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Content
2008, Volume 11, Issue 06
- 597-610 Bounds On Option Prices In Point Process Diffusion Models
by Jean-Christophe Breton & Nicolas Privault - 611-634 Pricing And Hedging Of Portfolio Credit Derivatives With Interacting Default Intensities
by Rüdiger Frey & Jochen Backhaus - 635-656 A Hybrid-Form Model For The Prepayment-Risk-Neutral Valuation Of Mortgage-Backed Securities
by Andreas Kolbe & Rudi Zagst
2008, Volume 11, Issue 05
- 415-445 Scenarios For Price Determination In Incomplete Markets
by S. Z. Xanthopoulos & A. N. Yannacopoulos - 447-469 Measuring The Market Risk Of Freight Rates: A Value-At-Risk Approach
by Timotheos Angelidis & George Skiadopoulos - 471-501 A Fast, Stable And Accurate Numerical Method For The Black–Scholes Equation Of American Options
by Matthias Ehrhardt & Ronald E. Mickens - 503-528 Multi-Factor Jump-Diffusion Models Of Electricity Prices
by Thilo Meyer-Brandis & Peter Tankov - 529-544 Discount Curve Estimation By Monotonizing Mcculloch Splines
by Holger Dette & Daniel Ziggel
2008, Volume 11, Issue 04
- 345-362 Testing Ppp By Means Of Znz Patterned Vecm
by T. J. Brailsford & Jack Penm & R. D. Terrell - 363-380 Optimal Superhedging Under Non-Convex Constraints — A Bsde Approach
by Christian Bender & Michael Kohlmann - 381-401 Fourier Transform Method With An Asymptotic Expansion Approach: An Application To Currency Options
by Akihiko Takahashi & Kohta Takehara - 403-414 Hedging Under The Heston Model With Jump-To-Default
by Peter Carr & Wim Schoutens
2008, Volume 11, Issue 03
- 249-276 Estimation Of Optimal Portfolio Weights
by Yarema Okhrin & Wolfgang Schmid - 277-294 Foreign Exchange Options Under Stochastic Volatility And Stochastic Interest Rates
by Rehez Ahlip - 295-323 Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets
by Alexander Melnikov & Yuliya Romanyuk - 325-343 Equilibrium Prices For Monetary Utility Functions
by Damir Filipović & Michael Kupper
2008, Volume 11, Issue 02
- 143-162 Insider Trading And Voluntary Disclosure
by Philippe Grégoire - 163-197 A New Framework For Dynamic Credit Portfolio Loss Modelling
by Jakob Sidenius & Vladimir Piterbarg & Leif Andersen - 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 - 225-247 Optimal Credit Ratings
by Sebastian Herzog & Christian Koziol & Tim Thabe
2008, Volume 11, Issue 01
- 1-18 A Multivariate Variance Gamma Model For Financial Applications
by Patrizia Semeraro - 19-54 Desirable Properties Of An Ideal Risk Measure In Portfolio Theory
by Svetlozar Rachev & Sergio Ortobelli & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova - 55-85 The Least Cost Super Replicating Portfolio In The Boyle–Vorst Model With Transaction Costs
by Guan-Yu Chen & Ken Palmer & Yuan-Chung Sheu - 87-106 A Shot Noise Model For Financial Assets
by Timo Altmann & Thorsten Schmidt & Winfried Stute - 107-142 Information-Based Asset Pricing
by Dorje C. Brody & Lane P. Hughston & Andrea Macrina
2007, Volume 10, Issue 08
- 1261-1285 Pde Approach To The Valuation And Hedging Of Basket Credit Derivatives
by Marek Rutkowski & Khan Yousiph - 1287-1304 Multivariate Integral Perturbation Techniques I: Theory
by Jan W. Dash - 1305-1321 On Some Inconsistencies In Modeling Credit Portfolio Products
by Frank J. Fabozzi & Radu Tunaru - 1323-1337 Term Structure Of Vanilla Options
by Dorje C. Brody & Irene C. Constantinou & Bernhard K. Meister - 1339-1364 Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps
by Morten Mosegaard Christensen & Eckhard Platen
2007, Volume 10, Issue 07
- 1111-1135 Energy Spot Price Models And Spread Options Pricing
by Samuel Hikspoors & Sebastian Jaimungal - 1137-1157 Option Betas: Risk Measures For Options
by Nicole Branger & Christian Schlag - 1159-1190 Equilibrium With Excessive Holdings Constraint: An Application To Dc Pension Plans
by Issouf Soumaré - 1191-1202 A Simple American Option Pricing Method Using The Fast Fourier Transform
by Suneal K. Chaudhary - 1203-1227 Calculating The Early Exercise Boundary Of American Put Options With An Approximation Formula
by Song-Ping Zhu & Zhi-Wei He - 1229-1253 A Continuous Time Approximation Of An Evolutionary Stock Market Model
by Boris Buchmann & Stefan Weber - 1255-1260 Erratum: "Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy"
by Michael A. H. Dempster & Elena A. Medova & Seung W. Yang
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 - 939-965 The Equity Premium Puzzle And Emotional Asset Pricing
by Marc Gürtler & Nora Hartmann - 967-984 A General Framework For High Yield Bond Investment
by Ralf Korn & Helen Kovilyanskaya - 985-1014 Uncertainty Aversion, Robust Control And Asset Holdings With A Stochastic Investment Opportunity Set
by Giannis Vardas & Anastasios Xepapadeas - 1015-1042 Optimal Portfolio Construction Under Partial Information For A Balanced Fund
by Simon Keel & Florian Herzog & Hans P. Geering & Lorenz M. Schumann - 1043-1075 A Comparison Of Some Univariate Models For Value-At-Risk And Expected Shortfall
by Carlo Marinelli & Stefano D'Addona & Svetlozar T. Rachev - 1077-1094 Testing Weak-Form Market Efficiency In Emerging Market: Evidence From Botswana Stock Exchange
by A. Sabur Mollah - 1095-1109 A Maximal Predictability Portfolio Model: Algorithm And Performance Evaluation
by Rei Yamamoto & Daisuke Ishii & Hiroshi Konno
2007, Volume 10, Issue 05
- 763-770 Public Debt Management And Foreign Currency Denominated Bonds
by Silvia Ceccacci & Alessandro Marchesiani & Lorenzo Pecchi - 771-800 Malliavin Calculus For The Estimation Of Time-Varying Regression Models Used In Financial Applications
by Ahmed Abutaleb & Michael G. Papaioannou - 801-815 Margin Trading Through Hyper Timeline
by Siu-Ah Ng - 817-835 On The Asymptotics Of Fast Mean-Reversion Stochastic Volatility Models
by Max O. Souza & Jorge P. Zubelli - 837-846 Barrier Probabilities And Maximum Severity Of Ruin For A Renewal Risk Model
by K. K. Thampi & M. J. Jacob & N. Raju - 847-872 Black–Scholes–Merton In Random Time: A New Stochastic Volatility Model With Path Dependence
by Dmitry Ostrovsky - 873-885 Quadratic Hedging For The Bates Model
by Friedrich Hubalek & Carlo Sgarra - 887-914 Cross Hedging Within A Log Mean Reverting Model
by Samuel Njoh
2007, Volume 10, Issue 04
- 593-606 Lévy Simple Structural Models
by Martin Baxter - 607-631 Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - 633-652 Stochastic Intensity Modeling For Structured Credit Exotics
by Alexander Chapovsky & Andrew Rennie & Pedro Tavares - 653-678 Large Portfolio Credit Risk Modeling
by Mark H. A. Davis & Juan Carlos Esparragoza-Rodriguez - 679-701 Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy
by Michael A. H. Dempster & Elena A. Medova & Seung W. Yang - 703-731 Pricing And Hedging In A Dynamic Credit Model
by Youssef Elouerkhaoui - 733-748 Joint Distributions Of Portfolio Losses And Exotic Portfolio Products
by Friedel Epple & Sam Morgan & Lutz Schloegl - 749-761 On The Term Structure Of Loss Distributions: A Forward Model Approach
by Jakob Sidenius
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 - 407-435 Defaultable Lévy Libor Rates And Credit Derivatives
by Florian Huehne - 437-447 The Linear Dependence And Feedback Spectra Between Stock Market And Economy
by Xia Pan - 449-474 On Portfolio Selection Under Extreme Risk Measure: The Heavy-Tailed Ica Model
by Stéphan Clémençon & Skander Slim - 475-503 An Approximate Approach To The Exponential Utility Indifference Valuation
by Takuji Arai - 505-516 Kernel-Based Semi-Log-Optimal Empirical Portfolio Selection Strategies
by László Györfi & András Urbán & István Vajda - 517-534 Hedging Volatility Risk: The Effectiveness Of Volatility Options
by Yunbi An & Ata Assaf & Jun Yang - 535-555 An Equilibrium-Based Model Of Stock-Pinning
by Suhas Nayak - 557-589 An Extension Of The Brody–Hughston–Macrina Approach To Modeling Of Defaultable Bonds
by Marek Rutkowski & Nannan Yu
2007, Volume 10, Issue 02
- 203-233 Stochastic Model Predictive Control And Portfolio Optimization
by Florian Herzog & Gabriel Dondi & Hans P. Geering - 235-249 The Relative Risk Performance Of Islamic Finance: A New Guide To Less Risky Investments
by Haitham A. Al-Zoubi & Aktham I. Maghyereh - 251-271 The Market Reaction To Stock Splits — Evidence From India
by A. K. Mishra - 273-306 On Errors And Bias Of Fourier Transform Methods In Quadratic Term Structure Models
by Nina Boyarchenko & Sergei Levendorskiǐ - 307-329 Time Varying Sensitivities On A Grid Architecture
by Stefano D'Addona & Mattia Ciprian - 331-361 Componentwise Splitting Methods For Pricing American Options Under Stochastic Volatility
by Samuli Ikonen & Jari Toivanen - 363-387 Valuation Of Guaranteed Annuity Options In Affine Term Structure Models
by Chi Chiu Chu & Yue Kuen Kwok - 389-397 Fair Actuarial Values For Deductible Insurance Policies In The Presence Of Parameter Uncertainty
by Arie Harel & Giora Harpaz
2007, Volume 10, Issue 01
- 1-21 Explicit Solutions For A Nonlinear Model Of Financial Derivatives
by L. A. Bordag & A. Y. Chmakova - 23-30 Modern Logarithms For The Heston Model
by Ingo Fahrner - 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 - 51-88 Pricing Path-Dependent Options On State Dependent Volatility Models With A Bessel Bridge
by Giuseppe Campolieti & Roman Makarov - 89-93 A Comment On Two-Phase Behavior Of Financial Markets
by Anthony E. Krzesinski & Andre Costa & Maya Ramakrishnan & Peter G. Taylor - 95-110 A Moment Matching Approach To The Valuation Of A Volume Weighted Average Price Option
by Antony William Stace - 111-127 Variance Term Structure And Vix Futures Pricing
by Yingzi Zhu & Jin E. Zhang - 129-154 Statistical Estimation Of Optimal Portfolios For Locally Stationary Returns Of Assets
by Hiroshi Shiraishi & Masanobu Taniguchi - 155-202 A Markovian Defaultable Term Structure Model With State Dependent Volatilities
by Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl
2006, Volume 09, Issue 08
- 1201-1214 The Conglomerate Discount: A New Explanation Based On Credit Risk
by Manuel Ammann & Michael Verhofen - 1215-1243 Insider Trading Rules And Price Formation In Securities Markets: An Entropy Analysis Of Strategic Trading
by Karl Ludwig Keiber - 1245-1266 Pricing Options From The Point Of View Of A Trader
by Sasha F. Stoikov - 1267-1297 Optimal Multiple Stopping And Valuation Of Swing Options In Lévy Models
by Amina Bouzguenda Zeghal & Mohamed Mnif - 1299-1321 Pricing Flow Commodity Derivatives Using Fixed Income Market Techniques
by Juri Hinz & Martina Wilhelm - 1323-1350 A Numerical Method For Pricing American-Style Asian Options Under Garch Model
by Dan Shao - 1351-1375 Minimal Variance Hedging For Insider Trading
by Francesca Biagini & Bernt Øksendal - 1377-1396 The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil
by Benjamin M. Tabak
2006, Volume 09, Issue 07
- 1009-1020 A Hidden Markov Approach To The Forward Premium Puzzle
by Robert J. Elliott & Bing Han - 1021-1050 Testing For Nonlinearity & Modeling Volatility In Emerging Capital Markets: The Case Of Tunisia
by Samir Saadi & Devinder Gandhi & Shantanu Dutta - 1051-1069 Optimal Hedging Of Derivatives With Transaction Costs
by Erik Aurell & Paolo Muratore-Ginanneschi - 1071-1091 Some Further Analytical Properties Of The Constant Correlation Model For Portfolio Selection
by Clarence C. Y. Kwan - 1093-1122 Self Exciting Threshold Interest Rates Models
by Marc Decamps & Marc Goovaerts & Wim Schoutens - 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 - 1141-1177 A New Analytical Approximation Formula For The Optimal Exercise Boundary Of American Put Options
by Song-Ping Zhu - 1179-1199 The Exponent Expansion: An Effective Approximation Of Transition Probabilities Of Diffusion Processes And Pricing Kernels Of Financial Derivatives
by Luca Capriotti
2006, Volume 09, Issue 06
- 825-841 Option Pricing For Garch Models With Markov Switching
by Robert J. Elliott & Tak Kuen Siu & Leunglung Chan - 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 - 869-887 Stochastic Portfolio Optimization With Log Utility
by Tao Pang - 889-914 An Intensity-Based Approach To The Valuation Of Mortgage Contracts And Computation Of The Endogenous Mortgage Rate
by Yevgeny Goncharov - 915-949 Pricing Of First Touch Digitals Under Normal Inverse Gaussian Processes
by Oleg Kudryavtsev & Sergei Levendorskiǐ - 951-966 Optimal Constant-Rebalanced Portfolio Investment Strategies For Dynamic Portfolio Selection
by Zhong-Fei Li & Kai W. Ng & Ken Seng Tan & Hailiang Yang - 967-986 Symmetries In Lévy Term Structure Models
by Ernst Eberlein & Wolfgang Kluge & Antonis Papapantoleon - 987-996 Monotonicity In The Volatility Of Single-Barrier Option Prices
by Jonatan Eriksson - 997-1007 A Note On Irreversible Investment, Hedging And Optimal Consumption Problems
by Vicky Henderson & David Hobson
2006, Volume 09, Issue 05
- 643-671 Two-Component Extreme Value Distribution For Asia-Pacific Stock Index Returns
by Thierry Ané - 673-703 The Black Scholes Barenblatt Equation For Options With Uncertain Volatility And Its Application To Static Hedging
by Gunter H. Meyer - 705-746 Forward-Rate Volatilities And The Swaption Matrix: Why Neither Time-Homogeneity Nor Time-Dependence Are Enough
by Riccardo Rebonato - 747-775 An Analysis And Measurement Of Confidence Of Stock Investors In India
by Aman Srivastava - 777-785 Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold
by Erhan Bayraktar & Li Chen & H. Vincent Poor - 787-799 Long Memory And Sampling Frequencies: Evidence In Stock Index Futures Markets
by Shwu-Jane Shieh - 801-824 Values Of Mortgages With Top-Up Payment Options
by Rose Neng Lai & Seow Eng Ong & Tien Foo Sing
2006, Volume 09, Issue 04
- 455-481 Monte Carlo Evaluation Of American Options Using Consumption Processes
by Denis Belomestny & Grigori N. Milstein - 483-501 An Analysis Of Asian Market Integration Pre- And Post-Crisis
by T. J. Brailsford & J. H. W. Penm & R. D. Terrell - 503-516 The Value Of Fighting Irreversible Demise By Softening The Irreversible Cost
by Paul Magis & Alessandro Sbuelz - 517-532 Pricing Participating Policies With Rate Guarantees
by Chi Chiu Chu & Yue Kuen Kwok - 533-553 Pricing And Hedging American Barrier Options By A Modified Binomial Method
by Marcellino Gaudenzi & Maria Antonietta Lepellere - 555-576 A Model For High Frequency Data Under Partial Information: A Filtering Approach
by Claudia Ceci & Anna Gerardi - 577-596 Bond Market Model
by Roberto Baviera - 597-618 Crash Hedging Strategies And Worst-Case Scenario Portfolio Optimization
by Olaf Menkens - 619-641 Optimal Portfolio Selection Strategies In The Presence Of Transaction Costs
by Qiang Meng & Ananda Weerasinghe
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 - 281-314 On Finite Dimensional Realizations For The Term Structure Of Futures Prices
by Tomas Björk & Magnus Blix & Camilla Landén - 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 - 341-358 Testing For Random Walk And Structural Breaks In Hedge Funds Returns
by Mario Cerrato & Andrea Iannelli - 359-372 Security Markets With Price Limits: A Bayesian Approach
by Arie Harel & Giora Harpaz - 373-400 Information, Model Performance, Pricing And Trading Measures In Incomplete Markets
by Jinggang Huang & Sven Sandow & Craig Friedman - 401-414 Numerical Solutions For The Cheridito-Soner-Touzi Super-Replication Model Under Gamma Constraints
by Agnès Tourin - 415-453 Pricing And Hedging Convertible Bonds: Delayed Calls And Uncertain Volatility
by Ali Bora Yiǧitbaşioǧlu & Carol Alexander
2006, Volume 09, Issue 02
- 151-170 Optimal Timing Of The Annuity Purchase: Combined Stochastic Control And Optimal Stopping Problem
by Gabriele Stabile - 171-184 Generalized Singular Value Decomposition And Its Applications In Model Analysis
by Eugene V. Dulov & Humberto Sarria Zapata & Natalia A. Andrianova - 185-197 Pricing Derivatives On Two-Dimensional Lévy Processes
by José Fajardo & Ernesto Mordecki - 199-215 Would There Ever Be Consensus Value And Source Of The Equity Risk Premium? A Review Of The Extant Literature
by Oluwatobi Oyefeso - 217-226 Does The Application Of Innovative Internal Models Diminish Regulatory Capital?
by Lampros Kalyvas & Athanasios Sfetsos - 227-244 Technical Analysis Based On Price-Volume Signals And The Power Of Trading Breaks
by Frank H. Westerhoff - 245-268 Empirical Exercise Behavior Of Warrant Holders And Its Consequences For Warrant Values
by Christian Koziol
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 - 23-42 The Determinants Of Credit Default Swap Rates: An Explanatory Study
by Fathi Abid & Nader Naifar - 43-68 An Infinite Factor Model For Credit Risk
by Thorsten Schmidt - 69-89 A Numerical Analysis Of The Extended Black–Scholes Model
by Sergio Albeverio & Alex Popovici & Victoria Steblovskaya - 91-111 The Opinion Game: Stock Price Evolution From Microscopic Market Modeling
by Anton Bovier & Jiří Černý & Ostap Hryniv - 113-132 Cluster Analysis For Non-Gaussian Locally Stationary Processes
by Junichi Hirukawa - 133-150 Prediction Of Financial Distress By Multivariate Statistical Analysis: The Case Of Firms Taken Into The Surveillance Market In The Istanbul Stock Exchange
by Serpil Canbaş & Yildirim B. Önal & Hatice G. Düzakin & Süleyman B. Kiliç
2005, Volume 08, Issue 08
- 999-1018 A Common Market Measure For Libor And Pricing Caps, Floors And Swaps In A Field Theory Of Forward Interest Rates
by Belal E. Baaquie - 1019-1057 Analytic Backward Induction Of Option Cash Flows: A New Application Paradigm For The Markovian Interest Rate Models
by Junwu Gan - 1059-1083 Closed Form Solutions For Quadratic And Inverse Quadratic Term Structure Models
by Peter Laurence & Tai-Ho Wang - 1085-1106 Implied Volatility Trees And Pricing Performance: Evidence From The S&P 100 Options
by Charilaos E. Linaras & George Skiadopoulos - 1107-1133 The Proper Use Of Risk Measures In Portfolio Theory
by Sergio Ortobelli & Svetlozar T. Rachev & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova - 1135-1155 The Impact Of Stock Returns Volatility On Credit Default Swap Rates: A Copula Study
by Fathi Abid & Nader Naifar - 1157-1177 Currency Derivatives Under A Minimal Market Model With Random Scaling
by David Heath & Eckhard Platen
2005, Volume 08, Issue 07
- 839-869 A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk
by Shu Wu & Yong Zeng - 871-913 Optimal Investment Decisions For A Portfolio With A Rolling Horizon Bond And A Discount Bond
by Tomasz R. Bielecki & Stanley Pliska & Jiongmin Yong - 915-932 Equilibrium Conditions Of Forward Exchange Market Expressed In A Simple Geometric Structure
by Jianguo Chen & Lloyd P. Blenman - 933-946 Experts' Earning Forecasts: Bias, Herding And Gossamer Information
by Olivier Guedj & Jean-Philippe Bouchaud - 947-958 Short- And Long-Term Effects Of The 9/11 Event: The International Evidence
by Vincent Richman & Michael R. Santos & John T. Barkoulas - 959-988 Pricing Precipitation Based Derivatives
by René Carmona & Pavel Diko - 989-998 A Constrained Least Square Method For Estimating A Smooth, Nonnegative Forward Rate Sequence
by Hiroshi Konno & Sumito Ito
2005, Volume 08, Issue 06
- 675-691 Measuring The Memory Parameter On Several Transformations Of Asset Returns
by L. A. Gil-Alana - 693-716 Financial Market Model With Influential Informed Investors
by Axel Grorud & Monique Pontier - 717-735 An Alternative Interest Rate Term Structure Model
by Eckhard Platen - 737-761 A Merton-Model Approach To Assessing The Default Risk Of Uk Public Companies
by M. Tudela & G. Young - 763-789 Maximizing The Probability Of A Perfect Hedge Using An Imperfectly Correlated Instrument
by David Hobson & Jeremy Penn - 791-806 Parameter Estimation For A Regime-Switching Mean-Reverting Model With Jumps
by Ping Wu & Robert J. Elliott - 807-838 Partial Information And Hazard Process
by Monique Jeanblanc & Stoyan Valchev
2005, Volume 08, Issue 05
- 537-551 Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors
by Jules Sadefo Kamdem - 553-574 Localized Monte Carlo Algorithm To Compute Prices Of Path Dependent Options On Trees
by Sebastian E. Ferrando & Ariel J. Bernal - 575-601 Implied Kernel Models
by Peter Weigel - 603-622 Interrelationships Among International Stock Market Indices: Europe, Asia And The Americas
by Adel Sharkasi & Heather J. Ruskin & Martin Crane - 623-633 An Infinitesimal Analysis Of The Stop-Loss-Start-Gain Strategy
by Siu-Ah Ng - 635-658 A Forward Looking, Singular Perturbation Approach To Pricing Options Under Market Uncertainty And Trading Noise
by Jorge R. Sobehart - 659-674 Valuation Of Employee Reload Options Using Utility Maximization Approach
by Ka Wo Lau & Yue Kuen Kwok
2005, Volume 08, Issue 04
- 409-423 A Mean-Variance-Skewness Model: Algorithm And Applications
by Hiroshi Konno & Rei Yamamoto - 425-443 Some Remarks On Mean-Variance Hedging For Discontinuous Asset Price Processes
by Takuji Arai - 445-462 First Passage Times For Risk-Tracking Proxies
by Victor Vaugirard - 463-482 Optimal Contingent Claims And Consumption
by Daheng Peng & Maoan Han - 483-508 Partial Equilibrium And Market Completion
by Ying Hu & Peter Imkeller & Matthias Müller - 509-521 Could Short Selling Make Financial Markets Tumble?
by Jørgen Vitting Andersen - 523-536 A Note On Asset Bubbles In Continuous-Time
by Gianluca Cassese
2005, Volume 08, Issue 03
- 283-300 Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic
by Erhan Bayraktar & H. Vincent Poor - 301-319 Optimal Logarithmic Utility And Optimal Portfolios For An Insider In A Stochastic Volatility Market
by Christian-Oliver Ewald - 321-338 Pricing Credit Risk Of Asset-Backed Securitization Bonds In Singapore
by Tien Foo Sing & Seow Eng Ong & Gang-Zhi Fan & Kian Guan Lim - 339-355 Inflation Regimes And Price-Setting Interactions
by Edoardo Gaffeo - 357-380 Modeling Term Structure Dynamics: An Infinite Dimensional Approach
by Rama Cont - 381-392 Long Memory Stochastic Volatility In Option Pricing
by Sergei Fedotov & Abby Tan - 393-407 Hedging Double Barriers With Singles
by Alessandro Sbuelz
2005, Volume 08, Issue 02
- 141-159 Calibrated Option Bounds
by Alan J. King & Matti Koivu & Teemu Pennanen - 161-184 Affine Processes, Arbitrage-Free Term Structures Of Legendre Polynomials, And Option Pricing
by Caio Ibsen Rodrigues De Almeida - 185-206 Optimal Investment Strategy Via Interval Arithmetic
by Benito Stradi & Emmanuel Haven - 207-221 Computation Of Local Volatilities From Regularized Dupire Equations
by Martin Hanke & Elisabeth Rösler - 223-238 Affine Lattice Models
by Claudio Albanese & Alexey Kuznetsov - 239-253 The Forward Pde For European Options On Stocks With Fixed Fractional Jumps
by Peter Carr & Alireza Javaheri