Article

Markose, Sheri M and Peng, Yue and Alentorn, Amadeo (2012) 'Forecasting Extreme Volatility of FTSE-100 With Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices.'

Markose, Sheri and Alentorn, Amadeo (2011) 'The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing.' The Journal of Derivatives, 18 (3). pp. 35-60. ISSN 1074-1240

Markose, Sheri and Alentorn, Amadeo and Koesrindartoto, Deddy and Allen, Peter and Blythe, Phil and Grosso, Sergio (2007) 'A smart market for passenger road transport (SMPRT) congestion: An application of computational mechanism design.' Journal of Economic Dynamics and Control, 31 (6). pp. 2001-2032. ISSN 0165-1889

Monograph

Markose, Sheri M and Alentorn, Amadeo (2005) The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing. Working Paper. University of Essex Department of Economics Discussion Papers.

["eprint_typename_scholarly-edition" not defined]

Markose, Sheri M and Alentorn, Amadeo and Millard, Stephen and Yang, Jing (2011) Designing large value payment systems: An agent-based approach. [["eprint_typename_scholarly-edition" not defined]]

Markose, Sheri M and Alentorn, Amadeo and Koesrindartoto, Deddy and Allen, Peter and Blythe, Phil and Grosso, Sergio (2007) A smart market for passenger road transport (SMPRT) congestion: an application of computational mechanism design. [["eprint_typename_scholarly-edition" not defined]]

Alentorn, Amadeo and Markose, Sheri M (2006) Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics. [["eprint_typename_scholarly-edition" not defined]]

Markose, Sheri M and Alentorn, Amadeo and Krause, Andreas (2004) Dynamic Learning, Herding and Guru Effects in Networks. [["eprint_typename_scholarly-edition" not defined]]

Yang, Jing and Markose, Sheri and Alentorn, Amadeo Designing large value payment systems: an agent based approach. [["eprint_typename_scholarly-edition" not defined]]

Markose, Sheri and Alentorn, Amadeo Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution. [["eprint_typename_scholarly-edition" not defined]]