Professor Carl Chiarella
Position Held
Professor of Finance, School of Finance and Economics, University of Technology, Sydney (since 1989)
Principal Professional Memberships
Member, Asia Pacific Finance Association Board (former
President)
Member, Scientific Programme Committee of Annual Meeting
of Society for Computational Economics, Eighth Viennese
Workshop on Dynamic Economic Models and Optimal Control,
Forecasting Financial Market Conference and Quantitative
Finance Methods Conference
Previous Employment
1986-89, Senior Lecturer then Associate Professor (from
mid-1988), School of Banking and Finance, University of
New South Wales
1971-86, Lecturer then Senior Lecturer (from 1979) in
the School of Mathematical Sciences, The University of Technology,
Sydney
1969-71, Research Fellow at the Institut Universitaire
de Calcul Automatique, Université de Nancy, France
1966-69, Teaching Fellow in Mathematics, Wollongong College
of The University of New South Wales
Graduate Students
PhD (5), Honours/Masters (13)
Research Interests
Empirical testing of option pricing models, pricing interest rate derivative securities, heterogenous agent models of asset price movements, computational finance.
Recent Research Grants
“The Implementation of Optimal Investment Decision
Strategies in Finance”, Large ARC, 2004-06, $150,000
“A New Paradigm of Financial Market Behaviour”,
with X. He, Large ARC, 2004-06, $260,000
“Dynamic Evolution of the Term Structure of Interest
Rates”, with R. Bhar, Large ARC, 2001-03, $141,760
“Pricing Interest Rate Exotic Derivatives in a Multi-factor
Framework”, with N. El-Hassan, Large ARC, 2001-03,
$81,900
“The Time Variation of Beta Coefficients Implied
by Prices of Derivative Securities”, with R. Bhar,
Large ARC, 2000-02, $137,500
“Heterogeneity of Expectations in Dynamic Models
of Financial Markets and the Macro-economy”, Large
ARC, 1998-2000, $145,000
“Analysis of Dynamic Regimes of Monetary Policy”,
Large ARC, 1993-94, $82,000
“Empirical Study of the Pricing of Interest Rate
Derivative Securities in Australia”, with T. Pham
and A.B. Sim, 1992-94, $90,000
“The Term Structure of Interest Rates in Australia”,
with T. Pham, Large ARC, 1990, $36,000
Professional Activities
Co-editor of Journal of Economic Dynamics and Control. Associate editor for Journal of Economic Behaviour and organisation; European Journal of Finance; Quantitative Finance; Asia-Pacific Financial Markets; Computational Economics; Macroeconomic Dynamics; Studies in Nonlinear Dynamics and Econometrics.
Selected Publications
- C. Chiarella and A. Ziogas, “Evaluation of American Strangles”, Journal of Economic Dynamics and Control, forthcoming 2004.
- V. Böhm and C. Chiarella, “Mean-Variance Preferences, Expectations Formation and the Dynamics of Random Asset Prices”, Mathematical Finance, forthcoming 2004.
- C. Chiarella, L. Clewlow and S. Musti, “A Volatility Decomposition Control Variate Technique for Monte Carlo Simulations of Heath Jarrow Morton Models”, European Journal of Operations Research, forthcoming 2003.
- C. Chiarella and X. He, “Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model with a Market Maker”, Macroeconomic Dynamics, 7 (4), 503 – 536, 2003.
- C. Chiarella and O.K. Kwon, “Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields”, Review of Derivatives Research, 6 (2), 129 – 155, 2003.
- C. Chiarella and G. Iori, “A Simulation Analysis of the Microstructure of Double Auction Markets”, Quantitative Finance, 2(5), 346-353, 2002.
- C. Chiarella, R. Dieci and L. Gardini, “Speculative Behaviour and Complex Asset Price Dynamics”, Journal of Economic Behaviour and organisation, 49(2), 173-197, 2002.
- C. Chiarella, S. Pasquali and W. J. Runggaldier, “On Filtering in Markovian Term Structure Models (an Approximation approach)”, Advances in Applied Probability, 33(4), 794-809, 2001.
- C. Chiarella and O. K. Kwon, “Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model”, Finance and Stochastics, 5(2), 237-257, 2001.
- R. Bhar and C. Chiarella, “Expectations of Monetary Policy in Australia Implied by the Probability Distribution of Interest Rate Derivatives”, European Journal of Finance, 6, 113-125, 2000.
- C. Chiarella, N. El-Hassan and A. Kucera, “Evaluation of American Option Prices in a Path Integral Framework Using Fourier-Hermite Series Expansions”, Journal of Economic Dynamics and Control, 23, 1387-1424, 1999.