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Journal of Mathematical Finance

ISSN: 2162--2434
Publisher: Scientific Research Publishing


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Risk Measures and Nonlinear Expectations

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

Author(s): Sha Sun | Jinqiang Yang | Minghui Li
Volume: 03
Issue: 03
Year: 2013
Generalized Option Betas

Author(s): Sven Husmann | Neda Todorova
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
Pricing Options in Jump Diffusion Models Using Mellin Transforms

Author(s): Robert Frontczak
Volume: 03
Issue: 03
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
How Intangible Dynamics Influence Firm Value

Author(s): Nien-Su Shih
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 Empirical Study of Option Prices under the Hybrid Brownian Motion Model

Author(s): Hideki Iwaki | Lei Luo
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
Semimartingale Property and Its Connections to Arbitrage

Author(s): Sallieu Kabay Samura | Junjun Mao | Dengbao Yao
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
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
Mixed Band Control of Mutual Proportional Reinsurance

Author(s): Michael Taksar | John Liu | Jiguang Yuan
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
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
Rentiers and Workers-Capitalists in a Non-Classical Model

Author(s): Romar Correa
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
Pricing and Hedging in Stochastic Volatility Regime Switching Models

Author(s): Stéphane Goutte
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
Price Forecasting and Analysis of Exchange Traded Fund

Author(s): Ramesh Bollapragada | Igor Savin | Laoucine Kerbache
Volume: 03
Issue: 01
Year: 2013
Super-Diffusive Noise Source in Asset Dynamics

Author(s): Max-Olivier Hongler
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
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

Author(s): Alessandro Ramponi
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
Weather Derivatives with Applications to Canadian Data

Author(s): Anatoliy Swishchuk | Kaijie Cui
Volume: 03
Issue: 01
Year: 2013
Optimal Investment under Price and Wage Uncertainty

Author(s): Jinwu Huang
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
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
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
Uses and Misuses of the Black-Litterman Model in Portfolio Construction

Author(s): Ludwig B. Chincarini | Daehwan Kim
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
Hedging with Stock Index Options: A Mean-Extended Gini Approach

Author(s): Haim Shalit | Doron Greenberg
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
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
Ex Post Efficient Set Mathematics

Author(s): Christopher Adcock
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
Sensitivity of the Investments of Sub-Saharan Firms to Financial Constraints

Author(s): Elie Ngongang
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
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
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
The SAFEX-JIBAR Market Models

Author(s): Victor Gumbo
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
The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option

Author(s): Sure Mataramvura
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
Partial Hedging Using Malliavin Calculus

Author(s): Lan Ma Nygren | Peter Lakner
Volume: 02
Issue: 03
Year: 2012
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