Managerial Finance


Accounting and Finance

Table Of Contents: Volume 37 Issue 11

Traded American options are Bermudan

Apostolos Kourtis, Raphael N. Markellos

The purpose of this paper is to study the importance of business time, and market opening/closing times and days, for American option pricing.

Using Black‐Scholes to determine an optimal funding term

Roger Gay

The purpose of this paper is to examine use of the Black‐Scholes (BS) risky asset model to determine choice of optimal investment term in a reinvestment chain model.

Weather risk swap valuation

Takeaki Kariya

In June of 2001, Tokyo Electric Power Company (TEPCO) and Tokyo Gas Supply Company (TGSC) made a zero‐cost risk swap contract on the average temperature of August and…

Coherent risk measure for derivatives under Black‐Scholes economy with regime switching

Fangcheng Hao, Hailiang Yang

The purpose of this paper is to provide a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime…

Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension

Robert J. Elliott, Tak Kuen Siu, Alex Badescu

The purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The…

Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX

Isao Ishida, Michael McAleer, Kosuke Oya

The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV) models for the S&P 500 stock index process using intraday…

A three‐factor valuation model for mortgage‐backed securities (MBS)

Takeaki Kariya, Fumiaki Ushiyama, Stanley R. Pliska

The purpose of this paper is to generalize the one‐factor mortgage‐backed securities (MBS)‐pricing model proposed by Kariya and Kobayashi to a three‐factor model. The…

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

The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary…



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  • Professor Don Johnson