| Volume 3 Number 4 Contents Valuation of sinking-fund bonds in the Vasicek and CIR frameworks ANNA RITA BACINELLO, FULVIO ORTU, PATRIZIA STUCCHI, PP. 269-294 A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
R DIGER FREY, DANIEL SOMMER, PP. 295-317 Binomial models for option valuation - examining and improving convergence
PP. 319-346 Arbitrage pricing with incomplete markets
MARK BRITTEN-JONES, ANTHONY NEUBERGER, PP. 347-363  Volume 3 Number 3 Contents The use and pricing of convertible bonds
K. G. NYBORG, PP. 167-190 Financial leverage strategy with transaction costs
C. N. BAGLEY, U. YAARI, PP. 191-208 The pricing of Asian options under stochastic interest rates
J. A. NIELSEN, K. SANDMANN, PP. 209-236 Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
M. RUTKOWSKI, PP. 237-267 Volume 3 Number 2 Contents Investment diversification and investment specialization and the assumed holding period
HAIM LEVY, PP. 117-134 Option pricing with hedging at fixed trading dates
FABIO MERCURIO, TON C. F. VORST, PP. 135-158 Models of information aggregation in financial markets: a review
MICHEL HABIB, NARAYAN NAIK, PP. 159-166 Bond, futures and option evaluation in thequadratic interest rate model
FARSHID JAMSHIDIAN, PP. 93-115 Volume 3, Number 1 Contents Toward real-time pricing of complex financial derivatives
S NINOMIYA, S. TEZUKA, PP. 1-20 Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
MARCO AVELLANEDA, ANTONIO PAR S, PP. 21-52 Default risk and derivative products
IAN COOPER, MARCEL MARTIN, PP. 53-74 Compound and exchange options in the affine term structure model
O. SCAILLET, PP. 53-74 Volume 2, Number 4, September 1995 Contents Papers
PDE models for pricing stocks and options with memory feedback 211
R. Peszek Statistical inference and modelling of momentum in stock prices 225
G. Caginalp and G. Constantine Risk arbitrage in the Nikkei put warrant market of 1989-1990 243
J. Shaw, E.O. Thorp and W.T. Ziemba Lookback options with discrete and partial monitoring of the underlying price 273
R.C. Heynen and H.M. Kat Indexes to Volume 2 (1995) 285 Volume 2, Number 3, September 1995 Contents Papers
A multiplicative model for volume and volatility 135
R. Bauer and F. Nieuwland Statistical modelling of asymmetric risk in asset returns 155
J.L. knight, S.E. Satchell and K.C. Tran Two extensions to barrier option valuation 173
P. Carr Volume 2, Number 2, June 1995 Contents Papers
Pricing and hedging derivative securities in markets with uncertain volatilities 73
M. Avellaneda, A. Levy and A. Par s Genetic algorithms and applications to finance 89
J. Kingdon and K. Feldman Uncertain volatility and the risk-free synthesis of derivatives 117
T.J. Lyons Volume 2, Number 1, March 1995 Contents Papers
Options in and on interest rate futures contracts: results from martingale pricing theory 1
U. Cherubini and M. Esposito Neural networks and some applications to finance 17
K. Feldman and J. Kingdon Stochastic equity volatility related to the leverage effect II: Valuation of European equity options and warrants 43
A. Bensoussan, M. Crouchy and D. Galai A simple class of square-root interest-rate models 61
F. Jamshidian Volume 1, Number 2, December 1994 Contents Papers
Stock market bubbles in the laboratory 111
D.P. Porter and V.L.Smith Market oscillations induced by the competition between value-based and trend-based investment strategies 129
G. Caginalp and D. Balenovich Dynamic hedging portfolios for derivative securities in the presence of large transaction costs 165
M. Avellaneda and A. Pars Intelligent systems in finance 195
K. Feldman and P. Treleaven Volume 1, Number 1, September 1994 Contents Papers
Hedging quantos, differential swaps and ratios 1
F. Jamshidian Delta, gamma and bucket hedging of interest rate derivatives 21
R.A. Jarrow and S.M Turnbull Simulations of transaction costs and optimal rehedging 49
B. Mohamed Stochastic equity volatility related to the leverage effect 63
A. Bensoussan, M. Crouhy, D. Galai Optimal pricing, use and exploration of uncertain natural resources 87
P.S. Hagan, D.E. Woodward, R.E. Caflisch and J.B. Keller Book Reviews
P. Wilmott, J. Dewynne and S. Howison Option Pricing: Mathematical Models and Computation 109
J. Jones J. Hull Options, Futures and Other Derivitive Securities 110
J. Jones | 
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