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Content
2015, Volume 02, Issue 01
- 1-15 Regulatory hypothesis and bank dividend payouts: Empirical evidence from Italian banking sector
by Badar Nadeem Ashraf & Sidra Arshad & Mohammad Morshedur Rahman & Muhammad Abdul Kamal & Khalid Khan - 1-16 Evaluating performance and efficiency of Asian banks
by Lung-Tan Lu - 1-17 The valuation of stochastic insurance liabilities using a structural model approach
by Masayasu Kanno - 1-18 Pricing interest rate derivatives with model risk
by Satoshi Hosokawa & Koichi Matsumoto - 1-21 Pricing method and applications for the farmer's joint liability based on intensity model and Monte Carlo simulation
by Sulin Pang & Jinwang Xiao & Shuqing Li - 1-25 Design and pricing of derivative contracts in a spectrum market
by Aparna Gupta & Koushik Kar & Praveen K. Muthuswamy - 1-31 Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
by Yifan Yang & Frank J. Fabozzi & Michele Leonardo Bianchi - 1-31 Comparison of commodity future pricing approaches with cointegration techniques
by Christian Stepanek - 1-32 Optimal derivative liquidation timing under path-dependent risk penalties
by Tim Leung & Yoshihiro Shirai
2014, Volume 01, Issue 04
- 1-2 Editorial
by George Yuan - 1-13 Pricing European options in a delay model with jumps
by Zaheer Imdad & Tusheng Zhang - 1-19 Game option models of convertible bonds: Determinants of call policies
by Yue Kuen Kwok - 1-19 Application of the algorithm based on the PSO and improved SVDD for the personal credit rating
by Sulin Pang & Shuqing Li & Jinwang Xiao - 1-29 Dynamic CRRA-utility indifference value in generalized Cox process model
by Kun Tian & Dewen Xiong & Zhongxing Ye - 1-29 Equilibrium analysis of one aggressive investment strategy
by Junya Jiang & Weidong Tian - 1-31 Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation
by Xiaolin Luo & Pavel V. Shevchenko - 1-35 CDS pricing with long memory via fractional Lévy processes
by Holger Fink & Christian Scherr - 1-46 Accounting for earnings announcements in the pricing of equity options
by Tim Leung & Marco Santoli
2014, Volume 01, Issue 03
- 1-8 The changing landscape for derivatives
by John Hull - 1-16 Dynamic alpha-stable method for CDO pricing
by Hua Li & George Yuan & Weina Chen & Li Guo & Jianbin Zhao - 1-17 Mitigating risk incentives by issuing convertible bonds: A refinement to the Black–Scholes evaluation model
by Masatoshi Miyake & Mei Yu & Hiroshi Inoue - 1-18 The economic default time and the arcsine law
by Xin Guo & Robert A. Jarrow & Adrien de Larrard - 1-19 Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code
by Bin Li & Qihe Tang & Lihe Wang & Xiaowen Zhou - 1-21 Optimal bank management under capital and liquidity constraints
by Fabian Astic & Agnès Tourin - 1-25 The impact of free cash flows and agency costs on firm performance — An empirical analysis of KSE listed companies of Pakistan
by Waqas Bin Khidmat & Mobeen Ur Rehman - 1-31 Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
by Hidetoshi Nakagawa & Hideyuki Takada
2014, Volume 01, Issue 02
- 1-9 Uniqueness of concentration index
by Yimin Yang - 1-16 Valuing American options by least-squares randomized quasi-Monte Carlo methods
by Xin-Yu Wu & Hai-Lin Zhou & Shou-Yang Wang - 1-17 Optimal trade execution under displaced diffusions dynamics across different risk criteria
by Damiano Brigo & Giuseppe Di Graziano - 1-19 Optimal portfolio formulas for some mean-reverting price models
by Srdjan Stojanovic - 1-23 A law of the iterated logarithm under sublinear expectations
by Zengjing Chen & Feng Hu - 1-23 Intercorporate default contagion from industry failures: Stress testing on creditee linkage networks of China
by Mingmin Yang & Haoyu Gao & Zhigang Cao & Xiaoguang Yang - 1-25 Equity-credit modeling under affine jump-diffusion models with jump-to-default
by Tsz Kin Chung & Yue Kuen Kwok - 1-37 On the optimal wealth process in a log-normal market: Applications to risk management
by Phillip Monin & Thaleia Zariphopoulou
2014, Volume 01, Issue 01
- 1-3 Editorial
by George Yuan - 1-6 Expected shortfall or median shortfall
by Steven Kou & Xianhua Peng - 1-19 An overview of the fundamental review of the trading book and its impact
by Yi Zhan - 1-19 First-order calculus and option pricing
by Peter Carr - 1-19 A methodology for allocating allowance for loan and lease losses (ALLL) under new regulatory environment
by Yimin Yang & Fang Du & Weixin Zhou - 1-22 Pricings and hedgings of the perpetual Russian options
by Weiping Li & Su Chen - 1-23 The framework of systemic risk related to contagion, recovery rate and capital requirement in an interbank network
by Xuemin Ren & George X. Yuan & Lishang Jiang - 1-23 Monotone schemes for fully nonlinear parabolic path dependent PDEs
by Jianfeng Zhang & Jia Zhuo - 1-24 Affine long term yield curves: An application of the Ramsey rule with progressive utility
by Nicole El Karoui & Caroline Hillairet & Mohamed Mrad - 1-31 Credit coordinate ratings with corresponding credit rating agencies and regulations
by Weiping Li - 1-34 A note on discounting and funding value adjustments for derivatives
by Meng Han & Yeqi He & Hu Zhang - 1-47 Transition probability matrix methodology for incremental risk charge
by Tzahi Yavin & Eugene Wang & Hu Zhang & Michael A. Clayton - 1-60 Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
by Damiano Brigo & Andrea Pallavicini