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Content
September 2019, Volume 06, Issue 03
- 1-11 Modeling of implied volatility surfaces of nifty index options
by Mihir Dash - 1-13 Random thinning model with a truncated credit quality vulnerability factor: Application to top-down-type credit risk assessment
by Suguru Yamanaka - 1-15 Behavioral biases and investors’ decision-making: The moderating role of socio-demographic variables
by Naveeda K. Katper & Muhammad Azam & Nazima Abdul Karim & Syeda Zinnaira Zia - 1-18 Market efficiency in the emerging and frontier markets of the MENA countries
by Abdelkader Derbali - 1-21 Productivity and efficiency analysis of Pakistani mutual funds using Malmquist index approach
by Farah Naz & Hafsa Khan & Muhammad Ishfaq Ahmad & Ramiz Ur Rehman & Muhammad Akram Naseem - 1-22 Cost of external financing of SMEs: A study of a developing country
by Md. Rostam Ali & Rustom Ali Ahmed & Md. Ashikul Islam - 1-24 Forecasting plausible scenarios and losses in interest rate targeting using mathematical optimization
by Katsuhiro Tanaka - 1-37 Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models
by Hongkai Cao & Rupak Chatterjee & Zhenyu Cui
June 2019, Volume 06, Issue 02
- 1-16 Company stock rewards on the evaluation of investor’s remuneration package with stochastic income
by Kebareng I. Moalosi-Court & Edward M. Lungu & Elias R. Offen - 1-16 Do factors matter for predicting high-risk stock returns? Comparison of single-, three- and five-factor CAPM
by Muhammad Adnan Arshad & Saira Munir & Bashir Ahmad & Muhammad Waseem - 1-17 Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching
by Farshid Mehrdoust & Idin Noorani - 1-17 Modeling the impact of banking sector credit on growth performance: An empirical evidence of credit to household and enterprise in Pakistan
by Sadaf Majeed & Syed Faizan Iftikhar & Zeeshan Atiq - 1-20 Does bank capital affect the monetary policy transmission mechanism? A case study of Emerging Market Economies (EMEs)
by Zia Abbas & Syed Faizan Iftikhar & Shaista Alam - 1-21 Option pricing in a subdiffusive constant elasticity of variance (CEV) model
by Kevin Z. Tong & Allen Liu - 1-24 Strategies for choosing an uncertainty budget in log-robust portfolio management
by Yuntaek Pae & Navid Sabbaghi - 1-27 Empirical investigation of relationship between research and development intensity and firm performance: The role of ownership structure and board structure
by Muhammad Usman Yousaf & Muhammad Kashif Khurshid & Aftab Ahmed & Muhammad Zulfiqar
March 2019, Volume 06, Issue 01
- 1-17 Reversing the negative skewness of value portfolios with power-log optimization and options, produces smaller drawdowns and higher risk-adjusted returns
by Jivendra K. Kale & Tee Lim - 1-18 To study moderating role of ownership structure on R&D expenditure policies on accounting performance and market value
by Ali Ostadhashemi & Muhammad Esmaeil Fadaei Nejad - 1-19 Empirical research on the correlation between Real Earnings Management of state-owned enterprises and executive compensation — from the perspective of executive structural power
by Lei Yu & Yuxuan Dai & Keguang Zheng & Yongjie Zhang - 1-20 Testing of binary regime switching models using squeeze duration analysis
by Milan Kumar Das & Anindya Goswami - 1-22 A stochastic control approach to managed futures portfolios
by Tim Leung & Raphael Yan - 1-30 How to mine gold without digging
by Kevin Guo & Tim Leung & Brian Ward - 1-31 What are the most effective and vulnerable firms in financial crisis? A network representation of CoVaR in an emerging market
by Hossein Dastkhan - 1-38 Signaling game models of equity financing under information asymmetry and finite project life
by Qiuqi Wang & Yue Kuen Kwok - 1-45 Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
by Caibin Zhang & Zhibin Liang & Kam Chuen Yuen - 1-48 The general dynamic risk assessment for the enterprise by the hologram approach in financial technology
by George Xianzhi Yuan & Huiqi Wang
December 2018, Volume 05, Issue 04
- 1-9 Using App Inventor to provide the amortization schedule and the sinking fund schedule
by Li-Fei Huang - 1-12 A simple explanation of biased movements of renminbi exchange rate
by Cho-Hoi Hui & Chi-Fai Lo - 1-14 Factors affecting investment decision-making in Pakistan stock exchange
by Adeel Mumtaz & Tahir Saeed & M. Ramzan - 1-15 The semi-martingale equilibrium equity premium for risk-neutral investors
by George M. Mukupa & Elias R. Offen - 1-15 Forecasting dirty tanker freight rate index by using stochastic differential equations
by Hossein Jafari & Ghazaleh Rahimi - 1-17 Design of an Artificial Neural Network battery for an optimal recognition of patterns in financial time series
by Simone Fioribello & Pier Giuseppe Giribone - 1-19 Credit risk assessment using purchase order information
by Suguru Yamanaka - 1-20 The impact of business cycle on capital buffer during the period of Basel-II and Basel-III: Evidence from the Pakistani banks
by Khurram Iftikhar & Syed Faizan Iftikhar - 1-30 A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
by Duy Nguyen - 1-32 The study of dynamics for credit default risk by backward stochastic differential equation method
by Kun Tian & Dewen Xiong & Wenchao Yan & George Xianzhi Yuan - 1-44 Combining robust dynamic neural networks with traditional technical indicators for generating mechanic trading signals
by Pier Giuseppe Giribone & Simone Ligato & Francesco Penone
September 2018, Volume 05, Issue 03
- 1-14 Who would invest only in the risk-free asset?
by N. Azevedo & D. Pinheiro & S. Z. Xanthopoulos & A. N. Yannacopoulos - 1-16 Pricing multi-asset American option under Heston stochastic volatility model
by Oldouz Samimi & Farshid Mehrdoust - 1-16 A hybrid computational approach for option pricing
by Song-Ping Zhu & Xin-Jiang He - 1-17 Weighted average price management of manufacturer sales on commodity exchanges
by Sergey A. Vavilov & Konstantin S. Kuznetsov - 1-18 Do competition and development indicators heterogeneously affect risk and capital? Evidence from Asian banks
by Afsana Yesmin - 1-22 The source of error behavior for the solution of Black–Scholes PDE by finite difference and finite element methods
by H. Ünsal Özer & Ahmet Duran - 1-23 Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
by Tim Leung & Raphael Yan - 1-27 Optimal asset allocation for a bank under risk control
by Ryle S. Perera & Kimitoshi Sato - 1-29 An exact and explicit implied volatility inversion formula
by Yuxuan Xia & Zhenyu Cui - 1-31 Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
by Yangfan Zhong & Yanhui Mi - 1-31 Corporate governance, earnings management and the value-relevance of accounting information: Evidence from Pakistan
by Waqas Bin Khidmat & Man Wang & Sadia Awan
June 2018, Volume 05, Issue 02
- 1-14 Shortfall risk through Fenchel duality
by Zhenyu Cui & Jun Deng - 1-15 Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries
by Azadeh Naderifard & Elham Dastranj & S. Reza Hejazi - 1-15 Alternative characterization of volatility of short-term interest rate
by Ramaprasad Bhar & Damien Lee - 1-16 Financial management and forecasting using business intelligence and big data analytic tools
by Shrutika Mishra - 1-18 VIX derivatives valuation and estimation based on closed-form series expansions
by Zhe Zhao & Zhenyu Cui & Ionuţ Florescu - 1-24 Effect of explicit deposit insurance premium on the moral hazard of banks’ risk-taking: Around the globe
by Raheel Mumtaz & Imran Abbas Jadoon - 1-25 Probabilistic approach to measuring early-warning signals of systemic contagion risk
by Cho-Hoi Hui & Chi-Fai Lo & Xiao-Fen Zheng & Tom Fong - 1-31 Numerical pricing of European options with arbitrary payoffs
by Ricardo Pachón - 1-37 Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations
by Nian Yao - 1-38 LIBOR market model with multiplicative basis
by Yangfan Zhong
March 2018, Volume 05, Issue 01
- 1-20 Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA
by Mustafa Gülerce & Gazanfer Ünal - 1-21 Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change
by Zhigang Tong & Allen Liu - 1-21 Covariance estimation using random permutations
by Lakshmi Padmakumari & S. Maheswaran - 1-22 Does earnings management mediate the impact of financial policies on market value of firms? A comparative study of China and Pakistan
by Muhammad Rizwan Kamran & Zheng Zhao & Haji Suleman Ali & Fiza Sabir - 1-23 Finite element based Monte Carlo simulation of options on Lévy driven assets
by Patrik Karlsson - 1-24 Optimal investment risks management strategies of an economy in a financial crisis
by Charles I. Nkeki - 1-26 An analytical solution for the HJB equation arising from the Merton problem
by Song-Ping Zhu & Guiyuan Ma - 1-39 Stochastic volatility for utility maximizers — A martingale approach
by Simon Ellersgaard & Martin Tegnér - 1-50 Implied volatility surfaces during the period of global financial crisis
by Tony S. Wirjanto & Anyi Zhu
June 2017, Volume 04, Issue 02n03
- 1-9 Security issuance and price impact under loss aversion
by Weining Niu & Qingduo Zeng - 1-11 A comparison of option pricing models
by Elham Dastranj & Roghaye Latifi - 1-15 Performance of banking industry in Bangladesh: Insights of CAMEL rating
by Syed Moudud-Ul-Huq - 1-15 Pólya-based approximation for the ATM-forward implied volatility
by Ivan Matić & Radoš Radoičić & Dan Stefanica - 1-16 Implied prepayment in agency passing-through mortgage backed securities
by Haimei Shao & Jiongmin Yong - 1-17 Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs
by Xin Gao & Binlin Wu & Tobias Schäfer - 1-18 Game options approach in company radical technological innovation with generalized poisson jump process
by A. El Hajaji & A. Serghini & K. Mokhlis & K. Hilal & E. B. Mermri - 1-20 Revenue-based lending for SMEs
by Hassan Mazengera - 1-22 A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
by Yedidya Rabinovitz - 1-23 Asset pricing under general collateralization
by Yanhui Mi - 1-24 Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change
by Zhigang Tong & Allen Liu - 1-27 Do market competition and development indicators matter for banks’ risk, capital, and efficiency relationship?
by Changjun Zheng & Anupam Das Gupta & Syed Moudud-Ul-Huq - 1-27 Banks’ capital regulation and risk: Does bank vary in size? Empirical evidence from Bangladesh
by Changjun Zheng & Syed Moudud-Ul-Huq - 1-27 Negative interest rates effects on option pricing: Back to basics?
by Giacomo Burro & Pier Giuseppe Giribone & Simone Ligato & Martina Mulas & Francesca Querci - 1-29 Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
by Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward - 1-29 Style analysis with particle filtering and generalized simulated annealing
by Takaya Fukui & Seisho Sato & Akihiko Takahashi - 1-29 Efficient valuation and exercise boundary of American fractional lookback option in a mixed jump-diffusion model
by Zhaoqiang Yang - 1-30 Pricing spread options by generalized bivariate edgeworth expansion
by Edward P. C. Kao & Weiwei Xie - 1-31 Approximate pricing of European and Barrier claims in a local-stochastic volatility setting
by Weston Barger & Matthew Lorig - 1-36 Pricing European options and risk measurement under exponential Lévy models — a practical guide
by Khaled Salhi - 1-37 Dynamic mean variance asset allocation: Tests for robustness
by Peter A. Forsyth & Kenneth R. Vetzal - 1-37 Hedging and pricing illiquid options with market impacts
by Taiga Saito
March 2017, Volume 04, Issue 01
- 1-15 Chapman–Kolmogorov equations for multi-period equity-linked note with conditional coupons
by Branislav Radak - 1-15 Fractional Black–Scholes equation
by A. Aghili - 1-15 Pricing for options in a mixed fractional Hull–White interest rate model
by Jian Pan & Xiangying Zhou - 1-16 Optimal dividends in the dual risk model under a stochastic interest rate
by Zailei Cheng - 1-17 A weak approximation with Malliavin weights for local stochastic volatility model
by Toshihiro Yamada - 1-19 The impact of skew on the pricing of CoCo bonds
by Jan De Spiegeleer & Monika B. Forys & Ine Marquet & Wim Schoutens - 1-21 Co-movement of precious metals and forecasting using scale by scale wavelet transform
by Emrah Oral & Gazanfer Unal - 1-23 Rebalancing static super-replications
by Akihiko Takahashi & Yukihiro Tsuzuki - 1-28 Pricing derivatives with fractional volatility
by Hideharu Funahashi - 1-30 Pricing currency options in the Heston/CIR double exponential jump-diffusion model
by Rehez Ahlip & Laurence A. F. Park & Ante Prodan - 1-31 The pricing of average options with jump diffusion processes in the uncertain volatility model
by Yulian Fan & Huadong Zhang - 1-31 Contingent conversion convertible bond: New avenue to raise bank capital
by Francesca Erica Di Girolamo & Francesca Campolongo & Jan De Spiegeleer & Wim Schoutens - 1-38 Sensitivities under G2++ model of the yield curve
by H. Jaffal & Y. Rakotondratsimba & A. Yassine - 1-42 The effects of negative interest rates on the estimation of option sensitivities: The impact of switching from a log-normal to a normal model
by Pier Giuseppe Giribone & Simone Ligato & Martina Mulas
December 2016, Volume 03, Issue 04
- 1-8 A family of positivity preserving schemes for numerical solution of Black–Scholes equation
by M. Mehdizadeh Khalsaraei & R. Shokri Jahandizi - 1-11 Modeling liquidation risk with occupation times
by Roman N. Makarov - 1-16 On the impact of a scrip dividend on an equity forward
by German Bernhart & Jan-Frederik Mai - 1-19 Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach
by Adil Yilmaz & Gazanfer Unal - 1-20 Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method
by Mengzhe Zhang & Leunglung Chan - 1-29 Firm, industry and economic determinants of working capital at risk
by Tarek Ibrahim Eldomiaty & Mohamed Hashem Rashwan & Mohamed Bahaa El Din & Waleed Tayel - 1-32 Stochastic cost flow system for stock markets with an application in behavioral finance
by Oliver Chan & Alfred Ka Chun Ma - 1-35 Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
by Semere Habtemicael & Indranil SenGupta
September 2016, Volume 03, Issue 03
- 1-4 A note on transforming a weak solution to PDE to a smooth solution
by Moawia Alghalith - 1-14 RAROC in portfolio optimization
by Panagiotis Xidonas & Christos E. Kountzakis & Christis Hassapis & Christos Staikouras - 1-18 Theory of long-term interest rates
by Sebastián A. Rey - 1-20 Trading VIX futures under mean reversion with regime switching
by Jiao Li - 1-29 Optimal pairs trading with time-varying volatility
by Thomas Nanfeng Li & Agnès Tourin - 1-30 A general framework for the benchmark pricing in a fully collateralized market
by Masaaki Fujii & Akihiko Takahashi - 1-31 Pricing corporate bonds with interest rates following double square-root process
by Chi-Fai Lo & Cho-Hoi Hui - 1-40 Control of price acceptability under the univariate Vasicek model
by S. Dang-Nguyen & Y. Rakotondratsimba
June 2016, Volume 03, Issue 02
- 1-11 Efficient and exact simulation of the Gaussian affine interest rate models
by Vladimir Ostrovski - 1-12 CAPM estimates: Can data frequency and time period lend a hand?
by Syed Jawad Hussain Shahzad & Saniya Khalid & Saba Ameer - 1-14 A note on CVA and wrong way risk
by Roberto Baviera & Gaetano La Bua & Paolo Pellicioli - 1-15 Feedback control of the multi-asset Black–Scholes PDE using differential flatness theory
by G. Rigatos & P. Siano - 1-16 A modified stochastic volatility model based on Gamma Ornstein–Uhlenbeck process and option pricing
by Yanhui Mi - 1-16 A note on the valuation of CDS options and extension risk in a structural model with jumps
by Amelie Hüttner & Matthias Scherer - 1-20 Inverse problem and concentration method of a continuous-in-time financial model
by Tarik Chakkour & Emmanuel Frénod - 1-21 Flexible-forward pricing through Leisen–Reimer trees: Implementation and performance comparison with traditional Markov chains
by Pier Giuseppe Giribone & Simone Ligato
March 2016, Volume 03, Issue 01
- 1-13 Reverse convertible debt under credit risk
by Rossella Agliardi - 1-19 Valuation of CMS range notes in a multifactor LIBOR market model
by Ping Wu & Robert J. Elliott - 1-22 Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs
by Foad Shokrollahi & Adem Kılıçman & Marcin Magdziarz - 1-22 Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
by Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee - 1-24 A sharp approximation for ATM-forward option prices and implied volatilites
by Dan Stefanica & Radoš Radoičić - 1-27 An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks
by Sio Chong U & Jacky So & Deng Ding & Lihong Liu - 1-31 Price impacts of imperfect collateralization
by Kenichiro Shiraya & Akihiko Takahashi
December 2015, Volume 02, Issue 04
- 1-12 On a recursive algorithm for pricing discrete barrier options
by Dennis G. Llemit - 1-14 Combining hazard rates with the CreditGrades model: A hybrid method to value CDS contracts
by Chih-Wei Lee & Cheng-Kun Kuo - 1-15 Dynamic risk model for CMO with credit tranching
by Dror Parnes - 1-20 Risk-return trade-off, information diffusion, and U.S. stock market predictability
by Haibin Xie & Shouyang Wang - 1-24 A dynamic optimal execution strategy under stochastic price recovery
by Masashi Ieda - 1-29 Linkage between corporate governance and corporate social responsibility in banking sector of Bangladesh
by Syed Moudud-Ul-Huq - 1-31 Real-time risk management: An AAD-PDE approach
by Luca Capriotti & Yupeng Jiang & Andrea Macrina - 1-31 Optimal CAR simulation
by Fatma Chakroun & Fathi Abid - 1-32 Short maturity options for Azéma–Yor martingales
by Lingjiong Zhu - 1-38 Algorithmic arbitrage of open-end funds using variational Bayes
by Hugh L. Christensen
2015, Volume 02, Issue 03
- 1-4 A note on transforming PDEs to ODEs
by M. Alghalith - 1-19 Dynamic asset allocation for a bank under CRRA and HARA framework
by Ryle S. Perera - 1-19 Self-financing strategy expression in general shape limit order book with market impacts in continuous time
by Taiga Saito - 1-21 Does model misspecification matter for hedging? A computational finance experiment based approach
by Youfa Sun & George Yuan & Shimin Guo & Jianguo Liu & Steven Yuan - 1-26 Fast numerical method for pricing of variable annuities with guaranteed minimum withdrawal benefit under optimal withdrawal strategy
by Xiaolin Luo & Pavel V. Shevchenko - 1-28 Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis
by Mazin A. M. Al Janabi - 1-30 Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity
by Peter Lerner - 1-56 Heavy-tailed features and dependence in limit order book volume profiles in futures markets
by Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir - 1-57 The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe
by Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li
2015, Volume 02, Issue 02
- 1-13 Program trading and its risk analysis based on agent-based computational finance
by Xiong Xiong & Hailiang Yuan & Wei Zhang & Yongjie Zhang - 1-16 New explicit closed form formulae for the prices of catastrophe options
by Yunguo Jin & Shouming Zhong - 1-16 An accumulator pricing method based on Fourier cosine series expansions
by Deng Ding & Wenfei Wang - 1-22 Modeling intraday information in financial markets with the scatter search metaheuristic
by Carlos Gomes da Silva - 1-23 Analytical valuation of autocallable notes
by Tristan Guillaume - 1-24 Revisiting variance gamma pricing: An application to S&P500 index options
by Sharif Mozumder & Ghulam Sorwar & Kevin Dowd - 1-28 Local risk-minimization for Lévy markets
by Takuji Arai & Ryoichi Suzuki - 1-29 An asymptotic expansion of forward-backward SDEs with a perturbed driver
by Akihiko Takahashi & Toshihiro Yamada - 1-30 Option pricing via radial basis functions: Performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing
by Pier Giuseppe Giribone & Simone Ligato - 1-35 Option prices and model-free measurement of implied herd behavior in stock markets
by Daniël Linders & Jan Dhaene & Wim Schoutens - 1-36 Static models of central counterparty risk
by Samim Ghamami - 1-52 Stochastic simulation framework for the limit order book using liquidity-motivated agents
by Efstathios Panayi & Gareth W. Peters