Topics are
- American Options
- Executive Stock Options
- Bond Options
- Exotic Options
- Binomial Trees
- Stochastic Volatility
- Asset Pricing
- Term Structure
- GARCH Models in Option Pricing
- Incomplete Markets
- Arbitrage
- Monte Carlo Methods in Finance
- Fuzziness in Finance
- Computational Intelligence in Finance
\begin{equation}{\label{a}}\tag{A}\mbox{}\end{equation}
American Options.
\item Amin, K.I. and Boudurtha, J.N.:
Discrete-Time Valuation of American Options with Stochastic Interest Rates,
{\em The Review of Financial Studies} 8 (1995) 193-234.
\item Amin, K. and Khanna, A.:
Convergence of American Option Values from Discrete- to Continuous-Time Financial Models,
{\em Mathematical Finance} 4 (1994) 289-304.
\item Barone-Adesi, G. and Whaley, R.E.:
The Valuation of American Call Options and the Expected Ex-Dividend Stock
Price Decline,
{\em Journal of Financial Economics} 17 (1986) 91-111.
\item Barone-Adesi, G. and Whaley, R.E.:
Efficient Analytic Approximation of American Option Values,
{\em Journal of Finance} 42 (1987) 301-320.
\item Barraquand, J. and Pudet, T.:
Pricing American Path-Dependent Contingent Claims,
{\em Mathematical Finance} 6 (1996) 17-51.
\item Blomeyer, E.C.:
An Analytic Approximation for the American Put Price for Options on
Stocks with Dividends,
{\em Journal of Financial and Quantitative Analysis} 21 (1986) 229-233.
\item Bodurtha, J.N. and Courtadon, G.R.:
Tests of an American Option Pricing Model on the Foreign Currency
Options Market,
{\em Journal of Financial and Quantitative Analysis} 22 (1987) 153-167.
\item Brennan, M.J. and Schwartz, E.S.:
The Valuation of American Put Options,
{\em Journal of Finance} 32 (1977) 449-462.
\item Broadie, M. and Detemple, J.:
American Capped Call Options on Dividend-Paying Assets,
{\em The Review of Financial Studies} 8 (1995) 161-191.
\item Broadie, M. and Detemple, J.:
American Option Valuation: New Bounds, Approximations, and a
Comparison of Existing Methods,
{\em The Review of Financial Studies} 9 (1996) 1211-1250.
\item Broadie, M. and Detemple, J.:
The Valuation of American Options on Multiple Assets,
{\em Mathematical Finance} 7 (1997) 241-286.
\item Broadie, M., Detemple, J., Ghysels, E. and Torr\'{e}s, O.:
Prices,
{\em Journal of Economic Dynamics and Control} 24 (2000) 1829-1857.
\item Broadie, M. and Glasserman, P.:
Pricing American-Style Securities Using Simulation,
{\em Journal of Economic Dynamics and Control} 21 (1997) 1323-1352.
\item Broadie, M., Glasserman, P. and Jain, G.:
Enhanced Monte Carlo Estimates for American Option Prices,
{\em The Journal of Derivatives} fall (1997) 25-44.
\item Bunch, D.S. and Johnson, H.:
A Simple and Numerically Efficient Valuation Method for American Puts
Using a Modified Geske-Johnson Approach,
{\em Journal of Finance} 47 (1992) 809-816.
\item Carr, P. and Jarrow, R.:
Alternative Characterizations of American Put Options,
{\em Mathematical Finance} 2 (1992) 87-106.
\item Chawla, M.M., Al-Zanaidi, M.A. and Evans, D.J.:
Generalized Trapezoidal Formulas for Valuing American Options,
{\em International Journal of Computer Mathematics} 81 (2004) 375-381.
\item Curran, M.:
Accelerating American Option Pricing in Lattices,
{\em The Journal of Derivatives} winter (1995) 8-18.
\item Dempster, M.A.H. and Hutton, J.P.:
Pricing American Stock Options by Linear Programming,
{\em Mathematical Finance} 9 (1999) 229-254.
\item Dempster, M.A.H., Hutton, J.P. and Richards, D.G.:
LP Valuation of Exotic American Options Exploiting Structure,
{\em Journal of Computational Finance} 2 (1998) 61-84.
\item Evans, J.D., Kuske, R. and Keller, J.B.:
American Options on Assets with Dividends near Expiry,
{\em Mathematical Finance} 12 (2002) 219-237.
\item Gerber, H.U. and Shiu, E.S.W.:
Martingale Approach to Pricing Perpetual American Options on two Stocks,
{\em Mathematical Finance} 6 (1996) 303-322.
\item Geske, R. and Johnson, H.E.:
The American Put Option Valued Analytically,
{\em Journal of Finance} 39 (1984) 1511-1524.
\item Geske, R. and Roll, R.:
On Valuing American Call Options with the Black-Scholes European Formula,
{\em Journal of Finance} 39 (1984) 443-455.
\item Geske, R. and Shastri, K.:
The Early Exercise of American Puts,
{\em Journal of Banking and Finance} 9 (1985) 207-219.
\item Gukhal, C.R.:
Analytical Valuation of American Options on Jump-Diffusion Processes,
{\em Mathematical Finance} 11 (2001) 97-115.
\item Ho, T.S., Stapleton, R.C. and Subrahmanyam, M.G.:
A Simple Technique for the Valuation and Hedging of American Options,
{\em The Journal of Derivatives} fall (1994) 52-66.
\item Huang, J.-Z., Subrahmanyam, M.G. and Yu, G.G.:
Pricing and Hedging American Options: A Recursive Integration Method,
{\em The Review of Financial Studies} 9 (1996) 277-300.
\item Ingersoll, J.E.:
Approximating American Options and Other Financial Contracts Using
Barrier Derivatives,
{\em Journal of Computational Finance} 2 (1998) 85-112.
\item Jaillet, P., Lamberton, D. and Lapeyre, B.:
Variational Inequalities and the Pricing of American Options,
{\em Acta Applicandae Mathematicae} 21 (1990) 263-289.
\item Jamshidian, F.:
An Analysis of American Options,
{\em The Review of Futures Market} 11 (1992) 73-82.
\item Johnson, H. E.:
An Analytic Approximation for the American Put Price,
{\em Journal of Financial and Quantitative Analysis} 18 (1983) 141-148.
\item Karatzas, I.:
On the Pricing of American Options,
{\em Applied Mathematics and Optimization} 17 (1988) 37-60.
\item Karatzas, I. and Wang, H.:
A Barrier Option of American Type,
{\em Applied Mathematics and Optimization} 42 (2000) 259-279.
\item Kim, I.J.:
The Analytic Valuation of American Options,
{\em The Review of Financial Studies} 3 (1990) 547-572.
\item Lamberton, D.:
Convergence of the Critical Price in the Approximation of
American Options,
{\em Mathematical Finance} 3 (1993) 179-190.
\item Myneni, R.:
The Pricing of the American Option,
{\em The Annals of Applied Probability} 2 (1992) 1-23.
\item Parkinson, M.:
Option Pricing: The American Put,
{\em Journal of Business} 21-36.
\item Rogers, L.C.G.:
Monte Carlo Valuation of American Options,
{\em Mathematical Finance} 12 (2002) 271-286.
\item Roll, R.:
An Analytic Valuation Formula for Unprotected American Call Options on
Stocks with Known Dividends,
{\em Journal of Financial Economics} 5 (1977) 251-258.
\item Shastri, K. and Tandon, K.:
An Empirical Test of a Valuation Model for American Options on Futures
Constracts,
{\em Journal of Financial and Quantitative Analysis} 21 (1986) 377-392.
\item Shiryaev, A.N., Kabanov, Y.M., Kramkov, O.D. and Melnikov, A.V.:
Toward the Theory of Pricing of Options of Both European and American Types I
Discrete Time,
{\em Theory of Probability and Its Applications} 39 (1994) 61-102.
\item Shiryaev, A.N., Kabanov, Y.M., Kramkov, O.D. and Melnikov, A.V.:
Toward the Theory of Pricing of Options of Both European and American Types II
Continuous Time,
{\em Theory of Probability and Its Applications} 39 (1994) 14-60.
\item Shu, J., Gu, Y. and Zheng, W.:
A Novel Numerical Approach of Computing American Option,
{\em International Journal of Foundations of Computer Science}
13 (2002) 685-693.
\item Whaley, R.E.:
On the Valuation of American Call Options on Stocks with Known Dividens,
{\em Journal of Financial Economics} 9 (1981) 207-211.
\item Whaley, R.E.:
Valuation of American Call Options on Dividend-Paying Stocks,
{\em Journal of FInancial Economics} 10 (1982) 29-58.
\item Whaley, R.E.:
Valuation of American Futures Options: Theory and Empirical Tests,
{\em Journal of Finance} 41 (1986) 127-150.
\begin{equation}{\label{b}}\tag{B}\mbox{}\end{equation}
Executive Stock Options.
\item Acharya, V.V., John, K. and Sundaram, R.K.:
On the Optimality of Resetting Executive Stock Options,
{\em Journal of Financial Economics} 57 (2000) 65-101.
\item Brenner, M., Sundaram, R.K. and Yermack, D.:
Altering the Terms of Executive Stock Options,
{\em Journal of Financial Economics} 57 (2000) 103-128.
\item Chance, D.M., Kumar, R. and Todd, R.B.:
The ‘Pricing’ of Executive Stock Options,
{\em Journal of Financial Economics} 57 (2000) 129-154.
\item Johnson, S.A. and Tian, Y.S.:
The Value and Incentive Effects of Nontraditional Executive Stock Optio
Plans,
{\em Journal of Financial Economics} 57 (2000) 3-34.
\item Johnson, S.A. and Tian, Y.S.:
Indexed Executive Stock Options,
{\em Journal of Financial Economics} 57 (2000) 35-64.
\begin{equation}{\label{c}}\tag{C}\mbox{}\end{equation}
Bond Options.
\item Black, F. and Karasinski, P.:
Bond and Option Pricing when Short Rates are Lognormal,
{\em Financial Analysts Journal} July-Agust (1991) 52-59.
\item B\”{u}ttler, H.-J. and Wadvogel, J.:
Pricing Callable Bonds by Menas of Green’s Function,
{\em Mathematical Finance} 6 (1996) 53-88.
\item Carr, P.:
A Note on the Pricing of Commodity-Linked Bonds,
{\em Journal of Finance} 42 (1987) 1071-1076.
\item Chen, R.-R.:
Exact Solutions for Futures and European Futures Options on Pure
Discount Bonds,
{\em Journal of Financial and Quantitative Analysis} 27 (1992) 97-107.
\item Chesney, M., Elliott, R.J. and Gibson, R.:
Analytical Solutions for the Pricing of American Bond and Yield Options,
{\em Mathematical Finance} 3 (1993) 277-294.
\item Courtadon, G.:
The Pricing Options on Default-Free Bonds,
{\em Journal of Financial and Quantitative Analysis} 17 (1982) 75-100.
\item Fischer, S.:
The Demand for Index Bonds,
{\em Journal of Political Economy} 83 (1975) 509-534.
\item Heston, S.L.:
A Closed-Form Solution for Options with Stochastic Volatility with
Applications to Bond and Currency Options,
{\em The Review of Financial Studies} 6 (1993) 327-343.
\item Marsh, T.A. and Rosenfeld, E.R.:
Stochastic Processes for Interest Rates and Equilibrium Bond Prices,
{\em Journal of Finance} 38 (1983) 635-646.
\item Ritchken, P.:
Pricing the Quality Option in Treasury Bond Futures,
{\em Mathematical Finance} 2 (1992) 197-214.
\item Zhu, Y.-I. and Sun, Y.:
The Singularity-Separating Method for Two-Factor Convertible Bonds,
{\em Journal of Computational Finance} 3 (1999) 91-110.
\begin{equation}{\label{d}}\tag{D}\mbox{}\end{equation}
Exotic Options.
\item Ahn, D.-H., Figlewski, S. and Gao, B.:
Pricing Discrete Barrier Options with an Adaptive Mesh Model,
{\em The Journal of Derivatives} summer (1999) 33-43.
\item Cheuk, T.H.F. and Vorst, T.C.F.:
Currency Lookback Options and Observation Frequency: A Binomial Approach,
{\em Journal of International Money and Finance} 16 (1997) 173-187.
\item Cortazar, G. and Schwartz, E.S.:
The Valuation of Commodity Contingent Claims,
{\em The Journal of Derivatives} summer (1994) 27-39.
\item Gastineau, G.:
An Introduction to Special-Purpose Derivatives: Path-Dependent Options,
{\em The Journal of Derivatives} winter (1993) 79-86.
\item Gastineau, G.L.:
Roll Uo Puts, Roll Down Calls, and Contingent Premium Options,
{\em The Journal of Derivatives} summer (1994) 41-43.
\item Haber, R.J., Sch\”{o}nbucher and Wilmott, P.:
Pricing Parisian Options,
{\em The Journal of Derivatives} spring (1999) 71-79.
\item Kat, H.M.:
Contingent Premium Options,
{\em The Journal of Derivatives} summer (1994) 45-54.
\item Lyuu, Y.-D.:
Very Fast Algorithms for Barrier Option Pricing and the Ballot Problem,
{\em The Journal of Derivatives} spring (1998) 68-79.
\item Milevsky, M.A. and Posner, S.E.:
A Closed-Form Approximation for Valuing Basket Options,
{\em The Journal of Derivatives} summer (1998) 54-61.
\item Popova, I. and Ritchken, P.:
On Bounding Option Prices in Pattern Stable Markets,
{\em The Journal of Derivatives} summer (1998) 32-43.
\item Shepp, L. and Shiryaev, A.N.:
The Russian Option: Reduced Regret,
{\em The Annals of Applied Probability} 3 (1993) 631-640.
\item Su, K.C.:
The Conversion Option in Life Insurance,
{\em Insurance: Mathematics and Economics} 46 (2010) 437-442.
\item Turnbull, S.M., Wakeman, L.M.:
A Quick Algorithm for Pricing European Average Options,
{\em Journal of Financial and Quantitative Analysis} 26 (1991) 377-388.
\item Wei, J.Z.:
Valuation of Discrete Barrier Options by Interpolations,
{\em The Journal of Derivatives} fall (1998) 51-73.
\begin{equation}{\label{e}}\tag{E}\mbox{}\end{equation}
Binomial Trees.
\item Amin, K.I.:
Option Pricing Trees,
{\em The Journal of Derivatives} summer (1995) 34-46.
\item Boyle, P.P. and Lau, S.H.:
Bumping Up Against the Barrier with the Binomial Method,
{\em The Journal of Derivatives} summer (194) 6-14.
\item Cheuk, T.H.F. and Vorst, T.C.F.:
Currency Lookback Options and Observation Frequency: A Binomial Approach,
{\em Journal of International Money and Finance} 16 (1997) 173-187.
\item Hilliard, J.E. and Schwartz, A.:
Binomial Option Pricing under Stochastic Volatility and Correlated
State Variables,
{\em The Journal of Derivatives} fall (1996) 23-39.
\item Jackwerth, J.C.:
Generalized Binomial Trees,
{\em The Journal of Derivatives} winter (1997) 7-17.
\item Lyuu, Y.-D.:
A General Computational Method for Calibration Based on Differential Trees,
{\em The Journal of Derivatives} fall (1999) 79-90.
\item Pelsser, A. and Vorst, T.:
The Binomial Model and the Greeks,
{\em The Journal of Derivatives} spring (1994) 45-49.
\item Rubinstein, M.:
Implied Binomial Trees,
{\em Journal of Finance} 49 (1994) 771-818.
\item Rubinstein, M.:
Edgeworth Binomial Trees,
{\em The Journal of Derivatives} spring (1998) 21-27;
Erratum, summer (1998) 6-6.
\begin{equation}{\label{f}}\tag{F}\mbox{}\end{equation}
Stochastic Volatility.
\item Amin, K.I. and Ng, V.K.:
Option Valuation with Systematic Stochastic Volatility,
{\em Journal of Finance} 48 (1993) 881-910.
\item Anderson, T.G.:
Stochastic Autoregressive Volatility: A Framework for Volatility
Modeling,
{\em Mathematical Finance} 4 (1994) 75-102.
\item Ball, C.A. and Roma, A.:
Stochastic Volatility Option Pricing,
{\em Journal of Financial and Quantitative Analysis} 29 (1994) 589-607.
\item Britten-Jones, M. and Neuberger, A.:
Options Prices, Implied Price Processes, and Stochastic Volatility,
{\em Journal of Finance} 55 (2000) 839-866.
\item Comte, F. and Renault, E.:
Long Memory in Continuous-Time Stochastic Volatility Models,
{\em Mathematical Finance} 8 (1998) 291-323.
\item Frey, R. and Sin, C.A.:
Bounds on European Option Prices under Stochastic Volatility,
{\em Mathematical Finance} 9 (1999) 97-116.
\item Garcia, R. and Renault, E.:
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models,
{\em Mathematical Finance} 8 (1998) 153-161.
\item Heston, S.L.:
A Closed-Form Solution for Options with Stochastic Volatility with
Applications to Bond and Currency Options,
{\em The Review of Financial Studies} 6 (1993) 327-343.
\item Hobson, D.G. and Rogers, L.C.G.:
Complete Models with Stochastic Volatility,
{\em Mathematical Finance} 8 (1998) 27-48.
\item Hofmann, N., Platen, E. and Schweizer, M.:
Option Pricing under Incompleteness and Stochastic Volatility,
{\em Mathematical Finance} 2 (1992) 153-187.
\item Hull, J. and Whitw, A.:
The Pricing of Options on Assets with Stochastic Volatilities,
{\em Journal of Finance} 42 (1987) 281-300.
\item Jacquier, E., Polson, N.G. and Rossi, P.E.:
Bayesian Analysis of Stochastic Volatility Models,
{\em Journal of Business and Economic Statistics} 12 (1994) 371-388.
\item Johnson, H. and Shanno, D.:
Option Pricing when the Variance is Changing,
{\em Journal of Financial and Quantitative Analysis} 22 (1987) 143-151.
\item Lamoureux, C.G. and Lastrapes, W.D.:
Forecasting Stock-Return Variance: Toward an Understanding of Stochastic
Implied Volatilities,
{\em The Review of Financial Studies} 6 (1993) 293-326.
\item Melino, A. and Turnbull, S.M.:
Pricing Foreign Currency Options with Stochastic Volatility,
{\em Journal of Econometrics} 45 (1990) 239-265.
\item Nagahara, Y. and Kitagawa, G.:
A Non-Gaussian Stochastic Volatility Model,
{\em Journal of Computational Finance} 2 (1998) 33-47.
\item Renault, E. and Touzi, N.:
Option Hedging and Implied Volatilities in a Stochastic Volatility Model,
{\em Mathematical Finance} 6 (1996) 279-302.
\item Rogers, L.C.G.:
Volatility Estimation with Price Quanta,
{\em Mathematical Finance} 8 (1998) 277-290.
\item Schwert, G.W.:
Why Does Stock Market Volatility Change Over Time?,
{\em Journal of Finance} 46 (1989) 1115-1153.
\item Scott, L.O.:
Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility
and Interest Rates: Applications of Fourier Inversion Methods,
{\em Mathematical Finance} 7 (1997) 413-426.
\item Stein, E.M. and Stein, J.C.:
Stock Price Distributions with Stochastic Volatility: An Analytic Approach,
{\em The Review of Financial Studies} 4 (1991) 727-752.
\item Taylor, S.J.:
Modeling Stochastic Volatility: A Review and Comparative Study,
{\em Mathematical Finance} 4 (1994) 183-204.
\item Wiggins, J.B.:
Option Values under Stochastic Volatility: Theory and Empirical Estimates,
{\em Journal of Financial Economics} 19 (1987) 351-372.
\begin{equation}{\label{g}}\tag{G}\mbox{}\end{equation}
Asset Pricing.
\item Aase, K.K.:
A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and
the Equity Premium Puzzle,
{\em Mathematical Finance} 3 (1993) 65-84.
\item Aase, K.K.:
Equilibrium Pricing in the Presence of Cumulative Dividends Following A
Diffussion,
{\em Mathematical Finance} 12 (2002) 173-198.
\item Adler, M.:
On the Risk-Return Trade-Off in the Valuation of Assets,
{\em Journal of Financial and Quantitative Analysis} 4 (1969) 493-512.
\item Admati, A.R. and Pfleiderer, P.:
Interpreting the Fcator Risk Premia in the Arbitrage Pricing Theory,
{\em Journal of Economic Theory} 35 (1985) 191-195.
\item Nishihara, K., Yagiura, M. and Ibaraki, T.:
Duality in Option Pricing Based on Prices of Other Derivatives,
{\em Operations Research Letters} 35 (2007) 165-171.
\begin{equation}{\label{h}}\tag{H}\mbox{}\end{equation}
Term Structure.
\item Bj\”{o}rk, T., Kabanov, Y. and Runggaldier, W.:
Bond Market Structure in the Presence of Marked Point Processes,
{\em Mathematical Finance} 7 (1997) 211-239.
\item Brace, A., Gatarek, D. and Musiela, M.:
The Market Model of Interest Rate Dynamics,
{\em Mathematical Finance} 7 (1997) 127-155.
\item Brace, A. and Musiela, M.:
A Multifactor Gauss Markov Implementation of Heath, Jarrow, and Morton,
{\em Mathematical Finance} 4 (1994) 259-283.
\item Campbell, J.Y.:
A Defense of Traditional Hypotheses about the Term Structure of Interest Rates,
{\em Journal of Finance} 41 (1986) 183-193.
\item Campbell, J.Y.:
Stock Returns and the Term Structure,
{\em Journal of Financial Economics} 18 (1987) 373-399.
\item Carverhill, A.:
When is the Short Rate Markovian?
{\em Mathematical Finance} 4 (1994) 305-312.
\item Chan, K.C., Karolyi, A., Longstaff, F.A. and Sanders, A.B.:
An Empirical Comparison of Alternative Models of Short-Term Interest Rates,
{\em Journal of Finance} 47 (1992) 1209-1227.
\item Chen, R.-R. and Scott. L.:
Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure,
{\em The Review of Financial Studies} 5 (1992) 613-636.
\item Chen, R.-R. and Scott, L.:
Pricing Interest Rate Futures Options with Futures-Style Margining,
{\em The Journal of Futures Market} 13 (1993) 15-22.
\item Chen, R.-R. and Scott, L.:
Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the
Term Structure,
{\em The Journal of Derivatives} winter (1995) 53-72.
\item Constantinides, G.M.:
A Theory of the Nominal Term Structure of Interest Rates,
{\em The Review of Financial Studies} 5 (1992) 531-552.
\item Delbaen, F.:
Consols in the CIR Model,
{\em Mathematical Finance} 3 (1993) 125-134.
\item Eberlein, E. and Raible, S.:
Term Structure Models Driven by General L'{e}vy Processes,
{\em Mathematical Finance} 9 (1999) 31-53.
\item Frachot, A.:
Factor Models of Domestic and Foreign Interest Rates with Stochastic Volatility,
{\em Mathematical Finance} 5 (1995) 167-185.
\item Heynen, R., Kemma, A. and Vorst, T.:
Analysis of the Term Structure of Implied Volatilities,
{\em Journal of Financial and Quantitative Analysis} 29 (1994) 31-56.
\item Jarrow, R. and Madan, D.:
Option Pricing Using the Term Structure of Interest Rates to Hegde Systematic Discontinuities in Asset Returns,
{\em Mathematical Finance} 5 (1995) 311-336.
\item Kennedy, D.P.:
Characterizing Gaussian Models of the Term Structure of Interest Rates,
{\em Mathematical Finance} 7 (1997) 107-118.
\item Long, J.B.:
Stock Prices, Inflation, and the Term Structure of Interest Rate,
{\em Journal of Financial Economics} 1 (1974) 131-170.
\item Ritchken, P. and Sankarasubramanian, L.:
Volatility Structures of Forward Rates and the Dynamics of the Term
Structure,
{\em Mathematical Finance} 5 (1995) 55-72.
\item Rogers, L.C.G.:
The Potential Approach to the Term Structure Interest Rates and Foreign
Exchange Rates,
{\em Mathematical Finance} 7 (1997) 157-176.
\item Sandmann, K. and Sondermann, D.:
A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures,
{\em Mathematical Finance} 7 (1997) 119-125.
\item Stambaugh, R.F.:
The Information in Forward Rates: Implications for Models of the Term Structure,
{\em Journal of Financial Economics} 21 (1988) 41-70.
\item Stanton. R.:
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk,
{\em Journal of Finance} 52 (1997) 1973-2002.
\item Tice, J. and Webber, N.:
A Nonlinear Model of the Term Structure of Interest Rates,
{\em Mathematical Finance} 7 (1997) 177-209.
\item Vasicek, O. :
An Equilibrium Characterization of the Term Structure,
{\em Journal of Financial Economics} 5 (1977) 177-188.
\item Vasicek, O.A. and Fong, H.G.:
Term Structure Modeling Using Exponential Splines,
{\em Journal of Finance} 37 (1982) 339-348.
\begin{equation}{\label{i}}\tag{I}\mbox{}\end{equation}
GARCH Models in Option Pricing.
\item Anderson, T.G.:
Stochastic Autoregressive Volatility: A Framework for Volatility
Modeling,
{\em Mathematical Finance} 4 (1994) 75-102.
\item Duan, J.-C., Gauthier, G. and Simonato, J.-G.:
An Analytical Approximation for the GARCH Option Pricing Model,
{\em Journal of Computational Finance} 2 (1999) 75-116.
\item Duan, J.-C. and Wei, J.Z.:
Pricing Foreign Currency and Cross-Currency Options under GARCH,
{\em The Journal of Derivatives} fall (1999) 51-63.
\item French, K.R., Schwert, G.W. and Stambaugh, R.F.:
Expected Stock Returns and Volatility,
{\em Journal of Financial Economics} 19 (1987) 3-29.
\item Garcia, R. and Renault, E.:
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models,
{\em Mathematical Finance} 8 (1998) 153-161.
\begin{equation}{\label{j}}\tag{J}\mbox{}\end{equation}
Incomplete Markets.
\item Araujo, A., Monteiro, P.K. and P\'{a}scoa, M.R.:
Infinite Horizon Incomplete Markets with a Continuum of States,
{\em Mathematical Finance} 6 (1996) 119-132.
\item Araujo, A., Monteiro, P.K. and P\'{a}scoa, M.R.:
Incomplete Markets, Continuum of States and Default,
{\em Economic Theory} 11 (1998) 205-213.
\item Busch, L.-A. and Govindan, S.:
Robust Nonexistence of Equilibrium with Incomplete Markets,
{\em Journal of Mathematical Economics} 40 (2004) 641-645.
\item Duffie, D., Fleming, W., Soner, H.M. and Zariphopoulou, T.:
Hedging in Incomplete Markets with HARA Utility,
{\em Journal of Economic Dynamics and Control} 21 (1997) 753-782.
\item El Karoui, N. and Quenez, M.-C.:
Dynamic Programming and Pricing of Contingent Claims in an Incomplete
Market,
{\em SIAM Journal on Control and Optimization} 33 (1995) 29-66.
\item Karatzas, I., Lehoczky, J.P., Shreve, S.E. and Xu, G.-L.:
Martingale and Duality Methods for Utility Maximization in an Incomplete Market,
{\em SIAM J. Control and Optimization} 29 (1991) 702-730.
\item K\”{u}hn, C.:
Game Contingent Claims in Complete and Incomplete Markets,
{\em Journal of Mathematical Economics} 40 (2004) 889-902.
\item Mas-Colell, A.:
Indeterminacy in Incomplete Market Economies,
{\em Economic Theory} 1 (1991) 45-61.
\item Yong, J.:
European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio,
{\em Mathematical Finaace} 9 (1999) 387-412.
\begin{equation}{\label{k}}\tag{K}\mbox{}\end{equation}
Arbitrage.
\item Adler, I. and Gale, D.:
Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy,
{\em Mathematical Finance} 7 (1997) 73-81.
\item Bellini, F. and Frittelli, M.:
On the Existence of Minimax Martingale Measures,
{\em Mathematical Finance} 12 (2002) 1-21.
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On Componentwise and Vector Stochastic Integration,
{\em Mathematical Finance} 4 (1994) 57-65.
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Generalized Trapezoidal Formulas for Valuing American Options,
{\em International Journal of Computer Mathematics} 81 (2004) 375-381.
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Optimal Buy-and-Hold Strategies for Finanial Markets with Boundaries Daily Returns.
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Equivalent Martingale Measures and No-arbitrage in Stochastic Securities Market Models,
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Arbitrage Pricing of Russian Options and Perpetual Lookback Options,
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Changes of Numeraire, Changes of Probability Measure and Option Pricing,
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Martingales and Stochastic Integrals in the Theory of Continuous Trading,
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On-Line Portfolio Selection Using Multiplicative Updates,
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Option Pricing and Linear Complementarity,
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Variational Inequalities and the Pricing of American Options,
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Applications of Eigenfunction Expansions in Continuous-Time Finance,
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Equivalent Martingale Measures and No-arbitrage,
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Arbitrage with Fractional Brownian Motion,
{\em Mathematical Finance} 7 (1997) 95-105.
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The Potential Approach to the Term Structure Interest Rates and Foreign Exchange Rates,
{\em Mathematical Finance} 7 (1997) 157-176.
\begin{equation}{\label{l}}\tag{L}\mbox{}\end{equation}
Monte Carlo Methods in Finance.
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Options: A Monte Carlo Approach,
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\item Boyle, P.P. and Broadie, M. and Glasserman, P.:
Monte Carlo Methods for Securities Pricing,
{\em Journal of Economic Dynamics and Control} 21 (1997) 1267-1321.
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Pricing American-Style Securities Using Simulation,
{\em Journal of Economic Dynamics and Control} 21 (1997) 1323-1352.
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Enhanced Monte Carlo Estimates for American Option Prices,
{\em The Journal of Derivatives} fall (1997) 25-44.
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Streamlining Monte Carlo Simulation with the Quasi-Analytic Method:
Analysis of a Path-Dependent Option Strategy,
{\em The Journal of Derivatives} winter (1995) 29-51.
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On the Simulation of Contingent Claims,
{\em The Journal of Derivatives} winter (1994) 66-74.
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Efficient Monte Carlo Simulation of Security Prices,
{\em The Annals of Applied Probability} 5 (1995) 897-905.
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Simulating Path-Dependent Options: A New Approach,
{\em The Journal of Derivatives} winter (1998) 65-83.
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Low-Discrepancy Sequences: Monte Carlo Simulation of Option Prices,
{\em The Journal of Derivatives} fall (1997) 63-83.
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Importance Sampling in the Heath-Jarrow-Morton Framework,
{\em The Journal of Derivatives} fall (1999) 32-50.
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Asymptotocally Optimal Importance Sampling and Stratification for Pricing
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{\em Mathematical Finance} 9 (1999) 117-152.
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Fast Greeks by Simulation in Forward LIBOR Models,
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The Use of the Control Variate Technique in Option Pricing,
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Finite Sample Comparison of Alternative Estimators of Ito Diffusion
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Quasi-Monte Carlo Methods in Numerical Finance,
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Monte Carlo Estimation of American Call Options on the Maximum of Several
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{\em The Journal of Derivatives} fall (1997) 7-23.
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Monte Carlo Valuation of American Options,
{\em Mathematical Finance} 12 (2002) 271-286.
\begin{equation}{\label{m}}\tag{M}\mbox{}\end{equation}
Fuzziness in Finance.
\item Agliardi, E. and Agliardi, R.:
Fuzzy Defaultable Bonds,
{\em Fuzzy Sets and Systems} 160 (2009) 2597-2607.
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Fuzzy Portfolio Optimization: A Quadratic Programming Approach,
{\em Chaos, Solitions and Fractals} 18 (2003) 1045-1054.
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Monopolistic Price Setting under Fuzzy Information,
{\em European Journal of Operational Research} 154 (2004) 787-803.
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A Fuzzy Approach to Real Option Valuation,
{\em Fuzzy Sets and Systems} 139 (2003) 297-312.
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Fuzzy Measures and Asset Prices: Accounting for Information Ambiguity,
{\em Applied Mathematical Finance} 4 (1997) 135-149.
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Liquidity and Credit Risk,
{\em Applied Mathematical Finance} 8 (2001) 79-95.
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Estimating a Term Structure of Interest Rates for Fuzzy Financial Pricing
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{\em Fuzzy Sets and Systems} 139 (2003) 313-331.
\item de Andr\'{e}s S\'{a}nchez J. and G\'{o}mez, A.T.:
Estimating a Fuzzy Term Structure of Interest Rates Using Fuzzy Regression
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{\em European Journal of Operational Research} 154 (2004) 804-818.
\item Fang, S.C., Nuttle, H.W.L. and Wang, D.:
Fuzzy Formulation of Auctions and Optimal Sequencing for Multiple
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{\em Fuzzy Sets and Systems} 142 (2002) 421-441.
\item Georgescu, I.:
Possibilistic Risk Aversion,
{\em Fuzzy Sets and Systems} 160 (2009) 2608-2619.
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Fuzzy Options with Application to Default Risk Analysis for Municipal
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{\em Nonlinear Analysis} 63 (2005) 2353-2365.
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Portfolio Selection Problems with Random Fuzzy Variable Returns,
{\em Fuzzy Sets and Systems} 160 (2009) 2579-2096.
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The Financial Relevance of Fuzzy Stochastic Dominance: A Brief Note,
{\em Fuzzy Sets and Systems} 152 (2005) 467-473.
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A New Approach of Bivariate Fuzzy Time Series Analysis to the Forecasting
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{\em International Journal of Uncertainty, Fuzziness and Knowledge-Based
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The Use of Fuzzy Logic in Business Decision-Making,
{\em Derivative Quarterly} 4 (1998) summer, 53-66.
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Portfolio Selection under Independent Possibilistic Information,
{\em Fuzzy Sets and Systems} 115 (2000) 83-92.
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A Fuzzy Stopping Problem with the Concept of Perception,
{\em Fuzzy Optimization and Decision Making} 3 (2004) 367-374.
\item Lee, C.-F., Tzeng, G.-H. and Wang, S.-Y.:
A New Application of Fuzzy Set Theory to the Black-Scholes Option
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{\em Expert Systems with Applications} 29 (2005) 330-342.
\item Liu, F.-Y.:
Pricing Currency Options Based on Fuzzy Techniques,
{\em European Journal of Operational Research} 193 (2009) 530-540.
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Strategic Options and Expert Systems: A Fruitful Marriage,
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Fuzzy Interval Methods in Investment Risk Appraisal,
{\em Fuzzy Sets and Systems} 142 (2004) 443-466.
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Fuzzy Logic in Insurance,
{\em Insurance: Mathematics and Economics} 35 (2004) 399-424.
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Fuzziness in Valuing Financial Instruments by Certainty Equivalents,
{\em European Journal of Operational Research} 135 (2001) 296-302.
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Estimation of Canadian Commodity Market Risk Premiums under Price Limits:
Two-Phase Fuzzy Approach,
{\em Omega} 34 (2006) 477-491.
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Fuzzy Inductive Reasoning, Expectation Formation and the Behavior of Security
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{\em Journal of Economic Dynamics and Control} 25 (2001) 321-361.
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A Note on Yoshida’s Optimal Stopping Model for Option Pricing,
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On Fuzzy Portfolio Selection Problems,
{\em Fuzzy Optimization and Decision Making} 1 (2002) 361-377.
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A Jump-Diffusion Model for Option Pricing under Fuzzy Environments,
{\em Insurance: Mathematics and Economics} 44 (2009) 337-344.
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The Evaluation of European Options in Uncertain Environment,
{\em European Journal of Operational Research} 145 (2003) 221-229.
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An Estimation Model of Value-at-risk Portfolio under Uncertainty,
{\em Fuzzy Sets and Systems} 160 (2009) 3250-3262.
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A Discrete-Time American Put Option Model with Fuzziness of Stock Prices,
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A New Evaluation of Mean Value for Fuzzy Numbers and Its Application to
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Application of the Fuzzy-Stochastic Methodology to Apprasing the Firm
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Value at Risk Methodology under Soft Conditions Approach,
{\em European Journal of Operational Research} 161 (2005) 337-347.
\begin{equation}{\label{n}}\tag{N}\mbox{}\end{equation}
Computational Intelligence in Finance .
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Modelling the Merval Index with Neural Networks and the Discrete Wavelet
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{\em Journal of Computational Intelligence in Finance}
September/October (1997) 15-19.
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Performance Metrics for Financial Time Series Forecasting,
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Market Share Forecasting: An Empirical Comparison of Artificial Neural
Networks and Multinomial Logit Model,
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Using Genetic Algorithms to Find Technical Trading Rules,
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Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis
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Sales Forecasting Using Time Series and Neural Networks,
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Neural Network as a Simulation Metamodel in Economic Analysis of Risky
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Bayesian Neural Network Learning for Repeat Purchase Modelling in Direct
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Thoughts on Desirable Features for a Neural Network-Based Financial Trading,
{\em Neurovest Journal} May/June (1994) 19-22.
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Neural Netwrok-Based Trading System Design: Prediction and Measurement Tasks,
{\em Neurovest Journal} September/October (1994) 26-32.
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An Introduction to Genetic Algorithms: A Mutual Fund Screening Example,
{\em Neurovest Journal} July/August (1994) 16-19.
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Qualitative Company Performance Evaluation: Linear Discriminant Analysis and
Neural Network Models,
{\em European Journal of Operational Research} 115 (1999) 608-615.
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Predicting Real Estate Returns Using Neural Networks,
{\em Journal of Computational Intelligence in Finance}
January/February (1999) 5-15.
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The Fuzzy Mathematics of Finance,
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Solving Fuzzy Equations in Economics and Finance.
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Design of Neural Network-Based Financial Forecasting Systems: Data
Selection and Data Processing,
{\em Neurovest Journal} September/October (1994) 12-20.
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Performance Metrics for Neural Network-Based Trading System Developmenmt,
{\em Neurovest Journal} March/April (1995) 13-23.
\item Caldwell, R.B.:
The “Stochastics” Indicator: A New Perspective Using Neural Networks,
{\em Neurovest Journal} March/April (1995) 31-35.
\item Caldwell, R.B.:
Improved Prediction Performance Metrics for Neural Network-Based Financial Forecasting Systems,
{\em Neurovest Journal} September/October (1995) 22-26.
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Three Methods of Neural Network Sensitivity Analysis for Input Variable
Reduction: A Case Study in Forecasting the S\&P 500 Index (Part 1),
{\em Neurovest Journal} November/December (1995) 22-25.
\item Chen, A.-S. and Leung, M.T.:
Regression Neural Network for Error Correction in Foreign Exchange Forecasting
and Trading,
{\em Computers and Operations Research} 31 (2004) 1049-1068.
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Hedging Derivative Securities with Genetic Programming,
{\em International Journal of Intelligent Systems in Accounting, Finance
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\item Chen, S.-H. and Ni, C.-C.:
Simulating the Ecology of Oligopolistic Competition with Genetic Algorithms,
{\em Knowledge and Information Systems} 2 (2000) 285-309.
\item Chen, S.-H. and Yeh, C.-H.:
Toward a Computable Approach to the Efficient Market Hypothesis: An Application of Genetic Programming,
{\em Journal of Economic Dynamics and Control} 21 (1997) 1043-1063.
\item Chen, S.-H. and Yeh, C.-H.:
Modelling the Expectations of Inflation in the OLG Model with Genetic Programming,
{\em Soft Computing} 3 (1999) 53-62.
\item Chen, S.-H. and Yeh, C.-H.:
Simulating Economic Transition Processes by Genetic Programming,
{\em Annals of Operations Research} 97 (2000) 265-286.
\item Chen, S.-H. and Yeh, C.-H.:
Evolving Traders and Business Scholl with Genetic Programming: A New
Architecture of the Agent-Based Artificial Stock Market,
{\em Journal of Economic Dynamics and Control} 25 (2001) 363-393.
\item Cheung, K.-F. and Wong, K.-H.:
Building Warrant Trading System Using Hierarchical Neural Networks,
{\em Journal of Computational Intelligence in Finance} November/December (1998) 25-35.
\item Chidambaran, N.K., Lee, C.W.J. and Trigueros, J.R.:
Adapting Black-Scholes to a Non-Black-Scholes Environment via Genetic
Programming,
{\em Proceedings of the IEEE/IAFE/INFORMS Conference on Computational
Intelligence for Financial Enfineering (1998) 197-211.
\item Chiu, C.-C. and Yeh, Y.-H.:
Utilization of Vector Autoregression and Neural Networks in
Identifying the Return Interaction Among Global, Asia-Pacific
Regional and Local Stock Markets,
{\em Journal of Computational Intelligence in Finance}
May/June (1999) 5-17.
\item Costantino, M.:
Integrating Natural Language Processing and Expert System Techniques for
Real-Time Equity Derivatives Trading,
{\em Journal of Computational Intelligence in Finance}
March/April (1999) 34-52.
\item De Bodt, E., Henrion, E.-F., Cottrell, M. and Van Wymeersch, C.:
Self-Organizing Maps for Data Analysis: An Application to the Belgian Leasing
Market,
{\em Journal of Computational Intelligence in Finance}
November/December (1998) 5-24.
\item Derry, J.:
A Fuzzy Expert System and Market Psychology: A Primer (Part 1, 2, and 3),
{\em Neurovest Journal} Premiere Issue (1993) 10-13;
November/December (1993) 12-15; January/February (1994) 20-22.
\item Derry, J.:
Neurofuzzy Hybrid Systems,
{\em Neurovest Journal} May/June (1994) 11-14.
\item Derry, J.F.:
Induction: Learning Rule from Data (Part 1 and 2),
{\em Neurovest Journal} January/February (1995) 11-15;
July/August (1995) 13-17.
\item Derry, J.F.:
Database Mining/Knowledge Discovery in Financial Databases: An Overview,
{\em Journal of Computational Intelligence in Finance}
May/June (1997) 5-11.
\item Dohnal, M.:
A Qualitative Approach to Pattern Identification for Financial Data Mining,
{\em Journal of Computational Intelligence in Finance}
May/June (1997) 27-36.
\item Dorsey, R. and Sexton, R.:
The Use of Parsimonious Neural Networks for Forecasting Financial Time
Series,
{\em Journal of Computational Intelligence in Finance}
January/February (1998) 24-31.
\item Foscolos, M.P. and Nilchan, S.:
Improving Decision-Making in the Financial Markets with the Probabilistic
Neural Network Paradigm,
{\em Journal of Computational Intelligence in Finance}
March/April (1997) 14-21.
\item Geigle, D.S. and Aronson, J.E.:
An Artificial Neural Network Approcah to the Valuation of Options and
Forecasting of Volatility,
{\em Journal of Computational Intelligence in Finance}
November/December (1999) 19-25.
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Forecasting S\&P and Gold Futures Prices: An Application of Neural Networks,
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Reinforcement Learning with Internal Expectation for the Random Neural
Network,
{\em European Journal of Operational Research} 126 (2000) 288-307.
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The Construction of Risk-Adjusted Returns as Target Variables,
{\em Journal of Computational Intelligence in Finance}
September/October (1997) 28-31.
\item Hampton, J.:
Market Volatility as a Leading Indicator,
{\em Journal of Computational Intelligence in Finance}
July/August (1997) 27-29.
\item Hampton, J.:
Data Mining with the ADX Indicator Using Neural Networks,
{\em Journal of Computational Intelligence in Finance}
May/June (1997) 37-38.
\item Hampton, J.:
Time Synchronization of Technical Indicators as Model Inputs,
{\em Journal of Computational Intelligence in Finance}
March/April (1997) 22-26.
\item Hanke, M.:
Neural Network Approximation of Option-Pricing Formulas for Analytically
Intractable Option-Pricing Model,
{\em Journal of Computational Intelligence in Finance}
September/October (1997) 20-27.
\item Hanke, M.:
Neural Networks vs Black-Scholes: An Empirical Comparison of the Pricing
Accuracy of Two Fundamentally Different Option Pricing Methods,
{\em Journal of Computational Intelligence in Finance}
January/February (1999) 26-34.
\item Hanke, M.:
Adaptive Hybrid Neural Network Option Pricing,
{\em Journal of Computational Intelligence in Finance}
September/October (1999) 33-39.
\item Hutchinson, J.M., Lo, A.W. and Poggio, T.:
A Nonparametric Approach to Pricing and Hedging Derivative Securities
via Learning Netwroks,
{\em Journal of Finance} 49 (1994) 851-889.
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The Use of Fuzzy Logic in Business Decision-Making,
{\em Derivative Quarterly} 4 (1998) summer, 53-66.
\item Iglehart, D.L. and Voessner, S.:
Optimization of a Trading System Using Global Search Techniques and Local
Optimization,
{\em Journal of Computational Intelligence in Finance}
November/December (1998) 37-46.
\item Jurik, M.:
A Primer on Market Forecasting with Neurak Networks (Part 1 and 2),
{\em Neurovest Journal} Premiere Issue (1993) 6-10;
November/December (1993) 7-11.
\item Jurik, M.:
Estimating Optimal Forecast Distance Using Chaos Analysis,
{\em Neurovest Journal} January/February (1994) 14-19.
\item Jurik, M.:
A Method for Determining Optimal Performance Error in Neural Networks,
{\em Neurovest Journal} March/April (1994) 15-17.
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Neurogenetics and Its Use in Trading System Development,
{\em Neurovest Journal} July/August (1994) 8-11.
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Option Pricing with the Genetic Programming Approach,
{\em Journal of Computational Intelligence in Finance} November/December (1999) 26-36.
\item Keber, C. and Schuster, M.G.:
Generalized Abt Programming in Option Pricing: Determining Implied Volatilities Based on American Put Options,
{\em Proceedings of the IEEE International Conference on Computational Intelligence for Financial Engineering (2003) 123-130.
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Genetic Algorithms and Applications to Finance,
{\em Applied Mathematical Finance} 2 (1995) 89-116.
\item Kramer, A.A.:
Input Variable Set Diversity and a Neural Network’s Financial Forecasting Ability,
{\em Neurovest Journal} November/December (1995) 8-13.
\item Kryzanowski, L., Galler, M. and Wright, D.W.:
Using Artificial Neural Networks to Pick Stocks,
{\em Financial Analysts Journal} July-August (1993) 21-27.
\item Kuo, R.J.:
A Sales Forecasting System Based on Fuzzy Neural Network with Initial Weights Generated by Genetic Algorithms,
{\em European Journal of Operational Research} 129 (2001) 496-517.
\item Kuo, R.J., Chen, C.H. and Hwang, Y.C.:
An Intelligent Stock Trading Decision Support System through Integration of Genetic Algorithm Based Fuzzy Neural Network and Artificial Neural Network,
{\em Fuzzy Sets and Systems} 118 (2001) 21-45.
\item Kuo, R.J., Lee, L.C. and Lee, C.F.:
Intelligent Stock Trading Decision Support System Through the Integration of Artificial Neural Networks and Fuzzy Delphi Models,
{\em Journal of Computational Intelligence in Finance} March/April (1998) 24-34.
\item Kuo, R.J. and Xue, K.C.:
A Decision Support System for Sales Forecasting through Fuzzy Neural
Networks with Asymmetric Fuzzy Weights,
{\em Decision Support Systems} 24 (1998) 105-125.
\item Kuo, R.J. and Xue, K.C.:
Fuzzy Neural Networks with Application to Sales Forecasting,
{\em Fuzzy Sets and Systems} 108 (1999) 123-143.
\item Lajbcygier, P.:
Literature Review: The Problem with Modern Parametric Option Pricing,
{\em Journal of Computational Intelligence in Finance} September/October (1999) 6-23.
\item Lajbcygier, P.:
Literature Review: The Non-Parametric Models,
{\em Journal of Computational Intelligence in Finance} November/December (1999) 6-18.
\item Lajbcygier, P., Flitman, A., Swan, A. and Hyndman, R.:
The Pricing and Trading of Options Using a Hybrid Neutral Network Model with Historical Volatility,
{\em NeuroVest Journal}, January/February, 1997.
\item Lawrence, J.:
Designing Back Propogation Neural Networks: A Financial Prediction Example,
{\em Neurovest Journal} January/February (1994) 8-13.
\item Lemke, F. and Mueller, J.-A.:
Self-Organizing Data Mining for a Portfolio Trading System,
{\em Journal of Computational Intelligence in Finance} May/June (1997) 12-26.
\item Le\'{o}n, T., Libern, V. and Vercher, E.:
Viability of Infeasible Portfolio Selection Problems: A Fuzzy Approach,
{\em European Journal of Operational Research} 139 (2002) 178-189.
\item Li Calzi, M.:
Towards a General Setting for the Fuzzy Mathematics of Finance,
{\em Fuzzy Sets and Systems} 35 (1990) 265-280.
\item Malhorta, R. and Malhorta, D.K.:
Differentiating between Good Credits and Bad Credits Using Neuro-Fuzzy
Systems,
{\em European Journal of Operational Research} 136 (2002) 190-211.
\item Malliaris, M.E.:
A Neural Network Supports the Chaotic Paradigm for the S\&P 500 Index,
{\em Neurovest Journal} May/June (1995) 16-21.
\item Malliaris, M. and Salchenberger:
Using Neural Networks to Forecast the S\&P 100 Implied Volatility,
{\em Neurocomputing} 10 (1996) 183-195.
\item March, D.L.:
Supervised Evolution of the Neural Trader Component of a Stock Portfolio Trading System (Part 1 and 2),
{\em Neurovest Journal} July/August (1995) 6-12; September/October (1995) 18-21.
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A Financial Neural-Network Application,
{\em AI Expert} May (1990) 50-53.
\item Mastorocostas, P.A. and Theocharis, J.B. and Petridis, V.S.:
A Constrained Orthogonal Least-Squares Method for Generating TSK Fuzzy Models: Application to Short-Term Load Forecasting,
{\em Fuzzy Sets and Systems} 118 (2001) 215-233.
\item McKee, T.E. and Lensberg, T.:
Genetic Programming and Rough Sets: A Hybrid Approach to Bankruptcy
Classification,
{\em European Journal of Operational Research} 138 (2002) 436-451.
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Hierarchical and Feed Forward Fuzzy Logic Systems for Interest Rate Prediction,
{\em Journal of Computational Intelligence in Finance} May/June (1998) 5-11.
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