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ORCIDRisk and Decision Analysis, Volume 4
Volume 4, Number 1, 2013
- Ka Fai Cedric Yiu:
Financial derivatives and risk models. 1 - Kam Chuen Yuen, Jinzhu Li, Rong Wu:
On a discrete-time risk model with delayed claims and dividends. 3-16 - Tianxiao Wang, Yufeng Shi:
A class of time inconsistent risk measures and backward stochastic Volterra integral equations. 17-24 - Sheung Chi Phillip Yam
, S. P. Yung, J. H. Zhou:
A mean-variance portfolio selection problem subject to a benchmark constraint: An existence result. 25-38 - Jin Liang, Yin Xu:
Valuation of credit contingent interest rate swap. 39-46 - John Loustau, Scott Irwin, Ariel Lindorff, John Svadlenka:
Discontinuous piecewise polynomial collocation in two dimensions. 47-57 - Hon-Kwok Fung, Leong Kwan Li, S. P. Yung, Wei Zhou:
Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities. 59-68
Volume 4, Number 2, 2013
- Risk finance. 69-70
- Olivier Guéant:
Tournament-induced risk-shifting: A mean field games approach. 71-80 - Tyrone M. Carlin, Nigel Finch:
Loan impairment provisioning under IAS 39 in the Asian banking sector. 81-87 - Fathi Abid, Mourad Mroua, Wing-Keung Wong:
Should Americans invest internationally? Mean-variance portfolios optimization and stochastic dominance approaches. 89-102 - Srdjan Stojanovic:
Any-utility neutral and indifference pricing and hedging. 103-118 - Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng:
On modeling credit defaults: A probabilistic Boolean network approach. 119-129
Volume 4, Number 3, 2013
- Vassili N. Kolokoltsov:
Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations. 131-161 - Juan González-Hernández, Raquiel R. López-Martínez, J. Adolfo Minjárez-Sosa, J. Rigoberto Gabriel-Arguelles:
Constrained Markov control processes with randomized discounted cost criteria: Occupation measures and extremal points. 163-176 - Winston S. Buckley, Oneil Harris, Sandun Perera:
On the sensitivity of the Black capital asset pricing model to the market portfolio. 177-189 - Yaroslav Ivanenko, Bertrand Munier:
Price as a choice under nonstochastic randomness in finance. 191-205 - Alexander Melnikov, Shuo Tong:
Efficient hedging for equity-linked life insurance contracts with stochastic interest rate. 207-223
Volume 4, Number 4, 2013
- Lide Li, Paul R. Kleindorfer:
On calendar energy options. 225-233 - Yaffa Machnes, Shifra Reif:
Savings and insurance within the dual theory of choice. 235-241 - Lorne N. Switzer, Jun Wang:
Default risk and corporate governance in financial vs. non-financial firms. 243-253 - Hao Li, Alexander Melnikov:
On polynomial extension of t-distribution and its financial applications. 255-266 - Garfield O. Brown, Winston S. Buckley:
Discrimination for two-way models with insurance applications. 267-290 - Oren J. Tapiero:
Background risk and quantum calculus. 291-301 - Shuang-Shii Chuang, Min-Chang Chang:
Prospect theory and the investor's attitudes toward risk. 303-308
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