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

25

DOWNLOADS
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SSRN RANKINGS

Top 27,396

in Total Papers Downloads

2,434

SSRN CITATIONS
Rank 18,323

SSRN RANKINGS

Top 18,323

in Total Papers Citations

35

CROSSREF CITATIONS

23

Scholarly Papers (25)

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
Bayes Business School (formerly Cass) - City, University of London and City University London - Sir John Cass Business School
Downloads 537 (67,863)
Citation 1

Abstract:

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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
Bayes Business School (formerly Cass) - City, University of London and City University London - Sir John Cass Business School
Downloads 534 (68,362)
Citation 2

Abstract:

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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: 22 Jun 2020
Aleš Černý and Ioannis Kyriakou
Bayes Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 441 (86,195)
Citation 3

Abstract:

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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 143 (262,638)
Citation 2

Abstract:

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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 111 (316,709)
Citation 6

Abstract:

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Investor sentiment, asset pricing, return predictability, trading simulation

6.

Informative Covariates, False Discoveries and Mutual Fund Performance

Number of pages: 93 Posted: 11 Jan 2021 Last Revised: 03 Jan 2022
Po-Hsuan Hsu, Ioannis Kyriakou, Tren Ma and Georgios Sermpinis
National Tsing Hua University - Department of Quantitative Finance, City University London - Sir John Cass Business School, University of Glasgow and University of Glasgow
Downloads 97 (346,547)

Abstract:

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

7.

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 84 (378,968)

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

8.

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 66 (433,471)
Citation 10

Abstract:

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

9.

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 - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 60 (454,476)
Citation 1

Abstract:

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

10.

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, City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 50 (493,651)

Abstract:

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

11.

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, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Istituto Nazionale di Statistica
Downloads 47 (506,632)

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

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 44 (530,565)

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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 (851,429)
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energy prices, affine models, futures, arithmetic Asian options, control variate Monte Carlo

13.

Unified Moment-Based Modelling of Integrated Stochastic Processes

Number of pages: 57 Posted: 27 Aug 2021
Ioannis Kyriakou, Riccardo Brignone and Gianluca Fusai
City University London - Sir John Cass Business School, University of Freiburg and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 39 (544,223)

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14.

Evaluating alternative reinsurance strategies using control variates

Number of pages: 7
Ioannis Kyriakou and Andreas Tsanakas
City University London - Sir John Cass Business School and Bayes Business School (formerly Cass), City, University of London
Downloads 33

Abstract:

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reinsurance, Monte Carlo simulation, control variates

15.

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 32 (581,281)
Citation 4

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

16.

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, City University London - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 25 (624,716)

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

17.

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 - 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 19 (667,111)
Citation 1

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

18.

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 16 (689,191)

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

19.

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 15 (696,683)

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

20.

Robust Classification via Support Vector Machines

Number of pages: 10 Posted: 29 Apr 2021
Cass Business School, City, University of London, City University London - Sir John Cass Business School, University of Bologna - Department of Management, University of Naples "Parthenope" and City, University of London
Downloads 11 (728,322)

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

21.

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 10 (736,291)

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Pension, Life-long Optimal Investment Strategy, Customer Communication

22.

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 10 (736,291)

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

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 9 (773,957)
Citation 1

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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

24.

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

25.

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