Printed from https://ideas.repec.org/s/wsi/ijfexx3.html
Content
2015, Volume 02, Issue 03
- 1-21 Does model misspecification matter for hedging? A computational finance experiment based approach
by Youfa Sun & George Yuan & Shimin Guo & Jianguo Liu & Steven Yuan - 1-26 Fast numerical method for pricing of variable annuities with guaranteed minimum withdrawal benefit under optimal withdrawal strategy
by Xiaolin Luo & Pavel V. Shevchenko - 1-28 Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis
by Mazin A. M. Al Janabi - 1-30 Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity
by Peter Lerner - 1-56 Heavy-tailed features and dependence in limit order book volume profiles in futures markets
by Kylie-Anne Richards & Gareth W. Peters & William Dunsmuir - 1-57 The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe
by Min Zhang & Adam W. Kolkiewicz & Tony S. Wirjanto & Xindan Li
2015, Volume 02, Issue 02
- 1-13 Program trading and its risk analysis based on agent-based computational finance
by Xiong Xiong & Hailiang Yuan & Wei Zhang & Yongjie Zhang - 1-16 New explicit closed form formulae for the prices of catastrophe options
by Yunguo Jin & Shouming Zhong - 1-16 An accumulator pricing method based on Fourier cosine series expansions
by Deng Ding & Wenfei Wang - 1-22 Modeling intraday information in financial markets with the scatter search metaheuristic
by Carlos Gomes da Silva - 1-23 Analytical valuation of autocallable notes
by Tristan Guillaume - 1-24 Revisiting variance gamma pricing: An application to S&P500 index options
by Sharif Mozumder & Ghulam Sorwar & Kevin Dowd - 1-28 Local risk-minimization for Lévy markets
by Takuji Arai & Ryoichi Suzuki - 1-29 An asymptotic expansion of forward-backward SDEs with a perturbed driver
by Akihiko Takahashi & Toshihiro Yamada - 1-30 Option pricing via radial basis functions: Performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing
by Pier Giuseppe Giribone & Simone Ligato - 1-35 Option prices and model-free measurement of implied herd behavior in stock markets
by Daniël Linders & Jan Dhaene & Wim Schoutens - 1-36 Static models of central counterparty risk
by Samim Ghamami - 1-52 Stochastic simulation framework for the limit order book using liquidity-motivated agents
by Efstathios Panayi & Gareth W. Peters