Table of contents - Special issue on financial derivatives
Guest Editors: Dr Shuangzhe Liu, Professor Milind Sathye
Traded American options are Bermudan
Apostolos Kourtis, Raphael N. MarkellosThe 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 GayThe 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 KariyaIn 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 September of…
Coherent risk measure for derivatives under Black‐Scholes economy with regime switching
Fangcheng Hao, Hailiang YangThe 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 switching…
Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
Robert J. Elliott, Tak Kuen Siu, Alex BadescuThe 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 proposed…
Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX
Isao Ishida, Michael McAleer, Kosuke OyaThe 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. PliskaThe 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 authors…
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‐AmaralThe Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at…
ISSN:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson