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

14

DOWNLOADS
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1,081

CITATIONS
Rank 40,115

SSRN RANKINGS

Top 40,115

in Total Papers Citations

4

Scholarly Papers (14)

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 Schlogl
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 163 (138,727)

Abstract:

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

2.

A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Number of pages: 40 Posted: 07 Oct 2004
Carl Chiarella, Erik Schlogl 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 142 (160,972)
Citation 2

Abstract:

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

3.

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, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 97 (196,815)

Abstract:

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

4.

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 89 (225,692)
Citation 2

Abstract:

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

5.

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, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 56 (213,363)

Abstract:

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

6.

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 52 (293,935)

Abstract:

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

7.

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 Schlogl
affiliation not provided to SSRN, University of Technology Sydney - Business School, University of Technology, Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 25 (366,769)

Abstract:

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

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) - School of Finance and Economics
Downloads 13 (479,844)

Abstract:

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) - School of Finance and Economics
Downloads 11 (491,148)

Abstract:

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

9.

Hedging Futures Options with Stochastic Interest Rates

Number of pages: 27 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (323,984)

Abstract:

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

10.

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 Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (250,192)

Abstract:

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

11.

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), University of Sydney Business School and University of Technology Sydney (UTS)
Downloads 0 (342,466)

Abstract:

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

12.

Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
Carl Chiarella, Christina Sklibosios Nikitopoulos, Erik Schlogl and Hongang Yang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS)
Downloads 0 (272,835)

Abstract:

American option, regime switching, method of lines

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 Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (318,222)

Abstract:

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

14.

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 Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (256,025)

Abstract:

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