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International Journal of Financial Markets and Derivatives

2016 Vol. 5 No. 2/3/4

 

PagesTitle and authors
97-110Compound option pricing under stochastic volatility
Arturo Leccadito; Emilio Russo
DOI: 10.1504/IJFMD.2016.10002615

111-127Hedging derivative securities with volatility futures
Nelson Yap; Kian-Guan Lim; Yibao Zhao
DOI: 10.1504/IJFMD.2016.10002616

128-139Tax motivated derivative structures with 'sweet spot' payoffs
Steven C. Mann; Mauricio Rodriguez
DOI: 10.1504/IJFMD.2016.10002618

140-153Catching the elusive herder: a second look at herding in heterogeneous samples
Alexander Munson; Han Yan
DOI: 10.1504/IJFMD.2016.10002619

154-188On the relative performance of consumption models in foreign and domestic markets
Paulo Matos; Carlor E. Da Costa
DOI: 10.1504/IJFMD.2016.10002626

189-211Discrete-time stochastic volatility process in option pricing: a generalisation of the Amin-Ng and the Black-Scholes models
Anna Pajor
DOI: 10.1504/IJFMD.2016.081699

212-224A robust method to retrieve option implied risk neutral densities for defaultable assets
Guillaume Leduc; Greg Orosi
DOI: 10.1504/IJFMD.2016.081704