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World Scientific Publishing Co. Pte. Ltd.

International Journal of Theoretical and Applied Finance (IJTAF)

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2009, Volume 12, Issue 06

745-765 Implied And Realized Volatility In The Cross-Section Of Equity Options
by Manuel Ammann & David Skovmand & Michael Verhofen [Downloadable! (restricted)]
767-796 Optimal Portfolios With Stochastic Short Rate: Pitfalls When The Short Rate Is Non-Gaussian Or The Market Price Of Risk Is Unbounded
by Holger Kraft [Downloadable! (restricted)]
797-810 Sequential Surveillance Of The Tangency Portfolio Weights
by Olha Bodnar [Downloadable! (restricted)]
811-832 Accurate Of Var Calculated Using Empirical Models Of The Term Structure
by Pilar Abad & Sonia Benito [Downloadable! (restricted)]
833-860 The Best Hedging Strategy In The Presence Of Transaction Costs
by Valeri Zakamouline [Downloadable! (restricted)]
861-876 Small-Time Asymptotics For Implied Volatility Under The Heston Model
by Martin Forde & Antoine Jacquier [Downloadable! (restricted)]
877-899 A Stochastic Volatility Model For Risk-Reversals In Foreign Exchange
by Claudio Albanese & Aleksandar Mijatoviä [Downloadable! (restricted)]

2009, Volume 12, Issue 05

577-588 Arbitrage Smoothing In Fitting A Sequence Of Yield Curves
by Paul A. Bekker & Kees E. Bouwman [Downloadable! (restricted)]
589-603 Correlations Among Forward Returns In The Nordic Electricity Market
by Dennis Frestad [Downloadable! (restricted)]
605-631 Share Repurchases And Firm Behavior
by Adri De Ridder [Downloadable! (restricted)]
633-662 Simultaneous Calibration To A Range Of Portfolio Credit Derivatives With A Dynamic Discrete-Time Multi-Step Markov Loss Model
by Michael B. Walker [Downloadable! (restricted)]
663-685 Pricing And Hedging Of Cdo-Squared Tranches By Using A One Factor LãVy Model
by Florence Guillaume & Philippe Jacobs & Wim Schoutens [Downloadable! (restricted)]
687-707 Pricing Of Traffic Light Options And Other Hybrid Products
by Thomas Kokholm [Downloadable! (restricted)]
709-743 The Variance Swap Contract Under The Cev Process
by Richard Jordan & Charles Tier [Downloadable! (restricted)]

2009, Volume 12, Issue 04

427-441 On The Relationship Between The Call Price Surface And The Implied Volatility Surface Close To Expiry
by Michael Roper & Marek Rutkowski [Downloadable! (restricted)]
443-463 Investment Timing Under Regime Switching
by Robert J. Elliott & Hong Miao & Jin Yu [Downloadable! (restricted)]
465-489 Pca-Based Ex-Ante Forecasting Of Swap Term Structures
by Oliver Blaskowitz & Helmut Herwartz [Downloadable! (restricted)]
491-506 Pricing Of Exotic Energy Derivatives Based On Arithmetic Spot Models
by Fred Espen Benth & Rodwell Kufakunesu [Downloadable! (restricted)]
507-522 Markovian Projection Onto A Displaced Diffusion: Generic Formulas With Applications
by A. Antonov & T. Misirpashaev [Downloadable! (restricted)]
523-543 On A Finite Horizon Starting And Stopping Problem With Risk Of Abandonment
by Boualem Djehiche & Said HamadãNe [Downloadable! (restricted)]
545-575 Multiple Rescindable Options And Their Pricing
by Nikolai Dokuchaev [Downloadable! (restricted)]

2009, Volume 12, Issue 03

267-282 Hedge Fund Performance: Sources And Measures
by Ernst Eberlein & Dilip B. Madan [Downloadable! (restricted)]
283-295 Sensitivity Analysis And Density Estimation For The Hobson-Rogers Stochastic Volatility Model
by Reiichiro Kawai [Downloadable! (restricted)]
297-317 Wavelet Estimators For Long Memory In Stock Markets
by Anouar Ben Mabrouk & Hedi Kortas & Samir Ben Ammou [Downloadable! (restricted)]
319-340 New Numerical Scheme For Pricing American Option With Regime-Switching
by A. Q. M. Khaliq & R. H. Liu [Downloadable! (restricted)]
341-358 An Analytical Framework For Explaining Relative Performance Of Capm Beta And Downside Beta
by Don U. A. Galagedera [Downloadable! (restricted)]
359-391 Convergence Speed Of Garch Option Price To Diffusion Option Price
by Jin-Chuan Duan & Yazhen Wang & Jian Zou [Downloadable! (restricted)]
393-425 The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines
by Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas [Downloadable! (restricted)]

2009, Volume 12, Issue 02

113-124 Regime-Switched Volatility Of Brent Crude Oil Futures With Markov-Switching Arch Model
by Tien-Yu Chiu & Shwu-Jane Shieh [Downloadable! (restricted)]
125-151 A "Coherent State Transform" Approach To Derivative Pricing
by Ludovico Perissinotto & Claudio Tebaldi [Downloadable! (restricted)]
153-178 Implied Volatility From Asian Options Via Monte Carlo Methods
by Zhaojun Yang & Christian-Oliver Ewald & Yajun Xiao [Downloadable! (restricted)]
179-207 Pricing For Geometric Marked Point Processes Under Partial Information: Entropy Approach
by Claudia Ceci & Anna Gerardi [Downloadable! (restricted)]
209-225 Forward Start Options Under Stochastic Volatility And Stochastic Interest Rates
by Rehez Ahlip & Marek Rutkowski [Downloadable! (restricted)]
227-249 A Tractable Multivariate Default Model Based On A Stochastic Time-Change
by Jan-Frederik Mai & Matthias Scherer [Downloadable! (restricted)]
251-266 A Random Cluster Process Approach To Collective Market Dynamics With Local Interactions
by Haiyan Cai & Kang Chen [Downloadable! (restricted)]

2009, Volume 12, Issue 01

1-18 A Generalized Multiscale Analysis Of The Predictive Content Of Eurodollar Implied Volatilities
by Alessandro Cardinali [Downloadable! (restricted)]
19-44 Pricing Double Barrier Parisian Options Using Laplace Transforms
by CãLine Labart & JãRãMe Lelong [Downloadable! (restricted)]
45-62 A Dynamic Approach To The Modeling Of Correlation Credit Derivatives Using Markov Chains
by Giuseppe Di Graziano & L. C. G. Rogers [Downloadable! (restricted)]
63-82 Utility Indifference Pricing Of Interest-Rate Guarantees
by Fred Espen Benth & Frank Proske [Downloadable! (restricted)]
83-112 Credit Risk Modeling With Misreporting And Incomplete Information
by Agostino Capponi & Jakå A Cvitaniä [Downloadable! (restricted)]

2008, Volume 11, Issue 08

761-797 The Effect Of Jumps And Discrete Sampling On Volatility And Variance Swaps
by Mark Broadie & Ashish Jain [Downloadable! (restricted)]
799-839 Financial Hedging Of Operational Flexibility
by Michael Ludkovski [Downloadable! (restricted)]
841-867 Analytic Pricing Of Contingent Claims Under The Real-World Measure
by Shane M. Miller & Eckhard Platen [Downloadable! (restricted)]
869-888 $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
by Takuji Arai [Downloadable! (restricted)]
889-904 Rate Of Convergence Of Monte Carlo Simulations For The HobsonâRogers Model
by Fabio Antonelli & Valentina Prezioso [Downloadable! (restricted)]
905-941 On The Valuation Of Derivatives With Snapshot Reset Features
by Eric C. K. Yu & William T. Shaw [Downloadable! (restricted)]
943-955 Option Pricing With VgâLike Models
by Richard Finlay & Eugene Seneta [Downloadable! (restricted)]

2008, Volume 11, Issue 07

657-671 A Multivariate Regime Switching Approach To The Relation Between The Stock Market, The Interest Rate And Output
by Angelos Kanas [Downloadable! (restricted)]
673-689 A Scenario Analysis Of The Risk Premium In G7 Countries
by Mohammed Omran & John Pointon [Downloadable! (restricted)]
691-703 A New Representation Of The Local Volatility Surface
by Marianito R. Rodrigo & Rogemar S. Mamon [Downloadable! (restricted)]
705-716 A Note On The Risk-Premium Process In An Equilibrium
by Jun Sekine [Downloadable! (restricted)]
717-737 Market Statistics Of A Psychology-Based Heterogeneous Agent Model
by Harbir Lamba & Tim Seaman [Downloadable! (restricted)]
739-760 Serial Correlation, Periodicity And Scaling Of Eigenmodes In An Emerging Market
by Diane Wilcox & Tim Gebbie [Downloadable! (restricted)]

2008, Volume 11, Issue 06

545-566 General Duality For Perpetual American Options
by AurãLien Alfonsi & Benjamin Jourdain [Downloadable! (restricted)]
567-595 Multifractional Properties Of Stock Indices Decomposed By Filtering Their Pointwise HãLder Regularity
by S. Bianchi & A. Pianese [Downloadable! (restricted)]
597-610 Bounds On Option Prices In Point Process Diffusion Models
by Jean-Christophe Breton & Nicolas Privault [Downloadable! (restricted)]
611-634 Pricing And Hedging Of Portfolio Credit Derivatives With Interacting Default Intensities
by RãDiger Frey & Jochen Backhaus [Downloadable! (restricted)]
635-656 A Hybrid-Form Model For The Prepayment-Risk-Neutral Valuation Of Mortgage-Backed Securities
by Andreas Kolbe & Rudi Zagst [Downloadable! (restricted)]

2008, Volume 11, Issue 05

415-445 Scenarios For Price Determination In Incomplete Markets
by S. Z. Xanthopoulos & A. N. Yannacopoulos [Downloadable! (restricted)]
447-469 Measuring The Market Risk Of Freight Rates: A Value-At-Risk Approach
by Timotheos Angelidis & George Skiadopoulos [Downloadable! (restricted)]
471-501 A Fast, Stable And Accurate Numerical Method For The BlackâScholes Equation Of American Options
by Matthias Ehrhardt & Ronald E. Mickens [Downloadable! (restricted)]
503-528 Multi-Factor Jump-Diffusion Models Of Electricity Prices
by Thilo Meyer-Brandis & Peter Tankov [Downloadable! (restricted)]
529-544 Discount Curve Estimation By Monotonizing Mcculloch Splines
by Holger Dette & Daniel Ziggel [Downloadable! (restricted)]

2008, Volume 11, Issue 04

345-362 Testing Ppp By Means Of Znz Patterned Vecm
by T. J. Brailsford & Jack Penm & R. D. Terrell [Downloadable! (restricted)]
363-380 Optimal Superhedging Under Non-Convex Constraints Â A Bsde Approach
by Christian Bender & Michael Kohlmann [Downloadable! (restricted)]
381-401 Fourier Transform Method With An Asymptotic Expansion Approach: An Application To Currency Options
by Akihiko Takahashi & Kohta Takehara [Downloadable! (restricted)]
403-414 Hedging Under The Heston Model With Jump-To-Default
by Peter Carr & Wim Schoutens [Downloadable! (restricted)]

2008, Volume 11, Issue 03

249-276 Estimation Of Optimal Portfolio Weights
by Yarema Okhrin & Wolfgang Schmid [Downloadable! (restricted)]
277-294 Foreign Exchange Options Under Stochastic Volatility And Stochastic Interest Rates
by Rehez Ahlip [Downloadable! (restricted)]
295-323 Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets
by Alexander Melnikov & Yuliya Romanyuk [Downloadable! (restricted)]
325-343 Equilibrium Prices For Monetary Utility Functions
by Damir Filipoviä & Michael Kupper [Downloadable! (restricted)]

2008, Volume 11, Issue 02

143-162 Insider Trading And Voluntary Disclosure
by Philippe GrãGoire [Downloadable! (restricted)]
163-197 A New Framework For Dynamic Credit Portfolio Loss Modelling
by Jakob Sidenius & Vladimir Piterbarg & Leif Andersen [Downloadable! (restricted)]
199-223 Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System
by Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro [Downloadable! (restricted)]
225-247 Optimal Credit Ratings
by Sebastian Herzog & Christian Koziol & Tim Thabe [Downloadable! (restricted)]

2008, Volume 11, Issue 01

1-18 A Multivariate Variance Gamma Model For Financial Applications
by Patrizia Semeraro [Downloadable! (restricted)]
19-54 Desirable Properties Of An Ideal Risk Measure In Portfolio Theory
by Svetlozar Rachev & Sergio Ortobelli & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova [Downloadable! (restricted)]
55-85 The Least Cost Super Replicating Portfolio In The BoyleâVorst Model With Transaction Costs
by Guan-Yu Chen & Ken Palmer & Yuan-Chung Sheu [Downloadable! (restricted)]
87-106 A Shot Noise Model For Financial Assets
by Timo Altmann & Thorsten Schmidt & Winfried Stute [Downloadable! (restricted)]
107-142 Information-Based Asset Pricing
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina [Downloadable! (restricted)]

2007, Volume 10, Issue 08

1261-1285 Pde Approach To The Valuation And Hedging Of Basket Credit Derivatives
by Marek Rutkowski & Khan Yousiph [Downloadable! (restricted)]
1287-1304 Multivariate Integral Perturbation Techniques I: Theory
by Jan W. Dash [Downloadable! (restricted)]
1305-1321 On Some Inconsistencies In Modeling Credit Portfolio Products
by Frank J. Fabozzi & Radu Tunaru [Downloadable! (restricted)]
1323-1337 Term Structure Of Vanilla Options
by Dorje C. Brody & Irene C. Constantinou & Bernhard K. Meister [Downloadable! (restricted)]
1339-1364 Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps
by Morten Mosegaard Christensen & Eckhard Platen [Downloadable! (restricted)]

2007, Volume 10, Issue 07

1111-1135 Energy Spot Price Models And Spread Options Pricing
by Samuel Hikspoors & Sebastian Jaimungal [Downloadable! (restricted)]
1137-1157 Option Betas: Risk Measures For Options
by Nicole Branger & Christian Schlag [Downloadable! (restricted)]
1159-1190 Equilibrium With Excessive Holdings Constraint: An Application To Dc Pension Plans
by Issouf Soumarã [Downloadable! (restricted)]
1191-1202 A Simple American Option Pricing Method Using The Fast Fourier Transform
by Suneal K. Chaudhary [Downloadable! (restricted)]
1203-1227 Calculating The Early Exercise Boundary Of American Put Options With An Approximation Formula
by Song-Ping Zhu & Zhi-Wei He [Downloadable! (restricted)]
1229-1253 A Continuous Time Approximation Of An Evolutionary Stock Market Model
by Boris Buchmann & Stefan Weber [Downloadable! (restricted)]
1255-1260 Erratum: "Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy"
by Michael A. H. Dempster & Elena A. Medova & Seung W. Yang [Downloadable! (restricted)]

2007, Volume 10, Issue 06

915-937 Constant Elasticity Of Variance In Random Time: A New Stochastic Volatility Model With Path Dependence And Leverage Effect
by Dmitry Ostrovsky [Downloadable! (restricted)]
939-965 The Equity Premium Puzzle And Emotional Asset Pricing
by Marc GãRtler & Nora Hartmann [Downloadable! (restricted)]
967-984 A General Framework For High Yield Bond Investment
by Ralf Korn & Helen Kovilyanskaya [Downloadable! (restricted)]
985-1014 Uncertainty Aversion, Robust Control And Asset Holdings With A Stochastic Investment Opportunity Set
by Giannis Vardas & Anastasios Xepapadeas [Downloadable! (restricted)]
1015-1042 Optimal Portfolio Construction Under Partial Information For A Balanced Fund
by Simon Keel & Florian Herzog & Hans P. Geering & Lorenz M. Schumann [Downloadable! (restricted)]
1043-1075 A Comparison Of Some Univariate Models For Value-At-Risk And Expected Shortfall
by Carlo Marinelli & Stefano D'Addona & Svetlozar T. Rachev [Downloadable! (restricted)]
1077-1094 Testing Weak-Form Market Efficiency In Emerging Market: Evidence From Botswana Stock Exchange
by A. Sabur Mollah [Downloadable! (restricted)]
1095-1109 A Maximal Predictability Portfolio Model: Algorithm And Performance Evaluation
by Rei Yamamoto & Daisuke Ishii & Hiroshi Konno [Downloadable! (restricted)]

2007, Volume 10, Issue 05

763-770 Public Debt Management And Foreign Currency Denominated Bonds
by Silvia Ceccacci & Alessandro Marchesiani & Lorenzo Pecchi [Downloadable! (restricted)]
771-800 Malliavin Calculus For The Estimation Of Time-Varying Regression Models Used In Financial Applications
by Ahmed Abutaleb & Michael G. Papaioannou [Downloadable! (restricted)]
801-815 Margin Trading Through Hyper Timeline
by Siu-Ah Ng [Downloadable! (restricted)]
817-835 On The Asymptotics Of Fast Mean-Reversion Stochastic Volatility Models
by Max O. Souza & Jorge P. Zubelli [Downloadable! (restricted)]
837-846 Barrier Probabilities And Maximum Severity Of Ruin For A Renewal Risk Model
by K. K. Thampi & M. J. Jacob & N. Raju [Downloadable! (restricted)]
847-872 BlackâScholesâMerton In Random Time: A New Stochastic Volatility Model With Path Dependence
by Dmitry Ostrovsky [Downloadable! (restricted)]
873-885 Quadratic Hedging For The Bates Model
by Friedrich Hubalek & Carlo Sgarra [Downloadable! (restricted)]
887-914 Cross Hedging Within A Log Mean Reverting Model
by Samuel Njoh [Downloadable! (restricted)]

2007, Volume 10, Issue 04

593-606 LãVy Simple Structural Models
by Martin Baxter [Downloadable! (restricted)]
607-631 Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti [Downloadable! (restricted)]
633-652 Stochastic Intensity Modeling For Structured Credit Exotics
by Alexander Chapovsky & Andrew Rennie & Pedro Tavares [Downloadable! (restricted)]
653-678 Large Portfolio Credit Risk Modeling
by Mark H. A. Davis & Juan Carlos Esparragoza-Rodriguez [Downloadable! (restricted)]
679-701 Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy
by Michael A. H. Dempster & Elena A. Medova & Seung W. Yang [Downloadable! (restricted)]
703-731 Pricing And Hedging In A Dynamic Credit Model
by Youssef Elouerkhaoui [Downloadable! (restricted)]
733-748 Joint Distributions Of Portfolio Losses And Exotic Portfolio Products
by Friedel Epple & Sam Morgan & Lutz Schloegl [Downloadable! (restricted)]
749-761 On The Term Structure Of Loss Distributions: A Forward Model Approach
by Jakob Sidenius [Downloadable! (restricted)]

2007, Volume 10, Issue 03

399-406 Pricing Securities With Exchange-Imposed Price Limits Via Risk Neutral Valuation
by Arie Harel & Giora Harpaz & Jack Clark Francis [Downloadable! (restricted)]
407-435 Defaultable LãVy Libor Rates And Credit Derivatives
by Florian Huehne [Downloadable! (restricted)]
437-447 The Linear Dependence And Feedback Spectra Between Stock Market And Economy
by Xia Pan [Downloadable! (restricted)]
449-474 On Portfolio Selection Under Extreme Risk Measure: The Heavy-Tailed Ica Model
by StãPhan ClãMenãOn & Skander Slim [Downloadable! (restricted)]
475-503 An Approximate Approach To The Exponential Utility Indifference Valuation
by Takuji Arai [Downloadable! (restricted)]
505-516 Kernel-Based Semi-Log-Optimal Empirical Portfolio Selection Strategies
by LãSzlã GyãRfi & AndrãS UrbãN & IstvãN Vajda [Downloadable! (restricted)]
517-534 Hedging Volatility Risk: The Effectiveness Of Volatility Options
by Yunbi An & Ata Assaf & Jun Yang [Downloadable! (restricted)]
535-555 An Equilibrium-Based Model Of Stock-Pinning
by Suhas Nayak [Downloadable! (restricted)]
557-589 An Extension Of The BrodyâHughstonâMacrina Approach To Modeling Of Defaultable Bonds
by Marek Rutkowski & Nannan Yu [Downloadable! (restricted)]

2007, Volume 10, Issue 02

203-233 Stochastic Model Predictive Control And Portfolio Optimization
by Florian Herzog & Gabriel Dondi & Hans P. Geering [Downloadable! (restricted)]
235-249 The Relative Risk Performance Of Islamic Finance: A New Guide To Less Risky Investments
by Haitham A. Al-Zoubi & Aktham I. Maghyereh [Downloadable! (restricted)]
251-271 The Market Reaction To Stock Splits Â Evidence From India
by A. K. Mishra [Downloadable! (restricted)]
273-306 On Errors And Bias Of Fourier Transform Methods In Quadratic Term Structure Models
by Nina Boyarchenko & Sergei Levendorskiç [Downloadable! (restricted)]
307-329 Time Varying Sensitivities On A Grid Architecture
by Stefano D'Addona & Mattia Ciprian [Downloadable! (restricted)]
331-361 Componentwise Splitting Methods For Pricing American Options Under Stochastic Volatility
by Samuli Ikonen & Jari Toivanen [Downloadable! (restricted)]
363-387 Valuation Of Guaranteed Annuity Options In Affine Term Structure Models
by Chi Chiu Chu & Yue Kuen Kwok [Downloadable! (restricted)]
389-397 Fair Actuarial Values For Deductible Insurance Policies In The Presence Of Parameter Uncertainty
by Arie Harel & Giora Harpaz [Downloadable! (restricted)]

2007, Volume 10, Issue 01

1-21 Explicit Solutions For A Nonlinear Model Of Financial Derivatives
by L. A. Bordag & A. Y. Chmakova [Downloadable! (restricted)]
23-30 Modern Logarithms For The Heston Model
by Ingo Fahrner [Downloadable! (restricted)]
31-49 A New Finite Element Method For Pricing Of Bond Options Under Time Inhomogeneous Affine Term Structure Models Of Interest Rates
by Hongtao Yang [Downloadable! (restricted)]
51-88 Pricing Path-Dependent Options On State Dependent Volatility Models With A Bessel Bridge
by Giuseppe Campolieti & Roman Makarov [Downloadable! (restricted)]
89-93 A Comment On Two-Phase Behavior Of Financial Markets
by Anthony E. Krzesinski & Andre Costa & Maya Ramakrishnan & Peter G. Taylor [Downloadable! (restricted)]
95-110 A Moment Matching Approach To The Valuation Of A Volume Weighted Average Price Option
by Antony William Stace [Downloadable! (restricted)]
111-127 Variance Term Structure And Vix Futures Pricing
by Yingzi Zhu & Jin E. Zhang [Downloadable! (restricted)]
129-154 Statistical Estimation Of Optimal Portfolios For Locally Stationary Returns Of Assets
by Hiroshi Shiraishi & Masanobu Taniguchi [Downloadable! (restricted)]
155-202 A Markovian Defaultable Term Structure Model With State Dependent Volatilities
by Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik SchlãGl [Downloadable! (restricted)]

2006, Volume 09, Issue 08

1201-1214 The Conglomerate Discount: A New Explanation Based On Credit Risk
by Manuel Ammann & Michael Verhofen [Downloadable! (restricted)]
1215-1243 Insider Trading Rules And Price Formation In Securities Markets: An Entropy Analysis Of Strategic Trading
by Karl Ludwig Keiber [Downloadable! (restricted)]
1245-1266 Pricing Options From The Point Of View Of A Trader
by Sasha F. Stoikov [Downloadable! (restricted)]
1267-1297 Optimal Multiple Stopping And Valuation Of Swing Options In LãVy Models
by Amina Bouzguenda Zeghal & Mohamed Mnif [Downloadable! (restricted)]
1299-1321 Pricing Flow Commodity Derivatives Using Fixed Income Market Techniques
by Juri Hinz & Martina Wilhelm [Downloadable! (restricted)]
1323-1350 A Numerical Method For Pricing American-Style Asian Options Under Garch Model
by Dan Shao [Downloadable! (restricted)]
1351-1375 Minimal Variance Hedging For Insider Trading
by Francesca Biagini & Bernt ÃKsendal [Downloadable! (restricted)]
1377-1396 The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil
by Benjamin M. Tabak [Downloadable! (restricted)]

2006, Volume 09, Issue 07

1009-1020 A Hidden Markov Approach To The Forward Premium Puzzle
by Robert J. Elliott & Bing Han [Downloadable! (restricted)]
1021-1050 Testing For Nonlinearity & Modeling Volatility In Emerging Capital Markets: The Case Of Tunisia
by Samir Saadi & Devinder Gandhi & Shantanu Dutta [Downloadable! (restricted)]
1051-1069 Optimal Hedging Of Derivatives With Transaction Costs
by Erik Aurell & Paolo Muratore-Ginanneschi [Downloadable! (restricted)]
1071-1091 Some Further Analytical Properties Of The Constant Correlation Model For Portfolio Selection
by Clarence C. Y. Kwan [Downloadable! (restricted)]
1093-1122 Self Exciting Threshold Interest Rates Models
by Marc Decamps & Marc Goovaerts & Wim Schoutens [Downloadable! (restricted)]
1123-1139 An Efficient Calibration Method For The Multi-Factor Libor Market Model And Its Application To The Japanese Market
by Hidetoshi Tanimura & Yuji Yamada [Downloadable! (restricted)]
1141-1177 A New Analytical Approximation Formula For The Optimal Exercise Boundary Of American Put Options
by Song-Ping Zhu [Downloadable! (restricted)]
1179-1199 The Exponent Expansion: An Effective Approximation Of Transition Probabilities Of Diffusion Processes And Pricing Kernels Of Financial Derivatives
by Luca Capriotti [Downloadable! (restricted)]

2006, Volume 09, Issue 06

825-841 Option Pricing For Garch Models With Markov Switching
by Robert J. Elliott & Tak Kuen Siu & Leunglung Chan [Downloadable! (restricted)]
843-867 A Quasi-Monte Carlo Algorithm For The Normal Inverse Gaussian Distribution And Valuation Of Financial Derivatives
by Fred Espen Benth & Martin Groth & Paul C. Kettler [Downloadable! (restricted)]
869-887 Stochastic Portfolio Optimization With Log Utility
by Tao Pang [Downloadable! (restricted)]
889-914 An Intensity-Based Approach To The Valuation Of Mortgage Contracts And Computation Of The Endogenous Mortgage Rate
by Yevgeny Goncharov [Downloadable! (restricted)]
915-949 Pricing Of First Touch Digitals Under Normal Inverse Gaussian Processes
by Oleg Kudryavtsev & Sergei Levendorskiç [Downloadable! (restricted)]
951-966 Optimal Constant-Rebalanced Portfolio Investment Strategies For Dynamic Portfolio Selection
by Zhong-Fei Li & Kai W. Ng & Ken Seng Tan & Hailiang Yang [Downloadable! (restricted)]
967-986 Symmetries In LãVy Term Structure Models
by Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon [Downloadable! (restricted)]
987-996 Monotonicity In The Volatility Of Single-Barrier Option Prices
by Jonatan Eriksson [Downloadable! (restricted)]
997-1007 A Note On Irreversible Investment, Hedging And Optimal Consumption Problems
by Vicky Henderson & David Hobson [Downloadable! (restricted)]

2006, Volume 09, Issue 05

643-671 Two-Component Extreme Value Distribution For Asia-Pacific Stock Index Returns
by Thierry Anã [Downloadable! (restricted)]
673-703 The Black Scholes Barenblatt Equation For Options With Uncertain Volatility And Its Application To Static Hedging
by Gunter H. Meyer [Downloadable! (restricted)]
705-746 Forward-Rate Volatilities And The Swaption Matrix: Why Neither Time-Homogeneity Nor Time-Dependence Are Enough
by Riccardo Rebonato [Downloadable! (restricted)]
747-775 An Analysis And Measurement Of Confidence Of Stock Investors In India
by Aman Srivastava [Downloadable! (restricted)]
777-785 Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold
by Erhan Bayraktar & Li Chen & H. Vincent Poor [Downloadable! (restricted)]
787-799 Long Memory And Sampling Frequencies: Evidence In Stock Index Futures Markets
by Shwu-Jane Shieh [Downloadable! (restricted)]
801-824 Values Of Mortgages With Top-Up Payment Options
by Rose Neng Lai & Seow Eng Ong & Tien Foo Sing [Downloadable! (restricted)]

2006, Volume 09, Issue 04

455-481 Monte Carlo Evaluation Of American Options Using Consumption Processes
by Denis Belomestny & Grigori N. Milstein [Downloadable! (restricted)]
483-501 An Analysis Of Asian Market Integration Pre- And Post-Crisis
by T. J. Brailsford & J. H. W. Penm & R. D. Terrell [Downloadable! (restricted)]
503-516 The Value Of Fighting Irreversible Demise By Softening The Irreversible Cost
by Paul Magis & Alessandro Sbuelz [Downloadable! (restricted)]
517-532 Pricing Participating Policies With Rate Guarantees
by Chi Chiu Chu & Yue Kuen Kwok [Downloadable! (restricted)]
533-553 Pricing And Hedging American Barrier Options By A Modified Binomial Method
by Marcellino Gaudenzi & Maria Antonietta Lepellere [Downloadable! (restricted)]
555-576 A Model For High Frequency Data Under Partial Information: A Filtering Approach
by Claudia Ceci & Anna Gerardi [Downloadable! (restricted)]
577-596 Bond Market Model
by Roberto Baviera [Downloadable! (restricted)]
597-618 Crash Hedging Strategies And Worst-Case Scenario Portfolio Optimization
by Olaf Menkens [Downloadable! (restricted)]
619-641 Optimal Portfolio Selection Strategies In The Presence Of Transaction Costs
by Qiang Meng & Ananda Weerasinghe [Downloadable! (restricted)]

2006, Volume 09, Issue 03

269-280 On Capital Structure, Risk Sharing And Capital Adequacy In Islamic Banks
by Simon Archer & Rifaat Ahmed Abdel Karim [Downloadable! (restricted)]
281-314 On Finite Dimensional Realizations For The Term Structure Of Futures Prices
by Tomas BjãRk & Magnus Blix & Camilla LandãN [Downloadable! (restricted)]
315-339 The Stochastic Intensity Ssrd Model Implied Volatility Patterns For Credit Default Swap Options And The Impact Of Correlation
by Damiano Brigo & Laurent Cousot [Downloadable! (restricted)]
341-358 Testing For Random Walk And Structural Breaks In Hedge Funds Returns
by Mario Cerrato & Andrea Iannelli [Downloadable! (restricted)]
359-372 Security Markets With Price Limits: A Bayesian Approach
by Arie Harel & Giora Harpaz [Downloadable! (restricted)]
373-400 Information, Model Performance, Pricing And Trading Measures In Incomplete Markets
by Jinggang Huang & Sven Sandow & Craig Friedman [Downloadable! (restricted)]
401-414 Numerical Solutions For The Cheridito-Soner-Touzi Super-Replication Model Under Gamma Constraints
by AgnãS Tourin [Downloadable! (restricted)]
415-453 Pricing And Hedging Convertible Bonds: Delayed Calls And Uncertain Volatility
by Ali Bora Yiç¦ItbaåIoç¦Lu & Carol Alexander [Downloadable! (restricted)]

2006, Volume 09, Issue 02

151-170 Optimal Timing Of The Annuity Purchase: Combined Stochastic Control And Optimal Stopping Problem
by Gabriele Stabile [Downloadable! (restricted)]
171-184 Generalized Singular Value Decomposition And Its Applications In Model Analysis
by Eugene V. Dulov & Humberto Sarria Zapata & Natalia A. Andrianova [Downloadable! (restricted)]
185-197 Pricing Derivatives On Two-Dimensional LãVy Processes
by Josã Fajardo & Ernesto Mordecki [Downloadable! (restricted)]
199-215 Would There Ever Be Consensus Value And Source Of The Equity Risk Premium? A Review Of The Extant Literature
by Oluwatobi Oyefeso [Downloadable! (restricted)]
217-226 Does The Application Of Innovative Internal Models Diminish Regulatory Capital?
by Lampros Kalyvas & Athanasios Sfetsos [Downloadable! (restricted)]
227-244 Technical Analysis Based On Price-Volume Signals And The Power Of Trading Breaks
by Frank H. Westerhoff [Downloadable! (restricted)]
245-268 Empirical Exercise Behavior Of Warrant Holders And Its Consequences For Warrant Values
by Christian Koziol [Downloadable! (restricted)]

2006, Volume 09, Issue 01

1-22 Exploring The Impact Of Calendar Effects On The Dynamic Structure And Forecasts Of Financial Time Series
by Catherine Kyrtsou & Alexandros Leontitsis & Costas Siriopoulos [Downloadable! (restricted)]
23-42 The Determinants Of Credit Default Swap Rates: An Explanatory Study
by Fathi Abid & Nader Naifar [Downloadable! (restricted)]

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