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Journal of Mathematical Finance

ISSN: 2162--2434
Publisher: Scientific Research Publishing


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The SAFEX-JIBAR Market Models

Author(s): Victor Gumbo
Volume: 02
Issue: 04
Year: 2012
From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment

Author(s): Qing Zhou | Chao Li
Volume: 02
Issue: 04
Year: 2012
CreditGrades Framework within Stochastic Covariance Models

Author(s): Marcos Escobar | Hamidreza Arian | Luis Seco
Volume: 02
Issue: 04
Year: 2012
The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option

Author(s): Sure Mataramvura
Volume: 02
Issue: 04
Year: 2012
Expected Stock Returns and Option-Implied Rate of Return

Author(s): Samuel Y. M. Ze-To
Volume: 02
Issue: 04
Year: 2012
H∞-Optimal Control for Robust Financial Asset and Input Purchasing Decisions

Author(s): David Hudgins | Joon Na
Volume: 03
Issue: 03
Year: 2013
A Liability Tracking Approach to Long Term Management of Pension Funds

Author(s): Masashi Ieda | Takashi Yamashita | Yumiharu Nakano
Volume: 03
Issue: 03
Year: 2013
Risk Measures and Nonlinear Expectations

Author(s): Zengjing Chen | Kun He | Reg Kulperger
Volume: 03
Issue: 03
Year: 2013
Dynamics of Entrepreneurship under Regime Switching

Author(s): Sha Sun | Jinqiang Yang | Minghui Li
Volume: 03
Issue: 03
Year: 2013
Pricing Options in Jump Diffusion Models Using Mellin Transforms

Author(s): Robert Frontczak
Volume: 03
Issue: 03
Year: 2013
Recursive Estimation for Continuous Time Stochastic Volatility Models Using the Milstein Approximation

Author(s): Theodoro Koulis | Alexander Paseka | Aerambamoorthy Thavaneswaran
Volume: 03
Issue: 03
Year: 2013
Generalized Option Betas

Author(s): Sven Husmann | Neda Todorova
Volume: 03
Issue: 03
Year: 2013
The Simulation of European Call Options’ Sensitivity Based on Black-Scholes Option Formula

Author(s): Yujie Cui | Baoli Yu
Volume: 02
Issue: 03
Year: 2012
Some Properties for the American Option-Pricing Model

Author(s): Hong-Ming Yin
Volume: 02
Issue: 03
Year: 2012
Credit Constraints and Decisions in Exports: Theory under Asymmetric Information

Author(s): Xin Zhang
Volume: 02
Issue: 03
Year: 2012
Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model

Author(s): Samuel Y. M. Ze-To
Volume: 02
Issue: 03
Year: 2012
Pricing Options on Foreign Currency with a Preset Exchange Rate

Author(s): Avner Wolf | Christopher Hessel
Volume: 02
Issue: 03
Year: 2012
Partial Hedging Using Malliavin Calculus

Author(s): Lan Ma Nygren | Peter Lakner
Volume: 02
Issue: 03
Year: 2012
Stochastic Volatility Jump-Diffusion Model for Option Pricing

Author(s): Nonthiya Makate | Pairote Sattayatham
Volume: 01
Issue: 03
Year: 2011
The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin

Author(s): Wenguang Yu | Yujuan Huang
Volume: 01
Issue: 03
Year: 2011
On the Individual Expectations of Non-Average Investors

Author(s): Lucia Del Chicca | Gerhard Larcher
Volume: 01
Issue: 03
Year: 2011
Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model

Author(s): Jaya Prakasah Narayan Bishwal
Volume: 01
Issue: 03
Year: 2011
Risk Aggregation by Using Copulas in Internal Models

Author(s): Tristan Nguyen | Robert Danilo Molinari
Volume: 01
Issue: 03
Year: 2011
On Value Premium, Part I: The Existence

Author(s): Chi Fung Ling | Simon Gar Man Koo
Volume: 01
Issue: 03
Year: 2011
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates

Author(s): Sarisa Pinkham | Pairote Sattayatham
Volume: 01
Issue: 03
Year: 2011
Recent Developments in Option Pricing

Author(s): Hui Gong | You Liang | Aerambamoorthy Thavaneswaran
Volume: 01
Issue: 03
Year: 2011
Adaptive Wave Models for Sophisticated Option Pricing

Author(s): Vladimir G. Ivancevic
Volume: 01
Issue: 03
Year: 2011
The Optimal Portfolio Model Based on Mean-CVaR

Author(s): Xing Yu | Hongguo Sun | Guohua Chen
Volume: 01
Issue: 03
Year: 2011
Stochastic Convergence in Regional Economic Activity

Author(s): Fariba Hashemi
Volume: 01
Issue: 03
Year: 2011
Analysis of Hedging Profits Under Two Stock Pricing Models

Author(s): Lingyan Cao | Zheng-Feng Guo
Volume: 01
Issue: 03
Year: 2011
Design of Financial Market Regulations against Large Price Fluctuations Using by Artificial Market Simulations

Author(s): Takanobu Mizuta | Kiyoshi Izumi | Isao Yagi | Shinobu Yoshimura
Volume: 03
Issue: 02
Year: 2013
Rentiers and Workers-Capitalists in a Non-Classical Model

Author(s): Romar Correa
Volume: 03
Issue: 02
Year: 2013
Investment Reluctance in Supply Chains: An Agent-Based Real Options Approach

Author(s): Alfons Balmann | Karin Kataria | Oliver Musshoff
Volume: 03
Issue: 02
Year: 2013
An Empirical Study of Option Prices under the Hybrid Brownian Motion Model

Author(s): Hideki Iwaki | Lei Luo
Volume: 03
Issue: 02
Year: 2013
How Intangible Dynamics Influence Firm Value

Author(s): Nien-Su Shih
Volume: 03
Issue: 02
Year: 2013
Recent Developments in Fuzzy Sets Approach in Option Pricing

Author(s): Srimantoorao S. Appadoo | Aerambamoorthy Thavaneswaran
Volume: 03
Issue: 02
Year: 2013
A Predictive Functional Regression Model for Asset Return

Author(s): Xianhua Dai | Hong Li | Yiwen Wang
Volume: 03
Issue: 02
Year: 2013
An Optimal Life Insurance Policy in the Continuous-Time Investment-Consumption Problem

Author(s): Hideki Iwaki | Yusuke Osaki
Volume: 03
Issue: 02
Year: 2013
Portfolio Size in Stochastic Portfolio Networks Using Digital Portfolio Theory

Author(s): C. Kenneth Jones
Volume: 03
Issue: 02
Year: 2013
Absolute Adviser or Stochastic Model of Trade on the “Heavy Tails” of Distributions

Author(s): Alexey M. Avdeenko
Volume: 03
Issue: 02
Year: 2013
Mixed Band Control of Mutual Proportional Reinsurance

Author(s): Michael Taksar | John Liu | Jiguang Yuan
Volume: 03
Issue: 02
Year: 2013
Price Jump Prediction in a Limit Order Book

Author(s): Ban Zheng | Eric Moulines | Frédéric Abergel
Volume: 03
Issue: 02
Year: 2013
Semimartingale Property and Its Connections to Arbitrage

Author(s): Sallieu Kabay Samura | Junjun Mao | Dengbao Yao
Volume: 03
Issue: 02
Year: 2013
Generalized Stochastic Processes: The Portfolio Model

Author(s): Moawia Alghalith
Volume: 02
Issue: 02
Year: 2012
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques

Author(s): Farshid Mehrdoust | Kianoush Fathi Vajargah
Volume: 02
Issue: 02
Year: 2012
On Valuing Constant Maturity Swap Spread Derivatives

Author(s): Leonard Tchuindjo
Volume: 02
Issue: 02
Year: 2012
Optimization of Dynamic Portfolio Insurance Model

Author(s): Yuan Yao
Volume: 02
Issue: 02
Year: 2012
Asset Pricing with Stochastic Habit Formation

Author(s): Masao Nakagawa
Volume: 02
Issue: 02
Year: 2012
Option Pricing Applications of Quadratic Volatility Models

Author(s): Srimantoorao. S. Appadoo | Aerambamoorthy Thavaneswaran | Saman Muthukumarana
Volume: 02
Issue: 02
Year: 2012
Interest Rate Models

Author(s): Alex Paseka | Theodoro Koulis | Aerambamoorthy Thavaneswaran
Volume: 02
Issue: 02
Year: 2012
A Comparison of Minimum Risk Portfolios under the Credit Crunch Crisis

Author(s): Theodoros Mavralexakis | Konstantinos Kiriakopoulos | George Kaimakamis | Alexandros Koulis
Volume: 01
Issue: 02
Year: 2011
Option Pricing When Changes of the Underlying Asset Prices Are Restricted

Author(s): George J Jiang | Guanzhong Pan | Lei Shi
Volume: 01
Issue: 02
Year: 2011
On Some Class of Distance Functions for Measuring Portfolio Efficiency

Author(s): Carlos Barros | Walter Briec | Hermann Ratsimbanierana
Volume: 01
Issue: 02
Year: 2011
Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models

Author(s): John Knight | Stephen Satchell | Jessica Qi Zhang
Volume: 03
Issue: 01
Year: 2013
Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

Author(s): Hiroaki Hata | Jun Sekine
Volume: 03
Issue: 01
Year: 2013
Sensitivity of the Investments of Sub-Saharan Firms to Financial Constraints

Author(s): Elie Ngongang
Volume: 03
Issue: 01
Year: 2013
Ex Post Efficient Set Mathematics

Author(s): Christopher Adcock
Volume: 03
Issue: 01
Year: 2013
Exploiting Market Integration for Pure Alpha Investments via Probabilistic Principal Factors Analysis

Author(s): George Tzagkarakis | Juliana Caicedo-Llano | Thomas Dionysopoulos
Volume: 03
Issue: 01
Year: 2013
Price Forecasting and Analysis of Exchange Traded Fund

Author(s): Ramesh Bollapragada | Igor Savin | Laoucine Kerbache
Volume: 03
Issue: 01
Year: 2013
The Effects of Systemic Risk on the Allocation between Value and Growth Portfolios

Author(s): Gabriel Penagos | Gonzalo Rubio
Volume: 03
Issue: 01
Year: 2013
Uses and Misuses of the Black-Litterman Model in Portfolio Construction

Author(s): Ludwig B. Chincarini | Daehwan Kim
Volume: 03
Issue: 01
Year: 2013
Ethical Investment and Portfolio Theory: Using Factor Analysis to Select a Portfolio

Author(s): John Simister | Richard Whittle
Volume: 03
Issue: 01
Year: 2013
Optimal Investment under Price and Wage Uncertainty

Author(s): Jinwu Huang
Volume: 03
Issue: 01
Year: 2013
Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows

Author(s): Charles I. Nkeki
Volume: 03
Issue: 01
Year: 2013
Hedging with Stock Index Options: A Mean-Extended Gini Approach

Author(s): Haim Shalit | Doron Greenberg
Volume: 03
Issue: 01
Year: 2013
Inference for Interest Rate Models Using Milstein’s Approximation

Author(s): Theodoro Koulis | Aera Thavaneswaran
Volume: 03
Issue: 01
Year: 2013
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

Author(s): Alessandro Ramponi
Volume: 03
Issue: 01
Year: 2013
A Simple Method to Price Window Reset Options

Author(s): Yi-Long Hsiao
Volume: 03
Issue: 01
Year: 2013
Weather Derivatives with Applications to Canadian Data

Author(s): Anatoliy Swishchuk | Kaijie Cui
Volume: 03
Issue: 01
Year: 2013
Pricing and Hedging in Stochastic Volatility Regime Switching Models

Author(s): Stéphane Goutte
Volume: 03
Issue: 01
Year: 2013
Stochastic Control for Asset Management

Author(s): James J. Kung | Wing-Keung Wong | E-Ching Wu
Volume: 03
Issue: 01
Year: 2013
Super-Diffusive Noise Source in Asset Dynamics

Author(s): Max-Olivier Hongler
Volume: 03
Issue: 01
Year: 2013
Further Results for General Financial Equilibrium Problems via Variational Inequalities

Author(s): Annamaria Barbagallo | Patrizia Daniele | Mariagrazia Lorino | Antonino Maugeri | Cristina Mirabella
Volume: 03
Issue: 01
Year: 2013
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration

Author(s): Lorella Fatone | Francesca Mariani | Maria Cristina Recchioni | Francesco Zirilli
Volume: 03
Issue: 01
Year: 2013
Market Microstructure and Price Discovery

Author(s): Paul Carlisle Kettler | Aleh L. Yablonski | Frank Proske
Volume: 03
Issue: 01
Year: 2013
On the Insignificant Cross-Sectional Risk-Return Relationship

Author(s): Gerald H. L. Cheang | Joseph C. S. Kang | Michael Z. F. Li
Volume: 02
Issue: 01
Year: 2012
On the Consistency of a Firm’s Value with a Lognormal Diffusion Process

Author(s): Andrew M. K. Cheung | Van Son Lai
Volume: 02
Issue: 01
Year: 2012
A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns

Author(s): Malay Bhattacharyya | Siddarth Madhav R
Volume: 02
Issue: 01
Year: 2012
The Analysis of Real Data Using a Stochastic Dynamical System Able to Model Spiky Prices

Author(s): Lorella Fatone | Francesca Mariani | Maria Cristina Recchioni | Francesco Zirilli
Volume: 02
Issue: 01
Year: 2012
Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory

Author(s): Charles I. Nkeki | Chukwuma R. Nwozo
Volume: 02
Issue: 01
Year: 2012
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy

Author(s): Nop Sopipan | Pairote Sattayatham | Bhusana Premanode
Volume: 02
Issue: 01
Year: 2012
A Skewness-Adjusted Binomial Model for Pricing Futures Options—The Importance of the Mean and Carrying-Cost Parameters

Author(s): Stafford Johnson | Amit Sen | Brian Balyeat
Volume: 02
Issue: 01
Year: 2012
Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation

Author(s): Komlan Sedzro | Arif Marouane | Tov Assogbavi
Volume: 02
Issue: 01
Year: 2012
From Normal vs Skew-Normal Portfolios: FSD and SSD Rules

Author(s): Francesco Blasi | Sergio Scarlatti
Volume: 02
Issue: 01
Year: 2012
Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models

Author(s): Yong Li | Fang-Ping Peng | Hao-Feng Xu
Volume: 02
Issue: 01
Year: 2012
The Distribution of the Value of the Firm and Stochastic Interest Rates

Author(s): S. Lakshmivarahan | Shengguang Qian | Duane Stock
Volume: 02
Issue: 01
Year: 2012
On Value Premium, Part II: The Explanations

Author(s): Chi F. Ling | Simon G. M. Koo
Volume: 02
Issue: 01
Year: 2012
The Mean-Variance Model Revisited with a Cash Account

Author(s): Chonghui Jiang | Yongkai Ma | Yunbi An
Volume: 02
Issue: 01
Year: 2012
Optimal Portfolio Control with Unknown Horizon

Author(s): Moawia Alghalith
Volume: 02
Issue: 01
Year: 2012
Legendre Approximation for Solving a Class of Nonlinear Optimal Control Problems

Author(s): Emran Tohidi | Omid Reza Navid Samadi | Mohammad Hadi Farahi
Volume: 01
Issue: 01
Year: 2011
The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data

Author(s): Heather Mitchell | Michael McKenzie
Volume: 01
Issue: 01
Year: 2011
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