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Content
2012, Volume 15, Issue 05
- 1-22 Dynamic Modeling Of High-Dimensional Correlation Matrices In Finance
by Vasyl Golosnoy & Helmut Herwartz - 1-22 The Minimal Κ-Entropy Martingale Measure
by Barbara Trivellato - 1-24 ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
by Masaaki Fujii & Akihiko Takahashi - 1-26 Fourier Transform Methods For Regime-Switching Jump-Diffusions And The Pricing Of Forward Starting Options
by Alessandro Ramponi - 1-27 On Pricing Contingent Claims Under The Double Heston Model
by M. Costabile & I. Massabò & E. Russo
2012, Volume 15, Issue 04
- 1-20 A Quadratic Hedging Approach To Comparison Of Catastrophe Indices
by Ragnar Norberg & Oksana Savina - 1-24 Consistent Factor Models For Temperature Markets
by Philipp Hell & Thilo Meyer-Brandis & Thorsten Rheinländer - 1-27 The Term Structure Of Implied Volatility In Symmetric Models With Applications To Heston
by S. De Marco & C. Martini - 1-30 A Multivariate Pure-Jump Model With Multi-Factorial Dependence Structure
by Roberto Marfè - 1-32 Pricing Of Unemployment Insurance Products With Doubly Stochastic Markov Chains
by Francesca Biagini & Jan Widenmann - 1-32 Multivariate Heavy-Tailed Models For Value-At-Risk Estimation
by Carlo Marinelli & Stefano D'Addona & Svetlozar T. Rachev - 1-34 Fast Computation Of Vanilla Prices In Time-Changed Models And Implied Volatilities Using Rational Approximations
by Martijn Pistorius & Johannes Stolte
2012, Volume 15, Issue 03
- 1-9 Robust Mean-Variance Hedging And Pricing Of Contingent Claims In A One Period Model
by R. Tevzadze & T. Uzunashvili - 1-15 A Dysfunctional Role Of High Frequency Trading In Electronic Markets
by Robert A. Jarrow & Philip Protter - 1-17 Intensity-Based Models For Pricing Mortgage-Backed Securities With Repayment Risk Under A Cir Process
by Sen Wu & Lishang Jiang & Jin Liang - 1-22 Monte Carlo Derivative Pricing With Partial Information In A Class Of Doubly Stochastic Poisson Processes With Marks
by Silvia Centanni & Marco Minozzo - 1-23 The Joint Distribution Of Stock Returns Is Not Elliptical
by Rémy Chicheportiche & Jean-Philippe Bouchaud - 1-27 Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment
by Christoph Meinerding - 1-34 Asymptotic Equivalence In Lee'S Moment Formulas For The Implied Volatility, Asset Price Models Without Moment Explosions, And Piterbarg'S Conjecture
by Archil Gulisashvili
2012, Volume 15, Issue 02
- 1-19 An Explicit Option-Based Strategy That Outperforms Dollar Cost Averaging
by Steven Vanduffel & Ales Ahcan & Luc Henrard & Mateusz Maj - 1-20 Relating Top-Down With Bottom-Up Approaches In The Evaluation Of Abs With Large Collateral Pools
by Nicolas Diener & Robert Jarrow & Philip Protter - 1-21 Locally Risk-Neutral Valuation Of Options In Garch Models Based On Variance-Gamma Process
by Lie-Jane Kao - 1-22 Metrization Of Stochastic Dominance Rules
by Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi - 1-32 Comparison Of Mean Variance Like Strategies For Optimal Asset Allocation Problems
by J. Wang & P. A. Forsyth - 1-33 Accelerating Pathwise Greeks In The Libor Market Model
by Mark Joshi & Alexander Wiguna - 1-37 A Low-Bias Simulation Scheme For The Sabr Stochastic Volatility Model
by Bin Chen & Cornelis W. Oosterlee & Hans Van Der Weide
2012, Volume 15, Issue 01
- 1-3 PREFACE – Special Issue on Financial Derivatives and Risk Management
by Matheus Grasselli & Lane P. Hughston - 1-15 Heat Kernel Interest Rate Models With Time-Inhomogeneous Markov Processes
by Jirô Akahori & Andrea Macrina - 1-17 Target Volatility Option Pricing
by Giuseppe Di Graziano & Lorenzo Torricelli - 1-18 Portfolio Optimization Under Partial Information With Expert Opinions
by Rüdiger Frey & Abdelali Gabih & Ralf Wunderlich - 1-18 The Heat-Kernel Most-Likely-Path Approximation
by Jim Gatheral & Tai-Ho Wang - 1-19 Cdo Term Structure Modelling With Lévy Processes And The Relation To Market Models
by Thorsten Schmidt & Jerzy Zabczyk - 1-20 Stress Testing The Resilience Of Financial Networks
by Hamed Amini & Rama Cont & Andreea Minca - 1-21 Pricing Of Perpetual American Options In A Model With Partial Information
by Pavel V. Gapeev - 1-24 Conditional Density Models For Asset Pricing
by Damir Filipović & Lane P. Hughston & Andrea Macrina - 1-34 Performance Of Robust Hedges For Digital Double Barrier Options
by Jan Obłój & Frédérik Ulmer - 1-39 Valuation And Hedging Of Cds Counterparty Exposure In A Markov Copula Model
by T. R. Bielecki & S. Crépey & M. Jeanblanc & B. Zargari
2011, Volume 14, Issue 08
- 1195-1230 Maximum Drawdown Insurance
by Peter Carr & Hongzhong Zhang & Olympia Hadjiliadis - 1231-1246 Statistical Causes For The Epps Effect In Microstructure Noise
by Michael C. Münnix & Rudi Schäfer & Thomas Guhr - 1247-1277 Fixed-Mix Rules In An Evolutionary Market Using A Factor Model For Dividends
by Konstantinos Mavroudis & Craig A. Nolder - 1279-1297 Should An American Option Be Exercised Earlier Or Later If Volatility Is Not Assumed To Be A Constant?
by Song-Ping Zhu & Wen-Ting Chen - 1299-1333 A Parsimonious Multi-Asset Heston Model: Calibration And Derivative Pricing
by Georgi Dimitroff & Stefan Lorenz & Alexander Szimayer - 1335-1353 Counterparty Risk For Credit Default Swap With States Related Default Intensity Processes
by Dan Tang & Yongjin Wang & Yuzhen Zhou - 1355-1383 Time-Changed Fast Mean-Reverting Stochastic Volatility Models
by Matthew Lorig
2011, Volume 14, Issue 07
- 1-1 PREFACE — Spectral and Cubature Methods in Finance and Econometrics
by Sergei Levendorskiĭ & Aleksandar Mijatovic & Martijn Pistorius - 979-1004 Kernel Convergence Estimates For Diffusions With Continuous Coefficients
by Claudio Albanese - 1005-1043 Double Barrier Options In Regime-Switching Hyper-Exponential Jump-Diffusion Models
by Mitya Boyarchenko & Svetlana Boyarchenko - 1045-1090 Prices Of Barrier And First-Touch Digital Options In Lévy-Driven Models, Near Barrier
by Mitya Boyarchenko & Marco De Innocentis & Sergei Levendorskiĭ - 1091-1111 Semi-Static Hedging Of Barrier Options Under Poisson Jumps
by Peter Carr - 1113-1137 Wavelet Optimized Valuation Of Financial Derivatives
by B. Carton De Wiart & M. A. H. Dempster - 1139-1158 Method Of Moments Approach To Pricing Double Barrier Contracts In Polynomial Jump-Diffusion Models
by Bjorn Eriksson & Martijn Pistorius - 1159-1193 Volatility Derivatives In Market Models With Jumps
by Harry Lo & Aleksandar Mijatović
2011, Volume 14, Issue 06
- 773-802 Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - 803-837 Tracking Errors From Discrete Hedging In Exponential Lévy Models
by Mats Brodén & Peter Tankov - 839-865 Dangerous Knowledge: Credit Value Adjustment With Credit Triggers
by Chuang Yi - 867-897 Convenient Multiple Directions Of Stratification
by Benjamin Jourdain & Bernard Lapeyre & Piergiacomo Sabino - 899-943 Hedging (Co)Variance Risk With Variance Swaps
by José Da Fonseca & Martino Grasselli & Florian Ielpo - 945-956 Derivative Pricing Based On The Exchange Rate In A Target Zone With Realignment
by Lijun Bo & Yongjin Wang & Xuewei Yang - 957-977 Dynamic Portfolio Selection Under Capital-At-Risk With No Short-Selling Constraints
by Gordana Dmitrašinović-Vidović & Ali Lari-Lavassani & Xun Li & Antony Ware
2011, Volume 14, Issue 05
- 587-610 Conic Finance And The Corporate Balance Sheet
by Dilip B. Madan & Wim Schoutens - 611-633 Information Asymmetry In Pricing Of Credit Derivatives
by Caroline Hillairet & Ying Jiao - 635-667 SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION
by Peter Imkeller & Anthony Réveillac & Jianing Zhang - 669-708 A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions
by Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu - 709-722 Pricing Digital Outperformance Options With Uncertain Correlation
by Jacinto Marabel - 723-755 The Compatible Bond-Stock Market With Jumps
by Dewen Xiong & Michael Kohlmann - 757-771 Insider Trading Under Discreteness
by Massimo Scotti
2011, Volume 14, Issue 04
- 433-463 Model-Free Implied Volatility: From Surface To Index
by M. Fukasawa & I. Ishida & N. Maghrebi & K. Oya & M. Ubukata & K. Yamazaki - 465-484 Do Institutional Investors Care About The Ambiguity Of Their Assets? Evidence From Portfolio Holdings In Alternative Investments
by Christian Koziol & Juliane Proelss & Denis Schweizer - 485-505 Hedging European Derivatives With The Polynomial Variance Swap Under Uncertain Volatility Environments
by Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki - 507-524 Option Pricing Via Maximization Over Uncertainty And Correction Of Volatility Smile
by Nikolai Dokuchaev - 525-557 The Term Structure Of Currency Hedge Ratios
by Olaf Korn & Philipp Koziol - 559-578 Exact Pricing And Large-Time Asymptotics For The Modified Sabr Model And The Brownian Exponential Functional
by Martin Forde - 579-586 Brownian Semistationary Processes And Conditional Full Support
by Mikko S. Pakkanen
2011, Volume 14, Issue 03
- 335-351 Absolutely Continuous Compensators
by Svante Janson & Sokhna M'Baye & Philip Protter - 353-368 Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework
by Jim Gatheral & Alexander Schied - 369-406 Managing Corporate Liquidity: Strategies And Pricing Implications
by Attakrit Asvanunt & Mark Broadie & Suresh Sundaresan - 407-432 Forward And Future Implied Volatility
by Paul Glasserman & Qi Wu
2011, Volume 14, Issue 02
- 187-196 A Model For The Long-Term Optimal Capacity Level Of An Investment Project
by Arne Løkka & Mihail Zervos - 197-219 Perturbation Stable Conditional Analytic Monte-Carlo Pricing Scheme For Auto-Callable Products
by Christian P. Fries & Mark S. Joshi - 221-238 A Non-Homogeneous Semi-Markov Reward Model For The Credit Spread Computation
by Guglielmo D'Amico & Jacques Janssen & Raimondo Manca - 239-264 Static Hedging Of Defaultable Contingent Claims: A Simple Hedging Scheme Across Equity And Credit Markets
by Shuichi Ohsaki & Akira Yamazaki - 265-294 Regime Switching Term Structure Model Under Partial Information
by Hidenori Futami - 295-312 Hedging Swing Options
by Jesús F. Rodríguez - 313-333 Pricing Asian Options In Affine Garch Models
by Mercuri Lorenzo
2011, Volume 14, Issue 01
- 1-15 Monetary Valuation Of Cash Flows Under Knightian Uncertainty
by Hans Föllmer & Irina Penner - 17-40 Optimal Investment On Finite Horizon With Random Discrete Order Flow In Illiquid Markets
by Paul Gassiat & Huyên Pham & Mihai Sîrbu - 41-59 Conditional Certainty Equivalent
by Marco Frittelli & Marco Maggis - 61-81 Initial Investment Choice And Optimal Future Allocations Under Time-Monotone Performance Criteria
by M. Musiela & T. Zariphopoulou - 83-106 Optimal Exercise Of An Executive Stock Option By An Insider
by Michael Monoyios & Andrew Ng - 107-135 Tangent Models As A Mathematical Framework For Dynamic Calibration
by René Carmona & Sergey Nadtochiy - 137-162 Composition Of Time-Consistent Dynamic Monetary Risk Measures In Discrete Time
by Patrick Cheridito & Michael Kupper - 163-185 On The Penalty Function And On Continuity Properties Of Risk Measures
by Marco Frittelli & Emanuela Rosazza Gianin
2010, Volume 13, Issue 08
- 1149-1177 Markets As A Counterparty: An Introduction To Conic Finance
by Dilip B. Madan & Alexander Cherny - 1179-1221 A Hybrid Asymptotic Expansion Scheme: An Application To Long-Term Currency Options
by Akihiko Takahashi & Kohta Takehara - 1223-1240 A Nonparametric Urn-Based Approach To Interacting Failing Systems With An Application To Credit Risk Modeling
by Pasquale Cirillo & Jürg Hüsler & Pietro Muliere - 1241-1263 A Finite-Dimensional Hjm Model: How Important Is Arbitrage-Free Evolution?
by Siobhán Devin & Bernard Hanzon & Thomas Ribarits - 1265-1277 Solving The Asian Option Pde Using Lie Symmetry Methods
by Nicolette C. Caister & John G. O'Hara & Keshlan S. Govinder - 1279-1291 Better Confidence Intervals For Importance Sampling
by Halis Sak & Wolfgang Hörmann & Josef Leydold - 1293-1324 Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice
by Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra
2010, Volume 13, Issue 07
- 1001-1017 Pricing And Filtering In A Two-Dimensional Dividend Switching Model
by Pavel V. Gapeev & Monique Jeanblanc - 1019-1046 Analytical Approximation To Constant Maturity Swap Convexity Corrections In A Multi-Factor Sabr Model
by Bin Chen & Cornelis W. Oosterlee & Sacha Van Weeren - 1047-1063 Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility: A Linear Model
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini - 1065-1073 On The Unbiased Estimator Of The Efficient Frontier
by Olha Bodnar & Taras Bodnar - 1075-1101 Robust Exponential Hedging And Indifference Valuation
by Keita Owari - 1103-1129 CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
by Stefan Ankirchner & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel - 1131-1147 Asymptotic Analysis For Foreign Exchange Derivatives With Stochastic Volatility
by Charles Cuthbertson & Grigorios Pavliotis & Avraam Rafailidis & Petter Wiberg
2010, Volume 13, Issue 06
- 821-838 An Analysis Of The Supply Curve For Liquidity Risk Through Book Data
by Marcel Blais & Philip Protter - 839-865 Fast And Accurate Pricing And Hedging Of Long-Dated Cms Spread Options
by Mark Joshi & Chao Yang - 867-899 When Are Swing Options Bang-Bang?
by Olivier Bardou & Sandrine Bouthemy & Gilles Pagès - 901-929 Exact Pricing With Stochastic Volatility And Jumps
by Fernanda D'Ippoliti & Enrico Moretto & Sara Pasquali & Barbara Trivellato - 931-957 On The Consumption/Distribution Theorem Under The Long-Run Growth Criterion Subject To A Drawdown Constraint
by Michael J. Klass & Krzysztof Nowicki - 959-978 On The Impact Of Hidden Trends For A Compound Poisson Model With Pareto-Type Claims
by Peter Grandits & Reinhold Kainhofer & Grigory Temnov - 979-1000 NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs
by A. Eichler & G. Leobacher & H. Zellinger
2010, Volume 13, Issue 05
- 635-656 Completeness Of Bond Market Driven By Lévy Process
by Michał Barski & Jerzy Zabczyk - 657-681 Pricing And Hedging Barrier Options In A Hyper-Exponential Additive Model
by Marc Jeannin & Martijn Pistorius - 683-715 Credit Risk And Incomplete Information: Filtering And Em Parameter Estimation
by Claudio Fontana & Wolfgang J. Runggaldier - 717-750 Pricing And Deltas Of Discretely-Monitored Barrier Options Using Stratified Sampling On The Hitting-Times To The Barrier
by Mark Joshi & Robert Tang - 751-765 Valuing Callable And Putable Revenue-Performance-Linked Project Backed Securities
by Feng Dong & Nicola Chiara & Jan Vecer - 767-787 Computation Of Volatility In Stochastic Volatility Models With High Frequency Data
by Emilio Barucci & Maria Elvira Mancino - 789-820 Mean Variance Hedging In A General Jump Market
by Dewen Xiong & Michael Kohlmann
2010, Volume 13, Issue 04
- 503-506 The Var At Risk
by Alfred Galichon - 507-515 A Remark Concerning Value-At-Risk
by S. Y. Novak - 517-535 Long-Term Risk Management For Utility Companies: The Next Challenges
by René Aïd - 537-576 Corporate Liquidity, Dividend Policy And Default Risk: Optimal Financial Policy And Agency Costs
by Yann Braouezec & Charles-Albert Lehalle - 577-602 Particle Methods For The Estimation Of Credit Portfolio Loss Distributions
by René Carmona & Stéphane Crépey - 603-634 Expansion Formulas For European Options In A Local Volatility Model
by E. Benhamou & E. Gobet & M. Miri
2010, Volume 13, Issue 03
- 355-366 A Maximal Predictability Portfolio Using Dynamic Factor Selection Strategy
by Hiroshi Konno & Yoshihiro Takaya & Rei Yamamoto - 367-401 Exact Pricing Asymptotics Of Investment-Grade Tranches Of Synthetic Cdo'S: A Large Homogeneous Pool
by Richard B. Sowers - 403-414 A Multilevel Approach To Solving The Black–Scholes Equation
by Hedley Morris & Alfonso Limon - 415-440 A Generalized Normal Mean-Variance Mixture For Return Processes In Finance
by Elisa Luciano & Patrizia Semeraro - 441-458 Valuation Of Compound Option When The Underlying Asset Is Non-Tradable
by Yu-Hong Liu - 459-477 Utility Maximization In Affine Stochastic Volatility Models
by Jan Kallsen & Johannes Muhle-Karbe - 479-499 Regime-Switching Recombining Tree For Option Pricing
by R. H. Liu
2010, Volume 13, Issue 02
- 195-209 Fast Valuation Of Forward-Starting Basket Default Swaps
by Ken Jackson & Alex Kreinin & Wanhe Zhang - 211-240 A Regularized Fourier Transform Approach For Valuing Options Under Stochastic Dividend Yields
by Baye M. Dia - 241-258 Local Estimation Of Dynamic Copula Models
by Beatriz V. M. Mendes & Eduardo F. L. De Melo - 259-283 Identification Of Affine Term Structures From Yield Curve Data
by Shin Ichi Aihara & Arunabha Bagchi - 285-299 Electricity Prices: A Nonparametric Approach
by Davide Pirino & Roberto Renò - 301-333 Recursive Bayesian Estimation In Forward Price Models Implied By Fair Pricing
by Yassine El Qalli - 335-354 Probability Distribution And Option Pricing For Drawdown In A Stochastic Volatility Environment
by Kyo Yamamoto & Seisho Sato & Akihiko Takahashi
2010, Volume 13, Issue 01
- 1-43 Efficient, Almost Exact Simulation Of The Heston Stochastic Volatility Model
by Alexander Van Haastrecht & Antoon Pelsser - 45-62 Pricing Cms Spread Options In A Libor Market Model
by Denis Belomestny & Anastasia Kolodko & John Schoenmakers - 63-91 Approximating Lévy Processes With A View To Option Pricing
by John Crosby & Nolwenn Le Saux & Aleksandar Mijatović - 93-112 Implication Of The Kelly Criterion For Multi-Dimensional Processes
by Yingdong Lv & Bernhard K. Meister - 113-137 Modern Libor Market Models: Using Different Curves For Projecting Rates And For Discounting
by Fabio Mercurio - 139-161 It'S Your Choice: A Unified Approach To Chooser Options
by Klaus Sandmann & Manuel Wittke - 163-193 Estimating Univariate Distributions Via Relative Entropy Minimization: Case Studies On Financial And Economic Data
by Craig Friedman & Yangyong Zhang & Jinggang Huang
2009, Volume 12, Issue 08
- 1075-1090 Put Option Prices As Joint Distribution Functions In Strike And Maturity: The Black–Scholes Case
by D. Madan & B. Roynette & M. Yor - 1091-1104 Pricing Of Contingent Claims In A Two-Dimensional Model With Random Dividends
by Pavel V. Gapeev & Monique Jeanblanc - 1105-1123 The Mirage Of Triangular Arbitrage In The Spot Foreign Exchange Market
by Daniel J. Fenn & Sam D. Howison & Mark Mcdonald & Stacy Williams & Neil F. Johnson - 1125-1170 Prices And Sensitivities Of Barrier And First-Touch Digital Options In Lévy-Driven Models
by Mitya Boyarchenko & Sergei Levendorskiĭ - 1171-1196 Does Curvature Enhance Forecasting?
by Caio Almeida & Romeu Gomes & André Leite & Axel Simonsen & José Vicente - 1197-1212 A Novel Reduction Of The Simple Asian Option And Lie-Group Invariant Solutions
by Stephen Taylor & Scott Glasgow - 1213-1230 Credit Risk Modeling Using Time-Changed Brownian Motion
by T. R. Hurd
2009, Volume 12, Issue 07
- 901-924 Forward And Futures Prices With Bubbles
by Robert A. Jarrow & Philip Protter - 925-947 A Structural Risk-Neutral Model Of Electricity Prices
by René Aïd & Luciano Campi & Adrien Nguyen Huu & Nizar Touzi - 949-967 Pricing And Hedging In Carbon Emissions Markets
by Umut Çetin & Michel Verschuere - 969-1005 Arbitrage-Free Interpolation Of The Swap Curve
by Mark H. A. Davis & Vicente Mataix-Pastor - 1007-1026 Counterparty Risk For Credit Default Swaps: Impact Of Spread Volatility And Default Correlation
by Damiano Brigo & Kyriakos Chourdakis - 1027-1053 Valuation Of Credit Default Swaptions And Credit Default Index Swaptions
by Marek Rutkowski & Anthony Armstrong - 1055-1073 Barrier Option Pricing By Branching Processes
by Georgi K. Mitov & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi
2009, Volume 12, Issue 06
- 745-765 Implied And Realized Volatility In The Cross-Section Of Equity Options
by Manuel Ammann & David Skovmand & Michael Verhofen - 767-796 Optimal Portfolios With Stochastic Short Rate: Pitfalls When The Short Rate Is Non-Gaussian Or The Market Price Of Risk Is Unbounded
by Holger Kraft - 797-810 Sequential Surveillance Of The Tangency Portfolio Weights
by Olha Bodnar - 811-832 Accurate Of Var Calculated Using Empirical Models Of The Term Structure
by Pilar Abad & Sonia Benito - 833-860 The Best Hedging Strategy In The Presence Of Transaction Costs
by Valeri Zakamouline - 861-876 Small-Time Asymptotics For Implied Volatility Under The Heston Model
by Martin Forde & Antoine Jacquier - 877-899 A Stochastic Volatility Model For Risk-Reversals In Foreign Exchange
by Claudio Albanese & Aleksandar Mijatović
2009, Volume 12, Issue 05
- 577-588 Arbitrage Smoothing In Fitting A Sequence Of Yield Curves
by Paul A. Bekker & Kees E. Bouwman - 589-603 Correlations Among Forward Returns In The Nordic Electricity Market
by Dennis Frestad - 605-631 Share Repurchases And Firm Behavior
by Adri De Ridder - 633-662 Simultaneous Calibration To A Range Of Portfolio Credit Derivatives With A Dynamic Discrete-Time Multi-Step Markov Loss Model
by Michael B. Walker - 663-685 Pricing And Hedging Of Cdo-Squared Tranches By Using A One Factor Lévy Model
by Florence Guillaume & Philippe Jacobs & Wim Schoutens - 687-707 Pricing Of Traffic Light Options And Other Hybrid Products
by Thomas Kokholm - 709-743 The Variance Swap Contract Under The Cev Process
by Richard Jordan & Charles Tier
2009, Volume 12, Issue 04
- 427-441 On The Relationship Between The Call Price Surface And The Implied Volatility Surface Close To Expiry
by Michael Roper & Marek Rutkowski - 443-463 Investment Timing Under Regime Switching
by Robert J. Elliott & Hong Miao & Jin Yu - 465-489 Pca-Based Ex-Ante Forecasting Of Swap Term Structures
by Oliver Blaskowitz & Helmut Herwartz - 491-506 Pricing Of Exotic Energy Derivatives Based On Arithmetic Spot Models
by Fred Espen Benth & Rodwell Kufakunesu - 507-522 Markovian Projection Onto A Displaced Diffusion: Generic Formulas With Applications
by A. Antonov & T. Misirpashaev - 523-543 On A Finite Horizon Starting And Stopping Problem With Risk Of Abandonment
by Boualem Djehiche & Said Hamadène - 545-575 Multiple Rescindable Options And Their Pricing
by Nikolai Dokuchaev
2009, Volume 12, Issue 03
- 267-282 Hedge Fund Performance: Sources And Measures
by Ernst Eberlein & Dilip B. Madan - 283-295 Sensitivity Analysis And Density Estimation For The Hobson-Rogers Stochastic Volatility Model
by Reiichiro Kawai - 297-317 Wavelet Estimators For Long Memory In Stock Markets
by Anouar Ben Mabrouk & Hedi Kortas & Samir Ben Ammou - 319-340 New Numerical Scheme For Pricing American Option With Regime-Switching
by A. Q. M. Khaliq & R. H. Liu - 341-358 An Analytical Framework For Explaining Relative Performance Of Capm Beta And Downside Beta
by Don U. A. Galagedera - 359-391 Convergence Speed Of Garch Option Price To Diffusion Option Price
by Jin-Chuan Duan & Yazhen Wang & Jian Zou - 393-425 The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines
by Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas
2009, Volume 12, Issue 02
- 113-124 Regime-Switched Volatility Of Brent Crude Oil Futures With Markov-Switching Arch Model
by Tien-Yu Chiu & Shwu-Jane Shieh - 125-151 A "Coherent State Transform" Approach To Derivative Pricing
by Ludovico Perissinotto & Claudio Tebaldi - 153-178 Implied Volatility From Asian Options Via Monte Carlo Methods
by Zhaojun Yang & Christian-Oliver Ewald & Yajun Xiao - 179-207 Pricing For Geometric Marked Point Processes Under Partial Information: Entropy Approach
by Claudia Ceci & Anna Gerardi - 209-225 Forward Start Options Under Stochastic Volatility And Stochastic Interest Rates
by Rehez Ahlip & Marek Rutkowski - 227-249 A Tractable Multivariate Default Model Based On A Stochastic Time-Change
by Jan-Frederik Mai & Matthias Scherer - 251-266 A Random Cluster Process Approach To Collective Market Dynamics With Local Interactions
by Haiyan Cai & Kang Chen
2009, Volume 12, Issue 01
- 1-18 A Generalized Multiscale Analysis Of The Predictive Content Of Eurodollar Implied Volatilities
by Alessandro Cardinali - 19-44 Pricing Double Barrier Parisian Options Using Laplace Transforms
by Céline Labart & Jérôme Lelong