| Time consistent dynamic risk measures K Boda, JA Filar Mathematical Methods of Operations Research 63 (1), 169-186, 2006 | 297 | 2006 |
| Stochastic target hitting time and the problem of early retirement K Boda, JA Filar, Y Lin, L Spanjers IEEE Transactions on Automatic Control 49 (3), 409-419, 2004 | 193 | 2004 |
| 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 | 100 | 2009 |
| The Evaluation Of Barrier Option Prices Under Stochastic Volatility C Chiarella, B Kang, GH Meyer Research Paper Series, 2010 | 70 | 2010 |
| The return–volatility relation in commodity futures markets C Chiarella, B Kang, CS Nikitopoulos, TD Tô Journal of Futures Markets 36 (2), 127-152, 2016 | 65 | 2016 |
| Economic determinants of oil futures volatility: A term structure perspective B Kang, CS Nikitopoulos, M Prokopczuk Energy Economics 88, 104743, 2020 | 42 | 2020 |
| 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 | 41 | 2013 |
| The evaluation of American compound option prices under stochastic volatility and stochastic interest rates C Chiarella, B Kang Journal of Computational Finance, 2013 | 40 | 2013 |
| Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates B Kang, J Ziveyi Insurance: Mathematics and Economics 79, 43-56, 2018 | 33 | 2018 |
| Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method B Kang, Y Shen, D Zhu, J Ziveyi Insurance: Mathematics and Economics 105, 96-127, 2022 | 17 | 2022 |
| A comparative study on time-efficient methods to price compound options in the Heston model C Chiarella, S Griebsch, B Kang Computers & Mathematics with Applications 67 (6), 1254-1270, 2014 | 16* | 2014 |
| The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches C Chiarella, B Kang, GH Meyer World Scientific, 2014 | 13 | 2014 |
| Modelling and estimating the forward price curve in the energy market C Chiarella, L Clewlow, B Kang Quantitative Finance Research Centre, University of Technology Sydney …, 2009 | 13 | 2009 |
| A numerical solution of optimal portfolio selection problem with general utility functions G Ma, SP Zhu, B Kang Computational Economics 55, 957-981, 2020 | 9 | 2020 |
| Particle filters for Markov-switching stochastic volatility models Y Bao, C Chiarella, B Kang The Oxford Handbook of Computational Economics and Finance, 249-266, 2018 | 9 | 2018 |
| The evaluation of multiple year gas sales agreement with regime switching C Chiarella, L Clewlow, B Kang International Journal of Theoretical and Applied Finance 19 (01), 1650005, 2016 | 9* | 2016 |
| Pricing an American call under stochastic volatility and interest rates B Kang, GH Meyer Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of …, 2014 | 8 | 2014 |
| The evaluation of gas swing contracts with regime switching C Chiarella, L Clewlow, B Kang Topics in Numerical Methods for Finance, 155-176, 2012 | 7 | 2012 |
| Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation W Dong, B Kang Energy economics 79, 76-96, 2019 | 5 | 2019 |
| Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units B Dong, W, Kang Quantitative Finance, 2020 | 3* | 2020 |
Carl ChiarellaProfessor of Quantitative FinanceVerified email at uts.edu.au
