Christina Sklibosios Nikitopoulos

University of Technology Sydney - Business School

15 Broadway, Ultimo

Sydney 2007, New South Wales

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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SSRN RANKINGS

Top 37,327

in Total Papers Citations

7

CROSSREF CITATIONS

12

Scholarly Papers (19)

1.

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Quantitative Finance Research Centre Research Paper Number No. 167
Number of pages: 33 Posted: 02 May 2006
Carl Chiarella, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 183 (184,113)
Citation 1

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HJM model, jump process, bond option prices, control variate, Monte Carlo simulations

2.

The Return-Volatility Relation in Commodity Futures Markets

UNSW Business School Research Paper No. 2015 BFIN 05
Number of pages: 30 Posted: 13 Jun 2015
Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 158 (208,963)
Citation 1

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Return-volatility relation; Commodity futures returns; Gold futures volatility

3.

A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Number of pages: 40 Posted: 07 Oct 2004
Carl Chiarella, Erik Schlögl and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney - Business School
Downloads 150 (218,250)
Citation 3

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Interest rates, credit risk, default, Markov property, jump diffusion

4.

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Number of pages: 46 Posted: 11 Jul 2019 Last Revised: 17 Mar 2020
Boda Kang, Christina Sklibosios Nikitopoulos and Marcel Prokopczuk
AMP, University of Technology Sydney - Business School and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 143 (226,817)
Citation 1

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oil market, volatility, term structure, macroeconomy

5.

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

FIRN Research Paper
Number of pages: 24 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 132 (241,692)
Citation 1

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Stochastic interest rates, Delta hedge, Interest rate hedge, Long-dated crude oil options

6.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 127 (248,917)
Citation 2

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Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging

7.

Determinants of the Crude Oil Futures Curve: Inventory, Consumption and Volatility

Number of pages: 32 Posted: 14 Sep 2016
Christina Sklibosios Nikitopoulos, Matthew Squires, Susan Thorp and Danny Yeung
University of Technology Sydney - Business School, University of Technology Sydney (UTS), The University of Sydney Business School and University of Technology Sydney (UTS)
Downloads 116 (266,207)
Citation 1

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Oil futures curve, Inventory, Consumption, Implied volatility, VAR

8.

Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

Quantitative Finance Research Centre Research Paper No. 283
Number of pages: 47 Posted: 22 Oct 2010
Carl Chiarella, Samuel Chege Maina and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 114 (269,523)
Citation 7

Abstract:

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stochastic volatility, Heath-Jarrow-Morton model, defaultable forward rates, credit spreads

9.

Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
Carl Chiarella, Christina Sklibosios Nikitopoulos, Erik Schlögl and Hongang Yang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS)
Downloads 110 (276,442)
Citation 1

Abstract:

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American option, regime switching, method of lines

10.

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 30 Posted: 08 Jan 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 101 (293,219)
Citation 4

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Futures options, Stochastic interest rates, Stochastic volatility, Correlations, Long-dated commodity derivatives

11.

Hedging Futures Options with Stochastic Interest Rates

Number of pages: 27 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 84 (329,539)
Citation 1

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Futures options, Stochastic interest rates, Delta hedging, Interest rate hedging

12.

Forecasting Commodity Markets Volatility: HAR or Rough?

Number of pages: 33 Posted: 10 Feb 2020 Last Revised: 08 Mar 2020
Mesias Alfeus and Christina Sklibosios Nikitopoulos
University of Cape Town (UCT) - African Collaboration for Quantitative Finance and Risk Research and University of Technology Sydney - Business School
Downloads 81 (336,802)

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commodity markets, realized volatility, fractional Brownian motion, HAR, volatility forecast

13.

Empirical Pricing Performance on Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?

Number of pages: 38 Posted: 25 Jan 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 80 (339,240)
Citation 2

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Futures options pricing, Stochastic interest rates, Correlations, Long-dated crude oil derivatives, commodity futures

14.

Credit Derivative Pricing with Stochastic Volatility Models

University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 293
Number of pages: 40 Posted: 23 Oct 2012
Carl Chiarella, Samuel Chege Maina and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 68 (371,638)

Abstract:

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stochastic volatility, Heath-Jarrow-Morton framework, defaultable bond prices, credit spreads, CDS rates

15.

Alternative Defaultable Term Structure Models

Quantitative Finance Research Centre Research Paper No. 242
Number of pages: 33 Posted: 13 Nov 2012
Nicola Bruti-Liberati, Christina Sklibosios Nikitopoulos, Eckhard Platen and Erik Schlögl
affiliation not provided to SSRN, University of Technology Sydney - Business School, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 48 (438,369)

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defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing

16.

Pricing American Options With Jumps in Asset and Volatility

Number of pages: 41 Posted: 17 Nov 2018
Blessing Taruvinga, Boda Kang and Christina Sklibosios Nikitopoulos
University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group, AMP and University of Technology Sydney - Business School
Downloads 38 (479,820)
Citation 1

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American Options, Method of Lines, Stochastic Interest Rate, Jumps, Greeks

Alternative Term Structure Models for Reviewing Expectations Puzzles

Research Paper Number 305, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 27 Oct 2012
Christina Sklibosios Nikitopoulos and Eckhard Platen
University of Technology Sydney - Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 16 (627,557)

Abstract:

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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk

Alternative Term Structure Models for Reviewing Expectations Puzzles

Research Paper Number No. 305, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 29 Oct 2012
Christina Sklibosios Nikitopoulos and Eckhard Platen
University of Technology Sydney - Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 14 (642,763)

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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk

18.

The Impact of Jumps on American Option Pricing: The S&P 100 Options Case.

Number of pages: 49 Posted: 25 Jan 2019
Boda Kang, Christina Sklibosios Nikitopoulos, Erik Schlögl and Blessing Taruvinga
AMP, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 16 (605,324)

Abstract:

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American options; S&P 100 options; Method of Lines; asset jumps; volatility jumps; stochastic interest rate

19.

The economic impact of volatility persistence on energy markets

Number of pages: 58
Christina Sklibosios Nikitopoulos, Alice Thomas and Jianxin Wang
University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Students and University of Technology Sydney (UTS)
Downloads 0

Abstract:

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realized volatility, volatility persistence, energy markets, HAR, forecasting