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Dynamic learning, herding and Guru effects in networks
Markose, Sheri M. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002225255
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The generalized extreme value (GEV) distribution, implied tail index and option pricing
Markose, Sheri M. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002834204
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The generalized extreme value distribution, implied tail index, and option pricing
Markose, Sheri M.; Alentorn, Amadeo - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 35-60
Persistent link: https://www.econbiz.de/10008986596
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Forecasting extreme volatility of FTSE-100 with model free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) option implied volatility indices
Markose, Sheri M.; Yue Peng; Alentorn, Amadeo - 2012
Persistent link: https://www.econbiz.de/10009544687
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Removing maturity effects of implied risk neutral densities and related statistics
Alentorn, Amadeo (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003321618
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A smart market for passenger road transport (SMPRT) congestion : an application of computational mechanism design
Markose, Sheri M.; Alentorn, Amadeo; Koesrindartoto, Deddy - 2007
Persistent link: https://www.econbiz.de/10003455429
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Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
Alentorn, Amadeo; Markose, Sheri M. - In: Computational methods in financial engineering : essays …, (pp. 47-71). 2008
Persistent link: https://www.econbiz.de/10003669439
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A smart market for passenger road transport (SMPRT) congestion : an application of computational mechanism design
Markose, Sheri M.; Alentorn, Amadeo; Koesrindartoto, Deddy - In: Journal of economic dynamics & control 31 (2007) 6, pp. 2001-2032
Persistent link: https://www.econbiz.de/10003487862
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Network models and financial stability
Nier, Erlend; Yang, Jing; Yorulmazer, Tanju; Alentorn, … - In: Journal of Economic Dynamics and Control 31 (2007) 6, pp. 2033-2060
Persistent link: https://www.econbiz.de/10005229560
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Network models and financial stability
Nier, Erlend; Yang, Jing; Yorulmazer, Tanju; Alentorn, … - Bank of England - 2008
Systemic risk is a key concern for central banks charged with safeguarding overall financial stability. In this paper we investigate how systemic risk is affected by the structure of the financial system. We construct banking systems that are composed of a number of banks that are connected by...
Persistent link: https://www.econbiz.de/10009145596