Research

INDICATIVE LIST OF PUBLICATIONS 

 

Kavussanos Manolis, Professor, Director of the ISFM Lab

Refereed Publications in International Scientific Journals:

  1. Alexandridis, G, Kavussanos, M.G., Kim, C.Y., Tsouknidis, D.A. and Visvikis, I.D. (2018), A Survey of Shipping Finance Research: Setting the Future Research Agenda, Transportation Research Part E: Logistics and Transportation Review, Vol. 115, pp. 164-212.
  2. Kavussanos, M.G. and Tsouknidis, D. (2016), ‘Default risk drivers in shipping bank loans’, Transportation Research Part E, Vol. 94, pp. 71-94.
  3. Kavussanos, M.G. and Tsouknidis, D. (2014), ‘The determinants of credit spread changes in global shipping bonds’, Transportation Research Part E, Vol. 70. pp. 55-75.
  4. Kavussanos, M.G., Visvikis, I.D. and Dimitrakopoulos, D. (2014), ‘Economic Spillovers between related derivatives markets: The case of commodity and freight markets’, Transportation Research Part E, Vol. 68, pp. 79-102. 
  5. Kavussanos, M.G. and Dimitrakopoulos, D. (2011), ‘Market Risk Model Selection and Medium-Term Risk with limited data: Application to Ocean Tanker Freight Markets’, International Review of Financial Analysis, 20, pp. 258-268.
  6. Kavussanos, M.G. and Visvikis, I. (2011), “The Predictability of Non-Overlapping Forecasts: Evidence from a New Market,” Multinational Finance Journal, Vol. 15, No 1&2, pp. 125-156. 
  7. Dimitrakopoulos, D., Kavussanos, M.G. and Spyrou S. (2010), ‘Value at Risk Models for Volatile Emerging Markets Equity Portfolios’, The Quarterly Review of Economics and Finance, 50(4), pp. 515-526.
  8. Kavussanos, M.G., Visvikis, I., and Dimitrakopoulos, D. (2010), ‘Information linkages between panamax freight derivatives and commodity derivative markets’, Maritime Economics and Logistics, Vol. 12 (1), pp. 91-110.
  9. Kavussanos, M.G., P. Alexakis and I. Visvikis (2008), ‘The lead-lag relationship between cash and stock index futures in a New Market’, European Financial Management, Vol. 14(5), pp. 1007-1025.
  10. Kavussanos, M.G. and Visvikis, I., (2008), ‘Hedging effectiveness of the Athens Stock Exchange futures index contracts’, The European Journal of Finance, Vol. 14, No 3 , pp. 243-270.
  11. Kavussanos, M.G. and Visvikis, I. (2006), ‘Shipping Freight Derivatives: A survey of recent evidence’, Maritime Policy and Management, Vol. 33, No 3, pp. 233-255.
  12. Kavussanos, M.G., D. Menachof and I. Visvikis (2004), ‘The unbiasdness hypothesis in the freight forward market: evidence from cointegration tests’, Review of Derivatives Research, 7, pp. 241-266. 
  13. Kavussanos, M.G., R. Batchelor and I. Visvikis (2004), ‘Over the Counter Forward Contracts and Spot Price Volatility in Shipping’, Transportation Research, Part E, 40(2004), pp. 273-296.
  14. Kavussanos, M.G. and I. Visvikis (2004), ‘Market Interaction in returns and volatilities between spot and forward shipping freight markets’, Journal of Banking and Finance, 28, pp. 2015-2049.
  15. Alizadeh, Α., Kavussanos, M.G. και D. Menachof (2004), 'Hedging against bunker price fluctuations using petroleum futures contracts; constant vs time varying hedge ratios', Applied Economics, 36, pp. 1337-1353.
  16. Kavussanos, M.G. and N. Nomikos (2003), ‘Price discovery, causality and forecasting in the freight futures market’, Review of Derivatives Research, 6, pp. 203-230.
  17. Kavussanos, M.G. (2003) ‘Time varying risks among segments of the tanker freight markets’, Maritime Economics and Logistics, Vol. V, No 3, pp. 227-250.
  18. Kavussanos, M.G., A. Juell-Skielse and M. Forrest (2003), ‘International Comparison of Market Risks across Shipping Related Industries’, Maritime Policy and Management, Vol. 30, No 2, p.107-122. (Also in eds McConville J., Morvillo A. and Leggate H., ‘International Maritime Transport Perspectives’, Chapter 4, pp. 28-47, Routlege, 2005).
  19. Kavussanos, M.G. and A. Alizadeh (2002), ‘The Expectations Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets; An EGARCH-M Approach’, Journal of Transport Economics and Policy, Vol. 36, Part 2, pp. 267-304.
  20. Kavussanos, M.G., Arkoulis, A. and Marcoulis, S. (2002), ‘Macroeconomic factors and international industry returns’, Applied Financial Economics, 12, pp. 923-931.
  21. Kavussanos, M.G. and A. Alizadeh (2002), 'Efficient Pricing of Ships in the Dry Bulk Sector of the Shipping Industry', Maritime Policy and Management, , Vol. 29, No 3, pp. 303 - 330.
  22. Kavussanos, M.G. and A. Alizadeh (2002), ‘Seasonality patterns in tanker shipping freight markets’, Economic Modelling, Vol. 19, Issue 5, pp. 747–782.
  23. Kavussanos, M.G. and E. Dockery (2001), ‘A Multivariate test for stock market efficiency: The case of ASE’, Applied Financial Economics, Vol. 11, No 5, pp. 573-579. 
  24. Kavussanos, M.G. and A. Alizadeh (2001), ‘Seasonality patterns in dry bulk shipping spot and time-charter freight rates’ Transportation Research Part E, Logistics and Transportation Review, Vol. 37, No 6, pp. 443-467.

Books and Monographs:

  1. Kavussanos, M. Επιμέλεια του Kavussanos, M.G. and Visvikis, I., “Το Διεθνές Εγχειρίδιο Ναυτιλιακής Χρηματοοικονομικής: Θεωρία και Πρακτική - The International Handbook of Shipping Finance: Theory and Practice”, Broken Hill Publishers, 2018, 560 pages. 
  2. Kavussanos, M.G. and Visvikis, I., “The International Handbook of Shipping Finance: Theory and Practice”, Palgrave MacMillan, 2016, 430 pages - http://www.palgrave.com/gp/book/9781137465450#aboutAuthors
  3. Kavussanos, M.G. and Visvikis, I., “Theory and Practice of Shipping Freight Derivatives”, Risk Books, Incisive Financial Publishing, London, 2011, 257 pages. https://riskbooks.com/theory-and-practice-of-shipping-freight-derivatives-3
  4. Kavussanos, M.G. and Visvikis, I., “Derivatives in Freight Markets”, Lloyd’s Maritime Information Services publications, A Lloyd’s MIU Publication, Informa Business, London, 2007, 58 pages. 
  5. Kavussanos, M.G. and Visvikis, I., ‘Capital markets and the shipping industry’, Lloyd’s Maritime Information Services publications, A Lloyd’s MIU Publication, Informa Business, London, 2007, 55 pages.
  6. Kavussanos, M.G. and Visvikis, I., ‘Derivatives and Risk Management in Shipping’, Witherbys-Seamanship Publishing, London, UK, 2006, 392 pages.  
  7. Kavussanos, M.G., ‘Advanced Quantitative Analysis’, Hellenic Open University publications, Patra, 2005, 272 pages. 
  8. Kavussanos, M.G. and D. Giamouridis, ‘Economic and Business Modelling’, Hellenic Open University publications, Patra, 2005, 214 pages.
  9. Kavussanos, M.G., ‘Applications of Mathematics in Business and Economics Problems; Demonstration with the use of Excel’, G. Benos Publishers, Athens, 2012 4th edition, 572 pages, in Greek.
  10. Kavussanos, M.G., ‘Applications of Mathematics in Business and Economics Problems; Demonstration with the use of Excel’, G. Benos Publishers, Athens, 2006, 3rd edition, 499 pages, in Greek.
  11. Kavussanos, M.G., ‘Applications of Mathematics in Business and Economics Problems; Demonstration with the use of Excel’, G. Benos Publishers, Athens, 2004, 2nd edition, 484 pages, in Greek.
  12. Kavussanos, M.G., ‘Applications of Mathematics in Business and Economics Problems; Demonstration with the use of Excel’, G. Benos Publishers, Athens, 2002, 1st edition, 301 pages, in Greek.
  13. Kavussanos, M.G. and Marcoulis, S., 'Risk and Return in Transportation and other US and Global Industries', Kluwer Academic Publishers, 2001, 174 pages. 

Chalamandaris George, Assistant Professor, Member of the ISFM Lab

Refereed Publications in International Scientific Journals:

  1. Chalamandaris G.: “Pricing Multicallable Range Accrual Bonds with the Libor Market Model”, Managerial Finance, Volume 33, Number 5, 2007 pp. 292-308.
  2. G. Chalamandaris, A. Tsekrekos, “Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market”, Journal of Economic Asymmetries, June 2009
  3. G. Chalamandaris, A. Tsekrekos, “The Correlation Structure of FX Option Markets before and since the Financial Crisis”, Applied Financial Economics, Jan. 2010.
  4. G. Chalamandaris, A. Tsekrekos, “Predictable Dynamics of Implied Volatility Surfaces in OTC FX Markets.”, Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June 2010.
  5. Chalamandaris, G. and A. Tsekrekos (2011), ‘How important is the Yield Curve Information for Modeling & Forecasting Implied Volatility Surfaces in OTC FX Markets?’ – Journal of International Money and Finance, 30(1), pp.623–640.
  6. Chalamandaris G Rompolis, L.: ‘Exploring the Role of the Realized Return Distribution in the Formation of the Implied Volatility Smile.’, Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044..
  7. Chalamandaris, G and A. Tsekrekos (2013), ‘Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options’ – Computational Economics, Volume 41, Issue 3, pp. 327-35.
  8. Chalamandaris, G and A. Tsekrekos (2014), ‘Predictability in implied volatility surfaces: evidence from the Euro OTC FX market’, European Journal of Finance, Vol. 20 (1), pp. 33-58.
  9. Chalamandaris, G. and N. Vlachogiannakis (2016), ‘Are Financial Ratios Relevant for Trading Credit Risk? Evidence from the CDS Market’, Annals of Operational Research, November.

Articles & Chapters Published in Books:

  1. G. Chalamandaris, T. Malliaris, “Ito Calculus and the Derivation of the Black-Scholes formula”, The Handbook of Quantitative Finance and Risk Management, edited by C.F. Lee, Springer Verlag, 2008. – pp 447-469
  2. G. Chalamandaris, T. Malliaris, “Stochastic Processes”, Companion to Derivatives, edited by R. Kolb and J. Overdahl, Blackwell Finance, pp 557-593.
  3. Chalamandaris G., Chalamandaris D.: “Portfolio Insurance Strategies on Mutual Funds as an Alternative to Option-Based Capital Protected Investments”, Published Volume in the Memory of Professor Vartholomaios, University of Pireus, 2011.

Rompolis Leonidas, Assistant Professor, Member of the ISFM Lab

Refereed Publications in International Scientific Journals:

1. “Pricing and hedging contingent claims using variance and higher-order moment swaps” (with Elias Tzavalis), Quantitative Finance 17 (2017), p. 531-550.
2. “Retrieving risk neutral moments and expected quadratic variation from option prices” (with Elias Tzavalis), Review of Quantitative Finance and Accounting48 (2017), p. 955-1002. 
3.  “Risk-free rates and variance futures prices”,Journal of Futures Markets 36 (2016), p. 943-967. 
4.  “Exploring the role of the realized return distribution in the formation of the implied volatility smile” (with George Chalamandaris), Journal of Banking and Finance 36 (2012), p.1028-1044.
5.  “Retrieving risk neutral densities from European option prices based on the principle of maximum entropy”, Journal of Empirical Finance 17 (2010), p. 918-937.
6.  “Risk premium effects on implied volatility regressions” (with Elias Tzavalis), Journal of Financial Research 33 (2010), p. 125-151.  
7.  “Recovering risk neutral densities from option prices: A new approach” (with Elias Tzavalis), Journal of Financial and Quantitative Analysis43 (2008), p. 1037-1054. 
8.  “Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier Series Expansion” (with Elias Tzavalis),Mathematical and Computer Modeling46 (2007), p. 225-234.

Publications in Books/Collections:

  1. "The estimation of investors' preferences using option prices: The case of the FTSE ASE 20 index", Research Paper series on the Greek Financial System, Editor: H. Tzavalavis, AUEB, Athens 2010.