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- Carl Chiarella
- Annals OR
- 1992

- Toichiro Asada, Carl Chiarella, Peter Flaschel, Christian R. Proaño, Willi Semmler
- 2009

In the last months, the world’s economies were confronted with the largest economic recession since the Great Depression. The occurrence of a worldwide financial market meltdown as a consequence originally stemming from of the crisis in the US subprime housing sector was only prevented by extraordinary monetary and fiscal policy measures implemented at the… (More)

- CARL CHIARELLA
- 2001

In order to characterize asset price and wealth dynamics arising from the interaction of heterogeneous agents with CRRA utility, a discrete time stationary model in terms of return and wealth proportions (among different types of agents) is established. When fundamentalists and chartists are the main heterogeneous agents in the model, it is found that in… (More)

- CARL CHIARELLA, KANG KWON
- 1999

Although the HJM term structure model is widely accepted as the most general, and perhaps the most consistent, framework under which to study interest rate derivatives, the earlier models of Vasicek, Cox-Ingersoll-Ross, HullWhite, and Black-Karasinski remain popular among both academics and practitioners. It is often stated that these models are special… (More)

- Alan Kirman, Cars Hommes, +92 authors Remco Zwinkels
- 2013

Recognizing that the economy is a complex system with boundedly rational interacting agents, the book presents a theory of behavioral rationality and heterogeneous expectations in complex economic systems and confronts the nonlinear dynamic models with empirical stylized facts and laboratory experiments. The complexity modeling paradigm has been strongly… (More)

- Carl Chiarella, Oh Kang Kwon
- Finance and Stochastics
- 2001

In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill [Car94], Ritchken and… (More)

- CARL CHIARELLA
- 2002

This paper develops an adaptive model on asset pricing and wealth dynamic of a financial market with heterogeneous agents and examines the profitability of momentum and contrarian trading strategies. In order to characterize asset price, wealth dynamics and rational adaptiveness arising from the interaction of heterogeneous agents with CRRA utility, an… (More)

This paper presents an extension of McKean’s (1965) incomplete Fourier transform method to solve the two-factor partial differential equation for the price and early exercise surface of an American call option, in the case where the volatility of the underlying evolves randomly. The Heston (1993) square-root process is used for the volatility dynamics. The… (More)

- Ramaprasad Bhar, Carl Chiarella, Hing Hung, Wolfgang J. Runggaldier
- Automatica
- 2006

This paper considers the estimation of the volatility of the instantaneous short interest rate from a new perspective. Rather than using discretely compounded market rates as a proxy for the instantaneous short rate of interest, we derive a relationship between observed LIBOR rates and certain unobserved instantaneous forward rates. We determine the… (More)

In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. The model developed here extends the earlier one of Chiarella and Iori (2002) in several important aspects, in particular agents have heterogenous time horizons and can submit orders of sizes larger… (More)