دانلود مقالات ISI درباره G13 + ترجمه فارسی

Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method

Keywords: IM12; IM20; G13; 91B28, 60G99; Basket options pricing; Local volatility jump-diffusion model; Forward PIDE; Asymptotic expansion;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2010 سفارش ترجمه

The effects of economic news on commodity prices

Keywords: G13; G14; G17Commodities; Macroeconomic announcements; Futures pricing; Financial forecasting

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

Pricing catastrophe options with stochastic claim arrival intensity in claim time

Keywords: G13; Catastrophe insurance derivatives; Stochastic claim arrival; Operational time; Trinomial tree; Stochastic time change; Binomial tree with random time steps; Option pricing;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

CAPM and APT-like models with risk measures

Keywords: G11; G13; Risk measure; Compatibility between prices and risks; Efficient portfolio; APT and CAPM-like models;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

On a variational formulation used in credit risk modeling

Keywords: C02; G13; Credit risk; Integral equation; First-passage model;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2010 سفارش ترجمه

Policy futures markets with multiple goals

Keywords: E42; E44; E52; G13; Policy futures market; Forecast targeting; Monetary targets; Prediction markets; Information markets;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2010 سفارش ترجمه

Correlation structure between inflation and oil futures returns: An equilibrium approach

Keywords: Correlation structure; Inflation; Futures; Hedging; Oil; Monetary policyE31; G13; Q31; E44; E52; E23; D51

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2010 سفارش ترجمه

A simulation-based algorithm for American executive stock option valuation

Keywords: G13; G35; M41; M52; Executive stock options; Monte Carlo; Risk aversion; Fair value; Indexed strike;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2010 سفارش ترجمه

Positive feedback trading in stock index futures: International evidence

Keywords: G12; G13; G14; G15; Stock index futures; Heterogeneous agents; Feedback trading; Hedging; Market efficiency;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2010 سفارش ترجمه

The predictive power of the implied volatility of options traded OTC and on exchanges

Keywords: G13; G14; Implied volatility; Predictive power; Historical volatility; Index options; Over-the-counter;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Keywords: C22; C25; G13; G14; Volatility; Stock options; Information content; Implied volatility; Model-free volatility expectations; ARCH models;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Market conditions, default risk and credit spreads

Keywords: G12; G13; E43; E44; Credit risk; Credit default swaps; Credit spreads; Market conditions;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

The pricing of temperature futures at the Chicago Mercantile Exchange

Keywords: C53; G13; G29; Q54; Weather derivatives; Index modeling; Weather forecast; Futures pricing; Trading strategy;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Trading strategies with partial access to the derivatives market

Keywords: G13; Portfolio choice; Jumps; Derivatives; Trading strategies;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Derivative pricing using multivariate affine generalized hyperbolic distributions

Keywords: G13; C13; Generalized hyperbolic distributions; Multivariate distributions; Derivative pricing; Lévy processes;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Commodity derivatives valuation with autoregressive and moving average components in the price dynamics

Keywords: G13; C50; Q40; Commodity pricing; CARMA; Futures; Crude oil;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

On the pricing of longevity-linked securities

Keywords: G13; G22; IM53; IE50; IB10; Longevity risk; Stochastic mortality; Longevity derivatives;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

A hidden Markov regime-switching model for option valuation

Keywords: G13; G12; IM10; IE50; Option pricing; Regime-switching; Hidden Markov model; Esscher transform; Extended Girsanov principle; Filters and predictors;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market

Keywords: G13; G12; G33; Affine jump diffusion models; Implied volatility; Volatility skew; Electricity derivatives; Risk management;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Is the diversification discount caused by the book value bias of debt?

Keywords: G12; G13; G14; G31; Diversification; Diversification discount; Conglomerate discount; Internal capital markets; Option pricing; Debt valuation; Merton model; Corporate governance; Ownership structure;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2010 سفارش ترجمه

Misreaction or misspecification? A re-examination of volatility anomalies

Keywords: G13; G14; Volatility anomaly; Model misspecification; Market misreaction; Model-free implied volatility; Market efficiency;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008

Keywords: F34; G13; G12; Banking crises; Country defaults; Structural credit risk model; Crises dependencies; Compound option;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Constrained smoothing B-splines for the term structure of interest rates

Keywords: G13; C14; IM10; Term structure; No-arbitrage; Interpolation; Smoothing splines;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Investment commitment and the valuation of underwriting agreements for rights issues

Keywords: G13; G21; G24; G32; Underwriting; Rights issues;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Gas-fired power plants: Investment timing, operating flexibility and CO2 capture

Keywords: Q40; Q52; G13; G11; Real options; Spark spread; Gas-fired power plant; Forward prices;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Modeling of CPDOs - Identifying optimal and implied leverage

Keywords: G12; G13; C02; C19; CPPI; Leverage; Shortfall; Barrier; Lévy process;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

Fundamentals of corporate currency exposure

Keywords: Currency exposure; Demand elasticity; Operating costs; Competition; Exchange rate; G13; G32;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2010 سفارش ترجمه

No-arbitrage conditions for storable commodities and the modeling of futures term structures

Keywords: G12; G13; No-arbitrage condition; Exponential affine model; Convenience yield; Kalman filter;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Short sales and speed of price adjustment: Evidence from the Hong Kong stock market

Keywords: G12; G13; G14; G18; Short sales; Speed of price adjustment; Information; Market efficiency; Hong Kong stock exchange;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Tight bounds on American option prices

Keywords: G13; American option pricing; Option bounds; Early exercise boundary;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap

Keywords: G12; G13; USD knock-out reversed swap; Interest rate swap; Interest rate digital call; Caplet; Systematic jump risks; LIBOR market model;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets

Keywords: G12; G13; E-mini futures; Floor-traded futures; Pricing efficiency; Noise trader risk;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Securitization, structuring and pricing of longevity risk

Keywords: G22; G23; G32; G13; Longevity risk; Securitization;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Modelling and measuring price discovery in commodity markets

Keywords: C32; C51; G13; G14; Backwardation; Cointegration; Commodity markets; Contango; Convenience yield; Futures prices; Permanent-Transitory decomposition; Price discovery;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Jump and volatility risk premiums implied by VIX

Keywords: Model-free volatility; Stochastic volatility; Jump; Options; VIX; Constant elasticity of variance; G12; G13;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

A lattice algorithm for pricing moving average barrier options

Keywords: Barrier option; Moving average; Lattice algorithm; Forward shooting grid method; Extrapolation; C63; G13;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2010 سفارش ترجمه

Idiosyncratic risk, market risk and correlation dynamics in the US real estate investment trusts

Keywords: C22; G13; Idiosyncratic risk; Market risk; Correlations; Real estate investment trusts; Time trends; Expected returns;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

Analytic valuation formulas for range notes and an affine term structure model with jump risks

Keywords: C63; G13; Range note; Structured note; Hybrid note; Affine term structure; Jump diffusion; Equilibrium model;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

Tempered stable and tempered infinitely divisible GARCH models

Keywords: C4; G12; G13; Tempered infinitely divisible distribution; Tempered stable distribution; Rapidly decreasing tempered stable distribution; GARCH model option-pricing;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

Regime switching correlation hedging

Keywords: C32; G13; Correlation hedging; Minimum variance hedge ratio; GARCH model; Markov regime switching; Commodity futures;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

What drives the performance of convertible-bond funds?

Keywords: G12; G13; G15; Mutual funds; Performance; Hybrid securities; Convertible bonds;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

Predictable dynamics in implied volatility surfaces from OTC currency options

Keywords: C32; C53; G13; F37; Implied volatility surfaces; Static factor model; Forecasting;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform

Keywords: C22; G13; G22; IM01; IM10; IM20; Home Equity Conversion Mortgage (HECM); Non-recourse provision; Mortality modeling; Conditional Esscher transform;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2010 سفارش ترجمه

The impact of conglomeration on the option value of equity

Keywords: G13; G31; G32; Corporate diversification; Conglomerate discount; Contingent claims analysis; Risk-shifting; Asset substitution;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2010 سفارش ترجمه

Reorganization strategies and securities valuation under asymmetric information

Keywords: G13; G33; D82; Chapter 11; Private workout; Asymmetric information; Credit spreads;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2010 سفارش ترجمه

Belief updating, debt pricing and financial decisions under asymmetric information

Keywords: C70; G13; G32Asymmetric information; Belief updating; Capital structure; Debt valuation; Financial decisions

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2010 سفارش ترجمه

Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

Keywords: Dynamic hedging; Portfolio credit risk; Credit derivatives; Incomplete markets; Default contagion; G13; G33; D52;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2010 سفارش ترجمه

A risk reserve model for hedging in incomplete markets

Keywords: Incomplete markets; Risk measures; Contingent claims; G12; G13; D40;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2010 سفارش ترجمه

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

Keywords: C14; C22; C53; G13; ARCH models; Density forecasts; Index options; Risk-neutral densities; Risk-transformations;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2010 سفارش ترجمه

Do subjective expectations explain asset pricing puzzles?

Keywords: Subjective expectations; Learning; Structural uncertainty; Priors; Predictive density of consumption growth; Equity premium; Risk-free returnD84; G12; G13

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2010 سفارش ترجمه