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Journal of Mathematical Finance
ISSN Online: 2162-2442
Google-based IF: 1.03  Citations h5-index & Ranking
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Top Cited Articles
(265 articles with 1366 citations as of March 2017)

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Price Jump Prediction in a Limit Order Book ,JMF,Vol.3 No.2, 2013
Ban Zheng Eric Moulines Frédéric Abergel
Citations: 43(Details)
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy ,JMF,Vol.2 No.1, 2012
Nop Sopipan Pairote Sattayatham Bhusana Premanode
Citations: 43(Details)
Nigerian Commercial Banks and Creative Accounting Practices ,JMF,Vol.4 No.2, 2014
Beshiru Sanusi Prince Famous Izedonmi
Citations: 32(Details)
Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models ,JMF,Vol.7 No.1, 2017
Manamba Epaphra
Citations: 29(Details)
A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns ,JMF,Vol.2 No.1, 2012
Malay Bhattacharyya Siddarth Madhav R
Citations: 22(Details)
Risk Aggregation by Using Copulas in Internal Models ,JMF,Vol.1 No.3, 2011
Tristan Nguyen Robert Danilo Molinari
Citations: 22(Details)
Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory ,JMF,Vol.2 No.1, 2012
Charles I. Nkeki Chukwuma R. Nwozo
Citations: 21(Details)
Leverage and the Maturity Structure of Debt in Emerging Markets ,JMF,Vol.3 No.3, 2013
Cesario Mateus Paulo Terra
Citations: 21(Details)
Bankruptcy Prediction Using Machine Learning ,JMF,Vol.7 No.4, 2017
Nanxi Wang
Citations: 20(Details)
Design of Financial Market Regulations against Large Price Fluctuations Using by Artificial Market Simulations ,JMF,Vol.3 No.2, 2013
Takanobu Mizuta Kiyoshi Izumi Isao Yagi Shinobu Yoshimura
Citations: 19(Details)
Empirical Analysis of Dynamic Linkages between China and International Stock Markets ,JMF,Vol.6 No.1, 2016
Thomas C. Chiang Xiaoyu Chen
Citations: 19(Details)
Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model ,JMF,Vol.4 No.1, 2014
Ruili Hao Yonghui Liu Shoubai Wang
Citations: 19(Details)
Pricing and Hedging in Stochastic Volatility Regime Switching Models ,JMF,Vol.3 No.1, 2013
Stéphane Goutte
Citations: 18(Details)
Weather Derivatives with Applications to Canadian Data ,JMF,Vol.3 No.1, 2013
Anatoliy Swishchuk Kaijie Cui
Citations: 18(Details)
Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options ,JMF,Vol.3 No.4, 2013
Qiang Zhao Guo Liu Guiding Gu
Citations: 16(Details)
Stochastic Volatility Jump-Diffusion Model for Option Pricing ,JMF,Vol.1 No.3, 2011
Nonthiya Makate Pairote Sattayatham
Citations: 16(Details)
Calculating First Moments and Confidence Intervals for Generalized Stochastic Dividend Discount Models ,JMF,Vol.3 No.2, 2013
William J. Hurley
Citations: 15(Details)
Analytical Hierarchy Process and Goal Programming Approach for Asset Allocation ,JMF,Vol.2 No.1, 2012
Komlan Sedzro Arif Marouane Tov Assogbavi
Citations: 14(Details)
Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model ,JMF,Vol.3 No.1, 2013
Hiroaki Hata Jun Sekine
Citations: 14(Details)
Legendre Approximation for Solving a Class of Nonlinear Optimal Control Problems ,JMF,Vol.1 No.1, 2011
Emran Tohidi Omid Reza Navid Samadi Mohammad Hadi Farahi
Citations: 14(Details)
Predicting Equity Price with Corporate Action Events Using LSTM-RNN ,JMF,Vol.8 No.1, 2018
Shotaro Minami
Citations: 14(Details)
Forecasting Outlier Occurrence in Stock Market Time Series Based on Wavelet Transform and Adaptive ELM Algorithm ,JMF,Vol.6 No.1, 2016
Nargess Hosseinioun
Citations: 14(Details)
Pricing Options in Jump Diffusion Models Using Mellin Transforms ,JMF,Vol.3 No.3, 2013
Robert Frontczak
Citations: 14(Details)
Hedging with Stock Index Options: A Mean-Extended Gini Approach ,JMF,Vol.3 No.1, 2013
Haim Shalit Doron Greenberg
Citations: 12(Details)
Financial Deepening and Bank Performance: A Case Study of Selected Commercial Banks in Nigeria ,JMF,Vol.7 No.3, 2017
S. O. Olawumi L. A. Lateef E. O. Oladeji
Citations: 12(Details)
Investment Reluctance in Supply Chains: An Agent-Based Real Options Approach ,JMF,Vol.3 No.2, 2013
Alfons Balmann Karin Kataria Oliver Musshoff
Citations: 12(Details)
Adaptive Wave Models for Sophisticated Option Pricing ,JMF,Vol.1 No.3, 2011
Vladimir G. Ivancevic
Citations: 12(Details)
Good Approximation of Exponential Utility Function for Optimal Futures Hedging ,JMF,Vol.6 No.3, 2016
Xu Guo Donald Lien Wing-Keung Wong 1 1 1 1 1 1 1 1
Citations: 11(Details)
Foreign Direct Investment and Industrial Sector Performance: Assessing the Long-Run Implication on Economic Growth in Nigeria ,JMF,Vol.7 No.2, 2017
Emmanuel S. Akpan Gamaliel O. Eweke
Citations: 11(Details)
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates ,JMF,Vol.7 No.4, 2017
Cyprian O. Omari Peter N. Mwita Antony G. Waititu
Citations: 11(Details)
An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange ,JMF,Vol.7 No.2, 2017
Chaido Dritsaki
Citations: 10(Details)
Analysis of Cross-Correlations in Emerging Markets Using Random Matrix Theory ,JMF,Vol.7 No.2, 2017
Thomas Chinwe Urama Patrick Oseloka Ezepue Chimezie Peters Nnanwa
Citations: 10(Details)
Execution and Block Trade Pricing with Optimal Constant Rate of Participation ,JMF,Vol.4 No.4, 2014
Olivier Guéant
Citations: 10(Details)
Recent Developments in Fuzzy Sets Approach in Option Pricing ,JMF,Vol.3 No.2, 2013
Srimantoorao S. Appadoo Aerambamoorthy Thavaneswaran
Citations: 10(Details)
Further Results for General Financial Equilibrium Problems via Variational Inequalities ,JMF,Vol.3 No.1, 2013
Annamaria Barbagallo Patrizia Daniele Mariagrazia Lorino Antonino Maugeri Cristina Mirabella
Citations: 10(Details)
Optimal Portfolio Allocation among REITs, Stocks, and Long-Term Bonds: An Empirical Analysis of US Financial Markets ,JMF,Vol.4 No.2, 2014
Rafiqul Bhuyan James Kuhle Nuriddin Ikromov Charles Chiemeke
Citations: 10(Details)
Partially Adaptive and Robust Estimation of Asset Models: Accommodating Skewness and Kurtosis in Returns ,JMF,Vol.7 No.1, 2017
James B. McDonald Richard A. Michelfelder
Citations: 10(Details)
Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows ,JMF,Vol.3 No.1, 2013
Charles I. Nkeki
Citations: 9(Details)
The Optimal Portfolio Model Based on Mean-CVaR ,JMF,Vol.1 No.3, 2011
Xing Yu Hongguo Sun Guohua Chen
Citations: 9(Details)
Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model ,JMF,Vol.1 No.3, 2011
Jaya Prakasah Narayan Bishwal
Citations: 9(Details)
Ethical Investment and Portfolio Theory: Using Factor Analysis to Select a Portfolio ,JMF,Vol.3 No.1, 2013
John Simister Richard Whittle
Citations: 9(Details)
Smart Beta Portfolio Optimization ,JMF,Vol.5 No.2, 2015
Saud AlMahdi
Citations: 9(Details)
Effect of Extra Contribution on Stochastic Optimal Investment Strategies for DC Pension with Stochastic Salary under the Affine Interest Rate Model ,JMF,Vol.7 No.4, 2017
K. N. C. Njoku Bright O. Osu Edikan E. Akpanibah Rosemary N. Ujumadu
Citations: 9(Details)
Interest Rate Models ,JMF,Vol.2 No.2, 2012
Alex Paseka Theodoro Koulis Aerambamoorthy Thavaneswaran
Citations: 8(Details)
Prediction of Stock Price Movement Using Continuous Time Models ,JMF,Vol.5 No.2, 2015
Masimba E. Sonono Hopolang P. Mashele 1 1
Citations: 8(Details)
A New Fama-French 5-Factor Model Based on SSAEPD Error and GARCH-Type Volatility ,JMF,Vol.6 No.5, 2016
Wentao Zhou Liuling Li
Citations: 8(Details)
On Value Premium, Part II: The Explanations ,JMF,Vol.2 No.1, 2012
Chi F. Ling Simon G. M. Koo
Citations: 8(Details)
Modeling Returns and Unconditional Variance in Risk Neutral World for Liquid and Illiquid Market ,JMF,Vol.5 No.1, 2015
Ivivi Joseph Mwaniki
Citations: 8(Details)
A Study on Numerical Solution of Black-Scholes Model ,JMF,Vol.8 No.2, 2018
Md. Nurul Anwar Laek Sazzad Andallah
Citations: 8(Details)
A Simple Generalisation of Kirk’s Approximation for Multi-Asset Spread Options by the Lie-Trotter Operator Splitting Method ,JMF,Vol.4 No.3, 2014
Chi-Fai Lo
Citations: 8(Details)
A Simple Method to Price Window Reset Options ,JMF,Vol.3 No.1, 2013
Yi-Long Hsiao
Citations: 8(Details)
Forecasting Density Function: Application in Finance ,JMF,Vol.5 No.5, 2015
Rituparna Sen Changie Ma
Citations: 8(Details)
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion ,JMF,Vol.4 No.1, 2014
Zhijuan Mao Zhian Liang
Citations: 8(Details)
Catastrophe Risk Derivatives: A New Approach ,JMF,Vol.4 No.1, 2014
Mehdi Bekralas Abdessalem Masamitsu Ohnishi
Citations: 7(Details)
Causality between Non-Oil Export, Financial Sector Development and Economic Growth: Evidence from Nigeria ,JMF,Vol.7 No.1, 2017
Emmanuel S. Akpan Eleazar C. Nwosu Gamaliel O. Eweke
Citations: 7(Details)
Implied Idiosyncratic Volatility and Stock Return Predictability ,JMF,Vol.4 No.5, 2014
Cesario Mateus Worawuth Konsilp
Citations: 7(Details)
Income Smoothing, Idiosyncratic Risk & CEO Turnover ,JMF,Vol.6 No.1, 2016
Xingguo Zhang
Citations: 7(Details)
On the Stochastic Dominance of Portfolio Insurance Strategies ,JMF,Vol.6 No.1, 2016
Hela Maalej Jean-Luc Prigent
Citations: 7(Details)
Statistical Arbitrage in S&P500 ,JMF,Vol.6 No.1, 2016
Stefanos Drakos
Citations: 7(Details)
A New Range-Based Regime-Switching Dynamic Conditional Correlation Model for Minimum-Variance Hedging ,JMF,Vol.4 No.3, 2014
Yi-Kai Su Chun-Chou Wu
Citations: 7(Details)
From Normal vs Skew-Normal Portfolios: FSD and SSD Rules ,JMF,Vol.2 No.1, 2012
Francesco Blasi Sergio Scarlatti
Citations: 7(Details)
The Distribution of Returns ,JMF,Vol.7 No.3, 2017
David E. Harris
Citations: 7(Details)
CVA under Bates Model with Stochastic Default Intensity ,JMF,Vol.7 No.3, 2017
Yaqin Feng
Citations: 7(Details)
Physical versus Synthetic Exchange Traded Funds. Which One Replicates Better? ,JMF,Vol.7 No.4, 2017
Cesario Mateus Yana Rahmani
Citations: 7(Details)
An Optimal Assignment Schedule of Staff-Subject Allocation ,JMF,Vol.7 No.4, 2017
Suleiman Kabiru Bello Malam Saidu Abdullahi Zubairu Abdul Uba Ahmad Ali
Citations: 6(Details)
Lexicon Creation for Financial Sentiment Analysis Using Network Embedding ,JMF,Vol.7 No.4, 2017
Ryo Ito Kiyoshi Izumi Hiroki Sakaji Shintaro Suda
Citations: 6(Details)
Commercial Bank Ownership Structure and Risk Preference ,JMF,Vol.7 No.2, 2017
Haoxuan Zhong
Citations: 6(Details)
Derivatives Pricing via Machine Learning ,JMF,Vol.9 No.3, 2019
Tingting Ye Liangliang Zhang
Citations: 6(Details)
Modeling the Frequency and Severity of Auto Insurance Claims Using Statistical Distributions ,JMF,Vol.8 No.1, 2018
Cyprian Ondieki Omari Shalyne Gathoni Nyambura Joan Martha Wairimu Mwangi
Citations: 6(Details)
Predicting Risk/Return Performance Using Upper Partial Moment/Lower Partial Moment Metrics ,JMF,Vol.6 No.5, 2016
Fred Viole David Nawrocki
Citations: 6(Details)
The Mean-Variance Model Revisited with a Cash Account ,JMF,Vol.2 No.1, 2012
Chonghui Jiang Yongkai Ma Yunbi An
Citations: 6(Details)
Factors Affecting Successful Equity Crowdfunding ,JMF,Vol.8 No.2, 2018
Ying Li Hongduo Cao Tengjuan Zhao
Citations: 6(Details)
Improved Variance Reduced Monte-Carlo Simulation of in-the-Money Options ,JMF,Vol.6 No.3, 2016
Armin Müller
Citations: 6(Details)
Optimal Execution in Illiquid Market with the Absence of Price Manipulation ,JMF,Vol.5 No.1, 2015
Seiya Kuno Masamitsu Ohnishi
Citations: 6(Details)
Valuing European Put Options under Skewness and Increasing [Excess] Kurtosis ,JMF,Vol.4 No.3, 2014
John-Peter D. Chateau
Citations: 6(Details)
On Value Premium, Part I: The Existence ,JMF,Vol.1 No.3, 2011
Chi Fung Ling Simon Gar Man Koo
Citations: 6(Details)
How Intangible Dynamics Influence Firm Value ,JMF,Vol.3 No.2, 2013
Nien-Su Shih
Citations: 6(Details)
Extended Correlations in Finance ,JMF,Vol.6 No.1, 2016
Mark Burgin Gunter Meissner 1 1 1 1
Citations: 6(Details)
On the Solution of the Multi-Asset Black-Scholes Model: Correlations, Eigenvalues and Geometry ,JMF,Vol.6 No.4, 2016
Mauricio Contreras Alejandro Llanquihuén Marcelo Villena
Citations: 6(Details)
Burr Distribution as an Actuarial Risk Model and the Computation of Some of Its Actuarial Quantities Related to the Probability of Ruin ,JMF,Vol.6 No.1, 2016
Jagriti Das Dilip C. Nath
Citations: 6(Details)
Continuous-Time Mean-Variance Portfolio Selection with Partial Information ,JMF,Vol.4 No.5, 2014
Wan-Kai Pang Yuan-Hua Ni Xun Li Ka-Fai Cedric Yiu
Citations: 6(Details)
Research on the Efficiency of Chinese Commercial Banks Based on Undesirable Output and Super-SBM DEA Model ,JMF,Vol.7 No.1, 2017
Lujun Zhou Shiyi Zhu
Citations: 6(Details)
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration ,JMF,Vol.3 No.1, 2013
Lorella Fatone Francesca Mariani Maria Cristina Recchioni Francesco Zirilli
Citations: 6(Details)
Valuation of European Call Options via the Fast Fourier Transform and the Improved Mellin Transform ,JMF,Vol.6 No.2, 2016
Sunday Emmanuel Fadugba Chuma Raphael Nwozo
Citations: 6(Details)
Financial Time Series Modelling of Trends and Patterns in the Energy Markets ,JMF,Vol.6 No.2, 2016
Jane Aduda Patrick Weke Philip Ngare Joseph Mwaniki
Citations: 5(Details)
Bayesian Estimation of Non-Gaussian Stochastic Volatility Models ,JMF,Vol.4 No.2, 2014
Asma Graja Elabed Afif Masmoudi
Citations: 5(Details)
Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model ,JMF,Vol.2 No.3, 2012
Samuel Y. M. Ze-To
Citations: 5(Details)
Estimating Realistic Implied Correlation Matrix from Option Prices ,JMF,Vol.3 No.4, 2013
Kawee Numpacharoen Nattachai Numpacharoen
Citations: 5(Details)
Absolute Adviser or Stochastic Model of Trade on the “Heavy Tails” of Distributions ,JMF,Vol.3 No.2, 2013
Alexey M. Avdeenko
Citations: 5(Details)
European Option Pricing for a Stochastic Volatility Lévy Model with Stochastic Interest Rates ,JMF,Vol.1 No.3, 2011
Sarisa Pinkham Pairote Sattayatham
Citations: 5(Details)
On Steady Dividend Payment under Functional Mean Reversion Speed ,JMF,Vol.6 No.3, 2016
Adeline Peter Mtunya Philip Ngare Yaw Nkansah-Gyekye
Citations: 5(Details)
Currency Portfolio Risk Measurement with Generalized Autoregressive Conditional Heteroscedastic-Extreme Value Theory-Copula Model ,JMF,Vol.8 No.2, 2018
Cyprian O. Omari Peter N. Mwita Antony W. Gichuhi
Citations: 5(Details)
Dynamics and Controllability of Financial Derivatives: Towards Stabilization the Global Financial Systems Crisis ,JMF,Vol.2 No.1, 2012
Murad Shibli
Citations: 5(Details)
A Skewness-Adjusted Binomial Model for Pricing Futures Options—The Importance of the Mean and Carrying-Cost Parameters ,JMF,Vol.2 No.1, 2012
Stafford Johnson Amit Sen Brian Balyeat
Citations: 5(Details)
A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options ,JMF,Vol.6 No.5, 2016
Tommaso Pellegrino
Citations: 5(Details)
Valuation of Game Option Bonds under the Generalized Ho-Lee Model: A Stochastic Game Approach ,JMF,Vol.5 No.4, 2015
Natsumi Ochiai Masamitsu Ohnishi
Citations: 5(Details)
Mathematical Analysis of Financial Model on Market Price with Stochastic Volatility ,JMF,Vol.7 No.2, 2017
Mitun Kumar Mondal Md. Abdul Alim Md. Faizur Rahman Md. Haider Ali Biswas
Citations: 5(Details)
Discriminant Analysis of Demand-Side Roadblocks to Financial Inclusion in Northern Ghana ,JMF,Vol.7 No.3, 2017
Issahaku Yakubu Romanus Dinye Daniel Buor Wahab A. Iddrisu
Citations: 5(Details)
Asset Pricing with Stochastic Habit Formation ,JMF,Vol.2 No.2, 2012
Masao Nakagawa
Citations: 5(Details)
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques ,JMF,Vol.2 No.2, 2012
Farshid Mehrdoust Kianoush Fathi Vajargah
Citations: 4(Details)
Multidimensional Time Series Analysis of Financial Markets Based on the Complex Network Approach ,JMF,Vol.7 No.3, 2017
Ying Li Donghui Yang Xiaobin Li
Citations: 4(Details)
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets ,JMF,Vol.7 No.2, 2017
Ata Assaf
Citations: 4(Details)
Mellin Transform Method for the Valuation of the American Power Put Option with Non-Dividend and Dividend Yields ,JMF,Vol.5 No.3, 2015
Sunday Emmanuel Fadugba Chuma Raphael Nwozo
Citations: 4(Details)
Fundamental Factor Models Using Machine Learning ,JMF,Vol.8 No.1, 2018
Seisuke Sugitomo Shotaro Minami
Citations: 4(Details)
Uses and Misuses of the Black-Litterman Model in Portfolio Construction ,JMF,Vol.3 No.1, 2013
Ludwig B. Chincarini Daehwan Kim
Citations: 4(Details)
The Effects of Systemic Risk on the Allocation between Value and Growth Portfolios ,JMF,Vol.3 No.1, 2013
Gabriel Penagos Gonzalo Rubio
Citations: 4(Details)
Projection Methods and the Curse of Dimensionality ,JMF,Vol.8 No.2, 2018
Burkhard Heer Alfred Maußner
Citations: 4(Details)
An Empirical Study of Option Prices under the Hybrid Brownian Motion Model ,JMF,Vol.3 No.2, 2013
Hideki Iwaki Lei Luo
Citations: 4(Details)
Portfolio Size in Stochastic Portfolio Networks Using Digital Portfolio Theory ,JMF,Vol.3 No.2, 2013
C. Kenneth Jones
Citations: 4(Details)
Assessing the Risks of Trading Strategies Using Acceptability Indices ,JMF,Vol.3 No.4, 2013
Masimba E. Sonono Hopolang P. Mashele
Citations: 4(Details)
Do Idiosyncratic Risks in Multi-Factor Asset Pricing Models Really Contain a Hidden Non-Diversifiable Factor? A Diagnostic Testing Approach ,JMF,Vol.2 No.3, 2012
Jau-Lian Jeng Qingfeng Wilson Liu
Citations: 4(Details)
Counterparty Credit Risk in OTC Derivatives under Basel III ,JMF,Vol.7 No.1, 2017
Mabelle Sayah 1 1 1 1
Citations: 4(Details)
Systemic Risk in China’s Interbank Lending Market ,JMF,Vol.7 No.1, 2017
Hongduo Cao Ying Li Weilong Chen Ji Chen
Citations: 4(Details)
Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment ,JMF,Vol.6 No.2, 2016
Wenjing Gu Yinglin Liu Ruili Hao
Citations: 4(Details)
Inference for Interest Rate Models Using Milstein’s Approximation ,JMF,Vol.3 No.1, 2013
Theodoro Koulis Aera Thavaneswaran
Citations: 4(Details)
Stochastic Control for Asset Management ,JMF,Vol.3 No.1, 2013
James J. Kung Wing-Keung Wong E-Ching Wu
Citations: 4(Details)
Applying the Barycentric Jacobi Spectral Method to Price Options with Transaction Costs in a Fractional Black-Scholes Framework ,JMF,Vol.4 No.1, 2014
B. F. Nteumagné E. Pindza E. Maré
Citations: 4(Details)
Risk Measures and Nonlinear Expectations ,JMF,Vol.3 No.3, 2013
Zengjing Chen Kun He Reg Kulperger
Citations: 4(Details)
H∞-Optimal Control for Robust Financial Asset and Input Purchasing Decisions ,JMF,Vol.3 No.3, 2013
David Hudgins Joon Na
Citations: 3(Details)
Simulation of Leveraged ETF Volatility Using Nonparametric Density Estimation ,JMF,Vol.5 No.5, 2015
Matthew Ginley David W. Scott Katherine E. Ensor
Citations: 3(Details)
Stochastic Ito-Calculus and Numerical Approximations for Asset Price Forecasting in the Nigerian Stock Market ,JMF,Vol.8 No.4, 2018
Thomas Chinwe Urama Patrick Oseloka Ezepue 1 1
Citations: 3(Details)
The Pricing of Dual-Expiry Exotics with Mean Reversion and Jumps ,JMF,Vol.9 No.1, 2019
Kevin Z. Tong Dongping Hou Jianhua Guan
Citations: 3(Details)
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models ,JMF,Vol.3 No.1, 2013
Alessandro Ramponi
Citations: 3(Details)
CreditGrades Framework within Stochastic Covariance Models ,JMF,Vol.2 No.4, 2012
Marcos Escobar Hamidreza Arian Luis Seco
Citations: 3(Details)
A Comparison of Minimum Risk Portfolios under the Credit Crunch Crisis ,JMF,Vol.1 No.2, 2011
Theodoros Mavralexakis Konstantinos Kiriakopoulos George Kaimakamis Alexandros Koulis
Citations: 3(Details)
Measuring Risk-Adjusted Performance and Product Attractiveness of a Life Annuity Portfolio ,JMF,Vol.7 No.1, 2017
Emilia Di Lorenzo Albina Orlando Marilena Sibillo
Citations: 3(Details)
A Brief Analysis of Financial Support to Chinese Cultural Industry Development ,JMF,Vol.7 No.1, 2017
Hong Xiao
Citations: 3(Details)
The Project Valuation with Abandonment and Reset Investment Proportion Applying Real Option Method ,JMF,Vol.4 No.5, 2014
Yi-Long Hsiao Li-Ling Chen
Citations: 3(Details)
A Mathematical Approach to a Stocks Portfolio Selection: The Case of Uganda Securities Exchange (USE) ,JMF,Vol.3 No.4, 2013
Fredrick Mayanja Sure Mataramvura Wilson Mahera Charles
Citations: 3(Details)
Gerber Shiu Function of Markov Modulated Delayed By-Claim Type Risk Model with Random Incomes ,JMF,Vol.6 No.4, 2016
G. Shija M. J. Jacob
Citations: 3(Details)
Calibration and Simulation of Arbitrage Effects in a Non-Equilibrium Quantum Black-Scholes Model by Using Semi-Classical Methods ,JMF,Vol.6 No.4, 2016
Mauricio Contreras Rely Pellicer Daniel Santiagos Marcelo Villena
Citations: 3(Details)
Investment in Hydrogen Engine Must Be Ended with Failure ,JMF,Vol.6 No.1, 2016
Tianquan Yun
Citations: 3(Details)
Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion? ,JMF,Vol.3 No.4, 2013
Xinbing Kong Bingyi Jing Cuixia Li
Citations: 3(Details)
Conditioning the Information in Portfolio Optimization ,JMF,Vol.6 No.4, 2016
Carlo Sala Giovanni Barone Adesi
Citations: 3(Details)
LPM Density Functions for the Computation of the SD Efficient Set ,JMF,Vol.6 No.1, 2016
Fred Viole David Nawrocki
Citations: 3(Details)
Mixed Band Control of Mutual Proportional Reinsurance ,JMF,Vol.3 No.2, 2013
Michael Taksar John Liu Jiguang Yuan
Citations: 3(Details)
On the Order Form of the Fundamental Theorems of Asset Pricing ,JMF,Vol.4 No.4, 2014
Christos E. Kountzakis
Citations: 3(Details)
A Contingent Claim Approach to Bank Valuation ,JMF,Vol.4 No.4, 2014
Enahoro Alfred Owoloko Nicholas Amienwan Omoregbe Michael Akindele Okedoye
Citations: 3(Details)
Multi-Name Extension to the Credit Grades and an Efficient Monte Carlo Method ,JMF,Vol.4 No.3, 2014
Hideyuki Takada
Citations: 3(Details)
Price Forecasting and Analysis of Exchange Traded Fund ,JMF,Vol.3 No.1, 2013
Ramesh Bollapragada Igor Savin Laoucine Kerbache
Citations: 3(Details)
Ex Post Efficient Set Mathematics ,JMF,Vol.3 No.1, 2013
Christopher Adcock
Citations: 3(Details)
Regime-Switching Model on Hourly Electricity Spot Price Dynamics ,JMF,Vol.8 No.1, 2018
Samuel Asante Gyamerah Philip Ngare
Citations: 3(Details)
Critical Re-Examinations on the Relationships among Capital Structure, Costs of Capital, and Firm Value ,JMF,Vol.6 No.5, 2016
Chengho Hsieh Tibor Szarvas
Citations: 3(Details)
Construction of Nominal Yield Curve for Nairobi Securities Exchange: An Improvement on Monotone Preserving r(t)t Interpolation Method ,JMF,Vol.5 No.4, 2015
Lucy Muthoni Silas Onyango Omolo Ongati
Citations: 3(Details)
Approximation for Convenience Yield with Mean-Reverting Commodity Price ,JMF,Vol.5 No.3, 2015
Qiang Zhao Guiding Gu
Citations: 3(Details)
On Two Transform Methods for the Valuation of Contingent Claims ,JMF,Vol.5 No.2, 2015
Chuma Raphael Nwozo Sunday Emmanuel Fadugba
Citations: 3(Details)
A VAR Approach to Exchange Rate and Economic Growth in Nigeria ,JMF,Vol.7 No.4, 2017
Ukwuoma Chidi Okonkwo Rosary N. Ujumadu Bright O. Osu
Citations: 3(Details)
Importance of Skewness in Investor Utility: Evidence from the Chinese Stock Markets ,JMF,Vol.7 No.4, 2017
Patrick Kuok Kun
Citations: 2(Details)
Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece ,JMF,Vol.7 No.4, 2017
Panagiotis G. Papaioannou George P. Papaioannou Akylas Stratigakos Christos Dikaiakos
Citations: 2(Details)
Explaining the Financial Instability Hypothesis with Endogenous Investment: A Nonlinear Model Predictive Control Approach ,JMF,Vol.5 No.2, 2015
Terence Tai-Leung Chong Richard J. Cebula Fangping Peng Maggie Foley
Citations: 2(Details)
Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting ,JMF,Vol.9 No.3, 2019
Baojun Bian Xinfu Chen Xudong Zeng
Citations: 2(Details)
Application of Linear Programming in Optimizing Labour Scheduling ,JMF,Vol.9 No.3, 2019
Osama Yaseen M. Al-Rawi Taniya Mukherjee
Citations: 2(Details)
Forecasting the Impact of Information Security Breaches on Stock Market Returns and VaR Backtest ,JMF,Vol.9 No.3, 2019
Ilaria Colivicchi Riccardo Vignaroli
Citations: 2(Details)
On a New Index Aimed at Comparing Risks ,JMF,Vol.5 No.2, 2015
Marina Resta Maria Erminia Marina
Citations: 2(Details)
A Comparison Study of ADI and LOD Methods on Option Pricing Models ,JMF,Vol.7 No.2, 2017
Neda Bagheri Hassan Karnameh Haghighi
Citations: 2(Details)
Optimal Investment and Risk Control Strategies for an Insurance Fund in Stochastic Framework ,JMF,Vol.9 No.3, 2019
Patrick Kandege Mwanakatwe Xiaoguang Wang Yue Su
Citations: 2(Details)
Intra-Business Group Transactions for Inducing Relationships between Network and Performance: Can the Network Be Optimized? ,JMF,Vol.3 No.3, 2013
Hsien-Chang Kuo Lie-Huey Wang
Citations: 2(Details)
Corporate Financing, Taxation, and Tobin’s q: Evidence from Japanese Firms and Industries ,JMF,Vol.3 No.3, 2013
Keiichi Kubota Susumu Saito Hitoshi Takehara
Citations: 2(Details)
Predictive Analytics on CSI 300 Index Based on ARIMA and RBF-ANN Combined Model ,JMF,Vol.5 No.4, 2015
Lyuxun Yang Xi Cheng
Citations: 2(Details)
The Effects of Social Interaction and Psychological Bias on Trading Behavior: Evidence from a Laboratory Experiment ,JMF,Vol.8 No.1, 2018
Chi Ming Ho
Citations: 2(Details)
Measuring Black Swans in Financial Markets ,JMF,Vol.8 No.1, 2018
J. T. Manhire
Citations: 2(Details)
Two Optimization Problems of a Continuous-in-Time Financial Model ,JMF,Vol.8 No.1, 2018
Emmanuel Frénod Pierre Ménard Mohamad Safa
Citations: 2(Details)
The Detection and Empirical Study of Variance Change Points on Housing Prices
—Taking Wuhan City Commodity Prices as an Example ,JMF,Vol.6 No.5, 2016
Huihui Shen 1 1
Citations: 2(Details)
Extended Model of Stock Price Behaviour ,JMF,Vol.8 No.1, 2018
Nico Koning Daniel T. Cassidy Rachid Ouyed
Citations: 2(Details)
The Distribution of the Value of the Firm and Stochastic Interest Rates ,JMF,Vol.2 No.1, 2012
S. Lakshmivarahan Shengguang Qian Duane Stock
Citations: 2(Details)
Bayesian Testing for Asset Volatility Persistence on Multivariate Stochastic Volatility Models ,JMF,Vol.2 No.1, 2012
Yong Li Fang-Ping Peng Hao-Feng Xu
Citations: 2(Details)
Testing Continuous-Time Interest Rate Model for Chinese Repo Market ,JMF,Vol.5 No.1, 2015
Huimin Zhao Fangping Peng
Citations: 2(Details)
Modeling of Insurance Data through Two Heavy Tailed Distributions: Computations of Some of Their Actuarial Quantities through Simulation from Their Equilibrium Distributions and the Use of Their Convolutions ,JMF,Vol.6 No.3, 2016
Dilip C. Nath Jagriti Das
Citations: 2(Details)
Consistency of the Model Order Change-Point Estimator for GARCH Models ,JMF,Vol.8 No.2, 2018
Irene W. Irungu Peter N. Mwita Antony G. Waititu
Citations: 2(Details)
Entrepreneurship Dynamics under Time Inconsistent Preferences ,JMF,Vol.5 No.1, 2015
Yang Liu Jinqiang Yang
Citations: 2(Details)
A Regime Switching Model for the Term Structure of Credit Risk Spreads ,JMF,Vol.5 No.1, 2015
Seungmook Choi Michael D. Marcozzi
Citations: 2(Details)
Interest Rate Volatility: A Consol Rate Approach ,JMF,Vol.5 No.1, 2015
Vincent Brousseau Alain Durré
Citations: 2(Details)
A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps ,JMF,Vol.10 No.1, 2020
Liangliang Zhang
Citations: 2(Details)
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models ,JMF,Vol.9 No.4, 2019
Anthony Ngunyi Simon Mundia Cyprian Omari
Citations: 2(Details)
Recent Developments in Option Pricing ,JMF,Vol.1 No.3, 2011
Hui Gong You Liang Aerambamoorthy Thavaneswaran
Citations: 2(Details)
An Optimal Life Insurance Policy in the Continuous-Time Investment-Consumption Problem ,JMF,Vol.3 No.2, 2013
Hideki Iwaki Yusuke Osaki
Citations: 2(Details)
Optimal Investment and Proportional Reinsurance with Risk Constraint ,JMF,Vol.3 No.4, 2013
Jingzhen Liu Ka Fai Cedric Yiu Ryan C. Loxton Kok Lay Teo
Citations: 2(Details)
Contingent Claims in Incomplete Markets: A Case Study ,JMF,Vol.3 No.4, 2013
Sure Mataramvura
Citations: 2(Details)
Uncertain Volatility Derivative Model Based on the Polynomial Chaos ,JMF,Vol.6 No.1, 2016
Stefanos Drakos
Citations: 2(Details)
Determining Optimal Portfolio in a Three-Asset Portfolio Mix in Nigeria ,JMF,Vol.6 No.4, 2016
Amenawo I. Offiong Hodo B. Riman Eyoanwan E. Eyo
Citations: 2(Details)
The Effects of Long Memory in Price Volatility of Inventories Pledged on Portfolio Optimization of Supply Chain Finance ,JMF,Vol.6 No.1, 2016
Juan He Jian Wang Xianglin Jiang
Citations: 2(Details)
Optimal Variational Portfolios with Inflation Protection Strategy and Efficient Frontier of Expected Value of Wealth for a Defined Contributory Pension Scheme ,JMF,Vol.3 No.4, 2013
Joshua O. Okoro Charles I. Nkeki
Citations: 2(Details)
Pricing Options on Foreign Currency with a Preset Exchange Rate ,JMF,Vol.2 No.3, 2012
Avner Wolf Christopher Hessel
Citations: 2(Details)
Partial Hedging Using Malliavin Calculus ,JMF,Vol.2 No.3, 2012
Lan Ma Nygren Peter Lakner
Citations: 2(Details)
Credit Constraints and Decisions in Exports: Theory under Asymmetric Information ,JMF,Vol.2 No.3, 2012
Xin Zhang
Citations: 2(Details)
Some Properties for the American Option-Pricing Model ,JMF,Vol.2 No.3, 2012
Hong-Ming Yin
Citations: 2(Details)
Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy ,JMF,Vol.4 No.2, 2014
Miwaka Yamashita
Citations: 2(Details)
Optimal Off-Exchange Execution with Closing Price ,JMF,Vol.7 No.1, 2017
Seiya Kuno Masamitsu Ohnishi Peilu Shimizu
Citations: 2(Details)
Pricing of Margrabe Options for Large Investors with Application to Asset-Liability Management in Life Insurance ,JMF,Vol.4 No.2, 2014
Erik Bølviken Frank Proske Mark Rubtsov
Citations: 2(Details)
Option Pricing When Changes of the Underlying Asset Prices Are Restricted ,JMF,Vol.1 No.2, 2011
George J Jiang Guanzhong Pan Lei Shi
Citations: 2(Details)
A Linear Regression Approach for Determining Explicit Expressions for Option Prices for Equity Option Pricing Models with Dependent Volatility and Return Processes ,JMF,Vol.6 No.2, 2016
Raj Jagannathan
Citations: 2(Details)
Optimal Investment under Price and Wage Uncertainty ,JMF,Vol.3 No.1, 2013
Jinwu Huang
Citations: 2(Details)
Poverty, Climate Change and Weather-Indexed Bonds ,JMF,Vol.6 No.2, 2016
Joseph Atta-Mensah
Citations: 2(Details)
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures ,JMF,Vol.9 No.1, 2019
Yuxia Huang Chuancun Yin
Citations: 2(Details)
Efficient Density Estimation and Value at Risk Using Fejér-Type Kernel Functions ,JMF,Vol.5 No.5, 2015
Olga Kosta Natalia Stepanova
Citations: 2(Details)
Conditional Law of the Hitting Time for a Lévy Process in Incomplete Observation ,JMF,Vol.5 No.5, 2015
Waly Ngom 1 1
Citations: 2(Details)
State Price Density Estimation and Nonparametric Pricing of Basket Options ,JMF,Vol.5 No.5, 2015
Yuming Kuang Tze Leung Lai
Citations: 2(Details)
Generalized Option Betas ,JMF,Vol.3 No.3, 2013
Sven Husmann Neda Todorova
Citations: 2(Details)
Identifying House Price Booms, Bubbles and Busts: A Disequilibrium Analysis from Chaos Theory ,JMF,Vol.10 No.3, 2020
Gerald A. Hanweck
Citations: 1(Details)
A Liability Tracking Approach to Long Term Management of Pension Funds ,JMF,Vol.3 No.3, 2013
Masashi Ieda Takashi Yamashita Yumiharu Nakano
Citations: 1(Details)
A General Framework of Derivatives Pricing ,JMF,Vol.10 No.2, 2020
Liangliang Zhang
Citations: 1(Details)
Optimal Investment Strategy for Defined Contribution Pension Scheme under the Heston Volatility Model ,JMF,Vol.8 No.4, 2018
Chidi U. Okonkwo Bright O. Osu Silas A. Ihedioha Chigozie Chibuisi
Citations: 1(Details)
Production in General Equilibrium with Incomplete Financial Markets ,JMF,Vol.6 No.2, 2016
Pascal Stiefenhofer
Citations: 1(Details)
An Empirical Analysis of the Total Retail Sales of Consumer Goods by Using Time Series Model ,JMF,Vol.9 No.2, 2019
Shichang Shen Xiaoyi Dong
Citations: 1(Details)
The SAFEX-JIBAR Market Models ,JMF,Vol.2 No.4, 2012
Victor Gumbo
Citations: 1(Details)
The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option ,JMF,Vol.2 No.4, 2012
Sure Mataramvura
Citations: 1(Details)
Closed-Form Approximate Solutions of Window Barrier Options with Term-Structure Volatility and Interest Rates Using the Boundary Integral Method ,JMF,Vol.2 No.4, 2012
Yi-Long Hsiao
Citations: 1(Details)
Market Microstructure and Price Discovery ,JMF,Vol.3 No.1, 2013
Paul Carlisle Kettler Aleh L. Yablonski Frank Proske
Citations: 1(Details)
Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin ,JMF,Vol.6 No.2, 2016
Bangling Li Shixia Ma
Citations: 1(Details)
Analysis of the Sector of Software & Computer Services with a New Carhart 4-Factor Model ,JMF,Vol.7 No.1, 2017
Liuling Li Qingyu Zhu Yang Mu
Citations: 1(Details)
The Simulation of European Call Options’ Sensitivity Based on Black-Scholes Option Formula ,JMF,Vol.2 No.3, 2012
Yujie Cui Baoli Yu
Citations: 1(Details)
The Stability of Banking System Based on Network Structure: An Overview ,JMF,Vol.8 No.3, 2018
Qianqian Gao Hong Fan Jiwei Shen
Citations: 1(Details)
On-Line Portfolio Selection for a Currency Exchange Market ,JMF,Vol.6 No.4, 2016
Panpan Ren Jianglun Wu
Citations: 1(Details)
Investor Naïveté and Asset Prices ,JMF,Vol.3 No.4, 2013
Jonathan Cook
Citations: 1(Details)
Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management ,JMF,Vol.6 No.4, 2016
Travis R. A. Sapp
Citations: 1(Details)
Modelling Stock Prices with Exponential Weighted Moving Average (EWMA) ,JMF,Vol.6 No.1, 2016
Adejumo Wahab Adewuyi
Citations: 1(Details)
Alternative Alphas from Hedge Fund ETF Speculation ,JMF,Vol.6 No.1, 2016
Peter C. L. Lin 1 1
Citations: 1(Details)
On Quantum Risk Modelling ,JMF,Vol.6 No.1, 2016
Christos E. Kountzakis Maria P. Koutsouraki
Citations: 1(Details)
Liquidity Management at the Zero Lower Bound and an Era of Activism in Central Banking ,JMF,Vol.6 No.1, 2016
Bodo Herzog 1 1 1 1
Citations: 1(Details)
A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes ,JMF,Vol.6 No.1, 2016
George M. Mukupa Elias R. Offen Douglas Kunda Edward M. Lungu
Citations: 1(Details)
A Predictive Functional Regression Model for Asset Return ,JMF,Vol.3 No.2, 2013
Xianhua Dai Hong Li Yiwen Wang
Citations: 1(Details)
Currency Derivatives Pricing for Markov-Modulated Merton Jump-Diffusion Spot Forex Rate ,JMF,Vol.4 No.4, 2014
Anatoliy Swishchuk Maksym Tertychnyi Winsor Hoang
Citations: 1(Details)
Extending Multi-Period Pluto and Tasche PD Calibration Model Using Mode LRDF Approach ,JMF,Vol.4 No.4, 2014
Denis Surzhko
Citations: 1(Details)
Portfolio Mathematics with General Linear and Quadratic Constraints ,JMF,Vol.9 No.4, 2019
David L. Stowe
Citations: 1(Details)
Asset Return Prediction via Machine Learning ,JMF,Vol.9 No.4, 2019
Liangliang Zhang
Citations: 1(Details)
The British Binary Option ,JMF,Vol.9 No.4, 2019
Min Gao 1 1
Citations: 1(Details)
The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin ,JMF,Vol.1 No.3, 2011
Wenguang Yu Yujuan Huang
Citations: 1(Details)
Study on Loan Pricing Model of Commercial Banks Based on Artificial Neural Network ,JMF,Vol.9 No.4, 2019
Ming Zhang Xinghua Liu Yi Liu
Citations: 1(Details)
Bitcoin Price Prediction Based on Deep Learning Methods ,JMF,Vol.10 No.1, 2020
Xiangxi Jiang
Citations: 1(Details)
Application of Copula-GARCH to Estimate VaR of a Portfolio with Credit Default Swaps ,JMF,Vol.8 No.2, 2018
Jhe-Jheng Huang Leh-Chyan So
Citations: 1(Details)
Risk-Neutral Pricing of European Call Options: A Specious Concept ,JMF,Vol.8 No.2, 2018
Daniel T. Cassidy
Citations: 1(Details)
Valuation and Risk Assessment of a Portfolio of Variable Annuities: A Vector Autoregression Approach ,JMF,Vol.8 No.2, 2018
Albina Orlando Gary Parker
Citations: 1(Details)
Optimization of Cash Management Fluctuation through Stochastic Processes ,JMF,Vol.8 No.2, 2018
Youssef M. Dib Najat Kmeid Hanna Greige Youssef N. Raffoul
Citations: 1(Details)
On the Consistency of a Firm’s Value with a Lognormal Diffusion Process ,JMF,Vol.2 No.1, 2012
Andrew M. K. Cheung Van Son Lai
Citations: 1(Details)
Optimal Portfolio Control with Unknown Horizon ,JMF,Vol.2 No.1, 2012
Moawia Alghalith
Citations: 1(Details)
The Unexplainable Nature of Momentum Portfolio Returns ,JMF,Vol.4 No.3, 2014
David J. Moore George C. Philippatos
Citations: 1(Details)
Exploiting Market Integration for Pure Alpha Investments via Probabilistic Principal Factors Analysis ,JMF,Vol.3 No.1, 2013
George Tzagkarakis Juliana Caicedo-Llano Thomas Dionysopoulos
Citations: 1(Details)
The Impact of Interest Rate Marketization on China’s Commercial Banks and Its Tactics ,JMF,Vol.6 No.5, 2016
Xinrong Cui
Citations: 1(Details)
Normality of the Stock Index Futures of China ,JMF,Vol.8 No.1, 2018
Ning Wang Yibo Chen Bo Wang
Citations: 1(Details)
Jump Intervals of Stock Price Have Power-Law Distribution: An Empirical Study ,JMF,Vol.6 No.5, 2016
Hongduo Cao Ying Li Huaping He Zhi He
Citations: 1(Details)
The Impact of Electronic Banking on the Credit Risk of Commercial Banks
—An Empirical Study Based on KMV Model ,JMF,Vol.6 No.5, 2016
Zheng Zhao Yue Lan Xiaoyu Wu
Citations: 1(Details)
Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level ,JMF,Vol.8 No.1, 2018
Takashi Kato
Citations: 1(Details)
Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later ,JMF,Vol.6 No.5, 2016
Akos Horvath Peter Medvegyev
Citations: 1(Details)
A Linear Regression Approach for Determining Option Pricing for Currency-Rate Diffusion Model with Dependent Stochastic Volatility, Stochastic Interest Rate, and Return Processes ,JMF,Vol.8 No.1, 2018
Raj Jagannathan
Citations: 1(Details)
The Hidden Risk Factor ,JMF,Vol.3 No.3, 2013
J. H. Witte D. Ples J. Corominas
Citations: 1(Details)
Valuation and Financing of Cash Cows and Growth Firms ,JMF,Vol.3 No.3, 2013
Joseph P. Ogden Shanhong Wu
Citations: 1(Details)
Can Banks Circumvent Minimum Capital Requirements? The Case of Mortgage Portfolio under Basel II ,JMF,Vol.3 No.3, 2013
Christopher Henderson Julapa Jagtiani
Citations: 1(Details)
Credit Derivative Valuation and Parameter Estimation for Multi-Factor Affine CIR-Type Hazard Rate Model ,JMF,Vol.5 No.3, 2015
Alma P. Bimbabou Maboulou Hopolang P. Mashele
Citations: 1(Details)
The Valuation of Infrastructure Index Bonds ,JMF,Vol.5 No.4, 2015
Joseph Atta-Mensah
Citations: 1(Details)
Multi-Period Portfolio Selection with No-Shorting Constraints: Duality Analysis ,JMF,Vol.7 No.3, 2017
Jun Qi Lan Yi
Citations: 1(Details)
Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model ,JMF,Vol.7 No.3, 2017
Chunxiang A Yi Shao
Citations: 1(Details)
Embedding Stochastic Correlation into the Pricing of FX Quanto Options under Stochastic Volatility Models ,JMF,Vol.9 No.3, 2019
Tommaso Pellegrino
Citations: 1(Details)
A General Framework of Optimal Investment ,JMF,Vol.9 No.3, 2019
Liangliang Zhang
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Nonparametric Model Calibration for Derivatives ,JMF,Vol.7 No.3, 2017
Frédéric Abergel Rémy Tachet des Combes Riadh Zaatour
Citations: 1(Details)
Hedging the Treasury Lock ,JMF,Vol.9 No.3, 2019
Mario Pucci
Citations: 1(Details)
On the Study of Reduced-Form Approach and Hybrid Model for the Valuation of Credit Risk ,JMF,Vol.5 No.2, 2015
Olaronke Helen Edogbanya Sunday Emmanuel Fadugba
Citations: 1(Details)
Optimal Investment Strategy under Stochastic Interest Rates ,JMF,Vol.7 No.2, 2017
Adeline Peter Mtunya Philip Ngare Yaw Nkansah-Gyekye
Citations: 1(Details)
Cagan Effect and the Money Demand by Firms in China: A Nonlinear Panel Smooth Transition Approach ,JMF,Vol.5 No.2, 2015
Fangping Peng Kai Zhan Yujun Lian
Citations: 1(Details)
The Economics of XVA Trading ,JMF,Vol.7 No.2, 2017
Peter J. Zeitsch
Citations: 1(Details)
Optimization of Dynamic Portfolio Insurance Model ,JMF,Vol.2 No.2, 2012
Yuan Yao
Citations: 1(Details)
On Valuing Constant Maturity Swap Spread Derivatives ,JMF,Vol.2 No.2, 2012
Leonard Tchuindjo
Citations: 1(Details)
A Valuation Model for the Variable Rate Demand Obligation ,JMF,Vol.9 No.3, 2019
Vince Hooper John Pointon
Citations: 1(Details)
The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data ,JMF,Vol.1 No.1, 2011
Heather Mitchell Michael McKenzie
Citations: 1(Details)
Duopolistic Competition and Capacity Choice with Jump-Diffusion Process ,JMF,Vol.5 No.2, 2015
Danmei Chen 1 1
Citations: 1(Details)
On the Inverse Problem of Dupire’s Equation with Nonlocal Boundary and Integral Conditions ,JMF,Vol.7 No.4, 2017
Coskun Guler Volkan Oban
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