2015 March - 8 articles
This study investigates the valuation impact of a firm’s decision to cross list on a more (or less) prestigious stock exchange relative to its own domestic market. We use a network analysis methodology to derive broad market-based measures of presti...
It is commonly believed that women are more likely to seek advice than men; for example, on aspects of health or asking for directions when lost. This paper investigates whether women’s relatively greater propensity for advice seeking extends to impo...
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be n...
This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European c...
The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting of collateral in a trade to mitigate the counterparty credit risk. Another is the realization that banks are not risk-free and, as...
Certain exotic options cannot be valued using closed-form solutions or even by numerical methods assuming constant volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of extensive res...
It is generally held that derivative prices do not contain useful predictive information, that is, information relating to the distribution of future financial variables under the real-world measure. This is because the market’s implicit forecast of...
The editors of the Journal of Risk and Financial Management would like to express their sincere gratitude to the following reviewers for assessing manuscripts in 2014:[...]
