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International Journal of Financial Markets and Derivatives

2009 - 2018

From Inderscience Enterprises Ltd
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Volume 6, issue 3, 2018

Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India pp. 183-209 Downloads
Aparna Bhat
Improvements in forecasting of bank stock excess returns using the investor sentiment endurance index: a comparison with CAPM and Fama-French models pp. 210-224 Downloads
Ling T. He and K. Michael Casey
MCDM modelling of purchase determinants for portfolio products recommended by financial advisors pp. 225-239 Downloads
Yi-Hui Chiang
The Asian financial crisis: market inefficiency and speculative bubbles pp. 240-267 Downloads
Rattaphon Wuthisatian and Namporn Thanetsunthorn

Volume 6, issue 2, 2017

CDS spreads in the aftermath of central clearing pp. 75-101 Downloads
Orçun Kaya
A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics pp. 102-119 Downloads
Arti Singh and Selvamuthu Dharmaraja
The impact of market participants' interaction on futures prices: comparing three US wheat futures markets pp. 120-148 Downloads
David Bosch
Information processing in freight and freight forward markets: an event study on OPEC announcements pp. 149-181 Downloads
Philipp Lauenstein and André Küster Simic

Volume 6, issue 1, 2017

The impact of monetary policy expectations on interbank interest rates in Malaysia pp. 1-11 Downloads
Takayasu Ito
Intraday price discovery in Indian stock index futures market: new evidence from neural network approach pp. 12-29 Downloads
Saurabh Kumar and Sarveshwar Kumar Inani
Correlation asymmetry and implication on hedging pp. 30-56 Downloads
Abdelwahed Trabelsi and Asma Ennabli
Bond pricing under the generalised Black-Karasinski models pp. 57-73 Downloads
Nawdha Thakoor, Désiré Yannick Tangman and Muddun Bhuruth

Volume 5, issue 1, 2016

Electricity prices forecast analysis using the extreme value theory pp. 1-22 Downloads
Mario Domingues de Paula Simões, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto and Leonardo Lima Gomes
Price discovery and risk transfer in the Brent crude oil futures market pp. 23-35 Downloads
Saada Abba Abdullahi and Zahid Muhammad
An efficient grid lattice algorithm for pricing American-style options pp. 36-55 Downloads
Zhongkai Liu and Tao Pang
Option pricing in stochastic volatility models driven by fractional Lévy processes pp. 56-75 Downloads
Zhigang Tong
Stock market capitalisation and economic growth: empirical evidence from Africa pp. 76-95 Downloads
Mohamed Jalloh

Volume 4, issue 3/4, 2015

A simple relationship between Greeks for Asian options pp. 195-202 Downloads
Tianmiao Liu and Yoshifumi Muroi
Intraday price discovery and information sharing between stocks and single stock futures: evidence from India pp. 203-212 Downloads
Anshul Jain and Pratap Chandra Biswal
The information content of the VDAX volatility index and backtesting daily value-at-risk models pp. 213-230 Downloads
Ihsan Badshah
Non-arbitrage valuation of equities pp. 231-245 Downloads
Sebastian Rey
A regime switching quadratic model for VIX futures valuation pp. 246-272 Downloads
Zhigang Tong
The conditional dependence structure of banking sector credit default swap indices pp. 273-298 Downloads
Rania Zghal, Ahmed Ghorbel and Mohamed Triki

Volume 4, issue 2, 2015

An equilibrium model for the OTC derivative with the counterparty risk via the credit charge pp. 97-121 Downloads
Kazuhiro Takino
Indices to measure relative performance across markets pp. 122-134 Downloads
Mohamed Ihab Kira
The payment structure of securitisation: a signalling device of quality pp. 135-162 Downloads
Mari L. Robertson
Honest and dishonest stochastic control for Lévy processes with application to property market pp. 163-179 Downloads
C. Achudume and C.R. Nwozo
Smoothing the volatility smile using the Corrado-Su model pp. 180-194 Downloads
Vinicius Mothé Maia, Antonio Carlos Figueiredo Pinto and Marcelo Cabus Klotzle

Volume 4, issue 1, 2015

Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds pp. 1-25 Downloads
Tim Xiao
Multiple warrant issues: are issue premiums important? pp. 26-42 Downloads
P.W.A. Dayananda and John T. Kemper
Pricing American options when there is short-lived arbitrage pp. 43-53 Downloads
Jimmy E. Hilliard and Jitka Hilliard
On the pricing of regular premium variable annuities using options pp. 54-77 Downloads
Thomas Poufinas
Financial market contagion during the global financial crisis: evidence from the Moroccan stock market pp. 78-95 Downloads
Ahmed El Ghini and Youssef Saidi

Volume 3, issue 4, 2014

Sovereign CDS and bond credit spread dynamics in the Euro zone: evidence of an asymmetric price transmission in sovereign debt markets pp. 293-321 Downloads
Paulo Silva
Copulas and dependence structures: evidences from India's and Asian rubber futures markets pp. 322-357 Downloads
Debasish Maitra and Kushankur Dey
Parity analysis of non-log normality of Black-Scholes and its inter-competence pp. 358-391 Downloads
Vipul Kumar Singh
On the implied volatility layers under the future risk-free rate uncertainty pp. 392-408 Downloads
Lin-Yee Hin and Nikolai Dokuchaev

Volume 3, issue 3, 2014

Option pricing based on the generalised Tukey distribution pp. 191-221 Downloads
José Alfredo Jiménez, Viswanathan Arunachalam and Gregorio Manuel Serna
The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships pp. 222-240 Downloads
Binay K. Adhikari and Jimmy E. Hilliard
Hedging price changes in the S%P 500 options and futures contracts: the effect of different measures of implied volatility pp. 241-259 Downloads
Jitka Hilliard
Barrier options in three dimensions pp. 260-292 Downloads
Marcos Escobar Anel, Sebastian Ferrando and Xianzhang Wen

Volume 3, issue 2, 2013

The analysis of relative performance of London hedge funds during the financial crisis pp. 91-113 Downloads
Fabio Piluso, Ilaria L. Amerise and James P. Neelankavil
How well do risk measurement models estimate VaR during good and bad times? Evidence from the Korean stock market pp. 114-136 Downloads
Everton Dockery and Miltiadis Efentakis
SDF-based estimation of linear factor models with alternative loss functions pp. 137-178 Downloads
Iñaki R. Longarela
International stock markets response to the Federal Reserve policy actions: the case of emerging MENA markets pp. 179-190 Downloads
Ahmed S. Abou-Zaid

Volume 3, issue 1, 2012

Arbitrage illustrated by options models pp. 1-11 Downloads
Tumellano Sebehela
A comparison between the recent financial crisis of 2008 and the crisis of 1999 in the Athens Stock Market pp. 12-19 Downloads
Anastasios Maligkris, Athanasios Koulakiotis and Apostolos Kiohos
An Fx options model that incorporates 25-delta strangles and 25-delta risk reversals pp. 20-35 Downloads
K. Vaidyanathan
Regime dependent causality: equity and credit markets pp. 36-44 Downloads
Ramaprasad Bhar, David B. Colwell and Peipei Wang
The design of bank-issued market-indexed certificates of deposit - survey, pricing and empirical test pp. 45-60 Downloads
Rodrigo Hernández, Jorge Brusa and Daniel Pu Liu
The investor sentiment endurance index and its forecasting ability pp. 61-70 Downloads
Ling T. He
Autocall structured products: a case study of Vale S.A pp. 71-90 Downloads
Paulo Vitor Jordão Da Gama Silva, Antonio Carlos Figueiredo Pinto and Marcelo Cabus Klotzle
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