Skip to Main Content
Milind Sathye
Close
Save search
Follow your search
Access your saved searches in your account
Would you like to receive an alert when new items match your search?
Close Modal
Sort by
Journal Articles

Traded American options are Bermudan

Available to Purchase
Apostolos Kourtis, Raphael N. Markellos
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 978–984.
https://doi.org/10.1108/03074351111167884
Published: 27 September 2011
View article titled, Traded American options are Bermudan
Open the PDF for Traded American options are Bermudan in another window
Add to Citation Manager for Traded American options are Bermudan
Journal Articles

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

Available to Purchase
Chia‐lin Chang, Juan‐Ángel Jiménez‐Martín, Michael McAleer, Teodosio Pérez‐Amaral
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 1088–1106.
https://doi.org/10.1108/03074351111167956
Published: 27 September 2011
View article titled, Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures
Open the PDF for Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures in another window
Add to Citation Manager for Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures
Journal Articles

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

Available to Purchase
Fangcheng Hao, Hailiang Yang
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 1011–1024.
https://doi.org/10.1108/03074351111167910
Published: 27 September 2011
View article titled, Coherent risk measure for derivatives under Black‐Scholes economy with regime switching
Open the PDF for Coherent risk measure for derivatives under Black‐Scholes economy with regime switching in another window
Add to Citation Manager for Coherent risk measure for derivatives under Black‐Scholes economy with regime switching
Journal Articles

Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX

Available to Purchase
Isao Ishida, Michael McAleer, Kosuke Oya
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 1048–1067.
https://doi.org/10.1108/03074351111167938
Published: 27 September 2011
View article titled, Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX
Open the PDF for Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX in another window
Add to Citation Manager for Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX
Journal Articles

Recent advances in financial derivatives

Free
Shuangzhe Liu, Milind Sathye
Journal: Managerial Finance
Managerial Finance (2011) 37 (11)
https://doi.org/10.1108/mf.2011.00937kaa.001
Published: 27 September 2011
View article titled, Recent advances in financial derivatives
Add to Citation Manager for Recent advances in financial derivatives
Journal Articles

Using Black‐Scholes to determine an optimal funding term

Available to Purchase
Roger Gay
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 985–994.
https://doi.org/10.1108/03074351111167893
Published: 27 September 2011
View article titled, Using Black‐Scholes to determine an optimal funding term
Open the PDF for Using Black‐Scholes to determine an optimal funding term in another window
Add to Citation Manager for Using Black‐Scholes to determine an optimal funding term
Journal Articles

Weather risk swap valuation

Available to Purchase
Takeaki Kariya
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 995–1010.
https://doi.org/10.1108/03074351111167901
Published: 27 September 2011
View article titled, Weather risk swap valuation
Open the PDF for Weather risk swap valuation in another window
Add to Citation Manager for Weather risk swap valuation
Journal Articles

A three‐factor valuation model for mortgage‐backed securities (MBS)

Available to Purchase
Takeaki Kariya, Fumiaki Ushiyama, Stanley R. Pliska
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 1068–1087.
https://doi.org/10.1108/03074351111167947
Published: 27 September 2011
View article titled, A three‐factor valuation model for mortgage‐backed securities (MBS)
Open the PDF for A three‐factor valuation model for mortgage‐backed securities (MBS) in another window
Add to Citation Manager for A three‐factor valuation model for mortgage‐backed securities (MBS)
Journal Articles

Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension

Available to Purchase
Robert J. Elliott, Tak Kuen Siu, Alex Badescu
Journal: Managerial Finance
Managerial Finance (2011) 37 (11): 1025–1047.
https://doi.org/10.1108/03074351111167929
Published: 27 September 2011
View article titled, Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
Open the PDF for Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension in another window
Add to Citation Manager for Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
Journal Articles

Measuring productivity changes in Australian banking: an application of Malmquist indices

Available to Purchase
Milind Sathye
Journal: Managerial Finance
Managerial Finance (2002) 28 (9): 48–59.
https://doi.org/10.1108/03074350210768068
Published: 01 September 2002
View article titled, Measuring productivity changes in Australian banking: an application of Malmquist indices
Open the PDF for Measuring productivity changes in Australian banking: an application of Malmquist indices in another window
Add to Citation Manager for Measuring productivity changes in Australian banking: an application of Malmquist indices
This Feature Is Available To Subscribers Only

or Create an Account

Close Modal
Close Modal