Kyriakos Chourdakis

FitchSolutions

Analyst

101 Finsbury Pavement

London

United Kingdom

CCFEA

Lecturer in Computational Finance

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

11

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4,613

SSRN CITATIONS
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SSRN RANKINGS

Top 21,208

in Total Papers Citations

16

CROSSREF CITATIONS

31

Scholarly Papers (11)

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1.

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Downloads 1,347 ( 20,581)
Citation 29

Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation

Number of pages: 19 Posted: 19 May 2008 Last Revised: 05 Oct 2008
Damiano Brigo and Kyriakos Chourdakis
Imperial College London - Department of Mathematics and FitchSolutions
Downloads 1,347 (20,241)
Citation 29

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Counterparty Risk, Credit Valuation adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk

2.

Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation

Number of pages: 21 Posted: 24 Jun 2008
Damiano Brigo, Kyriakos Chourdakis and Imane Bakkar
Imperial College London - Department of Mathematics, FitchSolutions and Fitch Ratings Inc. - FitchSolutions
Downloads 696 (52,239)
Citation 6

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Counterparty Risk, Credit Valuation adjustment, Commodities, Swaps, Oil models, Convenience Yield models, Stochastic Intensity models

3.

Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps

U of London Queen Mary Economics Working Paper No. 464
Number of pages: 52 Posted: 10 Jan 2003
Kyriakos Chourdakis
FitchSolutions
Downloads 580 (65,975)
Citation 8

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4.

Switching Levy Models in Continuous Time: Finite Distributions and Option Pricing

University of Essex, Centre for Computational Finance and Economic Agents (CCFEA) Working Paper
Number of pages: 39 Posted: 04 Nov 2005 Last Revised: 23 May 2008
Kyriakos Chourdakis
FitchSolutions
Downloads 462 (87,283)
Citation 9

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volatility smile, volatility skew, derivative pricing, exotic derivatives, calibration

5.

Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains

U of London Queen Mary Economics Working Paper No. 430
Number of pages: 47 Posted: 20 Dec 2000
Kyriakos Chourdakis
FitchSolutions
Downloads 391 (105,835)
Citation 2

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Option pricing, Markov Chain, Moment Generating Function

6.

Option Pricing Under Discrete Shifts in Stock Returns

Number of pages: 54 Posted: 17 Mar 2001
Kyriakos Chourdakis and Elias Tzavalis
FitchSolutions and University of London - Queen Mary - Department of Economics
Downloads 284 (149,455)
Citation 6

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Markov regime switching, Option pricing, Volatility smile.

7.

Maximum Likelihood Estimation and Dynamic Asset Allocation with Non-Affine Volatility Processes

Number of pages: 42 Posted: 23 May 2008 Last Revised: 03 Feb 2009
Kyriakos Chourdakis and George Dotsis
FitchSolutions and National and Kapodistrian University of Athens - Faculty of Economics
Downloads 251 (169,156)
Citation 3

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Non-Affine Volatility, Integrated Volatility, Volatility Risk Premium, Markov Chain Approximation, Asset Allocation

8.

Option Pricing with a Dividend General Equilibrium Model

Number of pages: 45 Posted: 01 Dec 2000
Kyriakos Chourdakis and Elias Tzavalis
FitchSolutions and University of London - Queen Mary - Department of Economics
Downloads 235 (180,197)
Citation 2

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Markov regime switching, Option pricing, Risk aversion, Volatility smile

9.

The Cyclical Behavior of Default and Recovery Rates

Number of pages: 31 Posted: 30 Apr 2008
Kyriakos Chourdakis
FitchSolutions
Downloads 221 (190,836)
Citation 2

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copula, credit Rating, default correlation, credit cycle, regime switching, recovery rates

10.

Pricing of Interest Rate Sensitive Instruments Under Markovian Interest Rate Models

Number of pages: 18 Posted: 02 Jan 2007
Kyriakos Chourdakis
FitchSolutions
Downloads 146 (273,406)

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11.

Option Pricing Using the Fractional Fft

Posted: 28 Apr 2005
Kyriakos Chourdakis
FitchSolutions

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FFT, fractional FFT algorithm, FRFT, FRFT algorithm, option pricing