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ORCIDCarl Chiarella
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2010 – 2019
- 2014
[j17]Carl Chiarella, Susanne Griebsch, Boda Kang
:
A comparative study on time-efficient methods to price compound options in the Heston model. Comput. Math. Appl. 67(6): 1254-1270 (2014)- [j16]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:
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76: 1-3 (2014) - 2013
- [j15]Carl Chiarella, Akio Matsumoto, Ferenc Szidarovszky:
Isoelastic oligopolies under uncertainty. Appl. Math. Comput. 219(21): 10475-10486 (2013) - [j14]Carl Chiarella, Jonathan Ziveyi:
American option pricing under two stochastic volatility processes. Appl. Math. Comput. 224: 283-310 (2013) - 2012
- [j13]Carl Chiarella, Boda Kang, Gunter H. Meyer:
The evaluation of barrier option prices under stochastic volatility. Comput. Math. Appl. 64(6): 2034-2048 (2012) - 2011
- [j12]Carl Chiarella, Viviana Fanelli, Silvana Musti:
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model. Eur. J. Oper. Res. 208(2): 95-108 (2011)
2000 – 2009
- 2009
- [j11]Carl Chiarella, Hing Hung, Thuy-Duong Tô:
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach. Comput. Stat. Data Anal. 53(6): 2075-2088 (2009) - 2006
- [j10]Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier:
The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach. Autom. 42(8): 1381-1393 (2006) - [j9]Pu Chen, Carl Chiarella, Peter Flaschel, Willi Semmler:
The feedback channels in macroeconomics: analytical foundations for structural econometric model building. Central Eur. J. Oper. Res. 14(3): 261-288 (2006) - 2005
- [j8]Carl Chiarella, Les Clewlow, Silvana Musti:
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models. Eur. J. Oper. Res. 161(2): 325-336 (2005) - [j7]Carl Chiarella, Ferenc Szidarovszky:
On the stability of price-adjusting oligopolies with incomplete information. Int. J. Syst. Sci. 36(8): 501-507 (2005) - 2004
- [j6]Gian Italo Bischi, Carl Chiarella, Michael Kopel:
The Long Run Outcomes and Global Dynamics of a duopoly Game with misspecified Demand Functions. IGTR 6(3): 343-379 (2004) - [j5]Ferenc Szidarovszky, Andrew Engel, Carl Chiarella:
A Game Theoretical Model of International Fishing with Time Delay. IGTR 6(3): 391-415 (2004) - 2001
- [j4]Carl Chiarella, Oh Kang Kwon:
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model. Finance Stochastics 5(2): 237-257 (2001) - [c2]Andrew Engel, Carl Chiarella, Ferenc Szidarovszky:
A game theoretical model of international fishing with time delay. SMC 2001: 2658-2663
1990 – 1999
- 1999
- [j3]Carl Chiarella, Alexander Khomin:
Adaptively evolving expectations in models of monetarydynamics- The fundamentalists forward looking. Ann. Oper. Res. 89: 21-34 (1999) - [j2]Carl Chiarella, Peter Flaschel:
Keynesian monetary growth dynamicsin open economies. Ann. Oper. Res. 89: 35-59 (1999) - 1996
- [c1]Ramaprasad Bhar, Carl Chiarella:
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework. CIFEr 1996: 168-182 - 1992
- [j1]Carl Chiarella:
The dynamics of speculative behaviour. Ann. Oper. Res. 37: 101-123 (1992)
Coauthor Index
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