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Items where Author is "Constantinou, Nick"

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Number of items: 18.

Wang, Hengxu and O'Hara, John G and Constantinou, Nick (2015) A path-independent approach to integrated variance under the CEV model. Mathematics and Computers in Simulation, 109. pp. 130-152. DOI https://doi.org/10.1016/j.matcom.2014.09.004

Castellanos, Jenny and Constantinou, Nick and Ng, Wing Lon (2015) The signalling properties of the shape of the credit default swap term structure. Journal of Risk, 17 (4). pp. 71-99.

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2014) Learning is neither sufficient nor necessary: An agent-based model of long memory in financial markets. AI Communications, 27 (4). pp. 437-452. DOI https://doi.org/10.3233/aic-140608

Ibrahim, Siti Nur Iqmal and O'Hara, John G and Constantinou, Nick (2014) Pricing Extendible Options Using the Fast Fourier Transform. Mathematical Problems in Engineering, 2014. pp. 1-7. DOI https://doi.org/10.1155/2014/831470

Marzano, Michele and Dunn, Gary and Constantinou, Nick (2014) The relationship between credit default swap spreads and equity prices. Journal of Risk, 17 (1). pp. 3-28.

Giampaoli, Iacopo and Ng, Wing Lon and Constantinou, Nick (2013) PERIODICITIES OF FOREIGN EXCHANGE MARKETS AND THE DIRECTIONAL CHANGE POWER LAW. Intelligent Systems in Accounting, Finance and Management, 20 (3). pp. 189-206. DOI https://doi.org/10.1002/isaf.1343

Ibrahim, Siti Nur Iqmal and O’Hara, John G and Constantinou, Nick (2013) Risk-neutral valuation of power barrier options. Applied Mathematics Letters, 26 (6). pp. 595-600. DOI https://doi.org/10.1016/j.aml.2012.12.016

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2013) Testing Adaptive Expectations Models of a Continuous Double Auction Market against Empirical Facts. In: Agent-Mediated Electronic Commerce. Designing Trading Strategies and Mechanisms for Electronic Markets. Lecture Notes in Business Information Processsing (119). Springer, Berlin, pp. 44-56. ISBN 9783642348884. Official URL: http://dx.doi.org/10.1007/978-3-642-34889-1_4

Khuman, Anil and Phelps, Steve and Constantinou, Nick (2012) Constant Proportion Portfolio Insurance Strategies under Cumulative Prospect Theory with Reference Point Adaptation. Working Paper. EBS Working Papers, Colchester.

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2012) Learning is neither sufficient nor necessary. In: Proceedings of the 13th International Conference on Electronic Commerce - ICEC '11. Association for Computing Machinery (ACM), New York, pp. 1-10. ISBN 9781450314282. Official URL: http://dx.doi.org/10.1145/2378104.2378134

Díaz Hernández, Adán and Constantinou, Nick (2011) A Multiple Regime Nonlinear Asymmetric AR(p)-GARCH(1,1) Model. SSRN Electronic Journal. DOI https://doi.org/10.2139/ssrn.1716809 (In Press)

Constantinou, Nick and Utrilla, Jose Molina (2010) Could the subprime crisis have been predicted? A mortgage risk modeling approach. Working Paper. EBS Working Papers, Colchester.

Constantinou, Nick and Giampaoli, Iacopo and Ng, Wing Lon (2010) Periodicities of FX Markets in Intrinsic Time. Working Paper. EBS Working Papers, Colchester.

Constantinou, Nick and Hernandez, Adán Díaz (2010) A multiple regime nonlinear asymmetric AR(p)-GARCH(1,1) model. Working Paper. EBS Working Papers, University of Essex, Colchester.

Giampaoli, Iacopo and Ng, Wing Lon and Constantinou, Nick (2009) Analysis of ultra-high-frequency financial data using advanced Fourier transforms. Finance Research Letters, 6 (1). pp. 47-53. DOI https://doi.org/10.1016/j.frl.2008.11.002

Constantinou, Nick and Khuman, Anil (2009) How does CPPI perform against the simplest guarantee strategies? Working Paper. Finance Discussion Papers, Colchester.

Takeyama, Azusa and Constantinou, Nick and Vinogradov, Dmitri Credit Risk Contagion and the Global Financial Crisis. [["eprint_typename_scholarly-edition" not defined]]

Takeyama, Azusa and Constantinou, Nick and Vinogradov, Dmitri A Framework for Extracting the Probability of Default from Stock Option Prices. [["eprint_typename_scholarly-edition" not defined]]

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