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2024, Volume 10, Issue 1
- 1-20 Price discovery and volatility connectedness in Indian gold market: a study of ETFs, spot and futures
by Chanchal Saini & Ishwar Sharma - 1-20 Price discovery and volatility connectedness in Indian gold market: a study of ETFs, spot and futures
by Chanchal Saini & Ishwar Sharma - 21-34 Asian option pricing under negative asset price in commodity market
by Patrick Ge & Jerry Zhou - 21-34 Asian option pricing under negative asset price in commodity market
by Patrick Ge & Jerry Zhou - 35-46 The impact of CDX spreads on individual credit default swap contracts
by Zagdbazar Davaadorj - 35-46 The impact of CDX spreads on individual credit default swap contracts
by Zagdbazar Davaadorj - 47-69 Modelling options on football players using individual rankings and club market value: evidence from Italy
by Marco Cucculelli & Paritosh Navinchandra Jha & Francesca Mariani & Simone Orazi - 47-69 Modelling options on football players using individual rankings and club market value: evidence from Italy
by Marco Cucculelli & Paritosh Navinchandra Jha & Francesca Mariani & Simone Orazi - 70-86 Equilibrium interest rate models for the Indian Government security market
by Sunrita Chaudhuri & Alok Pandey - 70-86 Equilibrium interest rate models for the Indian Government security market
by Sunrita Chaudhuri & Alok Pandey
2023, Volume 9, Issue 3
- 137-154 The short-selling restriction and the post-crisis financial futures market in China
by Haoran Zhang - 137-154 The short-selling restriction and the post-crisis financial futures market in China
by Haoran Zhang - 155-169 Is cryptocurrency still a safe haven for assets in light of the COVID-19 waves? Evidence from wavelet coherence analysis
by Riadh Benammar & Adel Boubaker & Anas Elmelki - 155-169 Is cryptocurrency still a safe haven for assets in light of the COVID-19 waves? Evidence from wavelet coherence analysis
by Riadh Benammar & Adel Boubaker & Anas Elmelki - 170-187 Designing rainfall index based futures contracts: analysis of basis risk
by N. Dileep & G. Kotreshwar - 170-187 Designing rainfall index based futures contracts: analysis of basis risk
by N. Dileep & G. Kotreshwar - 188-207 Knowledge mapping of studies on implied volatility in equity derivatives markets: a bibliometric approach
by Vijay Kumar Sharma & Satinder Bhatia - 188-207 Knowledge mapping of studies on implied volatility in equity derivatives markets: a bibliometric approach
by Vijay Kumar Sharma & Satinder Bhatia - 208-229 An empirical testing of Black-Scholes option pricing model: a study of option moneyness (at-the-money)
by Rinky & Shakti Singh - 208-229 An empirical testing of Black-Scholes option pricing model: a study of option moneyness (at-the-money)
by Rinky & Shakti Singh
2023, Volume 9, Issue 1/2
- 1-42 The effect of bank diversification on the capital, risk, profitability and efficiency of the eurozone and the US banks in the aftermath of the global financial crisis
by Dimitra Loukia Kolia & Simeon Papadopoulos - 1-42 The effect of bank diversification on the capital, risk, profitability and efficiency of the eurozone and the US banks in the aftermath of the global financial crisis
by Dimitra Loukia Kolia & Simeon Papadopoulos - 43-58 The relative efficiency of investment grade credit and equity markets
by William J. Procasky - 43-58 The relative efficiency of investment grade credit and equity markets
by William J. Procasky - 59-75 Finite difference solutions of the CEV PDE
by Nawdha Thakoor - 59-75 Finite difference solutions of the CEV PDE
by Nawdha Thakoor - 76-113 The Commitment of Traders report as a trading signal? Short-term price reversals and market efficiency in the US-futures market
by Simon Dreesmann & Tim Alexander Herberger & Michel Charifzadeh - 76-113 The Commitment of Traders report as a trading signal? Short-term price reversals and market efficiency in the US-futures market
by Simon Dreesmann & Tim Alexander Herberger & Michel Charifzadeh - 114-135 Dynamic correlations of bond and equity futures and macroeconomic determinants: international evidence
by Nikiforos Laopodis & Theophano Patra & Vassilis Thomas - 114-135 Dynamic correlations of bond and equity futures and macroeconomic determinants: international evidence
by Nikiforos Laopodis & Theophano Patra & Vassilis Thomas
2022, Volume 8, Issue 4
- 315-335 Investigation of financial markets performance due to coronavirus outbreak: EGARCH and bivariate regression approach
by Alireza Rokhsari & Neda Doodman & Akbar Esfahanipour - 315-335 Investigation of financial markets performance due to coronavirus outbreak: EGARCH and bivariate regression approach
by Alireza Rokhsari & Neda Doodman & Akbar Esfahanipour - 336-358 Do shocks to Islamic stock index prices have transitory effects?
by Muneer Shaik - 336-358 Do shocks to Islamic stock index prices have transitory effects?
by Muneer Shaik - 359-383 Pricing of bond options in India
by Sunrita Chaudhuri & Alok Pandey - 359-383 Pricing of bond options in India
by Sunrita Chaudhuri & Alok Pandey - 384-409 Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
by G.S. David Sam Jayakumar & W. Samuel & A. Sulthan - 384-409 Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
by G.S. David Sam Jayakumar & W. Samuel & A. Sulthan
2022, Volume 8, Issue 3
- 205-222 Does behavioural risk explain the value premium? A study of Indian equity market
by Saji George & P. Srinivasa Suresh - 205-222 Does behavioural risk explain the value premium? A study of Indian equity market
by Saji George & P. Srinivasa Suresh - 223-243 A directional movement trading strategy using jump-diffusion price dynamics
by Satrajit Mandal & Sujoy Bhattacharya - 223-243 A directional movement trading strategy using jump-diffusion price dynamics
by Satrajit Mandal & Sujoy Bhattacharya - 244-274 The price of microstructure risk on emerging stock markets: towards an integration of African financial markets
by Prince Hikouatcha & Hans Patrick Menik Bidias & David Kamdem - 244-274 The price of microstructure risk on emerging stock markets: towards an integration of African financial markets
by Prince Hikouatcha & Hans Patrick Menik Bidias & David Kamdem - 275-289 Analysing time varying co-movements among the US and BRICS stock markets
by P. Lakshmi & S. Visalakshmi & Jeevananthan Manickavasagam - 275-289 Analysing time varying co-movements among the US and BRICS stock markets
by P. Lakshmi & S. Visalakshmi & Jeevananthan Manickavasagam - 290-313 Performance measures and investment decisions: evidence from international stock markets
by Laurel Pasricha & Neelam Dhanda - 290-313 Performance measures and investment decisions: evidence from international stock markets
by Laurel Pasricha & Neelam Dhanda
2021, Volume 8, Issue 2
- 101-115 Computational challenges for value-at-risk and expected shortfall: Chebyshev interpolation to the rescue?
by Sascha Wilkens - 101-115 Computational challenges for value-at-risk and expected shortfall: Chebyshev interpolation to the rescue?
by Sascha Wilkens - 116-147 Is overreaction/underreaction chosen by managers? Evidence from Greece
by William Forbes & George Giannopoulos & Len Skerratt - 116-147 Is overreaction/underreaction chosen by managers? Evidence from Greece
by William Forbes & George Giannopoulos & Len Skerratt - 148-168 An event study on the impacts of Covid-19 on the global stock markets
by Dharen Kumar Pandey & Vineeta Kumari - 148-168 An event study on the impacts of Covid-19 on the global stock markets
by Dharen Kumar Pandey & Vineeta Kumari - 169-184 Impact of COVID on the stock market: a study of BRIC countries
by Varuna Kharbanda & Rachna Jain - 169-184 Impact of COVID on the stock market: a study of BRIC countries
by Varuna Kharbanda & Rachna Jain - 185-203 Using conditional asymmetry to predict commodity futures prices
by Fabio S. Dias - 185-203 Using conditional asymmetry to predict commodity futures prices
by Fabio S. Dias
2021, Volume 8, Issue 1
- 1-22 Informed trading or liquidity trading: a theoretical formulation
by Rebecca Abraham - 1-22 Informed trading or liquidity trading: a theoretical formulation
by Rebecca Abraham - 23-49 Liquidity in high resolution in limit order markets
by Sudhanshu Pani - 23-49 Liquidity in high resolution in limit order markets
by Sudhanshu Pani - 50-64 Transition and measurement noise correlation in affine and Gaussian models: the case of oil prices
by Carla Gomes Costa De Souza & Fernando Antonio Lucena Aiube - 50-64 Transition and measurement noise correlation in affine and Gaussian models: the case of oil prices
by Carla Gomes Costa De Souza & Fernando Antonio Lucena Aiube - 65-78 Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies
by Nagy Bálint Zsolt & Benedek Botond - 65-78 Co-skewness, co-kurtosis and their implications on asset pricing of cryptocurrencies
by Nagy Bálint Zsolt & Benedek Botond - 79-99 Volatility transmissions between commodity futures contracts in short, medium and long term
by Mathias Schneid Tessmann & Régis Augusto Ely & Mário Duarte Canever - 79-99 Volatility transmissions between commodity futures contracts in short, medium and long term
by Mathias Schneid Tessmann & Régis Augusto Ely & Mário Duarte Canever
2020, Volume 7, Issue 4
- 315-336 Stress test techniques using drawdown metrics: a Brazilian case study
by Arthur Geronazzo & João Luiz Chela - 315-336 Stress test techniques using drawdown metrics: a Brazilian case study
by Arthur Geronazzo & João Luiz Chela - 337-374 A theory of 'auction as a search' in speculative markets
by Sudhanshu Pani - 337-374 A theory of 'auction as a search' in speculative markets
by Sudhanshu Pani - 375-396 The valuation of options on index futures with stochastic dividend yields
by Enrique A. Zambrano & Rednaxela Sequera - 375-396 The valuation of options on index futures with stochastic dividend yields
by Enrique A. Zambrano & Rednaxela Sequera - 397-413 Country risk and increasing returns to credibility gains: analysis for an emerging economy
by Kiara De Deus Demura & Ricardo Ramalhete Moreira - 397-413 Country risk and increasing returns to credibility gains: analysis for an emerging economy
by Kiara De Deus Demura & Ricardo Ramalhete Moreira - 414-423 Equilibrium in options' incomplete markets
by Christos Kountzakis - 414-423 Equilibrium in options' incomplete markets
by Christos Kountzakis
2020, Volume 7, Issue 3
- 203-223 The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives
by Rebecca Abraham - 203-223 The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives
by Rebecca Abraham - 224-245 Bitcoin's innovative aspects, return volatility and uncertainty shocks
by Bruno Ferreira Frascaroli - 224-245 Bitcoin's innovative aspects, return volatility and uncertainty shocks
by Bruno Ferreira Frascaroli - 246-264 A study of IPO listing returns in National Stock Exchange
by Rajkumar Sharma & Amit Chaudhary & Navneet Gera - 246-264 A study of IPO listing returns in National Stock Exchange
by Rajkumar Sharma & Amit Chaudhary & Navneet Gera - 265-290 The valuation of currency call options in selected target zones: a theoretical formulation
by Rebecca Abraham - 265-290 The valuation of currency call options in selected target zones: a theoretical formulation
by Rebecca Abraham - 291-314 Price discovery and volatility spillovers in commodity market: a review of empirical literature
by Neha Seth & Arpit Sidhu - 291-314 Price discovery and volatility spillovers in commodity market: a review of empirical literature
by Neha Seth & Arpit Sidhu
2019, Volume 7, Issue 2
- 101-123 Institutional investors' stocks portfolio strategies and commodity prices: a cross-correlation analysis in a financialisation context
by Antonio Focacci - 124-162 A performance evaluation of smart beta exchange traded funds
by Gerasimos G. Rompotis - 163-190 Measuring portfolio risk of non-energy commodity using time-varying vine copula
by Zeineb Attafi & Ahmed Ghorbel & Younes Boujelbene - 191-202 Destabilising the financial system via banking channel
by Athanasios Tsagkanos & George Golfis & Konstantina Pendaraki
2019, Volume 7, Issue 1
- 1-14 Volatility estimation for cryptocurrencies using Markov-switching GARCH models
by Paulo Vitor Jordão Da Gama Silva & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes - 1-14 Volatility estimation for cryptocurrencies using Markov-switching GARCH models
by Paulo Vitor Jordão Da Gama Silva & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes - 15-39 Post global financial crisis modelling: credit risk for firms that are too big to fail
by Ephraim Clark & Sovan Mitra & Octave Jokung - 15-39 Post global financial crisis modelling: credit risk for firms that are too big to fail
by Ephraim Clark & Sovan Mitra & Octave Jokung - 40-53 Options pricing models of interest rate index: a comparative of pricing methodologies applied to the Brazilian market
by João Luiz Chela & Rodolfo Rosina - 40-53 Options pricing models of interest rate index: a comparative of pricing methodologies applied to the Brazilian market
by João Luiz Chela & Rodolfo Rosina - 54-67 Concentration measures in emerging banking
by Mohamed Bilel Triki & Samir Maktouf - 54-67 Concentration measures in emerging banking
by Mohamed Bilel Triki & Samir Maktouf - 68-100 Predictable risks and returns: further evidence from the UK stock market
by Catherine Georgiou & Chris Grose & Fragiskos Archontakis - 68-100 Predictable risks and returns: further evidence from the UK stock market
by Catherine Georgiou & Chris Grose & Fragiskos Archontakis
2018, Volume 6, Issue 3
- 183-209 Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India
by Aparna Bhat - 183-209 Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India
by Aparna Bhat - 210-224 Improvements in forecasting of bank stock excess returns using the investor sentiment endurance index: a comparison with CAPM and Fama-French models
by Ling T. He & K. Michael Casey - 210-224 Improvements in forecasting of bank stock excess returns using the investor sentiment endurance index: a comparison with CAPM and Fama-French models
by Ling T. He & K. Michael Casey - 225-239 MCDM modelling of purchase determinants for portfolio products recommended by financial advisors
by Yi-Hui Chiang - 225-239 MCDM modelling of purchase determinants for portfolio products recommended by financial advisors
by Yi-Hui Chiang - 240-267 The Asian financial crisis: market inefficiency and speculative bubbles
by Rattaphon Wuthisatian & Namporn Thanetsunthorn - 240-267 The Asian financial crisis: market inefficiency and speculative bubbles
by Rattaphon Wuthisatian & Namporn Thanetsunthorn
2017, Volume 6, Issue 2
- 75-101 CDS spreads in the aftermath of central clearing
by Orçun Kaya - 102-119 A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics
by Arti Singh & Selvamuthu Dharmaraja - 120-148 The impact of market participants' interaction on futures prices: comparing three US wheat futures markets
by David Bosch - 149-181 Information processing in freight and freight forward markets: an event study on OPEC announcements
by Philipp Lauenstein & André Küster Simic
2017, Volume 6, Issue 1
- 1-11 The impact of monetary policy expectations on interbank interest rates in Malaysia
by Takayasu Ito - 12-29 Intraday price discovery in Indian stock index futures market: new evidence from neural network approach
by Saurabh Kumar & Sarveshwar Kumar Inani - 30-56 Correlation asymmetry and implication on hedging
by Abdelwahed Trabelsi & Asma Ennabli - 57-73 Bond pricing under the generalised Black-Karasinski models
by Nawdha Thakoor & Désiré Yannick Tangman & Muddun Bhuruth
2016, Volume 5, Issue 1
- 1-22 Electricity prices forecast analysis using the extreme value theory
by Mario Domingues de Paula Simões & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes - 23-35 Price discovery and risk transfer in the Brent crude oil futures market
by Saada Abba Abdullahi & Zahid Muhammad - 36-55 An efficient grid lattice algorithm for pricing American-style options
by Zhongkai Liu & Tao Pang - 56-75 Option pricing in stochastic volatility models driven by fractional Lévy processes
by Zhigang Tong - 76-95 Stock market capitalisation and economic growth: empirical evidence from Africa
by Mohamed Jalloh
2015, Volume 4, Issue 3/4
- 195-202 A simple relationship between Greeks for Asian options
by Tianmiao Liu & Yoshifumi Muroi - 203-212 Intraday price discovery and information sharing between stocks and single stock futures: evidence from India
by Anshul Jain & Pratap Chandra Biswal - 213-230 The information content of the VDAX volatility index and backtesting daily value-at-risk models
by Ihsan Ullah Badshah - 231-245 Non-arbitrage valuation of equities
by Sebastián A. Rey - 246-272 A regime switching quadratic model for VIX futures valuation
by Zhigang Tong - 273-298 The conditional dependence structure of banking sector credit default swap indices
by Rania Zghal & Ahmed Ghorbel & Mohamed Triki
2015, Volume 4, Issue 2
- 97-121 An equilibrium model for the OTC derivative with the counterparty risk via the credit charge
by Kazuhiro Takino - 122-134 Indices to measure relative performance across markets
by Mohamed Ihab Kira - 135-162 The payment structure of securitisation: a signalling device of quality
by Mari L. Robertson - 163-179 Honest and dishonest stochastic control for Lévy processes with application to property market
by C. Achudume & C.R. Nwozo - 180-194 Smoothing the volatility smile using the Corrado-Su model
by Vinicius Mothé Maia & Antonio Carlos Figueiredo Pinto & Marcelo Cabus Klotzle
2015, Volume 4, Issue 1
- 1-25 Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds
by Tim Xiao - 26-42 Multiple warrant issues: are issue premiums important?
by P.W.A. Dayananda & John T. Kemper - 43-53 Pricing American options when there is short-lived arbitrage
by Jimmy E. Hilliard & Jitka Hilliard - 54-77 On the pricing of regular premium variable annuities using options
by Thomas Poufinas - 78-95 Financial market contagion during the global financial crisis: evidence from the Moroccan stock market
by Ahmed El Ghini & Youssef Saidi
2014, Volume 3, Issue 4
- 293-321 Sovereign CDS and bond credit spread dynamics in the Euro zone: evidence of an asymmetric price transmission in sovereign debt markets
by Paulo Pereira Da Silva - 322-357 Copulas and dependence structures: evidences from India's and Asian rubber futures markets
by Debasish Maitra & Kushankur Dey - 358-391 Parity analysis of non-log normality of Black-Scholes and its inter-competence
by Vipul Kumar Singh - 392-408 On the implied volatility layers under the future risk-free rate uncertainty
by Lin-Yee Hin & Nikolai Dokuchaev
2014, Volume 3, Issue 3
- 191-221 Option pricing based on the generalised Tukey distribution
by José Alfredo Jiménez & Viswanathan Arunachalam & Gregorio Manuel Serna - 222-240 The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships
by Binay K. Adhikari & Jimmy E. Hilliard - 241-259 Hedging price changes in the S%P 500 options and futures contracts: the effect of different measures of implied volatility
by Jitka Hilliard - 260-292 Barrier options in three dimensions
by Marcos Escobar & Sebastian Ferrando & Xianzhang Wen
2013, Volume 3, Issue 2
- 91-113 The analysis of relative performance of London hedge funds during the financial crisis
by Fabio Piluso & Ilaria L. Amerise & James P. Neelankavil - 114-136 How well do risk measurement models estimate VaR during good and bad times? Evidence from the Korean stock market
by Everton Dockery & Miltiadis Efentakis - 137-178 SDF-based estimation of linear factor models with alternative loss functions
by Iñaki R. Longarela - 179-190 International stock markets response to the Federal Reserve policy actions: the case of emerging MENA markets
by Ahmed S. Abou-Zaid
2012, Volume 3, Issue 1
- 1-11 Arbitrage illustrated by options models
by Tumellano Sebehela - 12-19 A comparison between the recent financial crisis of 2008 and the crisis of 1999 in the Athens Stock Market
by Anastasios Maligkris & Athanasios Koulakiotis & Apostolos Kiohos - 20-35 An Fx options model that incorporates 25-delta strangles and 25-delta risk reversals
by K. Vaidyanathan - 36-44 Regime dependent causality: equity and credit markets
by Ramaprasad Bhar & David B. Colwell & Peipei Wang - 45-60 The design of bank-issued market-indexed certificates of deposit - survey, pricing and empirical test
by Rodrigo Hernández & Jorge Brusa & Daniel Pu Liu - 61-70 The investor sentiment endurance index and its forecasting ability
by Ling T. He - 71-90 Autocall structured products: a case study of Vale S.A
by Paulo Vitor Jordão Da Gama Silva & Antonio Carlos Figueiredo Pinto & Marcelo Cabus Klotzle
2011, Volume 2, Issue 4
- 249-257 Pattern derivatives
by Casey S. Schroeder & Massimo Di Pierro - 258-264 Discrete volatility calibration for callable swaps: a model comparison PAPER WITHDRAWN
by Angelo Corelli - 265-287 Pricing two dimensional derivatives under stochastic correlation
by Alexander Alvarez & Marcos Escobar & Pablo Olivares - 288-297 A model of stock option prices
by Zhongjin Yang & Cassidy Yang - 298-313 Can we use the Black-Scholes-Merton model to value temperature options?
by Gunter Meissner & James Burke - 314-330 Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model
by David Liu & Lei Zhang
2011, Volume 2, Issue 3
- 149-179 A review of volatility and option pricing
by Sovan Mitra - 180-194 On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques
by Thomas Poufinas - 195-208 An economic analysis of bank-issued market-indexed certificate of deposit – an option pricing approach
by Rodrigo Hernández & Jorge Brusa & Daniel Pu Liu - 209-222 A general method for pricing European exotic options under Lévy processes
by Rossella Agliardi - 223-235 A non-Markov model for volatility jumps
by V. Arunachalam & L. Blanco & S. Dharmaraja - 236-243 Accurate numerical solution of Black-Scholes option pricing equations
by Raquel GarcÃa-Rubio - 244-248 Hedging with a generalised basis risk: empirical results
by Moawia Alghalith & Ricardo Lalloo & Martin Franklin & Christos Floros
2011, Volume 2, Issue 1/2
- 4-31 Dynamic trade execution: a grammatical evolution approach
by Wei Cui & Anthony Brabazon & Michael O'Neill - 32-49 Bio-inspired intelligence for credit scoring
by Yorgos Goletsis & Themis P. Exarchos & Christos D. Katsis - 50-67 Constrained mean-risk portfolio optimisation: an application of multiobjective simulated annealing
by Georgios Mamanis & Konstantinos P. Anagnostopoulos - 68-87 Intraday high-frequency FX trading with adaptive neuro-fuzzy inference systems
by Abdalla Kablan & Wing Lon Ng - 88-105 Defensive online portfolio selection
by Fabio Stella & Alfonso Ventura - 106-120 New kernel methods for asset pricing: application to natural gas price prediction
by Yinan Hu & Theodore B. Trafalis - 121-148 Selecting pair-copulas with downside risk minimisation
by Jin Zhang & Dietmar Maringer
2010, Volume 1, Issue 4
- 352-370 Optimal portfolio allocation strategies with dynamic factor models
by Nikos S. Thomaidis & Efthimios Roumpis & Nick Kondakis - 371-394 Linkages in global financial market during financial crises: a comparison of the periods 1995-2000 and 2007-2009
by Malgorzata Doman & Ryszard Doman - 395-421 Fractal properties of some European electricity markets
by Sergio Bianchi & Iva De Bellis & Augusto Pianese - 422-437 Testing the shape of EMU term structure of interest rates
by Elisabet Ruiz-Dotras & Catalina Bolance-Losilla & Hortensia Fontanals-Albiol - 438-451 Valuation of volatility sensitive interest rate derivatives in an emerging market
by Jiri Witzany - 452-469 Risk and regulatory reforms in the securities industry: a need for a paradigm shift?
by Anastassios Gentzoglanis
2010, Volume 1, Issue 3
- 243-257 Convergence to efficiency in FTSE-100 futures market
by Donald Lien & Ju Xiang - 258-273 A binomial model for pricing US-style average options with reset features
by Massimo Costabile & Ivar Massabo & Emilio Russo - 274-306 Binomial bias in pricing and early exercising American put options
by David H. Goldenberg - 307-325 The Sao Paulo Stock Exchange: a multilevel analysis of firm and industry effects on profitability evolution and hedge strategies
by Luiz Paulo Lopes Favero - 326-348 Does Latin America affect the Spanish stock market?
by Henry Aray
2010, Volume 1, Issue 2
- 125-154 No arbitrage pricing of non-marketed claims in multi-period markets
by Christos E. Kountzakis - 155-168 Forecast evaluation in daily commodities futures markets
by Periklis Gogas & Apostolos Serletis - 169-174 Universality of stock option prices: an empirical result
by Z.J. Yang & Angel Yang - 175-195 Pricing and hedging wholesale energy structured products: a comparison of numerical methods for VPP
by Enzo Fanone - 196-212 Hedging effectiveness in shipping industry during financial crises
by Aristeidis Samitas & Ioannis Tsakalos - 213-242 Regime switching stochastic volatility option pricing
by Sovan Mitra
2009, Volume 1, Issue 1
- 1-4 Hedging under production and price uncertainty: a decision analysis
by Moawia Alghalith - 5-40 Accuracy measures for American put option pricing algorithms
by David H. Goldenberg - 41-48 On the quadratic valuation of American call options: challenging the functional form
by Andreas Andrikopoulos - 49-63 Design and use of weather derivatives for farmers: the case of hedging rain risk by soyabean growers in Jhalawar district in India
by Rajiv Seth & Valeed A. Ansari & Manipadma Datta