carl-chiarella documents

The jump component of the volatility structure of interest rate futures markets: An international comparison
Documents The jump component of the volatility structure of interest rate futures markets: An international comparison
Moving average rules as a source of market instability
Documents Moving average rules as a source of market instability
My chaotic career—from billiard balls to economic dynamics and financial markets
Documents My chaotic career—from billiard balls to economic dynamics and financial markets
A behavioral asset pricing model with a time-varying second moment
Documents A behavioral asset pricing model with a time-varying second moment
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach
Documents The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model
Documents Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model
Evaluation of American strangles
Documents Evaluation of American strangles
An analysis of the effect of noise in a heterogeneous agent financial market model
Documents An analysis of the effect of noise in a heterogeneous agent financial market model
The financial instability hypothesis: A stochastic microfoundation framework
Documents The financial instability hypothesis: A stochastic microfoundation framework
A dynamic analysis of moving average rules
Documents A dynamic analysis of moving average rules
Asset price and wealth dynamics in a financial market with heterogeneous agents
Documents Asset price and wealth dynamics in a financial market with heterogeneous agents
The stochastic bifurcation behaviour of speculative financial markets
Documents The stochastic bifurcation behaviour of speculative financial markets
Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions
Documents Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions
Dynamics of beliefs and learning under aL-processes — the heterogeneous case
Documents Dynamics of beliefs and learning under aL-processes — the heterogeneous case
Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model
Documents Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model
Bounded continuously distributed delays in dynamic oligopolies
Documents Bounded continuously distributed delays in dynamic oligopolies
An analysis of the complex dynamic behaviour of nonlinear oligopoly models with time delays
Documents An analysis of the complex dynamic behaviour of nonlinear oligopoly models with time delays
An integrative approach to 2D-macromodels of growth, price and inventory dynamics
Documents An integrative approach to 2D-macromodels of growth, price and inventory dynamics
A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
Documents A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
A Complete Markovian Stochastic Volatility Model in the HJM Framework
Documents A Complete Markovian Stochastic Volatility Model in the HJM Framework
Classes of Interest Rate Models under the HJM Framework
Documents Classes of Interest Rate Models under the HJM Framework