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Home > Managerial Finance > Table of contents:Volume 37 issue 11
Managerial Finance
ISSN: 0307-4358
Online from: 1975
Subject Area: Accounting and Finance
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Table of contents:
Volume 37 issue 11
Published: 2011, Start page: p978Special Issue: Special issue on financial derivatives
Guest editor(s): Dr Shuangzhe Liu and Professor Milind Sathye
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You have access to this item Backfiles Earlycite Abstract only | Article Id: | Article Information: |
|---|---|
| 1953694 | Traded American options are Bermudan Apostolos Kourtis, Raphael N. Markellos (pp. 978 - 984) Keywords: American options, Bermudan options, Financial markets, Market microstructure, Options markets, Prices, Stock markets Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (66kb) ] | Reprints & permissions |
| 1953786 | Using Black-Scholes to determine an optimal funding term Roger Gay (pp. 985 - 994) Keywords: Black-Scholes model, Financial risk, Investments, Lump sum conversion to income, Mean-variance efficiency, Pension separation theorem Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (270kb) ] | Reprints & permissions |
| 1953674 | Weather risk swap valuation Takeaki Kariya (pp. 995 - 1010) Keywords: Derivatives markets, Equivalence of options on weather index, Financial modeling, Hedging, Japan, Options markets, Risk management, Weather derivatives, Zero-cost swap of temperature risk Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (135kb) ] | Reprints & permissions |
| 1953914 | Coherent risk measure for derivatives under Black-Scholes economy with regime switching Fangcheng Hao, Hailiang Yang (pp. 1011 - 1024) Keywords: Derivatives markets, Options markets, Risk assessment, Risk management, Securities Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (136kb) ] | Reprints & permissions |
| 1953680 | Bond valuation under a discrete-time regime-switching term-structure model and its continuous-time extension Robert J. Elliott, Tak Kuen Siu, Alex Badescu (pp. 1025 - 1047) Keywords: Bonds, Continuous-time models, Double Esscher transform, Exponential affine form, Finance modeling, Interest rates, Markov chain, Product density processes, Regime switching risk, Securities Article type: Technical paper Please login | Abstract & purchase [ HTML & PDF (179kb) ] | Reprints & permissions |
| 1953925 | Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX Isao Ishida, Michael McAleer, Kosuke Oya (pp. 1048 - 1067) Keywords: Continuous time, Gearing, High-frequency data, Implied volatility, S&P500, Stochastic volatility, Stock prices, VIX, Volatility Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (183kb) ] | Reprints & permissions |
| 1953868 | A three-factor valuation model for mortgage-backed securities (MBS) Takeaki Kariya, Fumiaki Ushiyama, Stanley R. Pliska (pp. 1068 - 1087) Keywords: Burnout-effect, Cash flow, Discrete time three-factor model, Mortgage-backed securities (MBS), Prepayment behaviour, Pricing, Refinance, Securities Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (362kb) ] | Reprints & permissions |
| 1954003 | Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures Chia-lin Chang, Juan-Ángel Jiménez-Martín, Michael McAleer, Teodosio Pérez-Amaral (pp. 1088 - 1106) Keywords: Banks, Basel II Accord, Daily capital charges, International finance, Median strategy, Optimizing strategy, Regulations, Risk management, Value-at-risk (VaR), Violation penalties, VIX futures Article type: Research paper Please login | Abstract & purchase [ HTML & PDF (293kb) ] | Reprints & permissions |
Guest editorial
| Article Id: | Article Information: |
|---|---|
| 1953717 | Recent advances in financial derivatives Shuangzhe Liu, Milind Sathye Abstract | View HTML |
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