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Journal of Industrial and Management Optimization (JIMO)
 

Volume 2,Number 2,     May 2006

1

Preface   Pages : i - i

Heung Wong,  Hailiang Yang and Xian Zhou

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2

Remarks on some short rate term structure models   Pages : 119 - 134

Jiongmin Yong

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3

Optimal execution strategy of liquidation   Pages : 135 - 144

Ka Wo Lau and Yue Kuen Kwok

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4

Estimating value-at-risk for chinese stock market by switching regime ARCH model   Pages : 145 - 163

W.C. Ip,  H. Wong,  Jiazhu Pan and Keke Yuan

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5

Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate   Pages : 165 - 175

Lin Xu and Rongming Wang

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6

Option pricing under threshold autoregressive models by threshold Esscher transform   Pages : 177 - 197

Tak Kuen Siu,  Howell Tong and Hailiang Yang

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7

LIBOR market model with stochastic volatility   Pages : 199 - 227

Lixin Wu and Fan Zhang

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8

Ruin probability for renewal risk model with negative risk sums   Pages : 229 - 236

Yinghui Dong and Guojing Wang

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