Ioannis Kyriakou

Bayes Business School (formerly Cass), City, University of London

Faculty of Actuarial Science & Insurance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

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

SCHOLARLY PAPERS

33

DOWNLOADS
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Top 21,457

in Total Papers Downloads

4,416

SSRN CITATIONS
Rank 18,310

SSRN RANKINGS

Top 18,310

in Total Papers Citations

50

CROSSREF CITATIONS

23

Scholarly Papers (33)

1.

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
Bayes Business School (formerly Cass) - City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 670 (72,804)
Citation 2

Abstract:

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

2.

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
Bayes Business School (formerly Cass) - City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 616 (80,913)
Citation 2

Abstract:

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

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: 22 Jun 2020
Aleš Černý and Ioannis Kyriakou
Bayes Business School, City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 506 (103,488)
Citation 4

Abstract:

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Asian options, Discrete sampling, Convolution, FFT

4.

On Optimal Constrained Investment Strategies for Long-Term Savers in Stochastic Environments and Probability Hedging

European Journal of Operational Research, Forthcoming
Number of pages: 44 Posted: 10 Jan 2023
City University London - The Business School, Bayes Business School (formerly Cass), City, University of London, City University London - Cass Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 269 (208,806)

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Investment analysis, Finance, Utility theory

5.

Mutual Funds’ Conditional Performance Free of Data Snooping Bias

Number of pages: 107 Posted: 11 Jan 2021 Last Revised: 15 Feb 2024
Po-Hsuan Hsu, Ioannis Kyriakou, Tren Ma and Georgios Sermpinis
National Tsing Hua University - Department of Quantitative Finance, Bayes Business School (formerly Cass), City, University of London, University of Nottingham and University of Glasgow
Downloads 249 (225,457)
Citation 1

Abstract:

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Multiple testing, Functional false discovery rate, Informative covariates, Mutual funds, Alphas

6.

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
Bayes Business School (formerly Cass), City, University of London, Cass Business School,City, University of London and Cass Business School, City, University of London
Downloads 193 (286,379)
Citation 3

Abstract:

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

7.

Unified Moment-Based Modelling of Integrated Stochastic Processes

Operations Research, Forthcoming
Number of pages: 70 Posted: 27 Aug 2021 Last Revised: 07 Dec 2022
Ioannis Kyriakou, Riccardo Brignone and Gianluca Fusai
Bayes Business School (formerly Cass), City, University of London, University of Freiburg and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 173 (315,741)
Citation 2

Abstract:

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8.

Spread Options on Commodity Prices

Number of pages: 30 Posted: 07 Jul 2022
Carme Frau, Gianluca Fusai and Ioannis Kyriakou
Universitat de les Illes Balears, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 165 (330,582)

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Commodities, crack spread option, calendar spread option, joint characteristic function, Fourier inversion, Fourier transform, analytical solution

9.

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 Bayes Business School (formerly Cass), City, University of London
Downloads 149 (358,098)
Citation 9

Abstract:

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Investor sentiment, asset pricing, return predictability, trading simulation

10.

Forecasting Energy Price Volatilities and Correlations: New Evidence From Fractionally Integrated Multivariate Garch Models

Energy Economics, Forthcoming
Number of pages: 22 Posted: 20 Mar 2020
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica
Downloads 136 (384,854)

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Multivariate GARCH, Long Memory, Superior Predictive Ability Test, Model

11.

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, Bayes Business School (formerly Cass), City, University of London, Cass Business School, City, University of London and Cass Business School,City, University of London
Downloads 129 (401,208)

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

12.

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 Bayes Business School (formerly Cass), City, University of London
Downloads 123 (415,919)
Citation 11

Abstract:

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

13.

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
Bayes Business School (formerly Cass) - City, University of London, City University London - The Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 120 (423,580)
Citation 1

Abstract:

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

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: 06 Nov 2019
City University London - The Business School, City University London - The Business School, Bayes Business School (formerly Cass), City, University of London and City University London - Cass Business School
Downloads 117 (431,735)
Citation 1

Abstract:

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

15.

Moment-Matching Approximations for Stochastic Sums in Non-Gaussian Ornstein–Uhlenbeck Models

Insurance: Mathematics and Economics, 2021, 96, 232-247
Number of pages: 35 Posted: 28 Jan 2021 Last Revised: 26 Jul 2021
Riccardo Brignone, Ioannis Kyriakou and Gianluca Fusai
University of Freiburg, Bayes Business School (formerly Cass), City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 105 (467,367)

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Mean reversion, non-Gaussian processes, moment-matching, Asian option valuation, stochastic annuities

16.

Calendar Spread Options on Energy Commodities

Number of pages: 36 Posted: 19 Jul 2023 Last Revised: 02 Feb 2024
Carme Frau, Gianluca Fusai and Ioannis Kyriakou
Universitat de les Illes Balears, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 100 (483,556)

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Commodities, WTI light sweet crude oil, multivariate process, calendar spread options, joint characteristic function, Fourier transform, analytical solution, jump diffusion, stochastic volatility.

17.

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, Bayes Business School (formerly Cass), City, University of London, Polytechnic University of Milan - Department of Mathematics and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 82 (547,999)
Citation 4

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

18.

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
Bayes Business School (formerly Cass), City, University of London, Cass Business School, City University London, Cass Business School,City, University of London and Cass Business School, City, University of London
Downloads 74 (581,454)

Abstract:

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

19.

Efficient Evaluation of Alternative Reinsurance Strategies Using Control Variates

Number of pages: 7 Posted: 05 Feb 2022
Ioannis Kyriakou and Andreas Tsanakas
Bayes Business School (formerly Cass), City, University of London and Bayes Business School (formerly Cass), City, University of London
Downloads 71 (594,900)

Abstract:

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reinsurance, Monte Carlo simulation, control variates

20.

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 - The Business School, City University London - The Business School, Bayes Business School (formerly Cass), City, University of London and City University London - Cass Business School
Downloads 63 (633,330)

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Pension, Life-long Optimal Investment Strategy, Customer Communication

21.
Downloads 54 (682,066)
Citation 1

Robust Classification via Support Vector Machines

Number of pages: 27 Posted: 29 Apr 2021 Last Revised: 01 Mar 2022
City University London - The Business School, Bayes Business School (formerly Cass), City, University of London, University of Bologna - Department of Management, University of Naples "Parthenope" and City University London
Downloads 37 (816,269)
Citation 2

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support vector machine, robust classification, data uncertainty, extreme empirical loss

Robust Classification Via Support Vector Machines

Number of pages: 27 Posted: 04 Apr 2022
City University London - The Business School, Bayes Business School (formerly Cass), City, University of London, affiliation not provided to SSRN, University of Naples "Parthenope" and affiliation not provided to SSRN
Downloads 17 (1,005,184)

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Binary robust classification, insurance fraud prediction, mortgage lending prediction, support vector machine

22.

Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions

Operations Research, Forthcoming
Number of pages: 24 Posted: 04 Apr 2022
Academia Sinica - Institute of Statistical Science, Academia Sinica - Institute of Statistical Science, Bayes Business School (formerly Cass), City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 46 (731,303)

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Stochastic sum, probability distribution, matrix exponential and column vector differentiation, Pearson curve fit, pricing

23.

Component Replacement Under Uncertainty - A Switching Option Perspective

Number of pages: 33 Posted: 10 Mar 2021
Gianluca Fusai, Ioannis Kyriakou and Matteo Castiglioni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Bayes Business School (formerly Cass), City, University of London and affiliation not provided to SSRN
Downloads 44 (744,633)

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Component replacement, uncertainty, switching option, cost-effectiveness analysis

24.

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, Bayes Business School (formerly Cass), City, University of London and Department of Finance, School of Business Administration, American University of Sharjah
Downloads 42 (758,386)
Citation 1

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

25.

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, Bayes Business School (formerly Cass), City, University of London and Cass Business School, City, University of London
Downloads 36 (802,323)

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

26.

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
Bayes Business School (formerly Cass), City, University of London, Cass Business School,City, University of London, Cass Business School, City, University of London and ESCP Europe Business School
Downloads 36 (802,323)

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

27.

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
Bayes Business School (formerly Cass), City, University of London, Cass Business School,City, University of London, Cass Business School, City, University of London and Cass Business School, City University London
Downloads 34 (818,002)
Citation 3

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Contingent Claims, Investment, Real Options, Shipping, Uncertainty

28.

Average-type real options: An empirical multi-factor demand model

Number of pages: 25 Posted: 21 Mar 2024
Anna Gambaro, Anna Gambaro, Ioannis Kyriakou and Gianluca Fusai
University of Piemonte OrientaleUniversità del Piemonte Orientale, Bayes Business School (formerly Cass), City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 14 (1,002,627)

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Capacity planning, real options, averaging, stochastic demand estimation

29.

A Combination Approach to Forecasting Precious Metals Correlations

Posted: 10 Apr 2024
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, Bayes Business School, City University London - The Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Precious metals correlations, forecast combinations, Value at Risk, macroeconomic fundamentals, structural breaks

30.

Risk Assessment and Optimal Scheduling of Serial Projects

Posted: 18 May 2022
Bayes Business School (formerly Cass), City, University of London, City University London - The Business SchoolNorwegian School of Economics (NHH) - Department of Business and Management Science, City University London - The Business School and Bayes Business School (formerly Cass), City, University of London

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decision analysis, modularity, NPV distribution, project scheduling, risk analysis

31.

Structural changes in asset correlations and macroeconomic fundamentals

Posted: 27 Apr 2022 Last Revised: 28 Feb 2023
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica

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Mixed frequency data, structural breaks, correlation component models, risk management

32.

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 - The Business School, Cass Business School, City, University of London, Cass Business School,City, University of London and Bayes Business School (formerly Cass), City, University of London

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herding, ship finance, contracting, scrapping

33.

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 Bayes Business School (formerly Cass), City, University of London

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investor sentiment, real assets, cycles, trading strategies