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Review of derivatives research.

Material type:

Continuing resourcePublication details: New York, NY : Kluwer Academic Publishers; [New York] : Springer USContent type:

text

Media type:

computer

Carrier type:

online resource

ISSN:

1573-7144

Uniform titles:

Review of derivatives research (Online)

Subject(s):

Genre/Form:

Additional physical formats: Print version:: Review of derivatives researchDDC classification:

332.632

LOC classification:

HG6024.A3

Online resources:

Click here to access online

Contents:

(Volume 27, issue 1) • Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle • Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility • Pricing levered warrants under the CEV diffusion model • Martingale defects in the volatility surface and bubble conditions in the underlying

(Volume 26, issue 2-3) • Implied volatility surfaces: a comprehensive analysis using half a billion option prices • Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model

(Volume 26, issue 1) • Interest rate swaps: a comparison of compounded daily versus discrete reference rates • Pricing vulnerable basket spread options with liquidity risk • Continuity correction: on the pricing of discrete double barrier options • Hedging cryptocurrency options

List(s) this item appears in: Recommended Academic Journal for Graduate Students (Faculty of Islamic Economic and Finance (FIEF) | journal & ejournal

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Holdings
Item type	Current library	Call number	Status	Notes	Date due	Barcode
E-Journal	Universiti Islam Sultan Sharif Ali	Online (Browse shelf(Opens below))	Available	Subscription (Springer)

(Volume 27, issue 1)
• Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
• Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility
• Pricing levered warrants under the CEV diffusion model
• Martingale defects in the volatility surface and bubble conditions in the underlying

(Volume 26, issue 2-3)
• Implied volatility surfaces: a comprehensive analysis using half a billion option prices
• Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model

(Volume 26, issue 1)
• Interest rate swaps: a comparison of compounded daily versus discrete reference rates
• Pricing vulnerable basket spread options with liquidity risk
• Continuity correction: on the pricing of discrete double barrier options
• Hedging cryptocurrency options

Not published in 1997.

Mode of access: World Wide Web.

Vol. 3, issue 1 (1999); title from contents screen (publisher's Web site, viewed Feb. 18, 2004).

Vol. 22, issue 3 (Oct. 2019) (SpringerLink website, viewed Oct. 8, 2019).

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