| Publication | Date of Publication | Type |
|---|
``Animal spirits'' and bank's lending behaviour, a disequilibrium approach
Studies in Nonlinear Dynamics & Econometrics | 2023-04-17 | Paper |
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
The Fiscal Cost of Financial Instability
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
The limit distribution of evolving strategies in financial markets
Studies in Nonlinear Dynamics & Econometrics | 2023-03-07 | Paper |
Asset price and wealth dynamics under heterogeneous expectations
Quantitative Finance | 2019-01-14 | Paper |
A simulation analysis of the microstructure of double auction markets
Quantitative Finance | 2019-01-14 | Paper |
A behavioural model of investor sentiment in limit order markets
Quantitative Finance | 2018-11-19 | Paper |
Volatility swaps and volatility options on discretely sampled realized variance
Journal of Economic Dynamics and Control | 2018-11-02 | Paper |
Correction to: ``Exchange option under jump-diffusion dynamics''
Applied Mathematical Finance | 2018-09-18 | Paper |
Learning, information processing and order submission in limit order markets
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Sustainable asset accumulation and dynamic portfolio decisions
Dynamic Modeling and Econometrics in Economics and Finance | 2016-10-05 | Paper |
A comparative study on time-efficient methods to price compound options in the Heston model
Computers & Mathematics with Applications | 2016-09-27 | Paper |
American option pricing under two stochastic volatility processes
Applied Mathematics and Computation | 2016-04-27 | Paper |
The evaluation of multiple year gas sales agreement with regime switching
International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
| The numerical solution of the American option pricing problem. Finite difference and transform approaches | 2015-09-16 | Paper |
Approximate hedging of options under jump-diffusion processes
International Journal of Theoretical and Applied Finance | 2015-07-23 | Paper |
Derivative security pricing. Techniques, methods and applications
Dynamic Modeling and Econometrics in Economics and Finance | 2015-04-08 | Paper |
Isoelastic oligopolies under uncertainty
Applied Mathematics and Computation | 2015-01-29 | Paper |
Pricing range notes within Wishart affine models
Insurance Mathematics & Economics | 2015-01-28 | Paper |
An evolutionary CAPM under heterogeneous beliefs
Annals of Finance | 2014-11-12 | Paper |
A reconsideration of the formal Minskyan analysis: microfoundations, endogenous money and the public sector
Global Analysis of Dynamic Models in Economics and Finance | 2014-10-02 | Paper |
A homoclinic route to volatility: dynamics of asset prices under autoregressive forecasting
Global Analysis of Dynamic Models in Economics and Finance | 2014-10-02 | Paper |
The evaluation of gas swing contracts with regime switching
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
Pricing American options written on two underlying assets
Quantitative Finance | 2014-09-05 | Paper |
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Quantitative Finance | 2014-02-08 | Paper |
Credit derivatives pricing with stochastic volatility models
International Journal of Theoretical and Applied Finance | 2013-08-15 | Paper |
The evaluation of barrier option prices under stochastic volatility
Computers & Mathematics with Applications | 2013-07-25 | Paper |
| scientific article; zbMATH DE number 6174812 (Why is no real title available?) | 2013-06-12 | Paper |
Exchange Options Under Jump-Diffusion Dynamics
Applied Mathematical Finance | 2012-06-08 | Paper |
The financial instability hypothesis: a stochastic microfoundation framework
Journal of Economic Dynamics and Control | 2011-07-13 | Paper |
Representation of American option prices under Heston stochastic volatility dynamics using integral transforms
Contemporary Quantitative Finance | 2011-05-31 | Paper |
An analysis of the effect of noise in a heterogeneous agent financial market model
Journal of Economic Dynamics and Control | 2011-01-31 | Paper |
Modelling the evolution of credit spreads using the Cox process within the HJM framework: a CDS option pricing model
European Journal of Operational Research | 2011-01-28 | Paper |
A framework for CAPM with heterogeneous beliefs
Nonlinear Dynamics in Economics, Finance and Social Sciences | 2010-06-21 | Paper |
The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
| Existence and uniqueness in Cournot models with cost externalities | 2009-12-28 | Paper |
American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
Applied Mathematical Finance | 2009-09-13 | Paper |
| Nonlinear oligopolies. Stability and bifurcations | 2009-08-25 | Paper |
The impact of heterogeneous trading rules on the limit order book and order flows
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
The impact of heterogeneous trading rules on the limit order book and order flows
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
| Discrete dynamic oligopolies with intertemporal demand interactions | 2009-07-20 | Paper |
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
International Journal of Theoretical and Applied Finance | 2009-07-14 | Paper |
| scientific article; zbMATH DE number 5575809 (Why is no real title available?) | 2009-07-06 | Paper |
| A multiobjective model of oligopolies under uncertainty | 2009-07-06 | Paper |
A preference free partial differential equation for the term structure of interest rates
Financial Engineering and the Japanese Markets | 2009-02-06 | Paper |
A complete Markovian stochastic volatility model in the HJM framework
Asia-Pacific Financial Markets | 2009-02-06 | Paper |
| Dynamic oligopolies with production adjustment costs | 2009-01-15 | Paper |
A dynamic analysis of moving average rules
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Asset price and wealth dynamics in a financial market with heterogeneous agents
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Evaluation of American strangles
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence
Computational Economics | 2008-09-12 | Paper |
| The evaluation of discrete barrier options in a path integral framework | 2008-09-09 | Paper |
My chaotic career-from billiard balls to economic dynamics and financial markets
Chaos, Solitons and Fractals | 2008-09-09 | Paper |
A behavioral asset pricing model with a time-varying second moment
Chaos, Solitons and Fractals | 2008-09-09 | Paper |
| The complex asymptotic behavior of dynamic oligopolies with partially cooperating firms | 2008-05-29 | Paper |
A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
Applied Mathematical Finance | 2008-01-31 | Paper |
The feedback channels in macroeconomics: analytical foundations for structural econometric model building
CEJOR. Central European Journal of Operations Research | 2007-11-27 | Paper |
| A game theoretical coalition model of international fishing with time delay | 2007-09-27 | Paper |
Intertemporal asset allocation when the underlying factors are unobservable
Computational Economics | 2007-08-17 | Paper |
| AD-AS and the Phillips curve: a baseline disequilibrium model | 2007-06-19 | Paper |
| Keynesian macrodynamics and the Phillips curve: an estimated model for the U.S. economy | 2007-06-19 | Paper |
| scientific article; zbMATH DE number 5165625 (Why is no real title available?) | 2007-06-19 | Paper |
| A high-dimensional model of real-financial market interaction: the cascade of stable matrices approach | 2007-06-19 | Paper |
A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
International Journal of Theoretical and Applied Finance | 2007-06-05 | Paper |
The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
Computational Economics | 2006-12-20 | Paper |
The multifactor nature of the volatility of futures markets
Computational Economics | 2006-11-17 | Paper |
The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach
Automatica | 2006-10-05 | Paper |
| Statistical properties of a heterogeneous asset pricing model with time-varying second moment | 2006-06-26 | Paper |
A class of jump-diffusion bond pricing models within the HJM framework
Asia-Pacific Financial Markets | 2006-02-23 | Paper |
An analysis of the complex dynamic behaviour of nonlinear oligopoly models with time delays.
Chaos, Solitons and Fractals | 2006-02-17 | Paper |
Cournot oligopolies with product differentiation under uncertainty
Computers & Mathematics with Applications | 2006-02-06 | Paper |
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
Inferring the Forward Looking Equity Risk Premium from Derivative Prices
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
On the stability of price-adjusting oligopolies with incomplete information
International Journal of Systems Science. Principles and Applications of Systems and Integration | 2005-11-15 | Paper |
| scientific article; zbMATH DE number 2209537 (Why is no real title available?) | 2005-09-28 | Paper |
An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
Lecture Notes in Economics and Mathematical Systems | 2005-09-28 | Paper |
MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
Mathematical Finance | 2005-08-17 | Paper |
The Dynamic Interaction of Speculation and Diversification
Applied Mathematical Finance | 2005-07-18 | Paper |
| scientific article; zbMATH DE number 2186655 (Why is no real title available?) | 2005-07-05 | Paper |
| scientific article; zbMATH DE number 2173977 (Why is no real title available?) | 2005-06-07 | Paper |
THE LONG RUN OUTCOMES AND GLOBAL DYNAMICS OF A DUOPOLY GAME WITH MISSPECIFIED DEMAND FUNCTIONS
International Game Theory Review | 2005-03-10 | Paper |
A GAME THEORETICAL MODEL OF INTERNATIONAL FISHING WITH TIME DELAY
International Game Theory Review | 2005-03-10 | Paper |
The asymptotic behavior of dynamic producer-consumer systems
Mathematical and Computer Modelling | 2005-02-22 | Paper |
A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models
European Journal of Operational Research | 2004-11-22 | Paper |
A stability analysis of the perfect foresight map in nonlinear models of monetary dynamics
Chaos, Solitons and Fractals | 2004-08-19 | Paper |
A game theoretical partially cooperative model of international fishing with time delay
Chaos, Solitons and Fractals | 2004-07-01 | Paper |
Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model
Chaos, Solitons and Fractals | 2004-07-01 | Paper |
Bounded continuously distributed delays in dynamic oligopolies
Chaos, Solitons and Fractals | 2004-07-01 | Paper |
| scientific article; zbMATH DE number 2067991 (Why is no real title available?) | 2004-05-27 | Paper |
Finite dimensional affine realisations of HJM models in terms of forward rates and yields
Review of Derivatives Research | 2004-02-03 | Paper |
Modelling the currency forward risk premium: A new perspective
Asia-Pacific Financial Markets | 2003-12-18 | Paper |
An implementation of Bouchouev's method for a short time calibration of option pricing models
Computational Economics | 2003-12-18 | Paper |
Asset price dynamics among heterogeneous interacting agents
Computational Economics | 2003-12-18 | Paper |
Classes of interest rate models under the HJM framework
Asia-Pacific Financial Markets | 2003-12-04 | Paper |
The Bertrand oligopoly with information lag.
CEJOR. Central European Journal of Operations Research | 2003-11-06 | Paper |
| scientific article; zbMATH DE number 1989626 (Why is no real title available?) | 2003-10-09 | Paper |
On the attractivity of a class of homogeneous dynamic economic systems
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2003-03-11 | Paper |
| scientific article; zbMATH DE number 1867097 (Why is no real title available?) | 2003-02-11 | Paper |
Dynamics of beliefs and learning under \(a_{L}\)-processes -- the heterogeneous case
Journal of Economic Dynamics and Control | 2003-01-21 | Paper |
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
Macroeconomic Dynamics | 2003-01-01 | Paper |
| scientific article; zbMATH DE number 1795851 (Why is no real title available?) | 2002-11-11 | Paper |
