Items where Author is "Kyriakou, I."
Article
Muganda, B., Kyriakou, I. ORCID: 0000-0001-9592-596X & Shibwabo Kasamani, B. (2023).
Modelling asymmetric dependence in stochastic volatility and option pricing: A conditional copula approach.
Scientific African, 21,
e01765.
doi: 10.1016/j.sciaf.2023.e01765
Wei, M., Kyriakou, I. ORCID: 0000-0001-9592-596X, Sermpinis, G. & Stasinakis, C. (2023).
Cryptocurrencies and Lucky Factors: The value of technical and fundamental analysis.
International Journal of Finance and Economics,
doi: 10.1002/ijfe.2863
Kyriakou, I. ORCID: 0000-0001-9592-596X, Brignone, R. & Fusai, G.
ORCID: 0000-0001-9215-2586 (2023).
Unified moment-based modelling of integrated stochastic processes.
Operations Research,
doi: 10.1287/opre.2022.2422
Pilbeam, K. ORCID: 0000-0002-5609-8620, Beckmann, J., Kyriakou, I.
ORCID: 0000-0001-9592-596X & Liu, J. (2022).
Celebrating the 27th anniversary of International Journal of Finance and Economics and shaping the future.
International Journal of Finance and Economics, 28(1),
pp. 5-8.
doi: 10.1002/ijfe.2743
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Kyriakou, I.
ORCID: 0000-0001-9592-596X, Nielsen, J. P.
ORCID: 0000-0001-6874-1268 & Vodička, P. (2022).
On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging.
European Journal of Operational Research,
doi: 10.1016/j.ejor.2022.10.003
Zhao, J., Dong, K., Dong, X. , Shahbaz, M. & Kyriakou, I. ORCID: 0000-0001-9592-596X (2022).
Is green growth affected by financial risks? New global evidence from asymmetric and heterogeneous analysis.
Energy Economics, 113,
106234.
doi: 10.1016/j.eneco.2022.106234
Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I.
ORCID: 0000-0001-9592-596X, Santoni, S.
ORCID: 0000-0002-5928-3901 , Scognamiglio, S. & Zhu, R.
ORCID: 0000-0002-9944-0369 (2022).
Robust Classification via Support Vector Machines.
Risks, 10(8),
154.
doi: 10.3390/risks10080154
Kyriakou, I. ORCID: 0000-0001-9592-596X & Tsanakas, A.
ORCID: 0000-0003-4552-5532 (2022).
Efficient evaluation of alternative reinsurance strategies using control variates.
European Actuarial Journal, 12,
pp. 425-431.
doi: 10.1007/s13385-022-00304-6
Das, M. K., Tsai, H., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G.
ORCID: 0000-0001-9215-2586 (2022).
Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions.
Operations Research, 70(4),
pp. 1984-1995.
doi: 10.1287/opre.2021.2257
Gomez-Valle, L., Kyriakou, I. ORCID: 0000-0001-9592-596X, Martinez-Rodriguez, J. & Nomikos, N.
ORCID: 0000-0003-1621-2991 (2021).
Estimating risk-neutral freight rate dynamics: A nonparametric approach.
The Journal of Futures Markets, 41(11),
pp. 1824-1842.
doi: 10.1002/fut.22244
Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P.
ORCID: 0000-0002-2798-0817 & Scholz, M. (2021).
Short-term exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons.
Mathematics, 9(6),
620.
doi: 10.3390/math9060620
Brignone, R., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G.
ORCID: 0000-0001-9215-2586 (2020).
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models.
Insurance: Mathematics and Economics, 96,
pp. 232-247.
Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P.
ORCID: 0000-0002-2798-0817 & Scholz, M. (2020).
Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case.
Mathematics, 8(6),
927.
doi: 10.3390/math8060927
Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I.
ORCID: 0000-0001-9592-596X & Di Iorio, F. (2020).
Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models.
Energy Economics, 88,
104757.
doi: 10.1016/j.eneco.2020.104757
Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X, Tamvakis, M.
ORCID: 0000-0002-5056-0159 & Di Iorio, F. (2020).
Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models.
Energy Economics, 88,
104757.
doi: 10.1016/j.eneco.2020.104757
Ballotta, L. ORCID: 0000-0002-2059-6281, Fusai, G.
ORCID: 0000-0001-9215-2586, Kyriakou, I.
ORCID: 0000-0001-9592-596X , Papapostolou, N. C.
ORCID: 0000-0003-4529-1182 & Pouliasis, P. K.
ORCID: 0000-0002-7389-3722 (2020).
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts.
Tourism Management, 77,
104011.
doi: 10.1016/j.tourman.2019.104011
Gambaro, A. M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Fusai, G.
ORCID: 0000-0001-9215-2586 (2020).
General lattice methods for arithmetic Asian options.
European Journal of Operational Research, 282(3),
pp. 1185-1199.
doi: 10.1016/j.ejor.2019.10.026
Asimit, V. ORCID: 0000-0002-7706-0066, Kyriakou, I.
ORCID: 0000-0001-9592-596X & Nielsen, J. P.
ORCID: 0000-0002-2798-0817 (2020).
Special Issue “Machine Learning in Insurance”.
Risks, 8(2),
54.
doi: 10.3390/risks8020054
Kyriakou, I. ORCID: 0000-0001-9592-596X, Pantelous, A. A., Sermpinis, G. & Zenios, S. A. (2019).
Preface: application of operations research to financial markets.
Annals of Operations Research,
doi: 10.1007/s10479-019-03400-1
Cuthbertson, K., Kyriakou, I. ORCID: 0000-0001-9592-596X, Sermpinis, G. & Pantelous, A. A. (2019).
Special issue of the International Journal of Finance and Economics innovations in finance, economics, risk management, and policy.
International Journal of Finance & Economics,
doi: 10.1002/ijfe.1738
Kyriakou, I. ORCID: 0000-0001-9592-596X, Mousavi, P., Nielsen, J. P. & Scholz, M. (2019).
Forecasting benchmarks of long-term stock returns via machine learning.
Annals of Operations Research,
doi: 10.1007/s10479-019-03338-4
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I.
ORCID: 0000-0001-9592-596X & Nielsen, J. P.
ORCID: 0000-0002-2798-0817 (2019).
Communication and personal selection of pension saver's financial risk.
European Journal of Operational Research, 274(3),
pp. 1102-1111.
doi: 10.1016/j.ejor.2018.10.038
Corsaro, S., Kyriakou, I. ORCID: 0000-0001-9592-596X, Marazzina, D. & Marino, Z. (2019).
A general framework for pricing Asian options under stochastic volatility on parallel architectures.
European Journal of Operational Research, 272(3),
pp. 1082-1095.
doi: 10.1016/j.ejor.2018.07.017
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I.
ORCID: 0000-0001-9592-596X & Nielsen, J. P.
ORCID: 0000-0002-2798-0817 (2018).
Self-selection and risk sharing in a modern world of lifelong annuities - Abstract of the London Discussion.
British Actuarial Journal, 23(e29),
doi: 10.1017/S1357321718000272
Pouliasis, P. K. ORCID: 0000-0002-7389-3722, Papapostolou, N. C.
ORCID: 0000-0003-4529-1182, Kyriakou, I.
ORCID: 0000-0001-9592-596X & Visvikis, I.D. (2018).
Shipping equity risk behavior and portfolio management.
Transportation Research Part A: Policy and Practice, 116,
pp. 178-200.
Gerrard, R. J. G. ORCID: 0000-0002-8932-8752, Hiabu, M., Kyriakou, I.
ORCID: 0000-0001-9592-596X & Nielsen, J. P.
ORCID: 0000-0002-2798-0817 (2018).
Self-selection and risk sharing in a modern world of life-long annuities.
British Actuarial Journal, 23,
doi: 10.1017/s135732171800020x
Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. & Andriosopoulos, K. (2017). Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps. Transportation Research Part E: Logistics and Transportation Review, 108, pp. 80-96. doi: 10.1016/j.tre.2017.09.002
Kyriakou, I., Pouliasis, P. K., Papapostolou, N. C. & Nomikos, N. ORCID: 0000-0003-1621-2991 (2017).
Income Uncertainty and the Decision to Invest in Bulk Shipping.
European Financial Management,
doi: 10.1111/eufm.12132
Ballotta, L., Gerrard, R. J. G. & Kyriakou, I. (2017). Hedging of Asian options under exponential Lévy models: computation and performance. The European Journal of Finance, 23(4), pp. 297-323. doi: 10.1080/1351847X.2015.1066694
Papapostolou, N. C., Pouliasis, P. K. & Kyriakou, I. (2017). Herd behavior in the drybulk market: An empirical analysis of the decision to invest in new and retire existing fleet capacity. Transportation Research Part E: Logistics and Transportation Review, 104, pp. 36-51. doi: 10.1016/j.tre.2017.05.007
Pouliasis, P. K., Kyriakou, I. & Papapostolou, N. C. (2017). On equity risk prediction and tail spillovers. International Journal of Finance and Economics, 22(4), pp. 379-393. doi: 10.1002/ijfe.1594
Papapostolou, N. C., Pouliasis, P. K., Nomikos, N. ORCID: 0000-0003-1621-2991 & Kyriakou, I. (2016).
Shipping Investor Sentiment and International Stock Return Predictability.
Transportation Research Part E: Logistics and Transportation Review, 96,
pp. 81-94.
doi: 10.1016/j.tre.2016.10.006
Kyriakou, I., Pouliasis, P. K. & Papapostolou, N. C. (2016). Jumps and stochastic volatility in crude oil prices and advances in average option pricing. Quantitative Finance, doi: 10.1080/14697688.2016.1211798
Kyriakou, I., Nomikos, N. ORCID: 0000-0003-1621-2991, Pouliasis, P. K. & Papapostolou, N. C. (2016).
Affine-Structure Models and the Pricing of Energy Commodity Derivatives.
European Financial Management, 22(5),
pp. 853-881.
doi: 10.1111/eufm.12071
Fusai, G. & Kyriakou, I. (2016). General optimized lower and upper bounds for discrete and continuous arithmetic Asian options. Mathematics of Operations Research, 41(2), pp. 531-559. doi: 10.1287/moor.2015.0739
Papapostolou, N. C., Nomikos, N. ORCID: 0000-0003-1621-2991, Pouliasis, P. K. & Kyriakou, I. (2014).
Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market*.
Review of Finance, 18(4),
pp. 1507-1539.
doi: 10.1093/rof/rft037
Ballotta, L. & Kyriakou, I. (2014). Convertible bond valuation in a jump diffusion setting with stochastic interest rates. Quantitative Finance, doi: 10.1080/14697688.2014.935464
Ballotta, L. & Kyriakou, I. (2014). Monte carlo simulation of the CGMY process and option pricing. Journal of Futures Markets, doi: 10.1002/fut.21647
Nomikos, N. ORCID: 0000-0003-1621-2991, Kyriakou, I., Papapostolou, N. C. & Pouliasis, P. K. (2013).
Freight options: Price modelling and empirical analysis.
Transportation Research Part E: Logistics and Transportation Review, 51(May),
pp. 82-94.
doi: 10.1016/j.tre.2012.12.001
Černý, A. & Kyriakou, I. (2010). An improved convolution algorithm for discretely sampled Asian options. Quantitative Finance, 11(3), pp. 381-389. doi: 10.1080/14697680903397667
Report
Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I.
ORCID: 0000-0001-9592-596X & Di Iorio, F. (2020).
Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models.
Denver, Colorado: J.P. Morgan Center for Commodities, University of Colorado at Denver.
Thesis
Kyriakou, I. ORCID: 0000-0001-9592-596X (2010).
Efficient valuation of exotic derivatives with path-dependence and early exercise features.
(Unpublished Doctoral thesis, City University London)
Working Paper
Fusai, G., Kyriakou, I. ORCID: 0000-0001-9592-596X & Castiglioni, M.
Component replacement under uncertainty – a switching option perspective.
.