Carl Chiarella

19 papers B 1Journal 17Unranked 1
YearRankTypeTitle / Venue / Authors
2014 J jnl
A comparative study on time-efficient methods to price compound options in the Heston model.
Comput. Math. Appl.
Carl Chiarella, Susanne Griebsch, Boda Kang
2014 J jnl
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.
Comput. Stat. Data Anal.
Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu
2013 J jnl
American option pricing under two stochastic volatility processes.
Appl. Math. Comput.
Carl Chiarella, Jonathan Ziveyi
2013 J jnl
Isoelastic oligopolies under uncertainty.
Appl. Math. Comput.
Carl Chiarella, Akio Matsumoto, Ferenc Szidarovszky
2012 J jnl
The evaluation of barrier option prices under stochastic volatility.
Comput. Math. Appl.
Carl Chiarella, Boda Kang, Gunter H. Meyer
2011 J jnl
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model.
Eur. J. Oper. Res.
Carl Chiarella, Viviana Fanelli, Silvana Musti
2009 J jnl
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach.
Comput. Stat. Data Anal.
Carl Chiarella, Hing Hung, Thuy-Duong Tô
2006 J jnl
The feedback channels in macroeconomics: analytical foundations for structural econometric model building.
Central Eur. J. Oper. Res.
Pu Chen, Carl Chiarella, Peter Flaschel, Willi Semmler
2006 J jnl
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach.
Autom.
Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier
2005 J jnl
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models.
Eur. J. Oper. Res.
Carl Chiarella, Les Clewlow, Silvana Musti
2005 J jnl
On the stability of price-adjusting oligopolies with incomplete information.
Int. J. Syst. Sci.
Carl Chiarella, Ferenc Szidarovszky
2004 J jnl
A Game Theoretical Model of International Fishing with Time Delay.
IGTR
Ferenc Szidarovszky, Andrew Engel, Carl Chiarella
2004 J jnl
The Long Run Outcomes and Global Dynamics of a duopoly Game with misspecified Demand Functions.
IGTR
Gian Italo Bischi, Carl Chiarella, Michael Kopel
2001 B conf
A game theoretical model of international fishing with time delay.
SMC
Andrew Engel, Carl Chiarella, Ferenc Szidarovszky
2001 J jnl
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model.
Finance Stochastics
Carl Chiarella, Oh Kang Kwon
1999 J jnl
Adaptively evolving expectations in models of monetarydynamics- The fundamentalists forward looking.
Ann. Oper. Res.
Carl Chiarella, Alexander Khomin
1999 J jnl
Keynesian monetary growth dynamicsin open economies.
Ann. Oper. Res.
Carl Chiarella, Peter Flaschel
1996 — conf
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework.
CIFEr
Ramaprasad Bhar, Carl Chiarella
1992 J jnl
The dynamics of speculative behaviour.
Ann. Oper. Res.
Carl Chiarella