Issues

Special issue on financial derivatives. Guest Editors: Shuangzhe Liu, Milind Sathye

Traded American options are Bermudan

Apostolos Kourtis; Raphael N. Markellos
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Using Black‐Scholes to determine an optimal funding term

Roger Gay
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Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures

Chia‐lin Chang; Juan‐Ángel Jiménez‐Martín; Michael McAleer; Teodosio Pérez‐Amaral
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Weather risk swap valuation

Takeaki Kariya
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Coherent risk measure for derivatives under Black‐Scholes economy with regime switching

Fangcheng Hao; Hailiang Yang
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A three‐factor valuation model for mortgage‐backed securities (MBS)

Takeaki Kariya; Fumiaki Ushiyama; Stanley R. Pliska
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Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX

Isao Ishida; Michael McAleer; Kosuke Oya
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Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension

Robert J. Elliott; Tak Kuen Siu; Alex Badescu
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Guest editorial

Recent advances in financial derivatives

Shuangzhe Liu; Milind Sathye
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