International Journal of Financial Markets and Derivatives

2009 - 2010

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Volume 1, issue 4, 2010

Optimal portfolio allocation strategies with dynamic factor models pp. 352-370

Nikos S. Thomaidis, Efthimios Roumpis and Nick Kondakis

Linkages in global financial market during financial crises: a comparison of the periods 1995-2000 and 2007-2009 pp. 371-394

Malgorzata Doman and Ryszard Doman

Fractal properties of some European electricity markets pp. 395-421

Sergio Bianchi, Iva De Bellis and Augusto Pianese

Testing the shape of EMU term structure of interest rates pp. 422-437

Elisabet Ruiz-Dotras, Catalina Bolance-Losilla and Hortensia Fontanals-Albiol

Valuation of volatility sensitive interest rate derivatives in an emerging market pp. 438-451

Jiří Witzany

Risk and regulatory reforms in the securities industry: a need for a paradigm shift? pp. 452-469

Anastassios Gentzoglanis

Volume 1, issue 3, 2010

Convergence to efficiency in FTSE-100 futures market pp. 243-257

Donald Lien and Ju Xiang

A binomial model for pricing US-style average options with reset features pp. 258-273

Massimo Costabile, Ivar Massabo and Emilio Russo

Binomial bias in pricing and early exercising American put options pp. 274-306

David H. Goldenberg

The Sao Paulo Stock Exchange: a multilevel analysis of firm and industry effects on profitability evolution and hedge strategies pp. 307-325

Luiz Paulo Lopes Favero

Does Latin America affect the Spanish stock market? pp. 326-348

Henry Aray

Volume 1, issue 2, 2010

No arbitrage pricing of non-marketed claims in multi-period markets pp. 125-154

Christos E. Kountzakis

Forecast evaluation in daily commodities futures markets pp. 155-168

Periklis Gogas and Apostolos Serletis

Universality of stock option prices: an empirical result pp. 169-174

Z.J. Yang and Angel Yang

Pricing and hedging wholesale energy structured products: a comparison of numerical methods for VPP pp. 175-195

Enzo Fanone

Hedging effectiveness in shipping industry during financial crises pp. 196-212

Aristeidis Samitas and Ioannis Tsakalos

Regime switching stochastic volatility option pricing pp. 213-242

Sovan Mitra

Volume 1, issue 1, 2009

Hedging under production and price uncertainty: a decision analysis pp. 1-4

Moawia Alghalith

Accuracy measures for American put option pricing algorithms pp. 5-40

David H. Goldenberg

On the quadratic valuation of American call options: challenging the functional form pp. 41-48

Andreas Andrikopoulos

Design and use of weather derivatives for farmers: the case of hedging rain risk by soyabean growers in Jhalawar district in India pp. 49-63

Rajiv Seth, Valeed A. Ansari and Manipadma Datta

Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality pp. 64-74

David G. McMillan and Isabel Ruiz

The effect of the EMU on short and long-run stock market dynamics: new evidence on financial integration pp. 75-95

Juan Angel Lafuente and Javier Ordonez

Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets pp. 96-123

Emilios Avgouleas and Stavros Degiannakis