Analysis of individual factors/risk premia
- An Efficient Convergent Willow Tree Method for American and Exotic Option Pricing under Stochastic Volatility ModelsJunmei Ma, Sihuan Huang and Wei XuThe Journal of Derivatives December 2019, jod.2019.1.092; DOI: https://doi.org/10.3905/jod.2019.1.092
- Machine Learning in Asset Management—Part 1: Portfolio Construction—Trading StrategiesDerek SnowThe Journal of Financial Data Science December 2019, jfds.2019.1.021; DOI: https://doi.org/10.3905/jfds.2019.1.021
- Seeking Alpha from Share RepurchasesAtreya Chakraborty, James L. Grant, Emery A. Trahan and Bhakti VarmaThe Journal of Investing November 2019, 29 (1) 61-79; DOI: https://doi.org/10.3905/joi.2019.1.104
- Analytical Approximation Formula for Barrier Option Prices under the Regime-Switching ModelXin-Jiang He and Song-Ping ZhuThe Journal of Derivatives November 2019, 27 (2) 108-119; DOI: https://doi.org/10.3905/jod.2019.1.088
- Fourier Method for Valuation of Options under Parameter and State UncertaintyErik LindströmThe Journal of Derivatives November 2019, 27 (2) 62-80; DOI: https://doi.org/10.3905/jod.2019.1.085
- What Does Today’s Smile Imply About Future Volatilities?Riccardo RebonatoThe Journal of Derivatives November 2019, jod.2019.1.091; DOI: https://doi.org/10.3905/jod.2019.1.091
- The Market Risk of Corporate BondsMarielle De Jong and Frank J. FabozziThe Journal of Portfolio Management November 2019, jpm.2019.1.120; DOI: https://doi.org/10.3905/jpm.2019.1.120
- A Closer Look at the Factor-to-Specific Risk Ratio in Factor PortfoliosJennifer Bender and Xiaole SunThe Journal of Portfolio Management November 2019, jpm.2019.1.117; DOI: https://doi.org/10.3905/jpm.2019.1.117
- Exchange-Traded Funds as an International Diversification Tool for Socially Responsible InvestorsJavier Rodríguez and Herminio RomeroThe Journal of Wealth Management October 2019, 22 (3) 98-102; DOI: https://doi.org/10.3905/jwm.2019.1.079
- Using the Volatility Risk Premium to Mitigate the Next Financial CrisisWei GeThe Journal of Wealth Management October 2019, 22 (3) 85-97; DOI: https://doi.org/10.3905/jwm.2019.1.078
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