PUBLISHED PAPERS

2008

Amadeo Alentorn; Sheri Markose; 2008 "Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)" Book Chapter: Computational methods in Financial Engineering, Springer Berlin Heidelberg.link

Markose, Sheri; Alentorn, Amadeo; Koesrindartoto, Deddy; Allen, Peter; Blythe, Phil; Grosso, Sergio, 2007. "A smart market for passenger road transport (SMPRT) congestion: An application of computational mechanism design," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2001-2032, June.link
Nier, Erlend; Yang, Jing; Yorulmazer, Tanju; Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2033-2060, June. link

Erlend Nier; Jing Yang; Tanju Yorulmazer; Amadeo Alentorn, 2008. Network models and financial stability Working Paper No.346, Bank of England

Sheri Markose; Amadeo Alentorn; Deddy Koesrindartoto; Peter Allen; Phil Blythe; Sergio Grosso, 2007. A smart market for passenger road transport(SMPRT) congestion:an application of computational mechanism design Economics Discussion Papers 630, University of Essex, Department of Economics.
Sheri Markose; Amadeo Alentorn, 2007. Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) Working Papers Series, Centre for Computational Finance and Economic Agents, University of Essex.

Amadeo Alentorn; Sheri Markose, 2006. Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics Economics Discussion Papers 609, University of Essex, Department of Economics.

Sheri Markose; Amadeo Alentorn, 2005. Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution Computing in Economics and Finance 2005 397, Society for Computational Economics.
Jing Yang; Sheri Markose; Amadeo Alentorn, 2005. "Designing large value payment systems: an agent based approach," Computing in Economics and Finance 2005 396, Society for Computational Economics.
Sheri Markose; Amadeo Alentorn, 2005. The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing Economics Discussion Papers 594, University of Essex, Department of Economics.

Amadeo Alentorn, 2004. Modelling the implied volatility surface: an empirical study for FTSE options More info link
Sheri Markose; Amadeo Alentorn; Andreas Krause, 2004 Dynamic Learning, Hearding and Guru Effects in Networks Economics Discussion Papers 582, University of Essex, Department of Economics.

Empirical Scaling Laws for Economic-VaR Capital Markets, Corporate Finance, Money and Banking.link December, 2005 Cass Business Shool, London.
Extreme Economic Value at Risk (EE-VaR) International conference for the management of risk factors. 1-3 September, 2005 Viterbo, Italy.
11th International Conference on Computing in Economics and Finance. CCEF 2005 June 2005, Washington.
Designing Large Value Payment Systems: An Agent-based approach Discussion 10th Annual Workshop on Economic Heterogeneous Interaction Agents WEHIA2005 June 2005, University of Essex
Option Pricing and Implied Tail Indices under the Generalised Extreme Value (GEV) Distribution Discussion 2005 Financial Management Association European Doctoral Student Semina. Siena, Italy.
Designing Large Value Payment Systems: an Agent-based approach Expert Forum:Payment System Architecture and Oversight. 31 January - 2 February, 2005. Bank of England, London.