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Here at MoneyScience we are very sad to hear about the death of Professor Carl Chiarella yesterday

Wed, 22 Jun 2016 02:55:00 GMT

RIP Carl Chiarella, who died yesterday and whose enormous contribution to the fields of finance and quantitative finance will be saddly missed.

Professor Chiarella's Bibliography - sourced from Google Scholar:

The dynamics of speculative behaviour

C Chiarella
Annals of operations research 37 (1), 101-123
1992
Heterogeneous beliefs, risk and learning in a simple asset pricing model

C Chiarella, XZ He
Computational Economics 19 (1), 95-132
2002
The dynamics of Keynesian monetary growth: macro foundations

C Chiarella, P Flaschel
Cambridge University Press
2000
A simulation analysis of the microstructure of double auction markets*

C Chiarella, G Iori
Quantitative Finance 2 (5), 346-353
2002
Speculative behaviour and complex asset price dynamics: a global analysis

C Chiarella, R Dieci, L Gardini
Journal of Economic Behavior & Organization 49 (2), 173-197
2002
Asset price and wealth dynamics under heterogeneous expectations

C Chiarella, X He
Quantitative Finance 1 (5), 509-526
2001
The cobweb model: Its instability and the onset of chaos

C Chiarella
Economic modelling 5 (4), 377-384
1988
Nonlinear oligopolies: Stability and bifurcations

GI Bischi, C Chiarella, M Kopel, F Szidarovszky
Springer Science & Business Media
2009
Heterogeneity, market mechanisms, and asset price dynamics

C Chiarella, R Dieci, X He
Quantitative Finance Research Centre Research Paper
2008
Nonlinear dynamics and evolutionary economics

Oxford University Press
1993
Heterogeneous beliefs, risk, and learning in a simple asset-pricing model with a market maker

C Chiarella, XZ He
Macroeconomic Dynamics 7 (04), 503-536
2003
Foundations for a disequilibrium theory of the business cycle: qualitative analysis and quantitative assessment

C Chiarella, P Flaschel, R Franke
Cambridge University Press
2005
The impact of heterogeneous trading rules on the limit order book and order flows

C Chiarella, G Iori, J Perelló
Journal of Economic Dynamics and Control 33 (3), 525-537
2009
A dynamic analysis of moving average rules

C Chiarella, XZ He, C Hommes
Journal of Economic Dynamics and Control 30 (9), 1729-1753
2006
The elements of a nonlinear theory of economic dynamics

C Chiarella
Springer Science & Business Media
2012
Transformation of Heath? Jarrow? Morton models to Markovian systems

R Bhar, C Chiarella
The European Journal of Finance 3 (1), 1-26
1997
Asset price and wealth dynamics in a financial market with heterogeneous agents

C Chiarella, R Dieci, L Gardini
Journal of Economic Dynamics and Control 30 (9), 1755-1786
2006
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework

C Chiarella, R Dieci, XZ He
Journal of Economic Behavior & Organization 62 (3), 408-427
2007
Disequilibrium, growth and labor market dynamics: Macro perspectives

C Chiarella, P Flaschel, G Groh, W Semmler
Springer Science & Business Media
2013
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

C Chiarella, OK Kwon
Finance and Stochastics 5 (2), 237-257
2001
On the economics of international fisheries

C Chiarella, MC Kemp, N Van Long, K Okuguchi
International Economic Review, 85-92
1984
Exploring the potential of MODIS EVI for modeling gross primary production across African ecosystems

M Sjöström, J Ardö, A Arneth, N Boulain, B Cappelaere, L Eklundh, ...
Remote sensing of environment 115 (4), 1081-1089
2011
Dynamics of beliefs and learning under aL-processes—the heterogeneous case

C Chiarella, XZ He
Journal of Economic Dynamics and Control 27 (3), 503-531
2003
Mean variance preferences, expectations formation, and the dynamics of random asset prices

V Böhm, C Chiarella
Mathematical Finance 15 (1), 61-97
2005
Keynesian dynamics and the wage–price spiral: a baseline disequilibrium model

T Asada, P Chen, C Chiarella, P Flaschel
Journal of Macroeconomics 28 (1), 90-130
2006
Determinants of corporate capital structure: Australian evidence

C Chiarella, T Pham, AB Sim, M Tan
Finance Discipline Group, UTS Business School, University of Technology ...
1991
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines

C Chiarella, B Kang, GH Meyer, A Ziogas
International Journal of Theoretical and Applied Finance 12 (03), 393-425
2009
Classes of interest rate models under the HJM framework

C Chiarella, OK Kwon
Asia-Pacific financial markets 8 (1), 1-22
2001
Open economy macrodynamics: an integrated disequilibrium approach

T Asada, C Chiarella, P Flaschel, R Franke
Springer Science & Business Media
2012
The dynamic interaction of speculation and diversification

C Chiarella, R Dieci, L Gardini
Applied Mathematical Finance 12 (1), 17-52
2005
Real and monetary cycles in models of Keynes-Wicksell type

C Chiarella, P Flaschel
Journal of Economic Behavior & Organization 30 (3), 327-351
1996
An analysis of the complex dynamic behaviour of nonlinear oligopoly models with time delays

C Chiarella, A Khomin
Chaos, Solitons & Fractals 7 (12), 2049-2065
1996
Asset price dynamics among heterogeneous interacting agents

C Chiarella, M Gallegati, R Leombruni, A Palestrini
Computational Economics 22 (2-3), 213-223
2003
Finite dimensional affine realisations of HJM models in terms of forward rates and yields

C Chiarella, OK Kwon
Review of Derivatives Research 6 (2), 129-155
2003
Evaluation of American strangles

C Chiarella, A Ziogas
Journal of Economic Dynamics and Control 29 (1), 31-62
2005
An adaptive model on asset pricing and wealth dynamics with heterogeneous trading strategies

C Chiarella, X He
University of Technology
2002
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

A Röthig, C Chiarella
Journal of Futures Markets 27 (8), 719-737
2007
Keynesian Macrodynamics and the Phillips Curve: An Estimated Model for the US Economy

P Chen, C Chiarella, P Flaschel, W Semmler
Contributions to Economic Analysis 277, 229-284
2006
The financial instability hypothesis: A stochastic microfoundation framework

C Chiarella, C Di Guilmi
Journal of Economic Dynamics and Control 35 (8), 1151-1171
2011
Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions

C Chiarella, N El-Hassan, A Kucera
Journal of Economic Dynamics and Control 23 (9), 1387-1424
1999
Financial markets and the macroeconomy: a Keynesian perspective

C Chiarella, P Flaschel, R Franke, W Semmler
Routledge
2009
The birth of limit cycles in nonlinear oligopolies with continuously distributed information lags

C Chiarella, F Szidarovszky
Modeling uncertainty, 249-268
2005
Asset price dynamics in a financial market with fundamentalists and chartists

C Chairella, R Dieci, L Gardini
Discrete Dynamics in Nature and Society 6 (2), 69-99
2001
Does the market maker stabilize the market?

M Zhu, C Chiarella, XZ He, D Wang
Physica A: Statistical Mechanics and its Applications 388 (15), 3164-3180
2009
American Call Options Under Jump‐Diffusion Processes–A Fourier Transform Approach

C Chiarella, A Ziogas
Applied Mathematical Finance 16 (1), 37-79
2009
The stochastic bifurcation behaviour of speculative financial markets

C Chiarella, XZ He, D Wang, M Zheng
Physica A: Statistical Mechanics and its Applications 387 (15), 3837-3846
2008
Stabilizing an unstable economy: on the choice of proper policy measures

T Asada, C Chiarella, P Flaschel, T Mouakil, C Proaño
Economics Discussion Paper
2009
Perfect foresight models and the dynamic instability problem from a higher viewpoint

C Chiarella
Economic Modelling 3 (4), 283-292
1986
An analysis of the cobweb model with boundedly rational heterogeneous producers

C Chiarella, XZ He, H Hung, P Zhu
Journal of Economic Behavior & Organization 61 (4), 750-768
2006
Moving average rules as a source of market instability

C Chiarella, XZ He, C Hommes
Physica A: Statistical Mechanics and its Applications 370 (1), 12-17
2006
The long run outcomes and global dynamics of a duopoly game with misspecified demand functions

GI Bischi, C Chiarella, M Kopel
International Game Theory Review 6 (03), 343-379
2004
Evaluation of derivative security prices in the heath-jarrow-morton framework as path integrals using fast fourier transform techniques

C Chiarella, N El-Hassan
UTS Finance and Economics Working Paper
1997
A survey of the integral representation of American option prices

C Chiarella, A Ziogas, A Kucera
University of Technology Sydney
2004
A class of jump-diffusion bond pricing models within the HJM framework

C Chiarella, CN Sklibosios
Asia-Pacific Financial Markets 10 (2-3), 87-127
2003
Interest rate futures: estimation of volatility parameters in an arbitrage-free framework

R Bhar, C Chiarella
Applied Mathematical Finance 4 (4), 181-199
1997
Excessive exchange rate variability: A possible explanation using nonlinear economic dynamics

C Chiarella
European Journal of Political Economy 6 (3), 315-352
1990
Marginal employment subsidies: an effective policy to generate employment

C Chiarella, A Steinherr
Commission of the European Communities, Directorate-General for Economic and ...
1982
A framework for CAPM with heterogeneous beliefs

C Chiarella, R Dieci, XZ He
Nonlinear Dynamics in Economics, Finance and Social Sciences, 353-369
2010
A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis

A Agliari, C Chiarella, L Gardini
Journal of Economic Behavior & Organization 60 (4), 526-552
2006
Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model

C Chiarella, P Flaschel, G Gong, W Semmler
Chaos, Solitons & Fractals 18 (3), 613-634
2003
The calibration of stock option pricing models using inverse problem methodology

C Chiarella, M Craddock, N El-Hassan
QFRQ Research Papers, UTS Sydney
2000
Statistical theories of income and wealth distribution

AS Chakrabarti, BK Chakrabarti
Economics E-journal 4, 2010-4
2010
Estimating behavioural heterogeneity under regime switching

C Chiarella, XZ He, W Huang, H Zheng
Journal of Economic Behavior & Organization 83 (3), 446-460
2012
A behavioral asset pricing model with a time-varying second moment

C Chiarella, XZ He, D Wang
Chaos, Solitons & Fractals 29 (3), 535-555
2006
The value of the S&P 500—A macro view of the stock market adjustment process

C Chiarella, S Gao
Global Finance Journal 15 (2), 171-196
2004
The nonlinear Cournot model under uncertainty with continuously distributed time lags

C Chiarella, F Szidarovszky
Central European Journal of Operations Research 9 (3), 183-196
2001
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach

C Chiarella, H Hung, TD Tô
Computational Statistics & Data Analysis 53 (6), 2075-2088
2009
Type I spurious regression in econometrics

C Chiarella, S Gao
University of Technology, Finance and Economics Working Paper
2002
The reduction of forward rate dependent volatility HJM models to Markovian form: Pricing European bond options

R Bhar, C Chiarella, N El-Hassan, X Zheng
Journal of Computational Finance 3 (3), 47-72
2000
Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500

C Chiarella, XZ He, RCJ Zwinkels
Journal of Economic Behavior & Organization 105, 1-16
2014
Monetary macrodynamics

T Asada, C Chiarella, P Flaschel, R Franke
Routledge
2012
An analysis of the effect of noise in a heterogeneous agent financial market model

C Chiarella, XZ He, M Zheng
Journal of Economic Dynamics and Control 35 (1), 148-162
2011
Dynamic oligopolies without full information and with continuously distributed time lags

C Chiarella, F Szidarovszky
Journal of Economic Behavior & Organization 54 (4), 495-511
2004
A complete Markovian stochastic volatility model in the HJM framework

C Chiarella, OK Kwon
Asia-Pacific Financial Markets 7 (4), 293-304
2000
Financial assets, debt and liquidity crises: a Keynesian approach

M Charpe, C Chiarella, P Flaschel, W Semmler
Cambridge University Press
2011
The evaluation of American compound option prices under stochastic volatility and stochastic interest rates

C Chiarella, B Kang
The Journal of Computational Finance 14 (9), 1-21
2011
Open economy macrodynamics

T Asada, C Chiarella, P Flaschel, R Franke
An Integrated Disequilibrium Approach, Heidelberg and New York: Springer
2003
The asymptotic behavior of dynamic rent-seeking games

C Chiarella, F Szidarovszky
Computers & Mathematics with Applications 43 (1), 169-178
2002
A class of Heath-Jarrow-Morton term structure models with stochastic volatility

C Chiarella, OK Kwon
School of Finance and Economics, University of Techology, Sydney
2000
The representation of American options prices under stochastic volatility and jump-diffusion dynamics

GHL Cheang, C Chiarella, A Ziogas
Quantitative Finance 13 (2), 241-253
2013
On the attractivity of a class of homogeneous dynamic economic systems

W Li, M Rychlik, F Szidarovszky, C Chiarella
Nonlinear Analysis: Theory, Methods & Applications 52 (6), 1617-1636
2003
Stock market, interest rate and output: A model and estimation for US time series data

C Chiarella, W Semmler, S Mittnik, P Zhu
Studies in Nonlinear Dynamics & Econometrics 6 (1)
2002
Detecting and modelling nonlinearity in flexible exchange rate time series

C Chiarella, M Peat, M Stevenson
Asia Pacific Journal of Management 11 (2), 159-186
1994
The evaluation of barrier option prices under stochastic volatility

C Chiarella, B Kang, GH Meyer
Computers & Mathematics with Applications 64 (6), 2034-2048
2012
Do heterogeneous beliefs diversify market risk?

C Chiarella, R Dieci, XZ He
The European Journal of Finance 17 (3), 241-258
2011
The jump component of the volatility structure of interest rate futures markets: An international comparison

C Chiarella, TD To
The Journal of Futures Markets 23 (12), 1125
2003
Structural contagion and vulnerability to unexpected liquidity shortfalls

S Giansante, C Chiarella, S Sordi, A Vercelli
Journal of Economic Behavior & Organization 83 (3), 558-569
2012
The paradox of monetary profits: an obstacle to understanding financial and economic Crisis?

C Bruun, C Heyn-Johnsen
Economics Discussion Paper
2009
Aggregation of heterogeneous beliefs and asset pricing theory: a mean-variance analysis

C Chiarella, R Dieci, X He
Quantitative Finance Research Centre Working paper
2006
Quantitative and empirical analysis of nonlinear dynamic macromodels

Emerald Group Publishing
2006
Inferring the forward looking equity risk premium from derivative prices

R Bhar, C Chiarella, WJ Runggaldier
Studies in Nonlinear Dynamics & Econometrics 8 (1)
2004
7. The macrodynamics of debt deflation

C Chiarella, P Flaschel, W Semmler
Financial Fragility and Investment in the Capitalist Economy: The Economic ...
2001
Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives

R Bhar, C Chiarella
The European Journal of Finance 6 (2), 113-125
2000
Exchange options under jump-diffusion dynamics

GHL Cheang, C Chiarella
Applied Mathematical Finance 18 (3), 245-276
2011
Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model

C Chiarella, V Fanelli, S Musti
European Journal of Operational Research 208 (2), 95-108
2011
A Modern View on Merton's Jump-Diffusion Model

GHL Cheang, C Chiarella
Research Paper
2011
A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence

C Chiarella, R Dieci, L Gardini, L Sbragia
Computational Economics 32 (1-2), 55-72
2008
The volatility of the instantaneous spot interest rate implied by arbitrage pricing—A dynamic Bayesian approach

R Bhar, C Chiarella, H Hung, WJ Runggaldier
Automatica 42 (8), 1381-1393
2006
Pricing American options under stochastic volatility

C Chiarella, A Ziogas
Computing in Economics and Finance 77
2005
High order disequilibrium growth dynamics: Theoretical aspects and numerical features

C Chiarella, P Flaschel
Journal of Economic Dynamics and control 24 (5), 935-963
2000
The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques

R Bhar, C Chiarella
Computational Approaches to Economic Problems, 113-126
1997
On filtering in Markovian term structure models: an approximation approach

C Chiarella, S Pasquali, WJ Runggaldier
Advances in Applied Probability, 794-809
2001
Stability of competitive equilibria with heterogeneous beliefs and learning

C Chiarella, XZ He
Quantitative Finance Research Centre, University of Technology, Sydney ...
2000
An integrative approach to 2D-macromodels of growth, price and inventory dynamics

C Chiarella, P Flaschel
Chaos, Solitons & Fractals 7 (12), 2105-2133
1996
The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy

C Chiarella
European Journal of Political Economy 7 (1), 65-78
1991
Markovian defaultable HJM term structure models with unspanned stochastic volatility

C Chiarella, SC Maina, C Nikitopoulos Sklibosios
Quantitative Finance Research Centre Research Paper
2010
Intertemporal investment strategies under inflation risk

C Chiarella, CY Hsiao, W Semmler
Quantitative Finance Research Centre Working Paper
2007
Towards applied disequilibrium growth theory: VI. Substitution, money-holdings, wealth-effects and further extensions

C Chiarella, P Flaschel, G Groh, C Koper, W Semmler
UTS Business Working Paper
1999
A preference free partial differential equation for the term structure of interest rates

C Chiarella, N El-Hassan
Financial Engineering and the Japanese Markets 3 (3), 217-238
1996
An evolutionary CAPM under heterogeneous beliefs

C Chiarella, R Dieci, XZ He, K Li
Annals of Finance 9 (2), 185-215
2013
Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability

C Chiarella, P Flaschel, F Hartmann, CR Proaño
Journal of Economic Behavior & Organization 83 (3), 410-423
2012
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models

C Chiarella, L Clewlow, S Musti
European journal of operational research 161 (2), 325-336
2005
Bounded continuously distributed delays in dynamic oligopolies

C Chiarella, F Szidarovszky
Chaos, Solitons & Fractals 18 (5), 977-993
2003
Fading memory learning in the Cobweb model with risk averse heterogeneous producers

C Chiarella, P Zhu, X He
University of Technology, Sydney. School of Finance and Economics
2003
Modelling the value of the S&P 500-A system dynamics perspective

C Chiarella, S Gao
University of Technology, Finance and Economics Working Paper
2002
Commerce, Complexity and Evolution

W Barnett, C Chiarella, S Keen, R Marks, H Schnabl
New York: Cambridge University Press
2000
The emergence of complex dynamics in a" naturally" nonlinear integrated Keynesian model of monetary growth

C Chiarella, P Flaschel
Commerce, Complexity, and Evolution: Topics in Economics, Finance, Marketing ...
2000
Dynamics of natural rates of growth and employment

C Chiarella, P Flaschel
Macroeconomic Dynamics 2, 345-368
1998
The interaction of the financing and investment decisions: Preliminary results in the Australian context

C Chiarella, TM Pham, AB Sim, MML Tan
Asia Pacific Journal of Management 9 (2), 209-229
1992
An example of diabetes compartment modelling

C Chiarella, AG Shannon
Mathematical Modelling 7 (9-12), 1239-1244
1986
The Elements of a Nonlinear Theory of Economic Dynamics

C Chiarella
University of New South Wales
1986
Humps in the volatility structure of the crude oil futures market: New evidence

C Chiarella, B Kang, CS Nikitopoulos, TD Tô
Energy Economics 40, 989-1000
2013
Time-varying beta: a boundedly rational equilibrium approach

C Chiarella, R Dieci, XZ He
Journal of Evolutionary Economics 23 (3), 609-639
2013
Reconstructing Keynesian Macroeconomics Volume 2: Integrated Approaches

C Chiarella, P Flaschel, W Semmler
Routledge
2013
Small traders in currency futures markets

A Röthig, C Chiarella
Journal of Futures Markets 31 (9), 898-914
2011
A Markovian defaultable term structure model with state dependent volatilities

C Chiarella, C NIKITOPOULOS SKLIBOSIOS, E Schlögl
International Journal of Theoretical and Applied Finance 10 (01), 155-202
2007
A maximum likelihood approach to estimation of Heath-Jarrow-Morton models

R Bhar, C Chiarella, TD To
Quantitative Finance Research Centre, University of Technology, Sydney ...
2002