Forthcoming articles


International Journal of Bonds and Derivatives


These articles have been peer-reviewed and accepted for publication in IJBD, but are pending final changes, are not yet published and may not appear here in their final order of publication until they are assigned to issues. Therefore, the content conforms to our standards but the presentation (e.g. typesetting and proof-reading) is not necessarily up to the Inderscience standard. Additionally, titles, authors, abstracts and keywords may change before publication. Articles will not be published until the final proofs are validated by their authors.


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International Journal of Bonds and Derivatives (3 papers in press)


Regular Issues


  • Monetary Policy Expectations and the Malaysian Deposit Market: Analysis of Islamic Rates of Return and Conventional Interest Rates   Order a copy of this article
    by Takayasu Ito 
    Abstract: This paper focuses on the impact of monetary policy expectations on deposit rates in Malaysia. Comparative analyses on Islamic rates of return and conventional interest rates are conducted. Bank Negara Malaysia has been successful to some extent in the communication with the financial markets because monetary policy expectations give some impacts on the Islamic rates of return or conventional interest rates up to the maturity of 12 month. Islamic rates of return and conventional interest rates form the short-term deposit market driven by monetary policy expectations in Malaysia. Islamic finance is not different from conventional finance in terms of deposit rates formation. Bank Negara Malaysia plays an important role in the formation of Islamic rates of return and conventional interest rates in the deposit market up to 12 month.
    Keywords: Islamic Finance; Malaysian Deposit Market; Monetary Policy Expectations.

  • A Nonlinear Diffusion Model for Electricity Prices and Derivatives   Order a copy of this article
    by Zhigang Tong 
    Abstract: In this paper, we first develop a one-factor diffusion model for electricity prices, which is based on a power transformation of CIR process. We show that the new model is tractable and we are able to derive the analytical solutions for future and future option prices. To enhance the model's ability to capture the prices spikes, we extend it to a time-changed model where the price is modeled by a nonlinear CIR process time changed by L\'{e}vy subordinators. We employ the eigenfunction expansion methods to obtain the closed-form solutions for the derivatives. Our empirical study indicates the new models have the potential to capture the main features of electricity data better than the competing models.
    Keywords: electricity prices; CIR; OU; CEV; time change; L\'{e}vy subordinators; eigenfunction expansion; derivatives pricing; nonlinear model.

  • News and sovereign CDS markets: Evidence from the euro area   Order a copy of this article
    by Tarek Chebbi, Mounir Sarraj 
    Abstract: The purpose of this paper is to trace the impact of news announcements on sovereign five-year credit default swaps (CDS, hereafter) spreads of four distressed countries in the euro area (Ireland, Italy, Portugal, and Spain) with daily data spanning the period May 17, 2012 to May 23, 2014. We apply an analysis based on asymmetric conditional volatility modeling methodology. The empirical analysis provides interesting evidences. The paper finds that the influence of country-specific news variable on the dynamics of the sovereign CDS spreads was confirmed. Moreover, when considering that news are originated only from distressed countries, the domestic and cross-border effects of news are restricted to unfavorable news. In particular, we find that more bad news in one country leads to an increase in its own CDS spreads and those associated with other countries confirming thus the presence of a news spillover phenomenon. In contrast, we make evidence of the spillovers of good news from the non distressed countries onto the other countries. Clearly, the sovereign CDS markets responses indicate that the split into bad and good news has largely been done correctly.
    Keywords: news announcements; CDS spreads; Euro area countries; bad news; good news.