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Content
March 2014, Volume 14, Issue 3
- 409-426 Pricing American options written on two underlying assets
by Carl Chiarella & Jonathan Ziveyi - 427-442 Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
by Igor Halperin & Andrey Itkin - 443-456 Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model
by Cyrille Dubarry & Randal Douc - 457-480 Stochastic volatility for interest rate derivatives
by Linus Kaisajuntti & Joanne Kennedy - 481-494 Multiplicative noise, fast convolution and pricing
by Giacomo Bormetti & Sofia Cazzaniga - 495-507 Refining the least squares Monte Carlo method by imposing structure
by Pascal L�tourneau & Lars Stentoft - 509-528 A bifurcation model of market returns
by David Nawrocki & Tonis Vaga - 529-543 Three-point approach for estimating integrated volatility and integrated covariance
by Jying-Nan Wang - 545-555 Subprime mortgage funding and liquidity risk
by M.A. Petersen & B. De Waal & J. Mukuddem-Petersen & M.P. Mulaudzi
February 2014, Volume 14, Issue 2
- 189-197 The market pricing of the lifeboat provision in a closed-end fund
by Chunyang Zhou & Chongfeng Wu & Wenfeng Wu - 199-210 Parsimonious HJM modelling for multiple yield curve dynamics
by N. Moreni & A. Pallavicini - 211-212 Market Liquidity: Asset Pricing, Risk, and Crises
by Robert Korajczyk - 217-235 Longevity hedge effectiveness: a decomposition
by Andrew J.G. Cairns & Kevin Dowd & David Blake & Guy D. Coughlan - 237-258 On efficiency of mean--variance based portfolio selection in defined contribution pension schemes
by Elena Vigna - 259-270 Valuing clustering in catastrophe derivatives
by Sebastian Jaimungal & Yuxiang Chong - 271-291 Estimation methods for expected shortfall
by Saralees Nadarajah & Bo Zhang & Stephen Chan - 293-304 Estimation of tail-related value-at-risk measures: range-based extreme value approach
by Heng-Chih Chou & David K. Wang - 305-325 How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
by Jung-Bin Su - 327-342 The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
by Jing Li & Alexander Szimayer - 343-356 Bayesian analysis of equity-linked savings contracts with American-style options
by Arto Luoma & Anne Puustelli & Lasse Koskinen - 357-368 Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
by Filip Uzelac & Alexander Szimayer - 369-382 Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
by Ryan Donnelly & Sebastian Jaimungal & Dmitri H. Rubisov
January 2014, Volume 14, Issue 1
- 1-13 The role of volatility regimes on volatility transmission patterns
by Nikos Nomikos & Enrique Salvador - 15-23 The fair value of FX options. Do you get what you pay for?
by Vincent Charvin & Jonathan Fullwood & Jessica James - 25-26 Oxford Handbook of Credit Derivatives
by Dominic O'Kane - 29-58 Robust risk measurement and model risk
by Paul Glasserman & Xingbo Xu - 59-71 Arbitrage-free SVI volatility surfaces
by Jim Gatheral & Antoine Jacquier - 73-85 Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization
by Jian Geng & I. Michael Navon & Xiao Chen - 87-99 Bridge homogeneous volatility estimators
by A. Saichev & D. Sornette & V. Filimonov & F. Corsi - 101-110 Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities
by Jimmy E. Hilliard - 111-123 Do affine jump-diffusion models require global calibration? Empirical studies from option markets
by Seungho Yang & Jaewook Lee - 125-141 Risk adjustments of option prices under time-changed dynamics
by E. Nicolato & D. Sloth - 143-170 Option pricing with realistic ARCH processes
by Gilles Zumbach & Luis Fern�ndez - 171-188 Pricing credit default swaps with bilateral value adjustments
by Alexander Lipton & Ioana Savescu
December 2013, Volume 14, Issue 8
- 1327-1331 How to make Dupire's local volatility work with jumps
by Peter K. Friz & Stefan Gerhold & Marc Yor - 1415-1426 Bayesian testing volatility persistence in stochastic volatility models with jumps
by Xiao-Bin Liu & Yong Li - 1479-1488 On a continuous time stock price model with regime switching, delay, and threshold
by Pedro P. Mota & Manuel L. Esqu�vel
October 2013, Volume 14, Issue 8
- 1367-1382 Pricing barrier stock options with discrete dividends by approximating analytical formulae
by Tian-Shyr Dai & Chun-Yuan Chiu
July 2013, Volume 14, Issue 8
- 1337-1365 Pricing discrete barrier options and credit default swaps under L�vy processes
by Marco De Innocentis & Sergei Levendorskiĭ - 1427-1444 Jump detection with wavelets for high-frequency financial time series
by Yi Xue & Ramazan Gen�ay & Stephen Fagan
August 2013, Volume 14, Issue 8
- 1399-1414 Gradient-based simulated maximum likelihood estimation for L�vy-driven Ornstein-Uhlenbeck stochastic volatility models
by Yi-Jie Peng & Michael C. Fu & Jian-Qiang Hu - 1467-1477 Forecasting forward defaults: a simple hazard model with competing risks
by Ruey-Ching Hwang & Chih-Kang Chu
September 2013, Volume 14, Issue 8
- 1315-1322 Asian options on the harmonic average
by Jan Vecer
December 2013, Volume 13, Issue 12
- 1845-1854 On pricing basket credit default swaps
by Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu & Harry Zheng - 1855-1861 Pricing corporate debt with finite maturity and chapter 11 proceedings
by Min Dai & Lishang Jiang & Jianwei Lin - 1863-1865 Counterparty Credit Risk
by Samim Ghamami - 1871-1889 Credit gap risk in a first passage time model with jumps
by Natalie Packham & Lutz Schloegl & Wolfgang M. Schmidt - 1891-1902 Default probability estimation in small samples--with an application to sovereign bonds
by Walter Orth - 1903-1913 The impact of different correlation approaches on valuing credit default swaps with counterparty risk
by Gunter Meissner & Seth Rooder & Kristofor Fan - 1915-1923 Measuring marginal risk contributions in credit portfolios
by Thomas Siller - 1925-1934 Interest rates and default in unsecured loan markets
by Jose Angelo Divino & Edna Souza Lima & Jaime Orrillo - 1935-1946 A collateralized loan's loss under a quadratic Gaussian default intensity process
by Satoshi Yamashita & Toshinao Yoshiba - 1947-1965 Forecasting credit ratings with the varying-coefficient model
by Ruey-Ching Hwang - 1967-1975 On the conditional default probability in a regulated market with jump risk
by Lijun Bo & Xindan Li & Yongjin Wang & Xuewei Yang - 1977-1989 Modeling of commercial real estate credit risks
by Yong Kim - 1991-2010 Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure
by Gian Luca Tassinari & Corrado Corradi
November 2013, Volume 13, Issue 11
- 1677-1689 Mathematical definition, mapping, and detection of (anti)fragility
by N. N. Taleb & R. Douady - 1691-1692 Antifragile: Things That Gain from Disorder
by Jeff Holman - 1693-1695 Anti-fragile: How to Live in a World We Don't Understand
by Con Keating - 1697-1706 The reactive volatility model
by Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu - 1709-1742 Limit order books
by Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison - 1743-1758 How efficiency shapes market impact
by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Henri Waelbroeck - 1759-1778 The non-linear market impact of large trades: evidence from buy-side order flow
by Nataliya Bershova & Dmitry Rakhlin - 1779-1799 Rebuilding the limit order book: sequential Bayesian inference on hidden states
by Hugh L. Christensen & Richard E. Turner & Simon I. Hill & Simon J. Godsill - 1801-1812 Smooth and bid-offer compliant volatility surfaces under general dividend streams
by Olivier Bachem & Gabriel Drimus & Walter Farkas - 1813-1829 Fast Ninomiya--Victoir calibration of the double-mean-reverting model
by Christian Bayer & Jim Gatheral & Morten Karlsmark - 1831-1843 American option valuation using first-passage densities
by �scar Guti�rrez
October 2013, Volume 13, Issue 10
- 1503-1518 Do sovereign wealth funds herd in equity markets?
by Valeria Miceli - 1519-1528 Investment instruments with volatility target mechanism
by S. Albeverio & V. Steblovskaya & K. Wallbaum - 1529-1530 Pension Finance: Putting the Risks and Costs of Defined Benefit Plans Back Under Your Control
by Vadim Gracie - 1533-1545 Minimizing shortfall
by Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud - 1547-1558 A stochastic volatility model and optimal portfolio selection
by Xudong Zeng & Michael Taksar - 1559-1573 Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
by Akihiko Takahashi & Kyo Yamamoto - 1575-1586 Efficient portfolio valuation incorporating liquidity risk
by Yu Tian & Ron Rood & Cornelis W. Oosterlee - 1587-1597 Performance analysis of log-optimal portfolio strategies with transaction costs
by Mih�ly Ormos & Andr�s Urb�n - 1599-1612 Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
by Isabelle Bajeux-Besnainou & Roland Portait & Guillaume Tergny - 1613-1620 Market timing ability and mutual funds: a heterogeneous agent approach
by Bart Frijns & Aaron Gilbert & Remco C.J. Zwinkels - 1621-1635 Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
by Jun-Ya Gotoh & Keita Shinozaki & Akiko Takeda - 1637-1651 Reliability-based portfolio optimization with conditional value at risk (CVaR)
by Raghu Nandan Sengupta & Siddharth Sahoo - 1653-1673 Extension of the random matrix theory to the L-moments for robust portfolio selection
by Ghislain Yanou
September 2013, Volume 13, Issue 9
- 1331-1342 Good times, bad times: inflation uncertainty and equity returns
by Victoria Galsband - 1343-1352 Impact of meta-order in the Minority Game
by A. C. Barato & I. Mastromatteo & M. Bardoscia & M. Marsili - 1353-1355 Numerical Solution of Stochastic Differential Equations with Jumps in Finance
by Andrew Papanicolaou - 1359-1373 A moment matching market implied calibration
by Florence Guillaume & Wim Schoutens - 1375-1394 Relative forecasting performance of volatility models: Monte Carlo evidence
by Thomas Lux & Leonardo Morales-Arias - 1395-1409 Optimal trade execution under price-sensitive risk preferences
by Stefan Ankirchner & Thomas Kruse - 1411-1430 Pairs trading based on statistical variability of the spread process
by Timofei Bogomolov - 1431-1442 Modeling trade duration in U.S. Treasury markets
by Mardi Dungey & Olan Henry & Michael Mckenzie - 1443-1457 Block bootstrap methods and the choice of stocks for the long run
by Philippe Cogneau & Valeri Zakamouline - 1459-1471 A mean/variance approach to long-term fixed-income portfolio allocation
by Gilles Zumbach - 1473-1489 Time consistency of dynamic risk measures in markets with transaction costs
by Zachary Feinstein & Birgit Rudloff - 1491-1502 Revisiting the demand for money function: evidence from the random coefficients approach
by Chien-Chiang Lee & An-Hsing Chang
July 2013, Volume 13, Issue 8
- 1149-1155 Free boundary problems and perpetual American strangles
by Ming-Chi Chang & Yuan-Chung Sheu - 1157-1165 Option pricing under hybrid stochastic and local volatility
by Sun-Yong Choi & Jean-Pierre Fouque & Jeong-Hoon Kim - 1173-1184 On the performance of delta hedging strategies in exponential L�vy models
by Stephan Denkl & Martina Goy & Jan Kallsen & Johannes Muhle-Karbe & Arnd Pauwels - 1185-1197 Using relative returns to accommodate fat-tailed innovations in processes and option pricing
by Cathy O'Neil & Gilles Zumbach - 1199-1209 Pricing levered warrants with dilution using observable variables
by Isabel ABÍNZANO & Javier F. Navas - 1211-1223 A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk
by Yung-Ming Shiu & Pai-Lung Chou & Jen-Wen Sheu - 1225-1240 Are Chinese warrants derivatives? Evidence from connections to their underlying stocks
by Ke Tang & Changyun Wang - 1241-1255 The bid--ask spread of bank-issued options: a quantile regression analysis
by Giovanni Petrella & Reuben Segara - 1257-1287 Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes
by Dervis Bayazit & Craig A. Nolder - 1289-1302 Log Student’s t -distribution-based option sensitivities: Greeks for the Gosset formulae
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed - 1303-1316 Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
by Reiichiro Kawai & Atsushi Takeuchi - 1317-1330 Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
by S. Bianchi & A. Pantanella & A. Pianese
January 2013, Volume 13, Issue 7
- 1059-1070 The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
by Matthieu Duvinage & Paolo Mazza & Mikael Petitjean - 1071-1089 Analysis of trade packages in the Chinese stock market
by Fei Ren & Wei-Xing Zhou - 1115-1123 Time zone normalization of FX seasonality
by S. Masry & A. Dupuis & R. B. Olsen & E. Tsang
February 2013, Volume 13, Issue 7
- 997-999 Great by Choice: Uncertainty, Chaos, and Luck -- Why Some Thrive Despite Them All
by Lloyd Kurtz - 1003-1013 Primal--dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps
by Sven Balder & Antje Mahayni & John Schoenmakers - 1125-1134 Do foreign exchange fund managers behave like heterogeneous agents?
by Willem F.C. Verschoor & Remco C.J. Zwinkels - 1135-1148 Currency total return swaps: valuation and risk factor analysis
by Romain Cuchet & Pascal François & Georges Hübner
May 2013, Volume 13, Issue 6
- 819-825 Optimal hedging in discrete time
by Bruno R�millard & Sylvain Rubenthaler - 827-836 Good deals in markets with friction
by Alejandro Balbás & Beatriz Balbás & Raquel Balbás - 837-838 The Theory That Would Not Die
by Maurizio Ferconi - 841-860 Pricing Bermudan options using low-discrepancy mesh methods
by Phelim P. Boyle & Adam W. Kolkiewicz & Ken Seng Tan - 861-872 A new sampling strategy willow tree method with application to path-dependent option pricing
by Wei Xu & Zhiwu Hong & Chenxiang Qin - 873-884 A multi-dimensional local average lattice method for multi-asset models
by Kyoung-Sook Moon & Hongjoong Kim - 885-895 A simple iterative method for the valuation of American options
by In oon Kim & Bong-Gyu Jang & Kyeong Tae Kim - 897-905 The exact smile of certain local volatility models
by Matthew Lorig - 907-917 On the computation of option prices and Greeks under the CEV model
by Manuela Larguinho & José Carlos Dias & Carlos A. Braumann - 919-937 Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
by S. T. Tse & Justin W. L. Wan - 939-954 On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
by Sai Hung Marten Ting & Christian-Oliver Ewald - 955-966 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
by Rehez Ahlip & Marek Rutkowski - 967-980 A new class of Bayesian semi-parametric models with applications to option pricing
by Marcin Kacperczyk & Paul Damien & Stephen G. Walker
January 2013, Volume 13, Issue 5
- 655-663 Active momentum trading versus passive ' naive diversification'
by Anurag N. Banerjee & Chi-Hsiou D. Hung
March 2013, Volume 13, Issue 4
- 483-492 Stochastic spot price multi-period model and option valuation for electrical markets
by Eivind Helland & Timur Aka & Eric Winnington - 493-503 Investing in the wine market: a country-level threshold cointegration approach
by Lucia Baldi & Massimo Peri & Daniela Vandone - 505-506 Econometrics of Financial High-Frequency Data, by Nikolaus Hautsch
by Terrence Hendershott - 509-526 A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model
by Hiroaki Suenaga - 527-542 The dynamics of commodity prices
by Chris Brooks & Marcel Prokopczuk - 543-560 A hybrid commodity and interest rate market model
by K. F. Pilz & E. Schlögl - 561-570 The structure of gold and silver spread returns
by Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi - 571-582 Gold and the U.S. dollar: tales from the turmoil
by Paolo Zagaglia & Massimiliano Marzo - 583-592 Short-term and long-term dependencies of the S&P 500 index and commodity prices
by Michael Graham & Jarno Kiviaho & Jussi Nikkinen - 593-612 Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model
by Elyas Elyasiani & Iqbal Mansur & Babatunde Odusami - 613-626 Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?
by Liyan Han & Rong Liang & Ke Tang - 627-635 Efficient pricing of swing options in L�vy-driven models
by Oleg Kudryavtsev & Antonino Zanette - 637-653 Is the EUA a new asset class?
by Vicente Medina & Angel Pardo
February 2013, Volume 13, Issue 3
- 325-346 An ecological perspective on the future of computer trading
by J. Doyne Farmer & Spyros Skouras - 347-348 More Mathematical Finance
by Stefan Weber - 351-367 The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
by Nick Deguillaume & Riccardo Rebonato & Andrey Pogudin - 369-381 The use of Bayes factors to compare interest rate term structure models
by W. Keener Hughen & Carmelo Giaccotto & Po-Hsuan Hsu - 383-398 Predicting issuer credit ratings using generalized estimating equations
by Ruey-Ching Hwang - 399-405 Contagion models a la carte: which one to choose?
by Harry Zheng - 407-420 An extension of Davis and Lo's contagion model
by Areski Cousin & Diana Dorobantu & Didier Rullière - 421-437 A market model with medium/long-term effects due to an insider
by Hiroaki Hata & Arturo Kohatsu-Higa - 439-449 Firm characteristics that drive the momentum pattern in the UK stock market
by Antonios Siganos - 451-470 EMU equity markets' return variance and spillover effects from the short-term interest rate
by Ai Jun Hou - 471-481 Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
by Kuan-Min Wang & Thanh-Binh Nguyen Thi
January 2013, Volume 13, Issue 2
- 159-166 The buy-and-hold horizon and portfolio choice
by Geoffrey Woglom - 167-176 Smoothed safety first and the holding of assets
by M. Ryan Haley & Harry J. Paarsch & Charles H. Whiteman - 177-179 Thinking, Fast and Slow, by D. Kahneman
by Lisa R. Goldberg - 183-194 On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
by Eckhard Platen & Lei Shi - 195-204 Fractional differencing in discrete time
by John Elder & Robert J. Elliott & Hong Miao - 205-226 Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas
by Alessandro Cipollini & Paul Canty - 227-239 Asset pricing with disequilibrium price adjustment: theory and empirical evidence
by Cheng-Few Lee & Chiung-Min Tsai & Alice C. Lee - 241-253 The representation of American options prices under stochastic volatility and jump-diffusion dynamics
by Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas - 255-263 A perturbative approach to Bermudan options pricing with applications
by Roberto Baviera & Lorenzo Giada - 265-274 Multiscale analysis of economic time series by scale-dependent Lyapunov exponent
by Jianbo Gao & Jing Hu & Wen-Wen Tung & Yi Zheng - 275-280 Prediction accuracy and sloppiness of log-periodic functions
by David S. Br�e & Damien Challet & Pier Paolo Peirano - 281-300 Equity issues and aggregate market returns under information asymmetry
by Xiaoquan Jiang & Bong-Soo Lee - 301-316 The augmented Black--Litterman model: a ranking-free approach to factor-based portfolio construction and beyond
by Wing Cheung - 317-322 The law of one accounting variable
by Haim Reisman
December 2013, Volume 13, Issue 1
- 1-11 Empirical performance of models for barrier option valuation
by Cathrine Jessen & Rolf Poulsen - 13-23 Optimizing a basket against the efficient market hypothesis
by Fr�d�ric Abergel & Mauro Politi
January 2013, Volume 13, Issue 1
- 25-26 Dark Markets, by Darrell Duffie
by Viral V. Acharya - 29-44 The statistical properties of the innovations in multivariate ARCH processes in high dimensions
by Gilles Zumbach - 45-63 Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
by Dolores Furió & Francisco J. Climent - 65-77 Modelling microstructure noise with mutually exciting point processes
by E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy - 79-94 Optimal high-frequency trading with limit and market orders
by Fabien Guilbaud & Huyên Pham - 95-109 The British call option
by Goran Peskir & Farman Samee - 111-123 Derivatives pricing with marked point processes using tick-by-tick data
by Álvaro Cartea - 125-136 The valuation of structured products using Markov chain models
by Dilip B. Madan & Martijn Pistorius & Wim Schoutens - 137-157 American step-up and step-down default swaps under L�vy models
by Tim Leung & Kazutoshi Yamazaki
November 2012, Volume 14, Issue 8
- 1453-1465 An intensity model for credit risk with switching L�vy processes
by Donatien Hainaut & Olivier Le Courtois
October 2012, Volume 13, Issue 7
- 981-988 A formalization of double auction market dynamics
by Edward Tsang & Richard Olsen & Shaimaa Masry - 989-996 Conservatism bias in the presence of strategic interaction
by Guo Ying Luo - 1015-1028 Applying hedging strategies to estimate model risk and provision calculation
by Alberto Elices & Eduard Gim�nez - 1091-1113 Industry herding and market states: evidence from Chinese stock markets
by Chien-Chiang Lee & Mei-Ping Chen & Kuan-Mien Hsieh
May 2012, Volume 13, Issue 7
- 1029-1039 Arbitrage-free interval and dynamic hedging in an illiquid market
by Jinqiang Yang & Zhaojun Yang
November 2012, Volume 13, Issue 7
- 1041-1058 The term structure of S&P 100 model-free volatilities
by Kian-Guan Lim & Christopher Ting
January 2012, Volume 13, Issue 5
- 739-748 Risk premiums in a simple market model for implied volatility
by Bas Peeters
September 2012, Volume 13, Issue 5
- 783-793 Multiple-limit trades: empirical facts and application to lead--lag measures
by Fabrizio Pomponio & Frederic Abergel
October 2012, Volume 13, Issue 5
- 665-670 Is hyperbolic discounting really evidence of irrational behavior?
by Philip A. Horvath & Amit K. Sinha - 749-768 Derivative pricing under asymmetric and imperfect collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - 769-782 Semi-closed form cubature and applications to financial diffusion models
by Christian Bayer & Peter Friz & Ronnie Loeffen
March 2012, Volume 13, Issue 5
- 687-698 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
by Robert J. Elliott & Guang-Hua Lian
December 2012, Volume 13, Issue 5
- 671-672 The Capital Asset Pricing Model in the 21st Century
by Richard Michaud
November 2012, Volume 13, Issue 5
- 675-685 Variance swap dynamics
by K. Detlefsen & W. K. Härdle - 713-728 Fast and realistic European ARCH option pricing and hedging
by Gilles Zumbach & Luis Fernández
December 2012, Volume 12, Issue 12
- 1773-1777 Inconvenience yield, or the theory of normal contango
by Ilia Bouchouev - 1779-1785 Long--short versus long-only commodity funds
by John M. Mulvey - 1787-1789 The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin
by Lloyd Kurtz - 1795-1809 Determinants of oil futures prices and convenience yields
by M. A. H. Dempster & Elena Medova & Ke Tang - 1811-1826 Pricing and hedging of long-term futures and forward contracts by a three-factor model
by Kenichiro Shiraya & Akihiko Takahashi - 1827-1837 An empirical study of the impact of skewness and kurtosis on hedging decisions
by Jing-Yi Lai - 1839-1855 Analyzing the dynamics of the refining margin: implications for valuation and hedging
by Andr�s Garc�a Mirantes & Javier Población & Gregorio Serna - 1857-1875 Quantitative spread trading on crude oil and refined products markets
by Mark Cummins & Andrea Bucca