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~isPartOf:"International journal of theoretical and applied finance"
~language:"eng"
~person:"Chiarella, Carl"
~subject:"Australia"
~subject:"Stochastic process"
~subject:"Volatility"
~type_genre:"Article in journal"
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Australia
Stochastic process
Volatility
Option pricing theory
3
Optionspreistheorie
3
Stochastischer Prozess
3
Volatilität
3
Derivat
2
Derivative
2
Portfolio selection
2
Portfolio-Management
2
Theorie
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Theory
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Yield curve
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Zinsstruktur
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Analysis
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CAPM
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Commodity derivative
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Credit derivative
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Credit risk
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Gas sales agreement
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Heath-Jarrow-Morton framework
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Hedging
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Incomplete market
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Incomplete markets
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Kreditderivat
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Kreditrisiko
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Mathematical analysis
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Risikoprämie
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Risk premium
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Rohstoffderivat
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Stochastic volatility
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Unvollkommener Markt
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carry forward
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credit spreads; CDS rates
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defaultabe bond prices
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forward price curve
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hedge portfolios
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jump-diffusion
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make-up
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recombining pentanomial tree
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Chiarella, Carl
Benth, Fred Espen
7
Gapeev, Pavel V.
7
Jeanblanc, Monique
7
Levendorskij, Sergej Z.
7
Takahashi, Akihiko
6
Brigo, Damiano
5
Fabozzi, Frank J.
5
Liu, Rui Hua
5
Macrina, Andrea
5
Oosterlee, Cornelis W.
5
Gatheral, Jim
4
Hess, Markus
4
Pallavicini, Andrea
4
Rebonato, Riccardo
4
Schoutens, Wim
4
Antonelli, Fabio
3
Avellaneda, Marco
3
Biagini, Francesca
3
Bojarčenko, Svetlana I.
3
Bouchaud, Jean-Philippe
3
Capriotti, Luca
3
Cartea, Álvaro
3
Elliott, Robert J.
3
Forde, Martin
3
Fouque, Jean-Pierre
3
Grorud, Axel
3
Grzelak, Lech A.
3
Hughston, Lane P.
3
Jaimungal, Sebastian
3
Leung, Tim
3
Mercurio, Fabio
3
Mijatovi´c, Aleksandar
3
Platen, Eckhard
3
Radoičić, Radoš
3
Račev, Svetlozar T.
3
Schmidt, Thorsten
3
Semeraro, Patrizia
3
Sircar, Kaushik Ronnie
3
Stoep, Anthonie W. van der
3
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International journal of theoretical and applied finance
Applied mathematical finance
3
Asia Pacific journal of management : APJM ; a publication of the Faculty of Business Administration, National University of Singapore
3
Advances in Pacific Basin financial markets
2
Asia-Pacific financial markets
2
Journal of economic dynamics & control
2
The European journal of finance
2
The journal of futures markets
2
Annals of finance
1
Energy economics
1
European journal of operational research : EJOR
1
Journal of economic behavior & organization : JEBO
1
Journal of empirical finance
1
The journal of computational finance
1
Xiang gang jing ji xue hui hui kan : annual publ. of the Hong Kong Economic Assoc.
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ECONIS (ZBW)
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1
The evaluation of multiple year gas sales agreement with regime switching
Chiarella, Carl
;
Clewlow, Les
;
Kang, Boda
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453874
Saved in:
2
Approximate hedging of options under jump-diffusion processes
Mina, Karl Friedrich
;
Cheang, Gerald H. L.
;
Chiarella, Carl
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403772
Saved in:
3
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
4
A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
; …
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 155-202
Persistent link: https://www.econbiz.de/10003415746
Saved in:
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