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Content
2004, Volume 11, Issue 1
- 27-50 Multiple time scales in volatility and leverage correlations: a stochastic volatility model
by Josep Perello & Jaume Masoliver & Jean-Philippe Bouchaud - 51-75 A possible way of estimating options with stable distributed underlying asset prices
by C. Tsibiridi & C. Atkinson - 77-94 Hitting time and time change
by Victor Vaugirard
2003, Volume 10, Issue 4
- 267-302 Intertemporal portfolio optimization with small transaction costs and stochastic variance
by C. Atkinson & S. Mokkhavesa - 303-324 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
by Fred Espen Benth - 325-336 A note on arbitrage-free pricing of forward contracts in energy markets
by Fred Espen Benth & Lars Ekeland & Ragnar Hauge & BjøRn Fredrik Nielsen - 337-357 Tail behaviour of credit loss distributions for general latent factor models
by Andre Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans
2003, Volume 10, Issue 3
- 183-213 Interest rate model calibration using semidefinite Programming
by A. D'Aspremont - 215-228 On parabolic equations with gauge function term and applications to the multidimensional Leland equation
by Jorg Kampen & Marco Avellaneda - 229-243 A valuation model for firms with stochastic earnings
by Steven Li - 245-266 Multi-asset barrier options and occupation time derivatives
by Hoi Ying Wong & Yue-Kuen Kwok
2003, Volume 10, Issue 2
- 91-119 Tracking error decision rules and accumulated wealth
by Nathan Berg & Donald Lien - 121-147 Stock options as barrier contingent claims
by Jan Ericsson & Joel Reneby - 149-161 Modelling day-ahead electricity prices
by Juri Hinz - 163-181 Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints
by Yumiharu Nakano
2003, Volume 10, Issue 1
- 1-18 Optimal execution with nonlinear impact functions and trading-enhanced risk
by Robert Almgren - 19-47 Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
by Mahmoud Hamada & Michael Sherris - 49-74 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach
by Atsushi Kawai - 75-90 Valuing catastrophe bonds by Monte Carlo simulations
by Victor Vaugirard
2002, Volume 9, Issue 4
- 219-239 Statistical properties of the sample semi-variance
by Shaun Bond & Stephen Satchell - 241-260 Utility based pricing of contingent claims in incomplete markets
by Andrea Gam & Paolo Pellizzari - 261-272 Option pricing for large agents
by Mattias Jonsson & Jussi Keppo - 273-291 A survey of sampling-based Bayesian analysis of financial data
by James Sfiridis & Alan Gelfand
2002, Volume 9, Issue 3
- 143-161 A model of speculative behaviour with a strange attractor
by Fernando Fernandez-Rodriguez & Maria-Dolores Garcia-Artiles & Juan Manuel Martin-Gonzalez - 163-178 Efficient option valuation using trees
by David Heath & Stefano Herzel - 179-188 Estimating volatility on overlapping returns when returns are autocorrelated
by Roy Kluitman & Philip Hans Franses - 189-217 L 2 -discrete hedging in a continuous-time model
by Faouzi Trabelsi & Abdelhamid Trad
2002, Volume 9, Issue 2
- 69-85 Bivariate option pricing with copulas
by U. Cherubini & E. Luciano - 87-102 The European options hedge perfectly in a Poisson-Gaussian stock market model
by C. Mancini - 103-121 On superhedging under delta constraints
by Jun Sekine - 123-141 American options under uncertain volatility
by Adam Smith
2002, Volume 9, Issue 1
- 1-20 On modelling and pricing weather derivatives
by Peter Alaton & Boualem Djehiche & David Stillberger - 21-43 Energy futures prices: term structure models with Kalman filter estimation
by Mihaela Manoliu & Stathis Tompaidis - 45-60 Basics of electricity derivative pricing in competitive markets
by Iivo Vehvilainen - 61-67 A note on adjusting correlation matrices
by A. Leon & J. E. Peris & J. Silva & B. Subiza
2001, Volume 8, Issue 4
- 197-208 Valuation formulae for window barrier options
by Grant Armstrong - 209-233 valuation of options on joint minima and maxima
by Tristan Guillaume - 235-262 The pricing of derivatives on assets with quadratic volatility
by Christian Zuhlsdorff
2001, Volume 8, Issue 3
- 137-144 A note on the α-quantile option
by Laura Ballotta & Andreas Kyprianou - 145-166 On pricing and reserving with-profits life insurance contracts
by David Prieul & Vladislav Putyatin & Tarek Nassar - 167-181 Statistical bootstrapping methods in VaR calculation
by Thomas Siegl & Ansgar West - 183-196 Monte Carlo applied to exotic digital options
by Victor Vaugirard
2001, Volume 8, Issue 2
- 79-95 Liquidity and credit risk
by Umberto Cherubini & Giovanni Della Lunga - 97-118 Passport options with stochastic volatility
by Vicky Henderson & David Hobson - 119-135 Trading volume in models of financial derivatives
by Sam Howison & David Lamper
2001, Volume 8, Issue 1
- 1-26 Towards the determination of utility preference from optimal portfolio selections
by Colin Atkinson & Sutee Mokkhavesa - 27-48 Calibrating the Black-Derman-Toy model: some theoretical results
by Phelim Boyle & Ken Seng Tan & Weidong Tian - 49-77 A numerical PDE approach for pricing callable bonds
by Y. D'Halluin & P. A. Forsyth & K. R. Vetzal & G. Labahn
2000, Volume 7, Issue 4
- 229-239 Maxentropic construction of risk neutral measures: discrete market models
by Henryk Gzyl - 241-256 Laplace transforms and American options
by Roland Mallier & Ghada Alobaidi - 257-270 A generalized bootstrap method to determine the yield curve
by Richard Deaves & Mahmut Parlar - 271-284 The role of index bonds in universal currency hedging
by Ryle Perera
2000, Volume 7, Issue 3
- 153-181 Estimation of stochastic volatility in the Hull-White model
by Shinichi Aihara - 183-209 A square root interest rate model fitting discrete initial term structure data
by Erik Schlogl & Lutz Schlogl - 211-228 A PDE approach to risk measures of derivatives
by Tak Kuen Siu & Hailiang Yang
2000, Volume 7, Issue 2
- 75-100 Hedging lookback and partial lookback options using Malliavin calculus
by Hans-Peter Bermin - 101-114 Obtaining distributional information from valuation lattices
by C. Douglas Howard - 115-125 Estimating fees for managed futures: a continuous-time model with a knockout feature
by Francisca Richter & B. Wade Brorsen - 127-152 Exponential risk measure with application to UK asset allocation
by Stephen Satchell & David Damant & Soosung Hwang
2000, Volume 7, Issue 1
- 1-32 Volatility skews and extensions of the Libor market model
by Leif Andersen & Jesper Andreasen - 33-60 Unstructured meshing for two asset barrier options
by D. M. Pooley & P. A. Forsyth & K. R. Vetzal & R. B. Simpson - 61-74 Valuation of European options in the market with daily price limit
by Junhwa Ban & Hyeong In Choi & Hyejin Ku
1999, Volume 6, Issue 4
- 233-260 Markov interest rate models
by Patrick Hagan & Diana Woodward - 261-273 The pricing of risky coupon bonds
by Lilly Choong & George McKenzie - 275-292 Various passport options and their valuation
by Hyungsok Ahn & Antony Penaud & Paul Wilmott - 293-312 Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
by Anna Rita Bacinello & Fulvio Ortu
1999, Volume 6, Issue 3
- 147-157 Equivalent Black volatilities
by Patrick Hagan & Diana Woodward - 159-176 On hedging in finite security markets
by Silvia Florio & Wolfgang Runggaldier - 177-195 Multigrid for American option pricing with stochastic volatility
by Nigel Clarke & Kevin Parrott - 197-208 Optimal hedging strategies for misspecified asset price models
by Hyungsok Ahn & Adviti Muni & Glen Swindle - 209-232 Phenomenology of the interest rate curve
by Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters
1999, Volume 6, Issue 2
- 61-85 A hybrid method for pricing European options based on multiple assets with transaction costs
by Graziella Pacelli & Maria Cristina Recchioni & Francesco Zirilli - 87-106 A finite element approach to the pricing of discrete lookbacks with stochastic volatility
by P. A. Forsyth & K. R. Vetzal & R. Zvan - 107-145 Stochastic volatility, smile & asymptotics
by K. Ronnie Sircar & George Papanicolaou
1999, Volume 6, Issue 1
- 1-18 Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
by Marco Avellaneda & Robert Buff - 19-28 Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
by William Morokoff - 29-60 Models of forward Libor and swap rates
by Marek Rutkowski
1998, Volume 5, Issue 3-4
- 143-163 A framework for valuing corporate securities
by Jan Ericsson & Joel Reneby - 165-179 Option pricing in incomplete discrete markets
by Grazyna Wolczynska - 181-205 The predictive power of price patterns
by G. Caginalp & H. Laurent - 207-225 Pricing stock and bond derivatives with a multi-factor Gaussian model
by Isabelle Bajeux-Besnainou & Roland Portait - 227-240 Random walk duality and the valuation of discrete lookback options
by Farid Aitsahlia & Tzeung Le Lai
1998, Volume 5, Issue 2
- 83-106 Good point methods for computing prices and sensitivities of multi-asset European style options
by Raymond Ross - 107-116 Optimal exercise boundary for an American put option
by Rachel Kuske & Joseph Keller - 117-130 A theoretical investigation of randomized asset allocation strategies
by Moshe Arye Milevsky & Steven Posner - 131-141 Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
by Riccardo Rebonato & Ian Cooper
1998, Volume 5, Issue 1
- 1-15 Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism
by Clifford Ball & Antonio Roma - 17-43 An explicit finite difference approach to the pricing of barrier options
by Phelim Boyle & Yisong Tian - 45-82 General Black-Scholes models accounting for increased market volatility from hedging strategies
by K. Ronnie Sircar & George Papanicolaou
1997, Volume 4, Issue 4
- 181-199 Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
by Ramaprasad Bhar & Carl Chiarella - 201-206 Moment condition failure in stock returns: UK evidence
by M. F. Omran - 207-222 On the relative efficiency of nth order and DARA stochastic dominance rules
by Antonella Basso & Paolo Pianca - 223-236 A class of arbitrage-free log-normal-short-rate two-factor models
by Riccardo Rebonato
1997, Volume 4, Issue 3
- 135-149 Fuzzy measures and asset prices: accounting for information ambiguity
by Umberto Cherubini - 151-163 A note on the Flesaker-Hughston model of the term structure of interest rates
by Marek Rutkowski - 165-180 A theoretical analysis of trading rules: an application to the moving average case with Markovian returns
by Emmanuel Acar & Stephen Satchell
1997, Volume 4, Issue 2
- 81-100 An E-ARCH model for the term structure of implied volatility of FX options
by Yingzi Zhu & Marco Avellaneda - 101-108 Markovian spot rate dynamics with stochastic volatility structures
by K. T. Au & A. B. Sim & D. C. Thurston - 109-133 On an investment-consumption model with transaction costs: an asymptotic analysis
by C. Atkinson & B. Al-Ali
1997, Volume 4, Issue 1
- 1-20 Fast numerical valuation of American, exotic and complex options
by M. A. H. Dempster & J. P. Hutton - 21-36 Misspecified asset price models and robust hedging strategies
by Hyungsok Ahn Adviti & Glen Swindle - 37-64 Calibrating volatility surfaces via relative-entropy minimization
by Marco Avellaneda & Craig Friedman & Richard Holmes & Dominick Samperi - 65-79 Some applications of L2-hedging with a non-negative wealth process
by Ralf Korn
1996, Volume 3, Issue 4
- 269-394 Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged
by Anna Rita Bacinello & Fulvio Ortu & Patrizia Stucchi - 295-317 A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
by Rudiger Frey & Daniel Sommer - 319-346 Binomial models for option valuation - examining and improving convergence
by Dietmar Leisen & Matthias Reimer - 347-363 Arbitrage pricing with incomplete markets
by Mark Britten-Jones & Anthony Neuberger
1996, Volume 3, Issue 3
- 167-190 The use and pricing of convertible bonds
by K. G. Nyborg - 191-208 Financial leverage strategy with transaction costs
by C. N. Bagley & U. Yaari - 209-236 The pricing of Asian options under stochastic interest rates
by J. A. Nielsen & K. Sandmann - 237-267 Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
by M. Rutkowski
1996, Volume 3, Issue 2
- 93-115 Bond, futures and option evaluation in the quadratic interest rate model
by Farshid Jamshidian - 117-134 Investment diversification and investment specialization and the assumed holding period
by Haim Levy - 135-158 Option pricing with hedging at fixed trading dates
by Fabio Mercurio & Ton Vorst - 159-166 Models of information aggregation in financial markets: a review
by Michel Habib & Narayan Naik
1996, Volume 3, Issue 1
- 1-20 Toward real-time pricing of complex financial derivatives
by S. Ninomiya & S. Tezuka - 21-52 Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
by Marco Avellaneda & Antonio ParAS - 53-70 Default risk and derivative products
by Ian Cooper & Marcel Martin - 75-92 Compound and exchange options in the affine term structure model
by O. Scaillet
1995, Volume 2, Issue 4
- 211-224 PDE Models for Pricing Stocks and Options With Memory Feedback
by Robert Peszek - 225-242 Statistical inference and modelling of momentum in stock prices
by G. Caginalp & G. Constantine - 243-272 Risk arbitrage in the Nikkei put warrant market of 1989-1990
by J. Shaw & E. O. Thorp & W. T. Ziemba - 273-284 Lookback options with discrete and partial monitoring of the underlying price
by R. C. Heynen & H. M. Kat
1995, Volume 2, Issue 3
- 135-154 A multiplicative model for volume and volatility
by Rob Bauer & Fred Nieuwland - 155-172 Statistical modelling of asymmetric risk in asset returns
by J. L. Knight & S. E. Satchell & K. C. Tran - 173-209 Two extensions to barrier option valuation
by P. Carr
1995, Volume 2, Issue 2
- 73-88 Pricing and hedging derivative securities in markets with uncertain volatilities
by M. Avellaneda & A. Levy & A. ParAS - 89-116 Genetic algorithms and applications to finance
by J. Kingdon & K. Feldman - 117-133 Uncertain volatility and the risk-free synthesis of derivatives
by T. J. Lyons
1995, Volume 2, Issue 1
- 1-16 Options in and on interest rate futures contracts: results from martingale pricing theory
by U. Cherubini & M. Esposito - 17-42 Neural networks and some applications to finance
by K. Feldman & J. Kingdon - 43-60 Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants
by A. Bensoussan & M. Crouhy & D. Galai - 61-72 A simple class of square-root interest-rate models
by F. Jamshidian
1994, Volume 1, Issue 2
- 111-128 Stock market bubbles in the laboratory
by David Porter & Vernon Smith - 129-164 Market oscillations induced by the competition between value-based and trend-based investment strategies
by G. Caginalp & D. Balenovich - 165-194 Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
by Avellaneda Marco & ParaS Antonio - 195-207 Intelligent systems in finance
by Feldman Konrad & Treleaven Philip
1994, Volume 1, Issue 1
- 1-20 Hedging quantos, differential swaps and ratios
by Farshid Jamshidian - 21-48 Delta, gamma and bucket hedging of interest rate derivatives
by Robert Jarrow & Stuart Turnbull - 49-62 Simulations of transaction costs and optimal rehedging
by Benjamin Mohamed - 63-85 Stochastic equity volatility related to the leverage effect
by Alain Bensoussan & Michel Crouhy & Dan Galai - 87-108 Optimal pricing, use and exploration of uncertain natural resources
by Patrick Hagan & Diana Woodward & Russel Caflisch & Joseph Keller - 109-110 Book Reviews
by Jesse Jones - 110-110 Book Reviews
by Jesse Jones