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isPartOf:"MPRA Paper"
~isPartOf:"Applied economics letters"
~isPartOf:"International journal of theoretical and applied finance"
~person:"Chiarella, Carl"
~subject:"Volatility"
~subject:"exchange rate"
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Volatility
exchange rate
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3
Stochastic process
2
Stochastischer Prozess
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Yield curve
2
Zinsstruktur
2
CAPM
1
Commodity derivative
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Credit derivative
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Derivat
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Gas sales agreement
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Heath-Jarrow-Morton framework
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Option pricing theory
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Optionspreistheorie
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Stochastic volatility
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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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make-up
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recombining pentanomial tree
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regime switching volatility
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swing contract
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take-or-pay
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Chiarella, Carl
Benth, Fred Espen
6
Brigo, Damiano
5
Caiado, Jorge
5
Crato, Nuno
5
Gupta, Rangan
5
Masih, Mansur
5
Onour, Ibrahim
5
Sinha, Pankaj
5
Takahashi, Akihiko
5
Ma, Feng
4
Pallavicini, Andrea
4
Rebonato, Riccardo
4
Camilleri, Silvio John
3
Chevallier, Julien
3
Dumitriu, Ramona
3
Forde, Martin
3
Fouque, Jean-Pierre
3
Gatheral, Jim
3
Ghiba, Nicolae
3
Grobys, Klaus
3
Grzelak, Lech A.
3
Ielpo, Florian
3
Li, Ming-yuan Leon
3
Liu, Rui Hua
3
Mapa, Dennis S.
3
Oosterlee, Cornelis W.
3
Power, Gabriel J.
3
Radoičić, Radoš
3
Ryu, Doojin
3
Schoutens, Wim
3
Stefanescu, Razvan
3
Stoep, Anthonie W. van der
3
Vives, Josep
3
Wang, Xingchun
3
Wu, Xinyu
3
You, Yu
3
Zubelli, Jorge P.
3
Ahlip, Rehez
2
Alòs, Elisa
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MPRA Paper
Applied economics letters
International journal of theoretical and applied finance
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
20
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
7
Quantitative Finance Research Centre Research Paper
3
Advances in Pacific Basin financial markets
2
Asia-Pacific financial markets
2
The Oxford handbook of computational economics and finance
2
University of Technology Sydney Quantitative Finance Research Centre Research Paper
2
29th International Conference of the French Finance Association (AFFI) 2012
1
Annals of Finance
1
Annals of finance
1
Applied Mathematics and Computation, Forthcoming
1
Applied mathematical finance
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Economic theory and international trade : essays in honour of Murray C. Kemp
1
Energy economics
1
Handbook of computational economics : volume 3
1
Handbook of computational economics ; Volume 3
1
Journal of economic behavior & organization : JEBO
1
Journal of economic dynamics & control
1
Research Paper Number: 299, Quantitative Finance Research Centre, University of Technology, Sydney
1
The European journal of finance
1
The journal of computational finance
1
The journal of futures markets
1
University of Technology Sydney Quantitative Finance Research Centre Working Paper
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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
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:
3
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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