research | publications
Articles in Refereed Journals
  • Andreou, P.C., Charalambous, C., Martzoukos., S.H., 2010. Generalized parameter functions for option pricing. Journal of Banking and Finance 34, 633-646. [pdf file] (view online)

 

  • Andreou, P.C., Charalambous, C., Martzoukos., S.H., 2008. Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters. European Journal of Operational Research 185, 1415 – 1433. [pdf file] (view online)

 

  • Andreou, P.C. and Pierides, Y., 2008. Empirical investigation of stock index futures market efficiency: The case of the Athens Derivatives Exchange. European Journal of Finance 14, 211-223. [pdf file] (view online)

 

  • Andreou, P.C., Charalambous, C., Martzoukos., S.H., 2006. Robust artificial neural networks for pricing of European options. Computational Economics 27, 329-351. [pdf file] (view online)

 

  • Andreou, P.C. and Pierides, Y., 2004. Trade opportunities for the Athens Derivatives Exchange. Journal of Derivatives & Hedge Funds (formerly Derivatives Use, Trading & Regulation) 10, 268-282.
 
Professional Magazines
  • Extensive reference to the paper “A volatility smirk that defaults: The case of the S&P 500 index options” in the article by David C. Shimko, entitled “The Search for (Useful)  Disaster Indicators”,  Risk Professional magazine of the Global Association of Risk Professionals (October 2009, pages 58-61). (view online)
 
Book Chapters in Refereed Conference Proceedings
  • Andreou, P.C., Charalambous, C., Martzoukos, S.H., 2009. European option pricing by using the support vector regression approach.  Lecture Notes in Computer Science 5769, 874-883. (view online)

  • Andreou, P.C., Charalambous, C., Martzoukos, S.H. (2002). Critical assessment of option pricing methods using artificial neural networks. Lecture Notes in Computer Science 2415, 1131-1136. (view online)
 
Articles in Refereed Conference Proceedings
  • Andreou, P.C., Charalambous, C., Martzoukos, S.H., 2004. Option pricing and trading with artificial neural networks and advanced parametric models with implied parameters. IEEE International Joint Conference on Neural Networks 4, 2741 – 2746. (view online) 
 
 
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