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Content
September 2013, Volume 20, Issue 4
- 359-379 On the Minimal Entropy Martingale Measure and Multinomial Lattices with Cumulants
by Cyrus Seera Ssebugenyi & Ivivi Joseph Mwaniki & Virginie S. Konlack - 380-402 Local Volatility Pricing Models for Long-Dated FX Derivatives
by Griselda Deelstra & Gr�gory Ray�e - 403-414 Boundaries of Correlation Adjustment with Applications to Financial Risk Management
by Kawee Numpacharoen & Kornkanok Bunwong
July 2013, Volume 20, Issue 3
- 191-210 A Path-Independent Humped Volatility Model for Option Pricing
by Massimo Costabile & Ivar Massabó & Emilio Russo - 211-228 Exponential L�vy Models Extended by a Jump to Default
by Akira Yamazaki - 229-245 Exotic Geometric Average Options Pricing under Stochastic Volatility
by Nabil Tahani - 246-263 Vulnerable Derivatives and Good Deal Bounds: A Structural Model
by Agatha Murgoci - 264-286 Robust Strategies for Optimal Order Execution in the Almgren--Chriss Framework
by Alexander Schied - 287-303 Robust Hedging and Pathwise Calculus
by Heikki Tikanmäki
April 2013, Volume 20, Issue 2
- 94-117 Pricing Equity Swaps in an Economy with Jumps
by Mia Hinnerich - 118-136 Stock Loans in Incomplete Markets
by Matheus R. Grasselli & Cesar Gómez - 137-166 Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization
by Clive G. Bowsher & Roland Meeks - 167-190 Option Replication in Discrete Time with Illiquidity
by Koichi Matsumoto
March 2013, Volume 20, Issue 1
- 1-25 Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes
by Robert J. Elliott & Tak Kuen Siu - 26-49 American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
by Svetlana Boyarchenko & Sergei LevendorskiĬ - 50-68 Concentrated Equilibrium and Intraday Patterns in Financial Markets
by Ryosuke Ishii & Katsumasa Nishide - 69-93 Joint Modelling of Gas and Electricity Spot Prices
by Noufel Frikha & Vincent Lemaire
December 2012, Volume 19, Issue 6
- 495-511 Assessing the Costs of Protection in a Context of Switching Stochastic Regimes
by Pauline Barrieu & Nadine Bellamy & Jean-Michel Sahut - 513-534 Bonds and Options in Exponentially Affine Bond Models
by Hans-Peter Bermin - 535-552 Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis
by Álvaro Cartea & Dimitrios Karyampas - 553-586 On the Approximation of the SABR Model: A Probabilistic Approach
by Joanne E. Kennedy & Subhankar Mitra & Duy Pham
November 2012, Volume 19, Issue 5
- 381-445 The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities
by Paul Doust - 447-475 The Endogenous Price Dynamics of Emission Allowances and an Application to CO 2 Option Pricing
by Marc Chesney & Luca Taschini - 477-494 Options on Realized Variance in Log-OU Models
by Gabriel G. Drimus
August 2012, Volume 19, Issue 4
- 299-312 Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean
by Henryk Gzyl & Silvia Mayoral
September 2012, Volume 19, Issue 4
- 341-360 On the Spurious Correlation Between Sample Betas and Mean Returns
by Moshe Levy - 361-379 Pricing Fixed-Income Securities in an Information-Based Framework
by Lane P. Hughston & Andrea Macrina
June 2012, Volume 19, Issue 4
- 313-340 A General Formula for Option Prices in a Stochastic Volatility Model
by Stephen Chin & Daniel Dufresne
August 2012, Volume 19, Issue 3
- 219-231 Viterbi-Based Estimation for Markov Switching GARCH Model
by Robert J. Elliott & John W. Lau & Hong Miao & Tak Kuen Siu - 233-264 Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
by Pierre Étor� & Emmanuel Gobet - 265-298 Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs
by Colin Atkinson & Gary Quek
July 2012, Volume 19, Issue 3
- 195-217 Bias Reduction for Pricing American Options by Least-Squares Monte Carlo
by Kin Hung (Felix) Kan & R. Mark Reesor
July 2012, Volume 19, Issue 2
- 97-129 Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
by Hansjörg Albrecher & Dominik Kortschak & Xiaowen Zhou
June 2012, Volume 19, Issue 2
- 131-179 The Effect of Correlation and Transaction Costs on the Pricing of Basket Options
by C. Atkinson & P. Ingpochai
August 2012, Volume 19, Issue 2
- 181-193 Comparison of Two Methods for Superreplication
by Erik Ekström & Johan Tysk
May 2012, Volume 19, Issue 1
- 37-58 New Analytic Approach to Address Put--Call Parity Violation due to Discrete Dividends
by Alexander Buryak & Ivan Guo
February 2012, Volume 19, Issue 1
- 1-35 On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
by Lech A. Grzelak & Cornelis W. Oosterlee - 59-95 The Implied Market Price of Weather Risk
by Wolfgang Karl Härdle & Brenda López Cabrera
March 2011, Volume 18, Issue 6
- 473-490 Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model
by Tak Kuen Siu & Eric S. Fung & Michael K. Ng
May 2011, Volume 18, Issue 6
- 491-515 Good-Deal Bounds in a Regime-Switching Diffusion Market
by Catherine Donnelly
April 2011, Volume 18, Issue 6
- 517-535 Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
by Martin Forde & Antoine Jacquier - 537-563 The British Put Option
by Goran Peskir & Farman Samee
February 2011, Volume 18, Issue 5
- 423-446 Arithmetic Asian Options under Stochastic Delay Models
by Nairn McWilliams & Sotirios Sabanis
January 2011, Volume 18, Issue 5
- 395-422 Mean--Variance Optimal Adaptive Execution
by Julian Lorenz & Robert Almgren - 447-472 Closed Form Approximations for Spread Options
by Aanand Venkatramanan & Carol Alexander
2011, Volume 18, Issue 4
- 277-289 Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem
by Ghulam Sorwar & Giovanni Barone-Adesi - 291-329 Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
by Daniel Ostrov & Thomas Wong - 331-352 An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model
by Peter Spreij & Enno Veerman & Peter Vlaar - 353-365 Characterization of the American Put Option Using Convexity
by Dejun Xie & David Edwards & Gilberto Schleiniger & Qinghua Zhu
2011, Volume 18, Issue 3
- 189-205 The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books
by Damien Challet - 207-225 One-Dimensional Pricing of CPPI
by Louis Paulot & Xavier Lacroze - 227-244 The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
by Dilip Madan & Marc Yor - 245-276 Exchange Options Under Jump-Diffusion Dynamics
by Gerald Cheang & Carl Chiarella
2011, Volume 18, Issue 2
- 93-117 Hedging of Spatial Temperature Risk with Market-Traded Futures
by Andrea Barth & Fred Espen Benth & Jurgen Potthoff - 119-137 Calibration of Stock Betas from Skews of Implied Volatilities
by Jean-Pierre Fouque & Eli Kollman - 139-154 A Coherent Aggregation Framework for Stress Testing and Scenario Analysis
by Jan Kwiatkowski & Riccardo Rebonato - 155-187 Corrections to the Prices of Derivatives due to Market Incompleteness
by David German
2011, Volume 18, Issue 1
- 1-28 Variance-Optimal Hedging for Time-Changed Levy Processes
by Jan Kallsen & Arnd Pauwels - 29-50 Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Multi-Period Model
by Ping Chen & Hailiang Yang - 51-70 A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps
by Joanna Goard - 71-91 On Modelling and Pricing Rainfall Derivatives with Seasonality
by Gunther Leobacher & Philip Ngare
November 2010, Volume 18, Issue 5
- 367-394 Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
by Tomáš Bokes & Daniel Ševčovič
2010, Volume 17, Issue 6
- 471-489 Optimal Basket Liquidation for CARA Investors is Deterministic
by Alexander Schied & Torsten Schoneborn & Michael Tehranchi - 491-518 Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
by Emmanuel Denis - 519-551 Utility-Based Valuation and Hedging of Basis Risk With Partial Information
by Michael Monoyios
2010, Volume 17, Issue 5
- 377-397 Sato Processes in Default Modelling
by Thomas Kokholm & Elisa Nicolato - 399-430 Time Charters with Purchase Options in Shipping: Valuation and Risk Management
by Peter Løchte Jørgensen & Domenico De Giovanni - 431-451 Optimal Execution in a Market with Small Investors
by Ryosuke Ishii - 453-469 Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
by Reik Borger & Jan van Heys
2010, Volume 17, Issue 4
- 301-321 Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
by Reiichiro Kawai & Arturo Kohatsu-Higa - 323-357 Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs
by Colin Atkinson & Emmeline Storey - 359-372 Optimal Market Making in the Foreign Exchange Market
by Luitgard Veraart - 373-376 Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
by Roger Lord
2010, Volume 17, Issue 3
- 201-210 Two Useful Techniques for Financial Modelling Problems
by Paul Doust - 211-240 Analysis of Fourier Transform Valuation Formulas and Applications
by Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon - 241-259 Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
by Martin Forde & Antoine Jacquier - 261-300 Asymptotics of Barrier Option Pricing Under the CEV Process
by Fannu Hu & Charles Knessl
2010, Volume 17, Issue 2
- 99-131 Static Replication of Forward-Start Claims and Realized Variance Swaps
by Jan Baldeaux & Marek Rutkowski - 133-146 Comment on 'Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes' by C. Ribeiro and N. Webber
by Martin Becker - 147-175 Real-World Pricing for a Modified Constant Elasticity of Variance Model
by Shane Miller & Eckhard Platen - 177-199 Risk Minimization for a Filtering Micromovement Model of Asset Price
by Kiseop Lee & Yong Zeng
2010, Volume 17, Issue 1
- 1-28 Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives
by Dirk Becherer & Ian Ward - 29-57 Mean Variance Hedging in a General Jump Model
by Michael Kohlmann & Dewen Xiong & Zhongxing Ye - 59-81 Numerical Methods for Non-Linear Black-Scholes Equations
by Pascal Heider - 83-98 Short Positions, Rally Fears and Option Markets
by Ernst Eberlein & Dilip Madan
2009, Volume 16, Issue 6
- 451-496 Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
by A. C. Belanger & P. A. Forsyth & G. Labahn - 497-515 A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
by Peter Buchen & Otto Konstandatos - 517-531 Closed Formula for Options with Discrete Dividends and Its Derivatives
by Carlos Veiga & Uwe Wystup
2009, Volume 16, Issue 5
- 385-399 Strategic Pricing of Commodities
by Kurt Jornsten & Jan Ubøe - 401-427 Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
by Andreas Kolbe & Rudi Zagst - 429-449 Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives
by Erhan Bayraktar & Bo Yang
2009, Volume 16, Issue 4
- 307-314 Computing the Volume of n-Dimensional Copulas
by Umberto Cherubini & Silvia Romagnoli - 315-330 A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets
by Steven Vanduffel & Andrew Chernih & Matheusz Maj & Wim Schoutens - 331-346 Partial Hedging in Financial Markets with a Large Agent
by Jungmin Choi & Mattias Jonsson - 347-352 Employee Stock Options: An Up-and-Out Protected Barrier Call
by Chris Anderson & Neil Brisley - 353-383 Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives
by Evan Papageorgiou & Ronnie Sircar
2009, Volume 16, Issue 3
- 219-252 Mean-Variance Hedging with Uncertain Trade Execution
by Koichi Matsumoto - 253-259 Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
by Erik Ekstrom & Per Lotstedt & Johan Tysk - 261-268 Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion
by Jaehyuk Choi & Kwangmoon Kim & Minsuk Kwak - 269-286 Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
by Simona Svoboda-Greenwood - 287-305 The Valuation of American Options with Stochastic Stopping Time Constraints
by Daniel Egloff & Markus Leippold
2009, Volume 16, Issue 2
- 103-122 Modelling Electricity Prices with Forward Looking Capacity Constraints
by Alvaro Cartea & Marcelo Figueroa & Helyette Geman - 123-150 Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets
by Daniel Zanger - 151-181 Trader Behavior and its Effect on Asset Price Dynamics
by James Primbs & Muruhan Rathinam - 183-217 Optimal Quantization for the Pricing of Swing Options
by Olivier Bardou & Sandrine Bouthemy & Gilles Pages
2009, Volume 16, Issue 1
- 1-15 On Markov-modulated Exponential-affine Bond Price Formulae
by Robert Elliott & Tak Kuen Siu - 17-36 A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
by Luca Vincenzo Ballestra & Graziella Pacelli - 37-79 American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach
by Carl Chiarella & Andrew Ziogas - 81-102 Orderings and Probability Functionals Consistent with Preferences
by Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi
2008, Volume 15, Issue 5-6
- 403-404 Introduction
by Helyette Geman - 405-447 Pricing Asset Scheduling Flexibility using Optimal Switching
by Rene Carmona & Michael Ludkovski - 449-477 Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
by Samuel Hikspoors & Sebastian Jaimungal - 479-502 Pricing of Swing Options in a Mean Reverting Model with Jumps
by Mats Kjaer - 503-529 Hydropower with Financial Information
by E. Nasakkala & J. Keppo - 531-567 A Lattice-Based Method for Pricing Electricity Derivatives Under the Threshold Model
by Helyette Geman & Stelios Kourouvakalis
2008, Volume 15, Issue 4
- 305-329 Risk-based Decisions on the Asset Structure of a Bank under Partial Economic Information
by Grzegorz Hałaj - 331-354 Finite-dimensional Realizations of Regime-switching HJM Models
by Mikael Elhouar - 355-386 Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
by A. Zapranis & A. Alexandridis - 387-402 Two Exotic Lookback Options
by Hans-Peter Bermin & Peter Buchen & Otto Konstandatos
2008, Volume 15, Issue 3
- 205-218 Return and Value at Risk using the Dirichlet Process
by Mahmoud Zarepour & Thierry Bedard & Andre Dabrowski - 219-249 Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
by S. Antes & M. Ilg & B. Schmid & R. Zagst - 251-275 Hedging Large Portfolios of Options in Discrete Time
by B. Peeters & C. L. Dert & A. Lucas - 277-304 Pricing Options on Defaultable Stocks
by E. Bayraktar
2008, Volume 15, Issue 2
- 107-121 Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
by Syoiti Ninomiya & Nicolas Victoir - 123-149 General Lower Bounds for Arithmetic Asian Option Prices
by H. Albrecher & P. A. Mayer & W. Schoutens - 151-181 Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
by Ionuţ Florescu & Frederi Viens - 183-203 A Structural Model with Unobserved Default Boundary
by Thorsten Schmidt & Alexander Novikov
2008, Volume 15, Issue 1
- 1-20 Valuation of Performance-Dependent Options
by Thomas Gerstner & Markus Holtz - 21-40 Market Influence of Portfolio Optimizers
by Suhas Nayak & George Papanicolaou - 41-71 Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
by N. K. Nomikos & O. Soldatos - 73-105 Multiscale Intensity Models for Single Name Credit Derivatives
by E. Papageorgiou & R. Sircar
2007, Volume 14, Issue 5
- 365-399 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps
by Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl - 401-436 Optimal Financial Portfolios
by S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi - 437-452 Convex Hedging in Incomplete Markets
by Birgit Rudloff - 453-475 An Improved Binomial Lattice Method for Multi-Dimensional Options
by Andrea Gamba & Lenos Trigeorgis
2007, Volume 14, Issue 4
- 291-302 Mean Reversion Level Extensions of Time-Homogeneous Affine Term Structure Models
by Oh Kang Kwon - 303-317 Indifference Pricing and Hedging for Volatility Derivatives
by M. R. Grasselli & T. R. Hurd - 319-337 Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage
by Nikolai Dokuchaev - 339-345 A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
by Jia-Hau Guo & Mao-Wei Hung - 347-363 Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
by Fred Espen Benth & Martin Groth & Rodwell Kufakunesu
2007, Volume 14, Issue 3
- 197-205 A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
by Mark S. Joshi - 207-226 Approximate Formulas for Zero-coupon Bonds
by Fabricio Tourrucoo & Patrick S. Hagan & Gilberto F. Schleiniger - 227-242 Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines
by Alessio Sancetta & Steve E. Satchell - 243-260 Term Structure Models with Parallel and Proportional Shifts
by Fredrik Armerin & Bjarne Astrup Jensen & Tomas Bjork - 261-289 Using Utility Functions to Model Risky Bonds
by Joanna Goard
2007, Volume 14, Issue 2
- 105-130 Level-Slope-Curvature - Fact or Artefact?
by Roger Lord & Antoon Pelsser - 131-152 On American Options Under the Variance Gamma Process
by Ariel Almendral & Cornelis W. Oosterlee - 153-169 A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
by Fred Espen Benth & Jan Kallsen & Thilo Meyer-Brandis - 171-196 The Levy Swap Market Model
by E. Eberlein & J. Liinev
2007, Volume 14, Issue 1
- 1-17 Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
by James Primbs & Muruhan Rathinam & Yuji Yamada - 19-39 Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model
by Leonard Tchuindjo - 41-62 Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
by Robert Elliott & Tak Kuen Siu & Leunglung Chan - 63-89 A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
by Sam Howison & Mario Steinberg - 91-104 A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
by Sam Howison
2006, Volume 13, Issue 4
- 285-307 Optimum Constrained Portfolio Rules in a Diffusion Market
by Fernando Durrell - 309-331 An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
by Massimo Morini & Nick Webber - 333-352 Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes
by Claudia Ribeiro & Nick Webber - 353-386 Numerical Methods and Volatility Models for Valuing Cliquet Options
by H. A. Windcliff & P. A. Forsyth & K. R. Vetzal
2006, Volume 13, Issue 3
- 191-214 Pricing a European Basket Option in the Presence of Proportional Transaction Costs
by C. Atkinson & C. A. Alexandropoulos - 215-244 Stochastic Volatility Effects on Defaultable Bonds
by Jean-Pierre Fouque & Ronnie Sircar & Knut Sølna - 245-263 On Estimation of Volatility Surface and Prediction of Future Spot Volatility
by Fima Klebaner & Truc Le & Robert Liptser - 265-284 Efficient Pricing of Derivatives on Assets with Discrete Dividends
by M. H. Vellekoop & J. W. Nieuwenhuis
2006, Volume 13, Issue 2
- 89-129 Interpolation Methods for Curve Construction
by Patrick Hagan & Graeme West - 131-141 Liquidity Risk with Coherent Risk Measures
by Hyejin Ku - 143-153 Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
by Carlo Mari & Roberto Reno - 155-190 Pricing Lookback Options with Knock-out Boundaries
by Yoshifumi Muroi
2006, Volume 13, Issue 1
- 1-18 A Semi-Explicit Approach to Canary Swaptions in HJM One-Factor Model
by Marc Henrard - 19-38 On the Distributional Characterization of Daily Log-Returns of a World Stock Index
by Kevin Fergusson & Eckhard Platen - 39-59 A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
by Leo Krippner - 61-87 Exact Superreplication Strategies for a Class of Derivative Assets
by Joel Vanden
2005, Volume 12, Issue 4
- 313-335 Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
by Alvaro Cartea & Marcelo Figueroa - 337-349 A Series Solution for Bermudan Options
by Ingmar Evers - 351-370 Interest Guarantees in Banking
by Ragnar Norberg - 371-385 Calibration of the SABR Model in Illiquid Markets
by Graeme West
2005, Volume 12, Issue 3
- 201-241 Numerical Procedure for Calibration of Volatility with American Options
by Yves Achdou & Olivier Pironneau - 243-252 Insider Trading in Convergent Markets
by Mattias Jonsson & Jan Vecer - 253-282 Sharp Upper and Lower Bounds for Basket Options
by Peter Laurence & Tai-Ho Wang
2005, Volume 12, Issue 2
- 101-119 Consistency Problems for Jump-diffusion Models
by Erhan Bayraktar & Li Chen & H. Vincent Poor - 121-146 Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy
by San-Lin Chung & Hsiao-Fen Yang - 147-185 Stochastic Volatility Model with Time-dependent Skew
by Vladimir Piterbarg - 187-199 Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
by Maria Elvira Mancino & Roberto Reno
2005, Volume 12, Issue 1
- 1-15 Mean-Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
by Enrique Ballestero - 17-52 The Dynamic Interaction of Speculation and Diversification
by Carl Chiarella & Roberto Dieci & Laura Gardini - 53-85 Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
by Fred Espen Benth & Jurate Saltyte-Benth - 87-100 A Re-Examination of Sharpe's Ratio for Log-Normal Prices
by John Knight & Stephen Satchell
2004, Volume 12, Issue 3
- 283-309 Modelling Specific Interest Rate Risk with Estimation of Missing Data
by Thomas Siegl & Peter Quell
2004, Volume 11, Issue 4
- 283-316 Money, prices and interest rates in a non-aggregate stochastic general equilibrium model
by Pedro Gutierrez - 317-346 On the pricing and hedging of volatility derivatives
by Sam Howison & Avraam Rafailidis & Henrik Rasmussen - 347-368 Stochastic volatility Gaussian Heath-Jarrow-Morton models
by Stoyan Valchev
2004, Volume 11, Issue 3
- 187-205 Two extensions for fitting discrete time term structure models with normally distributed factors
by Senay Ağca & Don Chance - 207-225 Pricing American currency options in an exponential Levy model
by Marc Chesney & M. Jeanblanc - 227-258 Valuing risky income streams in incomplete markets
by C. Johnson & Y. Omar & P. Ouwehand - 259-282 Calculating hedge fund risk: the draw down and the maximum draw down
by Alessio Sancetta & Steve Satchell
2004, Volume 11, Issue 2
- 95-123 Multi-asset portfolio optimization with transaction cost
by C. Atkinson & S. Mokkhavesa - 125-146 Modelling credit default swap spreads by means of normal mixtures and copulas
by Marco Bee - 147-164 Comparison of the performance of a time-dependent short-interest rate model with time-independent models
by Joanna Goard & Noel Hansen - 165-186 A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach
by Wing Hoe Woo & Tak Kuen Siu
2004, Volume 11, Issue 1
- 1-25 Dynamic programming and mean-variance hedging in discrete time
by Ales Cerny