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Publisher: Inderscience Publishers   (Total: 438 journals)

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Showing 1 - 200 of 438 Journals sorted alphabetically
African J. of Accounting, Auditing and Finance     Hybrid Journal   (Followers: 12)
African J. of Economic and Sustainable Development     Hybrid Journal   (Followers: 14)
Afro-Asian J. of Finance and Accounting     Hybrid Journal   (Followers: 8, SJR: 0.195, CiteScore: 0)
American J. of Finance and Accounting     Hybrid Journal   (Followers: 22)
Asian J. of Management Science and Applications     Hybrid Journal   (Followers: 4)
Atoms for Peace: an Intl. J.     Hybrid Journal   (Followers: 3)
Electronic Government, an Intl. J.     Hybrid Journal   (Followers: 16, SJR: 0.424, CiteScore: 1)
EuroMed J. of Management     Hybrid Journal  
European J. of Cross-Cultural Competence and Management     Hybrid Journal   (Followers: 7)
European J. of Industrial Engineering     Hybrid Journal   (Followers: 10, SJR: 0.595, CiteScore: 1)
European J. of Intl. Management     Hybrid Journal   (Followers: 1, SJR: 0.3, CiteScore: 1)
Global Business and Economics Review     Hybrid Journal   (Followers: 2, SJR: 0.154, CiteScore: 0)
Interdisciplinary Environmental Review     Hybrid Journal   (Followers: 3)
Intl. J. of Abrasive Technology     Hybrid Journal   (Followers: 2, SJR: 0.279, CiteScore: 0)
Intl. J. of Accounting and Finance     Hybrid Journal   (Followers: 16)
Intl. J. of Accounting, Auditing and Performance Evaluation     Hybrid Journal   (Followers: 14, SJR: 0.14, CiteScore: 0)
Intl. J. of Ad Hoc and Ubiquitous Computing     Hybrid Journal   (Followers: 8, SJR: 0.21, CiteScore: 1)
Intl. J. of Adaptive and Innovative Systems     Hybrid Journal   (Followers: 1)
Intl. J. of Additive and Subtractive Materials Manufacturing     Hybrid Journal   (Followers: 5)
Intl. J. of Advanced Intelligence Paradigms     Hybrid Journal   (Followers: 5, SJR: 0.144, CiteScore: 1)
Intl. J. of Advanced Mechatronic Systems     Hybrid Journal   (Followers: 3, SJR: 0.132, CiteScore: 0)
Intl. J. of Advanced Media and Communication     Hybrid Journal   (Followers: 24, SJR: 0.124, CiteScore: 0)
Intl. J. of Advanced Operations Management     Hybrid Journal   (Followers: 8, SJR: 0.163, CiteScore: 0)
Intl. J. of Aerodynamics     Hybrid Journal   (Followers: 31)
Intl. J. of Agent-Oriented Software Engineering     Hybrid Journal   (Followers: 3)
Intl. J. of Agile and Extreme Software Development     Hybrid Journal   (Followers: 6)
Intl. J. of Agile Systems and Management     Hybrid Journal   (Followers: 6, SJR: 0.878, CiteScore: 3)
Intl. J. of Agricultural Resources, Governance and Ecology     Hybrid Journal   (Followers: 2, SJR: 0.152, CiteScore: 0)
Intl. J. of Alternative Propulsion     Hybrid Journal   (Followers: 12)
Intl. J. of Applied Cryptography     Hybrid Journal   (Followers: 10, SJR: 0.455, CiteScore: 3)
Intl. J. of Applied Decision Sciences     Hybrid Journal   (Followers: 1, SJR: 0.275, CiteScore: 1)
Intl. J. of Applied Management Science     Hybrid Journal   (Followers: 4, SJR: 0.229, CiteScore: 0)
Intl. J. of Applied Nonlinear Science     Hybrid Journal   (Followers: 1)
Intl. J. of Applied Pattern Recognition     Hybrid Journal   (Followers: 5)
Intl. J. of Applied Systemic Studies     Hybrid Journal   (SJR: 0.129, CiteScore: 0)
Intl. J. of Arab Culture, Management and Sustainable Development     Hybrid Journal   (Followers: 7)
Intl. J. of Artificial Intelligence and Soft Computing     Hybrid Journal   (Followers: 11)
Intl. J. of Arts and Technology     Hybrid Journal   (Followers: 6, SJR: 0.225, CiteScore: 1)
Intl. J. of Auditing Technology     Hybrid Journal   (Followers: 5)
Intl. J. of Automation and Control     Hybrid Journal   (Followers: 11, SJR: 0.189, CiteScore: 1)
Intl. J. of Automation and Logistics     Hybrid Journal   (Followers: 5)
Intl. J. of Automotive Composites     Hybrid Journal   (Followers: 5)
Intl. J. of Automotive Technology and Management     Hybrid Journal   (Followers: 6, SJR: 0.374, CiteScore: 1)
Intl. J. of Autonomic Computing     Hybrid Journal   (Followers: 2)
Intl. J. of Autonomous and Adaptive Communications Systems     Hybrid Journal   (Followers: 3, SJR: 0.128, CiteScore: 0)
Intl. J. of Aviation Management     Hybrid Journal   (Followers: 6)
Intl. J. of Banking, Accounting and Finance     Hybrid Journal   (Followers: 15, SJR: 0.137, CiteScore: 0)
Intl. J. of Behavioural Accounting and Finance     Hybrid Journal   (Followers: 10)
Intl. J. of Behavioural and Healthcare Research     Hybrid Journal   (Followers: 8)
Intl. J. of Bibliometrics in Business and Management     Hybrid Journal   (Followers: 2)
Intl. J. of Big Data Intelligence     Hybrid Journal   (Followers: 22)
Intl. J. of Bio-Inspired Computation     Hybrid Journal   (Followers: 1, SJR: 0.721, CiteScore: 4)
Intl. J. of Bioinformatics Research and Applications     Hybrid Journal   (Followers: 15, SJR: 0.157, CiteScore: 0)
Intl. J. of Biomechatronics and Biomedical Robotics     Hybrid Journal   (Followers: 4)
Intl. J. of Biomedical Engineering and Technology     Hybrid Journal   (Followers: 4, SJR: 0.205, CiteScore: 1)
Intl. J. of Biomedical Nanoscience and Nanotechnology     Hybrid Journal   (Followers: 6)
Intl. J. of Biometrics     Hybrid Journal   (Followers: 4, SJR: 0.155, CiteScore: 0)
Intl. J. of Biotechnology     Hybrid Journal   (Followers: 5, SJR: 0.269, CiteScore: 1)
Intl. J. of Bonds and Derivatives     Hybrid Journal   (Followers: 1)
Intl. J. of Business and Data Analytics     Hybrid Journal  
Intl. J. of Business and Emerging Markets     Hybrid Journal   (Followers: 2)
Intl. J. of Business and Globalisation     Hybrid Journal   (Followers: 3, SJR: 0.263, CiteScore: 1)
Intl. J. of Business and Systems Research     Hybrid Journal   (Followers: 1, SJR: 0.104, CiteScore: 0)
Intl. J. of Business Competition and Growth     Hybrid Journal   (Followers: 5)
Intl. J. of Business Continuity and Risk Management     Hybrid Journal   (Followers: 14)
Intl. J. of Business Environment     Hybrid Journal   (Followers: 3)
Intl. J. of Business Excellence     Hybrid Journal   (Followers: 3, SJR: 0.274, CiteScore: 1)
Intl. J. of Business Forecasting and Marketing Intelligence     Hybrid Journal   (Followers: 6)
Intl. J. of Business Governance and Ethics     Hybrid Journal   (Followers: 4, SJR: 0.171, CiteScore: 0)
Intl. J. of Business Information Systems     Hybrid Journal   (Followers: 15, SJR: 0.266, CiteScore: 1)
Intl. J. of Business Innovation and Research     Hybrid Journal   (Followers: 10, SJR: 0.28, CiteScore: 1)
Intl. J. of Business Intelligence and Data Mining     Hybrid Journal   (Followers: 30, SJR: 0.249, CiteScore: 2)
Intl. J. of Business Intelligence and Systems Engineering     Hybrid Journal  
Intl. J. of Business Performance and Supply Chain Modelling     Hybrid Journal   (Followers: 17, SJR: 0.18, CiteScore: 0)
Intl. J. of Business Performance Management     Hybrid Journal   (Followers: 9, SJR: 0.197, CiteScore: 1)
Intl. J. of Business Process Integration and Management     Hybrid Journal   (Followers: 12, SJR: 0.149, CiteScore: 1)
Intl. J. of Chinese Culture and Management     Hybrid Journal   (Followers: 4)
Intl. J. of Circuits and Architecture Design     Hybrid Journal   (Followers: 6)
Intl. J. of Cloud Computing     Hybrid Journal   (Followers: 25)
Intl. J. of Cognitive Biometrics     Hybrid Journal   (Followers: 3)
Intl. J. of Cognitive Performance Support     Hybrid Journal   (Followers: 4)
Intl. J. of Collaborative Engineering     Hybrid Journal   (Followers: 1)
Intl. J. of Collaborative Enterprise     Hybrid Journal   (Followers: 1)
Intl. J. of Collaborative Intelligence     Hybrid Journal   (Followers: 3)
Intl. J. of Communication Networks and Distributed Systems     Hybrid Journal   (Followers: 7, SJR: 0.177, CiteScore: 1)
Intl. J. of Comparative Management     Hybrid Journal  
Intl. J. of Competitiveness     Hybrid Journal   (Followers: 2)
Intl. J. of Complexity in Applied Science and Technology     Hybrid Journal  
Intl. J. of Complexity in Leadership and Management     Hybrid Journal   (Followers: 28)
Intl. J. of Computational Biology and Drug Design     Hybrid Journal   (Followers: 1, SJR: 0.231, CiteScore: 1)
Intl. J. of Computational Complexity and Intelligent Algorithms     Hybrid Journal   (Followers: 2)
Intl. J. of Computational Economics and Econometrics     Hybrid Journal   (Followers: 5)
Intl. J. of Computational Intelligence in Bioinformatics and Systems Biology     Hybrid Journal   (Followers: 11)
Intl. J. of Computational Intelligence Studies     Hybrid Journal   (Followers: 3)
Intl. J. of Computational Materials Science and Surface Engineering     Hybrid Journal   (Followers: 6, SJR: 0.135, CiteScore: 0)
Intl. J. of Computational Science and Engineering     Hybrid Journal   (Followers: 2, SJR: 0.373, CiteScore: 1)
Intl. J. of Computational Systems Engineering     Hybrid Journal   (Followers: 1)
Intl. J. of Computational Vision and Robotics     Hybrid Journal   (Followers: 6, SJR: 0.129, CiteScore: 0)
Intl. J. of Computer Aided Engineering and Technology     Hybrid Journal   (Followers: 3, SJR: 0.131, CiteScore: 0)
Intl. J. of Computer Applications in Technology     Hybrid Journal   (Followers: 1, SJR: 0.225, CiteScore: 1)
Intl. J. of Computers in Healthcare     Hybrid Journal   (Followers: 3)
Intl. J. of Computing Science and Mathematics     Hybrid Journal   (Followers: 1, SJR: 0.299, CiteScore: 1)
Intl. J. of Continuing Engineering Education and Life-Long Learning     Hybrid Journal   (Followers: 5, SJR: 0.196, CiteScore: 0)
Intl. J. of Convergence Computing     Hybrid Journal   (Followers: 2)
Intl. J. of Corporate Governance     Hybrid Journal   (Followers: 4)
Intl. J. of Corporate Strategy and Social Responsibility     Hybrid Journal   (Followers: 4)
Intl. J. of Creative Computing     Hybrid Journal   (Followers: 1)
Intl. J. of Critical Accounting     Hybrid Journal   (Followers: 3)
Intl. J. of Critical Computer-Based Systems     Hybrid Journal   (Followers: 1, SJR: 0.127, CiteScore: 0)
Intl. J. of Critical Infrastructures     Hybrid Journal   (Followers: 2, SJR: 0.173, CiteScore: 1)
Intl. J. of Data Analysis Techniques and Strategies     Hybrid Journal   (Followers: 3, SJR: 0.23, CiteScore: 0)
Intl. J. of Data Mining and Bioinformatics     Hybrid Journal   (Followers: 17, SJR: 0.217, CiteScore: 1)
Intl. J. of Data Mining, Modelling and Management     Hybrid Journal   (Followers: 14, SJR: 0.209, CiteScore: 0)
Intl. J. of Data Science     Hybrid Journal   (Followers: 10)
Intl. J. of Decision Sciences, Risk and Management     Hybrid Journal   (Followers: 9)
Intl. J. of Decision Support Systems     Hybrid Journal   (Followers: 1)
Intl. J. of Design Engineering     Hybrid Journal   (Followers: 12)
Intl. J. of Digital Culture and Electronic Tourism     Hybrid Journal   (Followers: 6)
Intl. J. of Digital Enterprise Technology     Hybrid Journal   (Followers: 1)
Intl. J. of Digital Signals and Smart Systems     Hybrid Journal   (Followers: 1)
Intl. J. of Diplomacy and Economy     Hybrid Journal   (Followers: 6)
Intl. J. of Dynamical Systems and Differential Equations     Hybrid Journal   (Followers: 1, SJR: 0.184, CiteScore: 0)
Intl. J. of Earthquake and Impact Engineering     Hybrid Journal   (Followers: 4)
Intl. J. of Economic Policy in Emerging Economies     Hybrid Journal   (Followers: 3, SJR: 0.134, CiteScore: 1)
Intl. J. of Economics and Accounting     Hybrid Journal   (Followers: 1)
Intl. J. of Economics and Business Research     Hybrid Journal   (Followers: 5, SJR: 0.129, CiteScore: 0)
Intl. J. of Education Economics and Development     Hybrid Journal   (Followers: 5, SJR: 0.156, CiteScore: 0)
Intl. J. of Electric and Hybrid Vehicles     Hybrid Journal   (Followers: 9, SJR: 0.225, CiteScore: 1)
Intl. J. of Electronic Banking     Hybrid Journal   (Followers: 5)
Intl. J. of Electronic Business     Hybrid Journal   (Followers: 2, SJR: 0.24, CiteScore: 0)
Intl. J. of Electronic Customer Relationship Management     Hybrid Journal   (Followers: 3, SJR: 0.148, CiteScore: 0)
Intl. J. of Electronic Democracy     Hybrid Journal   (Followers: 2)
Intl. J. of Electronic Finance     Hybrid Journal   (Followers: 5, SJR: 0.155, CiteScore: 0)
Intl. J. of Electronic Governance     Hybrid Journal   (SJR: 0.142, CiteScore: 1)
Intl. J. of Electronic Healthcare     Hybrid Journal   (Followers: 2, SJR: 0.254, CiteScore: 1)
Intl. J. of Electronic Marketing and Retailing     Hybrid Journal   (Followers: 7, SJR: 0.249, CiteScore: 1)
Intl. J. of Electronic Security and Digital Forensics     Hybrid Journal   (Followers: 9, SJR: 0.137, CiteScore: 0)
Intl. J. of Electronic Transport     Hybrid Journal   (Followers: 9)
Intl. J. of Embedded Systems     Hybrid Journal   (Followers: 5, SJR: 0.48, CiteScore: 1)
Intl. J. of Emergency Management     Hybrid Journal   (Followers: 11, SJR: 0.185, CiteScore: 0)
Intl. J. of Energy Technology and Policy     Hybrid Journal   (Followers: 7, SJR: 0.224, CiteScore: 0)
Intl. J. of Engineering Management and Economics     Hybrid Journal   (Followers: 4)
Intl. J. of Engineering Systems Modelling and Simulation     Hybrid Journal   (Followers: 8, SJR: 0.175, CiteScore: 0)
Intl. J. of Enterprise Network Management     Hybrid Journal   (SJR: 0.118, CiteScore: 0)
Intl. J. of Entrepreneurial Venturing     Hybrid Journal   (Followers: 1, SJR: 0.308, CiteScore: 1)
Intl. J. of Entrepreneurship and Innovation Management     Hybrid Journal   (Followers: 27, SJR: 0.255, CiteScore: 1)
Intl. J. of Entrepreneurship and Small Business     Hybrid Journal   (Followers: 28, SJR: 0.401, CiteScore: 1)
Intl. J. of Environment and Health     Hybrid Journal   (Followers: 5, SJR: 0.181, CiteScore: 0)
Intl. J. of Environment and Pollution     Hybrid Journal   (Followers: 2, SJR: 0.215, CiteScore: 1)
Intl. J. of Environment and Sustainable Development     Hybrid Journal   (Followers: 17, SJR: 0.132, CiteScore: 0)
Intl. J. of Environment and Waste Management     Hybrid Journal   (Followers: 4, SJR: 0.175, CiteScore: 0)
Intl. J. of Environment, Workplace and Employment     Hybrid Journal   (Followers: 5, SJR: 0.117, CiteScore: 0)
Intl. J. of Environmental Engineering     Hybrid Journal   (Followers: 6)
Intl. J. of Environmental Policy and Decision Making     Hybrid Journal   (Followers: 2)
Intl. J. of Environmental Technology and Management     Hybrid Journal   (Followers: 1, SJR: 0.141, CiteScore: 0)
Intl. J. of Exergy     Hybrid Journal   (Followers: 2, SJR: 0.396, CiteScore: 1)
Intl. J. of Experimental and Computational Biomechanics     Hybrid Journal   (Followers: 8)
Intl. J. of Experimental Design and Process Optimisation     Hybrid Journal   (Followers: 6)
Intl. J. of Export Marketing     Hybrid Journal   (Followers: 3)
Intl. J. of Financial Engineering and Risk Management     Hybrid Journal   (Followers: 4)
Intl. J. of Financial Innovation in Banking     Hybrid Journal   (Followers: 3)
Intl. J. of Financial Markets and Derivatives     Hybrid Journal   (Followers: 4)
Intl. J. of Financial Services Management     Hybrid Journal   (Followers: 1)
Intl. J. of Food Safety, Nutrition and Public Health     Hybrid Journal   (Followers: 19)
Intl. J. of Forensic Engineering     Hybrid Journal   (Followers: 3)
Intl. J. of Forensic Engineering and Management     Hybrid Journal   (Followers: 3)
Intl. J. of Foresight and Innovation Policy     Hybrid Journal   (Followers: 6, SJR: 0.115, CiteScore: 0)
Intl. J. of Functional Informatics and Personalised Medicine     Hybrid Journal   (Followers: 4)
Intl. J. of Fuzzy Computation and Modelling     Hybrid Journal   (Followers: 2)
Intl. J. of Gender Studies in Developing Societies     Hybrid Journal   (Followers: 5)
Intl. J. of Global Energy Issues     Hybrid Journal   (Followers: 8, SJR: 0.199, CiteScore: 0)
Intl. J. of Global Environmental Issues     Hybrid Journal   (Followers: 3, SJR: 0.153, CiteScore: 0)
Intl. J. of Global Warming     Hybrid Journal   (Followers: 2, SJR: 0.259, CiteScore: 1)
Intl. J. of Globalisation and Small Business     Hybrid Journal   (Followers: 13, SJR: 0.233, CiteScore: 1)
Intl. J. of Governance and Financial Intermediation     Hybrid Journal  
Intl. J. of Granular Computing, Rough Sets and Intelligent Systems     Hybrid Journal   (Followers: 2)
Intl. J. of Green Economics     Hybrid Journal   (Followers: 5, SJR: 0.209, CiteScore: 0)
Intl. J. of Grid and Utility Computing     Hybrid Journal   (SJR: 0.341, CiteScore: 2)
Intl. J. of Happiness and Development     Hybrid Journal   (Followers: 8)
Intl. J. of Healthcare Technology and Management     Hybrid Journal   (Followers: 7, SJR: 0.139, CiteScore: 0)
Intl. J. of Heavy Vehicle Systems     Hybrid Journal   (Followers: 7, SJR: 0.23, CiteScore: 0)
Intl. J. of High Performance Computing and Networking     Hybrid Journal   (Followers: 4, SJR: 0.428, CiteScore: 1)
Intl. J. of High Performance Systems Architecture     Hybrid Journal   (Followers: 6, SJR: 0.116, CiteScore: 0)
Intl. J. of Higher Education and Sustainability     Hybrid Journal   (Followers: 5)
Intl. J. of Hospitality and Event Management     Hybrid Journal   (Followers: 4)
Intl. J. of Human Factors and Ergonomics     Hybrid Journal   (Followers: 18, SJR: 0.117, CiteScore: 0)
Intl. J. of Human Factors Modelling and Simulation     Hybrid Journal   (Followers: 15)
Intl. J. of Human Resources Development and Management     Hybrid Journal   (Followers: 27, SJR: 0.162, CiteScore: 0)
Intl. J. of Human Rights and Constitutional Studies     Hybrid Journal   (Followers: 14)
Intl. J. of Humanitarian Technology     Hybrid Journal  
Intl. J. of Hydrology Science and Technology     Hybrid Journal   (Followers: 7, SJR: 0.43, CiteScore: 2)
Intl. J. of Hydromechatronics     Hybrid Journal  
Intl. J. of Image Mining     Hybrid Journal   (Followers: 1)
Intl. J. of Immunological Studies     Hybrid Journal   (Followers: 1)
Intl. J. of Indian Culture and Business Management     Hybrid Journal  
Intl. J. of Industrial and Systems Engineering     Hybrid Journal   (Followers: 11, SJR: 0.34, CiteScore: 1)
Intl. J. of Industrial Electronics and Drives     Hybrid Journal   (Followers: 3)
Intl. J. of Information and Coding Theory     Hybrid Journal   (Followers: 6)
Intl. J. of Information and Communication Technology     Hybrid Journal   (Followers: 8, SJR: 0.13, CiteScore: 0)
Intl. J. of Information and Computer Security     Hybrid Journal   (Followers: 17, SJR: 0.141, CiteScore: 0)

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Similar Journals
Journal Cover
International Journal of Financial Markets and Derivatives
Number of Followers: 4  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1756-7130 - ISSN (Online) 1756-7149
Published by Inderscience Publishers Homepage  [438 journals]
  • Closed-form solution for the critical stock price and the price of
           perpetual American call options via the improved Mellin transforms
    • Authors: Sunday Emmanuel Fadugba, Chuma Raphael Nwozo
      Pages: 269 - 286
      Abstract: This paper presents the closed-form solution for the critical stock price 'also known as the free boundary' and the price of the perpetual American call options by means of the improved Mellin transforms. The expression for the price of the perpetual American call options with non-dividend yield is obtained as a steady-state solution to the non-homogeneous Black-Scholes partial differential equation for the American call options, rather than as a solution to the 'static' problem. The result shows that the critical stock price for the American call option is infinite and the price of the option coincides with the underlying asset price. For better accuracy, we have shown that our integral representation for the price of the American call option can be evaluated by means of an N-point Gauss-Laguerre quadrature method. To determine the performance of the improved Mellin transforms, we have compared the results generated by the improved Mellin transforms with the binomial model and the Black-Scholes model for the valuation of the American call option with non-dividend yield. The numerical results show that the improved Mellin transforms agrees with the Black-Scholes model and performs better than the binomial model as shown in Figure 3.
      Keywords: American call option; Black-Scholes equation; critical stock price; Gauss-Laguerre quadrature method; improved Mellin transforms; non-dividend yield; perpetual American call option
      Citation: International Journal of Financial Markets and Derivatives, Vol. 6, No. 4 (2018) pp. 269 - 286
      PubDate: 2019-01-24T23:20:50-05:00
      DOI: 10.1504/IJFMD.2018.097489
      Issue No: Vol. 6, No. 4 (2019)
       
  • Dynamics of randomness and efficiency in the Indian stock markets
    • Authors: S. Sujeesh Kumar, V. Nandamohan
      Pages: 287 - 320
      Abstract: This paper analysed the behaviour of randomness and efficiency in the Indian stock markets in view of the efficient market hypothesis (EMH) and adaptive market hypothesis (AMH). We have examined the randomness in detail and found that there has been no uniformity or trend in randomness and further, efficiency is time varying. Although inefficiencies were evidenced during the period of study (1990-2014), improvement in efficiencies has been observed in some pockets of time, implying greater adaptability in the markets-BSE Sensex and NSE Nifty. Based on the Lyapunov exponent, indication of nonlinear deterministic chaos also detected. The extent of randomness has been compared between both the markets using an entropy measure.
      Keywords: randomness; runs; variance ratio; market efficiency; chaos; entropy
      Citation: International Journal of Financial Markets and Derivatives, Vol. 6, No. 4 (2018) pp. 287 - 320
      PubDate: 2019-01-24T23:20:50-05:00
      DOI: 10.1504/IJFMD.2018.097491
      Issue No: Vol. 6, No. 4 (2019)
       
  • An equilibrium pricing for OTC derivatives with non-cash
           collateralisation
    • Authors: S. Sujeesh Kumar, V. Nandamohan
      Pages: 335 - 364
      Abstract: In this study, we propose an equilibrium pricing rule for contingent claims traded in over-the-counter (OTC) markets with non-cash collateralisation. Owing to counterparty risks in OTC markets, collateral is required to create a derivative contract. In 2017, Osaka Exchange decided to expand the type of collateral asset, while cash has always been used as a collateral. In this study, we consider a market model in which the required collateral is not cash, and is instead assets with a senior credit class, such as a US Government bond. We further assume that market participants source collateral from the repurchase market (SC repo), where investors can borrow assets. Therefore, we provide an equilibrium pricing model that includes the repo market under counterparty risk. Our pricing rule also determines an equilibrium volume for the derivative contract. This enables us to examine the effects of the repo market on the price and volume for OTC derivative transactions.
      Keywords: OTC derivative pricing; counterparty risk; collateral; pricing kernel; repo market
      Citation: International Journal of Financial Markets and Derivatives, Vol. 6, No. 4 (2018) pp. 335 - 364
      PubDate: 2019-01-24T23:20:50-05:00
      DOI: 10.1504/IJFMD.2018.097492
      Issue No: Vol. 6, No. 4 (2019)
       
  • Comparison of determinants in the different property sectors of Japanese
           REIT market under non-traditional monetary policy regimes
    • Authors: S. Sujeesh Kumar, V. Nandamohan
      Pages: 365 - 375
      Abstract: Stock price has a positive impact on the real estate investment trust (REIT) property sector index series (office, residential, and retail and logistics) in all three sample periods. Interest rate has no significant impact on any of the sectors in the REIT property sector index series under the comprehensive easing policy regime. On the other hand, interest rate has a negative impact on each of the sectors in the REIT Property Sector Index Series under the quantitative and qualitative easing, and the negative interest rate policy regimes. The negative impact of interest rate on the REIT market is larger under the quantitative and qualitative policy regime than it is under the negative interest rate policy regime. As regards the sensitivity of the three REIT property sectors to stock price and interest rate, no significant differences are found in any of the samples; the three different sectors are almost equally influenced by stock price and long-term interest rate in each sample.
      Keywords: REIT property sector; stock price; swap rate; non-traditional monetary policy
      Citation: International Journal of Financial Markets and Derivatives, Vol. 6, No. 4 (2018) pp. 365 - 375
      PubDate: 2019-01-24T23:20:50-05:00
      DOI: 10.1504/IJFMD.2018.097494
      Issue No: Vol. 6, No. 4 (2019)
       
 
 
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