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Items where Author is "Constantinou, Nick"

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Number of items: 18.

Article

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. ISSN 0378-4754

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. ISSN 1465-1211

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. ISSN 0921-7126

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. ISSN 1024-123X

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. ISSN 1465-1211

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. ISSN 1055-615X

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. ISSN 0893-9659

Díaz Hernández, Adán and Constantinou, Nick (2011) 'A Multiple Regime Nonlinear Asymmetric AR(p)-GARCH(1,1) Model.' SSRN Electronic Journal. ISSN 1556-5068 (In Press)

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. ISSN 1544-6123

Book Section

Rayner, Neil and Phelps, Steve and Constantinou, Nick (2013) 'Testing Adaptive Expectations Models of a Continuous Double Auction Market against Empirical Facts.' In: Esther, David and Valentin, Robu and Onn, Shehory and Sabastian, Stein and Andreas, Symeonidis, (eds.) 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

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

Monograph

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.

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.

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

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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]]

This list was generated on Thu Aug 11 04:34:20 2022 BST.