Carl Chiarella

According to our database, Carl Chiarella authored at least 18 papers between 1992 and 2014.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

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

Comput. Stat. Data Anal., 2014

A comparative study on time-efficient methods to price compound options in the Heston model.

Carl Chiarella, Susanne Griebsch, Boda Kang

Comput. Math. Appl., 2014

2013

American option pricing under two stochastic volatility processes.

Carl Chiarella, Jonathan Ziveyi

Appl. Math. Comput., 2013

Isoelastic oligopolies under uncertainty.

Carl Chiarella, Akio Matsumoto, Ferenc Szidarovszky

Appl. Math. Comput., 2013

2012

The evaluation of barrier option prices under stochastic volatility.

Carl Chiarella, Boda Kang, Gunter H. Meyer

Comput. Math. Appl., 2012

2011

Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model.

Carl Chiarella, Viviana Fanelli, Silvana Musti

Eur. J. Oper. Res., 2011

2009

The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach.

Carl Chiarella, Hing Hung, Thuy-Duong Tô

Comput. Stat. Data Anal., 2009

2006

The feedback channels in macroeconomics: analytical foundations for structural econometric model building.

Pu Chen, Carl Chiarella, Peter Flaschel, Willi Semmler

Central Eur. J. Oper. Res., 2006

The volatility of the instantaneous spot interest rate implied by arbitrage pricing - A dynamic Bayesian approach.

Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier

Autom., 2006

2005

On the stability of price-adjusting oligopolies with incomplete information.

Carl Chiarella, Ferenc Szidarovszky

Int. J. Syst. Sci., 2005

A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models.

Carl Chiarella, Les Clewlow, Silvana Musti

Eur. J. Oper. Res., 2005

2004

A Game Theoretical Model of International Fishing with Time Delay.

Ferenc Szidarovszky, Andrew Engel, Carl Chiarella

IGTR, 2004

The Long Run Outcomes and Global Dynamics of a duopoly Game with misspecified Demand Functions.

Gian Italo Bischi, Carl Chiarella, Michael Kopel

IGTR, 2004

2001

Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model.

Carl Chiarella, Oh Kang Kwon

Finance Stochastics, 2001

1999

Adaptively evolving expectations in models of monetarydynamics- The fundamentalists forward looking.

Carl Chiarella, Alexander Khomin

Ann. Oper. Res., 1999

Keynesian monetary growth dynamicsin open economies.

Carl Chiarella, Peter Flaschel

Ann. Oper. Res., 1999

1996

Interest rate futures: estimation of volatility parameters in an arbitrage-free framework.

Ramaprasad Bhar, Carl Chiarella

Proceedings of the IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, 1996

1992

The dynamics of speculative behaviour.

Carl Chiarella

Ann. Oper. Res., 1992