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

22

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2,666

SSRN CITATIONS
Rank 34,014

SSRN RANKINGS

Top 34,014

in Total Papers Citations

11

CROSSREF CITATIONS

13

Scholarly Papers (22)

1.

Climate Change Transition Risk on Sovereign Bond Markets

Number of pages: 42 Posted: 08 Jun 2021 Last Revised: 26 Oct 2021
University of Technology Sydney (UTS), University of Technology Sydney - Business School, University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School and University of Technology Sydney (UTS)
Downloads 300 (133,072)

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climate change, transition risk, sovereign yields, carbon dioxide, natural resources rents, renewables, GDP

2.

Wind Generation and the Dynamics of Electricity Prices in Australia

Energy Economics, Volume 103, 2021, 105547, ISSN 0140-9883, https://www.sciencedirect.com/science/article/pii/S0140988321004230
Number of pages: 81 Posted: 02 Nov 2020 Last Revised: 12 Nov 2021
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos, Otto Konstandatos and Alan Rai
University of Technology Sydney, University of Technology Sydney - Business School, University of Technology Sydney and University of Technology Sydney (UTS) - UTS Business School
Downloads 198 (199,076)

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wind generation, electricity price volatility, merit order effect, hydro generation, interconnectors, carbon pricing mechanism, COVID-19

3.

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Energy Economics, Vol. 88, No. 104743, 2020
Number of pages: 46 Posted: 11 Jul 2019 Last Revised: 09 Nov 2020
Boda Kang, Christina Sklibosios Nikitopoulos, Marcel Prokopczuk and Marcel Prokopczuk
AMP, University of Technology Sydney - Business School and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 196 (200,899)
Citation 2

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oil market, volatility, term structure, macroeconomy

4.

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 185 (211,577)
Citation 1

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

5.

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
Department of Statistics and Actuarial Science - Stellenbosch University and University of Technology Sydney - Business School
Downloads 177 (219,795)
Citation 1

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

6.

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 175 (221,929)
Citation 3

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

7.

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 152 (249,938)
Citation 3

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

8.

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 144 (261,036)
Citation 1

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

9.

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 138 (269,969)
Citation 4

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

10.

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

Journal of Banking and Finance, Vol. 84, 2017
Number of pages: 32 Posted: 14 Sep 2016 Last Revised: 09 Nov 2020
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 136 (273,022)

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

11.

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 122 (296,145)
Citation 2

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American option, regime switching, method of lines

12.

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 117 (305,139)
Citation 7

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

13.

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 107 (324,734)
Citation 3

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

14.

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 102 (335,194)
Citation 1

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

15.

Pricing of Long-Dated Commodity Derivatives: Do Stochastic Interest Rates Matter?

Journal of Banking and Finance, Vol. 95, 2018
Number of pages: 38 Posted: 25 Jan 2016 Last Revised: 09 Nov 2020
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 (378,823)
Citation 2

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

16.

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 (426,546)

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

17.

The Economic Impact of Volatility Persistence on Energy Markets

Number of pages: 44 Posted: 10 Nov 2020 Last Revised: 25 Jun 2021
Christina Sklibosios Nikitopoulos, Alice Thomas and Jian-Xin Wang
University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Students and University of Technology Sydney
Downloads 52 (485,110)

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Realized Volatility, Volatility Persistence, Energy Markets, HAR, Forecasting

18.

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 51 (489,269)
Citation 1

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

19.

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 51 (489,269)

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

20.

Large Scale and Rooftop Solar Generation in the NEM: A Tale of Two Renewables Strategies

Number of pages: 104 Posted: 10 Nov 2021 Last Revised: 21 Dec 2021
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos, Otto Konstandatos and Alan Rai
University of Technology Sydney, University of Technology Sydney - Business School, University of Technology Sydney and University of Technology Sydney (UTS) - UTS Business School
Downloads 46 (515,381)

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large-scale solar generation, rooftop solar generation, electricity spot price volatility, merit order effect, variable renewable energy curtailment

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 17 (705,381)

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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 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 (713,588)

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

22.

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 32 (581,040)

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