vol. 24, Issue 3, pp. 387-417, 2018
Number of pages: 31 Posted: 14 Jun 2018
City University London - Sir John Cass Business School, City, University of London, Cass Business School, City, University of London and Cass Business School, City University London
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contingent claims, investment, real options, shipping, uncertainty

16.

Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps

Transportation Research Part E: Logistics and Transportation Review, 2017, 108, 80-96
Number of pages: 34 Posted: 20 May 2017 Last Revised: 16 Feb 2019
City University London - Sir John Cass Business School, Cass Business School,City, University of London, Cass Business School, City, University of London and ESCP Europe Business School
Downloads 3 (634,519)

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uncertainty modelling, ocean freight, estimation, freight derivatives, pricing

17.

Herd Behavior in the Drybulk Market: An Empirical Analysis of the Decision to Enter and Exit the Market

Posted: 31 May 2016
City University London - Sir John Cass Business School, Cass Business School, City, University of London, Cass Business School,City, University of London and City University London - Sir John Cass Business School

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herding, ship finance, contracting, scrapping

18.

Investor Sentiment for Real Assets: The Case of Dry-Bulk Shipping Market

Review of Finance, 2014, 18(4), 1507-1539
Posted: 02 Aug 2012 Last Revised: 10 Jun 2014
Cass Business School, City, University of London, Cass Business School, City University London, Cass Business School,City, University of London and City University London - Sir John Cass Business School

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investor sentiment, real assets, cycles, trading strategies