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Contributing Authors 
 ARLETTE C. WILSON Auburn University, Alabama, USA
RONALD L. CLARK Auburn University, Alabama, USA
 IRA G. KAWALLER Kawaller & Company, LLC, USA
WALTER R. TEETS Gonzaga University Spokane, Washington, USA
JONGCHAN PARK College of Business Administration, Seoul National University, Korea
JINGHONG SHU University of International Business and Economics, Chao–Yang District, Beijing, P.R. China
MASOUD ASGHARIAN McGill University, Montreal, QC, Canada
FERNANDO DIZ Whitman School of Management, Syracuse University, Syracuse, New York, USA
GREG N. GREGORIOU School of Business and Economics, State University of New York, NY, USA
FABRICE ROUAH Faculty of Management, McGill University, Montreal, QC, Canada
IN JOON KIM Graduate School of Management, Korea Advanced Institute of Science and Technology, Korea
SUK JOON BYUN Graduate School of Management, Korea Advanced Institute of Science and Technology, Korea
SONYA SEONGYEON LIM Department of Finance, DePaul University, Korea
THERESA DUNNE University of Dundee, Dundee, UK
CHRISTINE HELLIAR University of Dundee, Dundee, UK
DAVID POWER University of Dundee, Dundee, UK
CHRIS MALLIN University of Birmingham, UK
KEAN OW-YONG University of Birmingham, UK
LANCE MOIR Cranfield University, UK
GUY COUGHLAN JPMorgan Asset and Liability Management Advisory, JPMorgan Securities, London, UK
SIMON EMERY JPMorgan Corporate Derivatives, JPMorgan Chase Bank, London, UK
JOHANNES KOLB JPMorgan Corporate Derivatives, JPMorgan Chase Bank, London, UK

Vol. 1, No. 2 (March 2005)

EDITORIAL

 

DOES ALLOWING ALTERNATIVE HEDGE DESIGNATIONS AFFECT FINANCIAL STATEMENT COMPARABILITY?

Author(s): ARLETTE C. WILSON, Auburn University, Alabama, USA
RONALD L. CLARK, Auburn University, Alabama, USA

 

ALTERNATIVE HEDGE ACCOUNTING TREATMENTS FOR FOREIGN EXCHANGE FORWARDS

Author(s): IRA G. KAWALLER, Kawaller & Company, LLC, USA
WALTER R. TEETS, Gonzaga University Spokane, Washington, USA

 

THE EFFECTS OF SFAS NO. 133 ON FINANCIAL STATEMENTS IN BANK HOLDING COMPANIES: EARNINGS VOLATILITY AND EQUITY VOLATILITY

Author(s): JONGCHAN PARK, Center for Accounting Research, College of Business Administration, Seoul National University, San 56–1, Sillim–dong, Gwanak–gu, Seoul 151–742, Korea

 

PRICING S&P 500 INDEX OPTIONS UNDER STOCHASTIC VOLATILITY WITH THE INDIRECT INFERENCE METHOD

Author(s): JINGHONG SHU, School of International Trade and Economics, University of International Business and Economics, Chao–Yang District, Beijing 100029, P.R. China
JIN E. ZHANG, (Corresponding author) Department of Finance, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China

 

THE GLOBAL MACRO HEDGE FUND CEMETERY

Author(s): MASOUD ASGHARIAN, Department of Mathematics and Statistics, McGill University, Montreal, QC, Canada
FERNANDO DIZ, Whitman School of Management, Syracuse University, Syracuse, New York, USA
GREG N. GREGORIOU, (Corresponding author), School of Business and Economics, State University of New York, 101 Broad Street, Plattsburgh, New York 12901, USA
FABRICE ROUAH, Faculty of Management, McGill University, Montreal, QC, Canada

 

VALUING AND HEDGING AMERICAN OPTIONS UNDER TIME-VARYING VOLATILITY

Author(s): IN JOON KIM, Graduate School of Management, Korea Advanced Institute of Science and Technology, Korea
SUK JOON BYUN, Graduate School of Management, Korea Advanced Institute of Science and Technology, Korea
SONYA SEONGYEON LIM, Department of Finance, DePaul University, Korea

 

THE INTRODUCTION OF DERIVATIVES REPORTING IN THE UK: A CONTENT ANALYSIS OF FRS 13 DISCLOSURES

Author(s): THERESA DUNNE (Corresponding author), University of Dundee, Dundee, UK
CHRISTINE HELLIAR, University of Dundee, Dundee, UK
DAVID POWER, University of Dundee, Dundee, UK
CHRIS MALLIN, University of Birmingham, UK
KEAN OW–YONG, University of Birmingham, UK
LANCE MOIR, Cranfield University, UK

 

INDUSTRY PERSPECTIVE

HEAT™ (HEDGE EFFECTIVENESS ANALYSIS TOOLKIT): A CONSISTENT FRAMEWORK FOR ASSESSING HEDGE EFFECTIVENESS UNDER IAS 39 AND FAS 133 FROM JPMORGAN

Author(s): GUY COUGHLAN JPMorgan Asset and Liability Management Advisory, JPMorgan Securities, London, UK
SIMON EMERY, JPMorgan Corporate Derivatives, JPMorgan Chase Bank, London, UK
JOHANNES KOLB, JPMorgan Corporate Derivatives, JPMorgan Chase Bank, London, UK

 

BOOK REVIEW

Title: "SWAPS/FINANCIAL DERIVATIVES: PRODUCTS, PRICING APPLICATION AND RISK MANAGEMENT, 3RD EDITION" by Satyajit Das

Author(s):M. Mbemap

ERRATUM

ERRATUM: AN INTRODUCTION TO US TAX ASPECTS OF EXECUTIVE/EMPLOYEE COMPENSATION WITH A STOCK OPTION FOCUS Stewart Karlinsky and James Krochka