Vasileios Kontosakos

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

3

DOWNLOADS

484

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Cryptocurrencies: Dust in the Wind?

Physica A: Statistical Mechanics and its Applications, Volume 525, pp. 1063-1079, July 2019, DOI: 10.1016/j.physa.2019.03.123
Number of pages: 43 Posted: 22 Oct 2018 Last Revised: 12 Apr 2019
Min Luo, Vasileios Kontosakos, Athanasios A. Pantelous and Jian Zhou
Shanghai University, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Shanghai University, School of Management
Downloads 185 (162,968)

Abstract:

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Generalized Hyperbolic Distributions; Distribution Fitting; Cryptocurrency; Bitcoin; Foreign Exchange Market

2.

Disappointment Aversion and Long-Term Dynamic Asset Allocation

Number of pages: 65 Posted: 22 Oct 2018 Last Revised: 30 Jul 2019
Monash University - Department of Econometrics & Business Statistics, Sungkyunkwan University - Department of Economics, University of Liverpool - Management School (ULMS) and Monash University - Department of Econometrics & Business Statistics
Downloads 175 (171,254)
Citation 3

Abstract:

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Disappointment aversion, Loss aversion, Dynamic asset allocation, Return predictability, Parameter uncertainty

3.

Efficient Pricing of Barrier Options with Small Survival Probabilities Using Subset Simulation

Number of pages: 33 Posted: 01 Mar 2018 Last Revised: 02 Feb 2019
California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
Downloads 124 (227,301)

Abstract:

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Simulation; Barrier Options Pricing; Path--Dependent Derivatives; Monte Carlo; Discretely Monitoring