THE BROAD CONSEQUENCES OF NARROW BANKING

JOURNAL ARTICLE published February 2019 in International Journal of Theoretical and Applied Finance

Research funded by Natural Sciences and Engineering Research Council of Canada (Discovery Grant)

Authors: MATHEUS R. GRASSELLI | ALEXANDER LIPTON

PRICING CMS SPREAD OPTIONS IN A LIBOR MARKET MODEL

JOURNAL ARTICLE published February 2010 in International Journal of Theoretical and Applied Finance

Authors: DENIS BELOMESTNY | ANASTASIA KOLODKO | JOHN SCHOENMAKERS

INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES MARKETS: AN ENTROPY ANALYSIS OF STRATEGIC TRADING

JOURNAL ARTICLE published December 2006 in International Journal of Theoretical and Applied Finance

Authors: KARL LUDWIG KEIBER

REAL OPTION SIGNALING GAMES OF DEBT FINANCING USING EQUITY GUARANTEE SWAPS UNDER ASYMMETRIC INFORMATION

JOURNAL ARTICLE published August 2020 in International Journal of Theoretical and Applied Finance

Authors: QIUQI WANG | YUE KUEN KWOK

DOUBLE CASCADE MODEL OF FINANCIAL CRISES

JOURNAL ARTICLE published August 2016 in International Journal of Theoretical and Applied Finance

Authors: T. R. HURD | DAVIDE CELLAI | SERGEY MELNIK | QUENTIN H. SHAO

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY

JOURNAL ARTICLE published September 2008 in International Journal of Theoretical and Applied Finance

Authors: S. BIANCHI | A. PIANESE

PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE

JOURNAL ARTICLE published March 2005 in International Journal of Theoretical and Applied Finance

Authors: SERGIO BIANCHI

Author Index Volume 4 (2001)

JOURNAL ARTICLE published December 2001 in International Journal of Theoretical and Applied Finance

AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING

JOURNAL ARTICLE published May 2007 in International Journal of Theoretical and Applied Finance

Authors: SUHAS NAYAK

FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS

JOURNAL ARTICLE published December 2011 in International Journal of Theoretical and Applied Finance

Authors: KONSTANTINOS MAVROUDIS | CRAIG A. NOLDER

HISTORICAL VOLATILITY DISTRIBUTION IN GAUSSIAN AND GARCH(1,1) MODELS

JOURNAL ARTICLE published July 2000 in International Journal of Theoretical and Applied Finance

Authors: LUTZ MOLGEDEY

TIGHTER BOUNDS FOR IMPLIED VOLATILITY

JOURNAL ARTICLE published August 2017 in International Journal of Theoretical and Applied Finance

Authors: JIM GATHERAL | IVAN MATIĆ | RADOŠ RADOIČIĆ | DAN STEFANICA

JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS

JOURNAL ARTICLE published September 2014 in International Journal of Theoretical and Applied Finance

Authors: GREGOR DORFLEITNER | TAMARA PFISTER

OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

JOURNAL ARTICLE published September 2006 in International Journal of Theoretical and Applied Finance

Authors: ROBERT J. ELLIOTT | TAK KUEN SIU | LEUNGLUNG CHAN

FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?

JOURNAL ARTICLE published June 2013 in International Journal of Theoretical and Applied Finance

Authors: SERGIO M. FOCARDI | FRANK J. FABOZZI

ACCURATE OF VAR CALCULATED USING EMPIRICAL MODELS OF THE TERM STRUCTURE

JOURNAL ARTICLE published September 2009 in International Journal of Theoretical and Applied Finance

Authors: PILAR ABAD | SONIA BENITO

ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS

JOURNAL ARTICLE published February 2015 in International Journal of Theoretical and Applied Finance

Authors: YANBIN SHEN | J. H. M. ANDERLUH | J. A. M. VAN DER WEIDE

MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX

JOURNAL ARTICLE published June 2004 in International Journal of Theoretical and Applied Finance

Authors: ECKHARD PLATEN

AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES

JOURNAL ARTICLE published August 2013 in International Journal of Theoretical and Applied Finance

Authors: CRISTIN BUESCU | MICHAEL TAKSAR | FATOUMATA J. KONÉ

Beyond Black–Scholes: A Neural Networks-Based Approach to Options Pricing

JOURNAL ARTICLE published August 2003 in International Journal of Theoretical and Applied Finance

Authors: Christopher A. Zapart