International Journal of Financial Markets and Derivatives

2009 - 2024

From Inderscience Enterprises Ltd
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Do simple traders' rules perform better than the GARCH model? Evidence from currency options in India pp. 183-209: 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: Ling T. He and K. Michael Casey
MCDM modelling of purchase determinants for portfolio products recommended by financial advisors pp. 225-239: Yi-Hui Chiang
The Asian financial crisis: market inefficiency and speculative bubbles pp. 240-267: Rattaphon Wuthisatian and Namporn Thanetsunthorn

CDS spreads in the aftermath of central clearing pp. 75-101: OrÃ§un Kaya
A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics pp. 102-119: Arti Singh and Selvamuthu Dharmaraja
The impact of market participants' interaction on futures prices: comparing three US wheat futures markets pp. 120-148: David Bosch
Information processing in freight and freight forward markets: an event study on OPEC announcements pp. 149-181: Philipp Lauenstein and AndrÃ© KÃ¼ster Simic

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

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

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

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

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

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

Option pricing based on the generalised Tukey distribution pp. 191-221: JosÃ© Alfredo JimÃ©nez, Viswanathan Arunachalam and Gregorio Manuel Serna
The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships pp. 222-240: 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: Jitka Hilliard
Barrier options in three dimensions pp. 260-292: Marcos Escobar Anel, Sebastian Ferrando and Xianzhang Wen

The analysis of relative performance of London hedge funds during the financial crisis pp. 91-113: 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: Everton Dockery and Miltiadis Efentakis
SDF-based estimation of linear factor models with alternative loss functions pp. 137-178: IÃ±aki R. Longarela
International stock markets response to the Federal Reserve policy actions: the case of emerging MENA markets pp. 179-190: Ahmed S. Abou-Zaid

Arbitrage illustrated by options models pp. 1-11: Tumellano Sebehela
A comparison between the recent financial crisis of 2008 and the crisis of 1999 in the Athens Stock Market pp. 12-19: Anastasios Maligkris, Athanasios Koulakiotis and Apostolos Kiohos
An Fx options model that incorporates 25-delta strangles and 25-delta risk reversals pp. 20-35: K. Vaidyanathan
Regime dependent causality: equity and credit markets pp. 36-44: 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: Rodrigo HernÃ¡ndez, Jorge Brusa and Daniel Pu Liu
The investor sentiment endurance index and its forecasting ability pp. 61-70: Ling T. He
Autocall structured products: a case study of Vale S.A pp. 71-90: Paulo Vitor JordÃ£o Da Gama Silva, Antonio Carlos Figueiredo Pinto and Marcelo Klotzle