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Content
September 2024, Volume 27, Issue 05n06
- 1-22 PRICING CoCos WITH EQUITY CONVERSION COVENANT IN A DISTRESSED MARKET ENVIRONMENT
by Jan-Frederik Mai - 1-23 Fitting Dynamically Consistent Forward Rate Curves: Algorithm And Comparison
by David Wu & Robert Jarrow - 1-27 On The Solution Uniqueness In Portfolio Optimization And Risk Analysis
by Bogdan Grechuk & Andrzej Palczewski & Jan Palczewski - 1-30 Parasian Over Parisian, How Much Earlier Should One Exercise?
by Lin Ai & Song-Ping Zhu - 1-32 Analysis Of Optimal Portfolio On Finite And Small-Time Horizons For A Stochastic Volatility Model With Multiple Correlated Assets
by Minglian Lin & Indranil Sengupta - 1-37 From Calendar Time To Business Time: The Case Of Commodity Markets
by Sergiy Ladokhin & Maren Diane Schmeck & Svetlana Borovkova - 1-50 The Edgeworth And Gram–Charlier Densities
by Pakorn Aschakulporn & Jin E. Zhang
May 2024, Volume 27, Issue 03n04
- 1-1 Preface: Special Issue In Honour Of The Memory Of Thomas Robert Hurd (1956–2022)
by Tomasz R. Bielecki & Matheus R. Grasselli & Lane P. Hughston - 1-8 Brief Synopsis Of The Scientific Career Of T. R. Hurd
by Matheus R. Grasselli & Lane P. Hughston - 1-13 MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES
by Freddy Delbaen - 1-20 A Greedy Algorithm For Habit Formation Under Multiplicative Utility
by Snezhana Kirusheva & Thomas S. Salisbury - 1-20 Multivariate Hawkes-Based Models In Limit Order Book: European And Spread Option Pricing
by QI GUO & ANATOLIY SWISHCHUK & BRUNO RÉMIlLARD - 1-21 The Jarrow And Turnbull Setting Revisited
by Thomas Krabichler & Josef Teichmann - 1-27 Financial Finance
by Dilip B. Madan & King Wang - 1-33 Information-Based Trading
by George Bouzianis & Lane P. Hughston & Leandro Sã Nchez-Betancourt - 1-33 Tail Risk Monotonicity In Garch(1,1) Models
by Paul Glasserman & Dan Pirjol & Qi Wu - 1-45 Netting And Novation In Repo Networks
by Hassan Chehaitli & Matheus R. Grasselli & Thomas R. Hurd & Weijie Pang - 1-55 Systemic Perspective Of Term Risk In Bank Funding Markets
by Andrea Macrina & Obeid Mahomed
February 2024, Volume 27, Issue 01
- 1-3 Preface
by Johnny Li & Lysa Porth & Alexey Rubtsov & David Saunders & Luis Seco - 1-23 Carbon Risk Hedging: Reducing Portfolio Carbon Risk Using A Beta Hedge Ratio
by Mathis Leifhelm & Peter Scholz - 1-24 Kriging Methods For Modeling Spatial Basis Risk In Weather Index Insurances: A Technical Note
by Yiping Guo & Johnny Siu-Hang Li - 1-28 Optimal Climate Policy With Negative Emissions
by Riccardo Rebonato & Dherminder Kainth & Lionel Melin & Dominic O’Kane - 1-32 €Œis Decarbonization Priced In?€ €”Evidence On The Carbon Risk Hypothesis From The European Green Deal Leakage Shock
by Lukas Mueller & Marc Ringel & Dirk Schiereck - 1-32 The Financial Impact Of Carbon Emissions On Power Utilities Under Climate Scenarios
by Florian Krach & Andrea Macrina & Ashley Kanter & Eba Hampwaye & Siphokazi Hlalukana & Nchakha Thato Rateele - 1-34 Pricing And Hedging Of Temperature Derivatives In A Model With Memory
by Markus Hess
December 2023, Volume 26, Issue 08
- 1-29 Optimal Times To Buy And Sell A Home
by Matthew Lorig & Natchanon Suaysom - 1-37 Parameter Estimation Methods Of Required Rate Of Return On Stock
by Battulga Gankhuu - 1-43 Pairs Trading With Topological Data Analysis
by Sourav Majumdar & Arnab Kumar Laha - 1-63 Log-Normal Stochastic Volatility Model With Quadratic Drift
by Artur Sepp & Parviz Rakhmonov
November 2023, Volume 26, Issue 06n07
- 1-18 Rough-Heston Local-Volatility Model
by Enrico Dall’Acqua & Riccardo Longoni & Andrea Pallavicini - 1-19 Portfolio Choice With Time Horizon Risk
by Alexis Direr - 1-20 A Representation Of Keynes’S Long-Term Expectation In Financial Markets
by Marcello Basili & Alain Chateauneuf & Giuliano Curatola & Giuseppe Scianna - 1-22 PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
by Mohamed El Jamali & Hatim Tayeq - 1-28 Polynomial Utility
by Alexander S. Lollike & Mogens Steffensen - 1-28 Short-Maturity Asymptotics For Option Prices With Interest Rate Effects
by Dan Pirjol & Lingjiong Zhu - 1-37 A Lã‰Vy-Driven Ornstein–Uhlenbeck Process For The Valuation Of Credit Index Swaptions
by Yoshihiro Shirai - 1-42 Model-Free Weak No-Arbitrage And Superhedging Under Transaction Costs Beyond Efficient Friction
by Songchol Ryom & Inchol Ri
August 2023, Volume 26, Issue 04n05
- 1-18 Optimal Investment Under Partial Information And Robust Var-Type Constraint
by Nicole Bã„Uerle & An Chen - 1-21 Pricing American Option Using A Modified Fractional Black–Scholes Model Under Multi-State Regime Switching
by M. Yousuf & A. Q. M. Khaliq - 1-23 A Linear-Programming Portfolio Optimizer To Mean–Variance Optimization
by Xiaoyue Liu & Zhenzhong Huang & Biwei Song & Zhen Zhang - 1-24 Beating A Constant Weight Benchmark: Easier Done Than Said
by Peter A. Forsyth & Pieter M. Van Staden & Yuying Li - 1-27 Vix Modeling For A Market Insider
by Markus Hess - 1-30 Withdrawal Success Estimation
by Hayden Brown - 1-33 The Low-Volatility Anomaly And The Adaptive Multi-Factor Model
by Robert A. Jarrow & Rinald Murataj & Martin T. Wells & Liao Zhu - 1-38 State Space Decomposition And Classification Of Term Structure Shapes In The Two-Factor Vasicek Model
by Martin Keller-Ressel & Felix Sachse
May 2023, Volume 26, Issue 02n03
- 1-12 The Fractional Volatility Model And Rough Volatility
by R. Vilela Mendes - 1-19 Subleading Correction To The Asian Options Volatility In The Black–Scholes Model
by Dan Pirjol - 1-22 Correlation Estimation In Hybrid Systems
by Baron Law - 1-27 Correlation Matrix Of Equi-Correlated Normal Population: Fluctuation Of The Largest Eigenvalue, Scaling Of The Bulk Eigenvalues, And Stock Market
by Yohji Akama - 1-42 Markovian Stochastic Volatility With Stochastic Correlation €” Joint Calibration And Consistency Of Spx/Vix Short-Maturity Smiles
by Martin Forde & Benjamin Smith - 1-53 Rating Transitions Forecasting: A Filtering Approach
by Areski Cousin & Jã‰Rç‘Me Lelong & Tom Picard
February 2023, Volume 26, Issue 01
- 1-3 Editorial
by Matheus R Grasselli - 1-15 Bounded Strategies For Maximizing The Sharpe Ratio
by Jiang Ye & Yiwei Wang & Muhammad Wajid Raza - 1-26 Dollar Cost Averaging Returns Estimation
by Hayden Brown - 1-27 Approximating Option Prices Under Large Changes Of Underlying Asset Prices
by Jae-Yun Jun & Yves Rakotondratsimba - 1-33 Kelly Trading And Market Equilibrium
by Hans-Peter Bermin & Magnus Holm
April 2022, Volume 33, Issue 04
- 1-13 Traffic dynamics on homogeneous networks with community structure
by Jinlong Ma & Zishuo An & Yi Zhou & Yi Zhang & Xiangyang Xu & Sufeng Li - 1-14 Development of novel kinetic energy functional for orbital-free density functional theory applications
by Vittoria Urso - 1-24 The influence of temperature on physical properties of a hybrid nanofluid flow in a non-Darcy porous medium
by Nasser S. Elgazery & Amal A. Mady
March 2022, Volume 33, Issue 03
- 1-10 Impact of interruption probability of the current optimal velocity on traffic stability for car-following model
by Xiaoqin Li & Yanyan Zhou & Guanghan Peng
February 2022, Volume 33, Issue 02
- 1-16 Numerical study of droplet breakup in an asymmetric T-junction microchannel with different cross-section ratios
by Milad Isanejad & Keivan Fallah - 1-16 Optimization of lane-changing advisory of connected and autonomous vehicles at a multi-lane work zone
by Wenjing Wu & Yongbin Zhan & Lili Yang & Renchao Sun & Anning Ni - 1-21 Quantum-inspired firefly algorithm integrated with cuckoo search for optimal path planning
by Harish Kundra & Wasim Khan & Meenakshi Malik & Kantilal Pitambar Rane & Rahul Neware & Vishal Jain
January 2022, Volume 33, Issue 01
- 1-15 Investigation of transportation of nanofluid within non-equilibrium porous media
by Yahya Ali Rothan - 1-16 On the inverse kinetic energy cascade in premixed isotropic turbulent flames
by Xiang Qian & Hao Lu & Chun Zou & Hong Yao - 1-22 Large eddy simulation of converging Richtmyer–Meshkov instability based on subgrid-scale dissipation similar method
by Hao Zhou & Qijing Feng & Pengcheng Hao & Zhiwei He & Li Li
November 2022, Volume 25, Issue 07n08
- 1-23 Volatility Smile Interpolation With Radial Basis Functions
by Hermann Azemtsa Donfack & Celestin Wafo Soh & Antonie Kotze - 1-25 Optimal Investment In Interrelated Projects
by Shasikanta Naindebam & Marzia Raybaudi & Martin Sola - 1-47 Weak Error Rates For Option Pricing Under Linear Rough Volatility
by Christian Bayer & Eric Joseph Hall & Raãšl Tempone - 1-60 ACCOUNTING NOISE AND THE PRICING OF CoCos
by Mike Derksen & Peter Spreij & Sweder Van Wijnbergen
September 2022, Volume 25, Issue 06
- 1-16 Option Surface Statistics With Applications
by Dilip B. Madan & King Wang - 1-22 A Practical Algorithm To Detect Superexponential Behavior In Financial Asset Price Returns
by Christopher Lynch & Benjamin Mestel - 1-22 Effect Of The Company Relationship Network On Default Prediction: Evidence From Chinese Listed Companies
by Guotai Chi & Ying Zhou & Long Shen & Jian Xiong & Hongjia Yan - 1-35 Sensitivities And Hedging Of The Collateral Choice Option
by Griselda Deelstra & Lech A. Grzelak & Felix L. Wolf
June 2022, Volume 25, Issue 04n05
- 1-13 Multivariate Dynamic Cash Sub-Additive Risk Measures For Processes
by Fei Sun & Kui Luo & Yu Feng - 1-28 Market Timing In Parametric Portfolio Policies
by Carlos Osorio & Thorsten Poddig & Christian Fieberg & Michael Olschewsky & Michael Falge - 1-30 A Stochastic Control Approach To Bid-Ask Price Modelling
by Engel John C. Dela Vega & Robert J. Elliott - 1-31 Optimal Portfolio Choice With Crash And Default Risk
by Lukas Mãœller - 1-33 Valuation Of General Contingent Claims With Short Selling Bans: An Equal-Risk Pricing Approach
by Guiyuan Ma & Song-Ping Zhu & Ivan Guo - 1-37 Pricing And Hedging Prepayment Risk In A Mortgage Portfolio
by Emanuele Casamassima & Lech A. Grzelak & Frank A. Mulder & Cornelis W. Oosterlee - 1-39 Portfolio Volatility Spillover
by Gueorgui S. Konstantinov & Frank J. Fabozzi - 1-45 Optimal Investment And Contingent Claim Valuation With Exponential Disutility Under Proportional Transaction Costs
by Alet Roux & Zhikang Xu
May 2022, Volume 25, Issue 03
- 1-21 Martingale Representations In Progressive Enlargement By Multivariate Point Processes
by Antonella Calzolari & Barbara Torti - 1-25 Applying The Local Martingale Theory Of Bubbles To Cryptocurrencies
by Soon Hyeok Choi & Robert A. Jarrow - 1-26 An Empirical Analysis Of Option Pricing With Short Sell Bans
by Mesias Alfeus & Xin-Jiang He & Song-Ping Zhu - 1-31 Optimal Cross-Currency Mortgage Decisions
by Eva Lãœtkebohmert & Thorsten Schmidt & Tianjiao Zhu - 1-36 Dividends And Compound Poisson Processes: A New Stochastic Stock Price Model
by Battulga Gankhuu & Jacob Kleinow & Altangerel Lkhamsuren & Andreas Horsch
March 2022, Volume 25, Issue 02
- 1-26 Approximate Option Pricing Formula For Barndorff-Nielsen And Shephard Model
by Takuji Arai - 1-26 Solvency Measurement Of Life Annuity Products
by Pauline Ngugnie Diffouo & Pierre Devolder - 1-27 A Stochastic Oil Price Model For Optimal Hedging And Risk Management
by Teemu Pennanen & Luciane Sbaraini Bonatto - 1-33 Short Selling With Margin Risk And Recall Risk
by Kristoffer Glover & Hardy Hulley - 1-43 Calibrating Local Volatility Models With Stochastic Drift And Diffusion
by Orcan ÖGetbil & Narayan Ganesan & Bernhard Hientzsch
December 2021, Volume 24, Issue 08
- 1-19 Large Platonic Markets With Delays
by Yannick Limmer & Thilo Meyer-Brandis - 1-31 Inflation, Central Bank And Short-Term Interest Rates: A New Model With Calibration To Market Data
by Flavia Antonacci & Cristina Costantini & Fernanda D’Ippoliti & Marco Papi - 1-44 Pricing Asian Options With Correlators
by Silvia Lavagnini - 1-49 Modeling Lifetime Expected Credit Losses On Bank Loans
by Thamayanthi Chellathurai - 1-50 Sinh-Acceleration For B-Spline Projection With Option Pricing Applications
by Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui
September 2021, Volume 24, Issue 06n07
- 1-18 Dynamic Probabilistic Forecasting With Uncertainty
by Fred Espen Benth & Gleda Kutrolli & Silvana Stefani - 1-25 The Affine Rational Potential Model
by The Anh Nguyen & Frank Thomas Seifried - 1-26 Coherent Risk Measure On L0: Na Condition, Pricing And Dual Representation
by Emmanuel Lepinette & Duc Thinh Vu - 1-27 Defaultable Term Structures Driven By Semimartingales
by Sandrine Gãœmbel & Thorsten Schmidt - 1-30 The Vix And Future Information
by Markus Hess - 1-35 Portfolio Insurance Under Rough Volatility And Volterra Processes
by Jean-Loup Dupret & Donatien Hainaut - 1-37 Latency And Liquidity Risk
by à Lvaro Cartea & Sebastian Jaimungal & Leandro Sã Nchez-Betancourt - 1-41 Local Risk Minimization Of Contingent Claims Simultaneously Exposed To Endogenous And Exogenous Default Times
by Ramin Okhrati & Nikolaos Karpathopoulos
August 2021, Volume 24, Issue 05
- 1-13 Option Implied Vix, Skew And Kurtosis Term Structures
by Dilip B. Madan & King Wang - 1-21 Comparing The Small-Sample Estimation Error Of Conceptually Different Risk Measures
by Benjamin R. Auer & Frank Schuhmacher - 1-27 The Classification Of Term Structure Shapes In The Two-Factor Vasicek Model — A Total Positivity Approach
by Martin Keller-Ressel - 1-27 Optimal Dynamic Futures Portfolio Under A Multifactor Gaussian Framework
by Tim Leung & Raphael Yan & Yang Zhou - 1-43 Discrete-Time Optimal Execution Under A Generalized Price Impact Model With Markovian Exogenous Orders
by Masaaki Fukasawa & Masamitsu Ohnishi & Makoto Shimoshimizu - 1-49 Practical Investment Consequences Of The Scalarization Parameter Formulation In Dynamic Mean–Variance Portfolio Optimization
by Pieter M. Van Staden & Duy-Minh Dang & Peter A. Forsyth
June 2021, Volume 24, Issue 04
- 1-18 Coherent Risk Measures And Normal Mixture Distributions With Applications In Portfolio Optimization
by Xiang Shi & Young Shin Kim - 1-25 Factor Copula Model For Portfolio Credit Risk
by Sung Ik Kim & Young Shin Kim - 1-26 The Value Of Being Lucky: Option Backdating And Nondiversifiable Risk
by Vicky Henderson & Jia Sun & A. Elizabeth Whalley - 1-28 Robust Utility Maximization In A Multivariate Financial Market With Stochastic Drift
by Jörn Sass & Dorothee Westphal - 1-29 First-To-Default And Second-To-Default Options In Models With Various Information Flows
by Pavel V. Gapeev & Monique Jeanblanc - 1-31 A Unified Market Model For Swaptions And Constant Maturity Swaps
by Chyng Wen Tee & Jeroen Kerkhof
May 2021, Volume 24, Issue 03
- 1-22 From Bid-Ask Credit Default Swap Quotes To Risk-Neutral Default Probabilities Using Distorted Expectations
by Matteo Michielon & Asma Khedher & Peter Spreij - 1-24 Pricing American Options With The Runge–Kutta–Legendre Finite Difference Scheme
by Fabien Le Floc’H - 1-28 An Ergodic Bsde Risk Representation In A Jump-Diffusion Framework
by Calisto Guambe & Lesedi Mabitsela & Rodwell Kufakunesu - 1-28 Asset Dependency Structures And Portfolio Insurance Strategies
by Daniel Mantilla-Garcia & Enrique A. Ter Horst & Emilien Audeguil & German Molina - 1-30 Financing And Investment Strategies Under Creditor-Maximized Liquidation
by Takashi Shibata & Michi Nishihara - 1-37 Replication Scheme For The Pricing Of European Options
by Hideharu Funahashi
March 2021, Volume 24, Issue 02
- 1-28 Polynomial Term Structure Models
by Si Cheng & Michael R. Tehranchi - 1-29 Consistent Upper Price Bounds For Exotic Options
by Nicole Bäuerle & Daniel Schmithals - 1-32 Insider Trading With Temporary Price Impact
by Weston Barger & Ryan Donnelly - 1-34 Cva And Vulnerable Options In Stochastic Volatility Models
by E. Alòs & F. Antonelli & A. Ramponi & S. Scarlatti - 1-47 Decomposition Formula For Rough Volterra Stochastic Volatility Models
by Raúl Merino & Jan Pospíšil & Tomáš Sobotka & Tommi Sottinen & Josep Vives - 1-51 Efficient Risk Measures Calculations For Generalized Creditrisk+ Models
by Zhenzhen Huang & Yue Kuen Kwok
February 2021, Volume 24, Issue 01
- 1-18 Closed Form Optimal Exercise Boundary Of The American Put Option
by Yerkin Kitapbayev - 1-24 Survival Investment Strategies In A Continuous-Time Market Model With Competition
by Mikhail Zhitlukhin - 1-28 Time-Inconsistent Markovian Control Problems Under Model Uncertainty With Application To The Mean-Variance Portfolio Selection
by Tomasz R. Bielecki & Tao Chen & Igor Cialenco - 1-31 Two Stage Decumulation Strategies For Dc Plan Investors
by Peter A. Forsyth - 1-34 Mixture Of Consistent Stochastic Utilities And A Priori Randomness
by Mrad Mohamed - 1-34 Portfolio Allocation In A Levy-Type Jump-Diffusion Model With Nonlife Insurance Risk
by Rafael Serrano
December 2020, Volume 23, Issue 08
- 1-20 An Approximation Method For Pricing Continuous Barrier Options Under Multi-Asset Local Stochastic Volatility Models
by Kenichiro Shiraya - 1-24 Mean–Variance Portfolio Management With Functional Optimization
by Ka Wai Tsang & Zhaoyi He - 1-25 Optimal Mean–Variance Portfolio Selection With No-Short-Selling Constraint
by Jingsi Xu - 1-31 Bounds On Multi-Asset Derivatives Via Neural Networks
by Luca De Gennaro Aquino & Carole Bernard - 1-34 A Closed-Form Solution For Optimal Ornstein–Uhlenbeck Driven Trading Strategies
by Alexander Lipton & Marcos López De Prado - 1-53 Financial Contagion In A Stochastic Block Model
by Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter - 1-64 A Principal–Agent Approach To Capacity Remuneration Mechanisms
by Clémence Alasseur & Heythem Farhat & Marcelo Saguan
November 2020, Volume 23, Issue 07
- 1-20 Linear Stochastic Dividend Model
by Sander Willems - 1-29 Moment Approximations Of Displaced Forward-Libor Rates With Application To Swaptions
by Jacques Van Appel & Thomas A. Mcwalter - 1-33 Approximating The Growth Optimal Portfolio And Stock Price Bubbles
by Eckhard Platen & Renata Rendek - 1-33 Behavioral Portfolio Choice Under Hyperbolic Absolute Risk Aversion
by Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst - 1-35 Optimal Liquidation Trajectories For The Almgren–Chriss Model
by Arne Løkka & Junwei Xu - 1-39 Systemic Risk: The Effect Of Market Confidence
by Maxim Bichuch & Ke Chen - 1-56 Inefficient Bubbles And Efficient Drawdowns In Financial Markets
by Michael Schatz & Didier Sornette
September 2020, Volume 23, Issue 06
- 1-21 Counterparty Credit Risk In A Clearing Network
by Alexander Von Felbert - 1-22 On Time Consistency For Mean-Variance Portfolio Selection
by Elena Vigna - 1-26 What A Difference One Probability Makes In The Convergence Of Binomial Trees
by Guillaume Leduc & Kenneth Palmer - 1-32 Option Pricing In Markets With Informed Traders
by Yuan Hu & Abootaleb Shirvani & Stoyan Stoyanov & Young Shin Kim & Frank J. Fabozzi & Svetlozar T. Rachev - 1-32 Multivariate Distributions For Financial Returns
by Dilip B. Madan - 1-32 Interbank Credit Risk Modeling With Self-Exciting Jump Processes
by Charles Guy Njike Leunga & Donatien Hainaut - 1-42 Collocating Volatility: A Competitive Alternative To Stochastic Local Volatility Models
by Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee
August 2020, Volume 23, Issue 05
- 1-19 Markowitz Portfolio And The Blur Of History
by Chi Tim Ng & Yue Shi & Ngai Hang Chan - 1-26 Reflected Bsdes With Stochastic Monotone Generator And Application To Valuing American Options
by Mohamed Marzougue - 1-30 Conic Cva And Dva For Option Portfolios
by Sjoerd Van Bakel & Svetlana Borovkova & Matteo Michielon - 1-34 Information Flow Dependence In Financial Markets
by Markus Michaelsen - 1-36 Approximating Expected Value Of An Option With Non-Lipschitz Payoff In Fractional Heston-Type Model
by Yuliya Mishura & Anton Yurchenko-Tytarenko - 1-37 Real Option Signaling Games Of Debt Financing Using Equity Guarantee Swaps Under Asymmetric Information
by Qiuqi Wang & Yue Kuen Kwok - 1-39 Vix Versus Vxx: A Joint Analytical Framework
by Martino Grasselli & Lakshithe Wagalath
June 2020, Volume 23, Issue 04
- 1-16 Cash-Settled Swaptions: A New Pricing Model
by Raoul Pietersz & Frank Sengers & Matteo Michielon - 1-16 The Valuation Of European Option Under Subdiffusive Fractional Brownian Motion Of The Short Rate
by Foad Shokrollahi - 1-29 Optimal Dividend Policy And Stock Prices
by Weiping Li - 1-35 Modulated Information Flows In Financial Markets
by Edward Hoyle & Andrea Macrina & Levent Ali Mengütürk - 1-35 Some Pricing Tools For The Variance Gamma Model
by Jean-Philippe Aguilar - 1-37 Old Problems, Classical Methods, New Solutions
by Alexander Lipton - 1-38 Volatility And Liquidity On High-Frequency Electricity Futures Markets: Empirical Analysis And Stochastic Modeling
by Marcel Kremer & Fred Espen Benth & Björn Felten & Rüdiger Kiesel
May 2020, Volume 23, Issue 03
- 1-17 A Note On Real-World And Risk-Neutral Dynamics For Heath–Jarrow–Morton Frameworks
by David Criens - 1-26 Market Making With Alpha Signals
by Álvaro Cartea & Yixuan Wang - 1-28 Smile Modeling In Commodity Markets
by Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli - 1-30 Second-Order Stochastic Volatility Asymptotics And The Pricing Of Foreign Exchange Derivatives
by Tommaso Pellegrino - 1-39 Robust Bounds For Derivative Prices In Markovian Models
by Julian Sester - 1-42 Set-Valued Dynamic Risk Measures For Bounded Discrete-Time Processes
by Yanhong Chen & Yijun Hu - 1-49 A Volatility-Of-Volatility Expansion Of The Option Prices In The Sabr Stochastic Volatility Model
by Olesya Grishchenko & Xiao Han & Victor Nistor
April 2020, Volume 23, Issue 02
- 1-26 Upside Beta Ratio: A Performance Measure For Potential-Seeking Investors
by Dipankar Mondal & N. Selvaraju - 1-37 Measuring Model Risk In Financial Risk Management And Pricing
by Valeriane Jokhadze & Wolfgang M. Schmidt
March 2020, Volume 23, Issue 02
- 1-22 Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy
by Olga Biedova & Victoria Steblovskaya - 1-23 Effective Asymptotics Analysis For Finance
by Cyril Grunspan & Joris Van Der Hoeven - 1-25 Principal-Component-Based Gaussian Affine Term Structure Models: Constraints And Their Financial Implications
by Riccardo Rebonato & Ivan Saroka & Vlad Putiatyn - 1-28 Credit Default Swaps In Two-Dimensional Models With Various Informations Flows
by Pavel V. Gapeev & Monique Jeanblanc - 1-29 A Top-Down Approach For The Multiple Exercises And Valuation Of Employee Stock Options
by Tim Leung & Yang Zhou
February 2020, Volume 23, Issue 01
- 1-16 Dynamic Mean-Variance Portfolios With Risk Budget
by Sheng-Feng Luo - 1-16 Capital Allocation For Set-Valued Risk Measures
by Francesca Centrone & Emanuela Rosazza Gianin - 1-24 xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT
by Lixin Wu & Dawei Zhang - 1-29 Branching Particle Pricers With Heston Examples
by Michael A. Kouritzin & Anne Mackay - 1-52 Analytical Path-Integral Pricing Of Deterministic Moving-Barrier Options Under Non-Gaussian Distributions
by André Catalão & Rogério Rosenfeld
January 2020, Volume 23, Issue 01
- 1-29 General Analysis Of Long-Term Interest Rates
by Francesca Biagini & Alessandro Gnoatto & Maximilian Härtel
December 2019, Volume 23, Issue 01
- 1-28 Strict Local Martingales Via Filtration Enlargement
by Aditi Dandapani & Philip Protter
December 2019, Volume 22, Issue 08
- 1-25 Global And Regional Risks In Currency Returns
by Jairo A. Rendon - 1-26 Pricing And Hedging Of Vix Options For Barndorff-Nielsen And Shephard Models
by Takuji Arai - 1-30 An Arithmetic Pure-Jump Multi-Curve Interest Rate Model
by Markus Hess - 1-31 American Option Pricing With Regression: Convergence Analysis
by Chen Liu & Henry Schellhorn & Qidi Peng - 1-36 Market Price Of Trading Liquidity Risk And Market Depth
by Masaaki Kijima & Christopher Ting - 1-41 Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows
by Tak Kuen Siu & Robert J. Elliott - 1-53 Swing Option Pricing By Dynamic Programming With B-Spline Density Projection
by J. Lars Kirkby & Shi-Jie Deng
November 2019, Volume 22, Issue 07
- 1-18 Singular Perturbation Expansion For Utility Maximization With Order-𝜖 Quadratic Transaction Costs
by Shiva Chandra & Andrew Papanicolaou