International Journal of Financial Markets and Derivatives

2009 - 2024

From Inderscience Enterprises Ltd
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Pattern derivatives pp. 249-257: Casey S. Schroeder and Massimo Di Pierro
Discrete volatility calibration for callable swaps: a model comparison PAPER WITHDRAWN pp. 258-264: Angelo Corelli
Pricing two dimensional derivatives under stochastic correlation pp. 265-287: Alexander Alvarez, Marcos Escobar Anel and Pablo Olivares
A model of stock option prices pp. 288-297: Zhongjin Yang and Cassidy Yang
Can we use the Black-Scholes-Merton model to value temperature options? pp. 298-313: Gunter Meissner and James Burke
Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model pp. 314-330: David Liu and Lei Zhang

A review of volatility and option pricing pp. 149-179: Sovan Mitra
On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques pp. 180-194: Thomas Poufinas
An economic analysis of bank-issued market-indexed certificate of deposit â€“ an option pricing approach pp. 195-208: Rodrigo HernÃ¡ndez, Jorge Brusa and Daniel Pu Liu
A general method for pricing European exotic options under LÃ©vy processes pp. 209-222: Rossella Agliardi
A non-Markov model for volatility jumps pp. 223-235: V. Arunachalam, L. Blanco and S. Dharmaraja
Accurate numerical solution of Black-Scholes option pricing equations pp. 236-243: Raquel GarcÃa-Rubio
Hedging with a generalised basis risk: empirical results pp. 244-248: Moawia Alghalith, Ricardo Lalloo, Martin Franklin and Christos Floros

Dynamic trade execution: a grammatical evolution approach pp. 4-31: Wei Cui, Anthony Brabazon and Michael O'Neill
Bio-inspired intelligence for credit scoring pp. 32-49: Yorgos Goletsis, Themis P. Exarchos and Christos D. Katsis
Constrained mean-risk portfolio optimisation: an application of multiobjective simulated annealing pp. 50-67: Georgios Mamanis and Konstantinos P. Anagnostopoulos
Intraday high-frequency FX trading with adaptive neuro-fuzzy inference systems pp. 68-87: Abdalla Kablan and Wing Lon Ng
Defensive online portfolio selection pp. 88-105: Fabio Stella and Alfonso Ventura
New kernel methods for asset pricing: application to natural gas price prediction pp. 106-120: Yinan Hu and Theodore B. Trafalis
Selecting pair-copulas with downside risk minimisation pp. 121-148: Jin Zhang and Dietmar Maringer

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

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 Fávero
Does Latin America affect the Spanish stock market? pp. 326-348: Henry Aray

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

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