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Quantitative Finance
2001 - 2013
Edited by Jean-Philippe Bouchaud and Michael Dempster
from Taylor and Francis Journals
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Volume 13, issue 1 , 2013
Empirical performance of models for barrier option valuation pp. 1-11 Cathrine Jessen and Rolf Poulsen Optimizing a basket against the efficient market hypothesis pp. 13-23 Frédéric Abergel and Mauro Politi Dark Markets, by Darrell Duffie pp. 25-26 Viral V. Acharya The statistical properties of the innovations in multivariate ARCH processes in high dimensions pp. 29-44 Gilles Zumbach Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation pp. 45-63 Dolores Furió and Francisco J. Climent Modelling microstructure noise with mutually exciting point processes pp. 65-77 E. Bacry , S. Delattre , Marc Hoffmann and J. F. Muzy Optimal high-frequency trading with limit and market orders pp. 79-94 Fabien Guilbaud and Huyên Pham The British call option pp. 95-109 Goran Peskir and Farman Samee Derivatives pricing with marked point processes using tick-by-tick data pp. 111-123 Álvaro Cartea The valuation of structured products using Markov chain models pp. 125-136 Dilip B. Madan , Martijn Pistorius and Wim Schoutens American step-up and step-down default swaps under Lévy models pp. 137-157 Tim Siu-Tang Leung and Kazutoshi Yamazaki Volume 12, issue 12 , 2012
Inconvenience yield, or the theory of normal contango pp. 1773-1777 Ilia Bouchouev Long--short versus long-only commodity funds pp. 1779-1785 John M. Mulvey The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin pp. 1787-1789 Lloyd Kurtz Determinants of oil futures prices and convenience yields pp. 1795-1809 M. A. H. Dempster , Elena Medova and Ke Tang Pricing and hedging of long-term futures and forward contracts by a three-factor model pp. 1811-1826 Kenichiro Shiraya and Akihiko Takahashi An empirical study of the impact of skewness and kurtosis on hedging decisions pp. 1827-1837 Jing-Yi Lai Analyzing the dynamics of the refining margin: implications for valuation and hedging pp. 1839-1855 Andrés García Mirantes , Javier Población and Gregorio Serna Quantitative spread trading on crude oil and refined products markets pp. 1857-1875 Mark Cummins and Andrea Bucca Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market pp. 1877-1891 Yijun Du , Chen Wang and Yibing Du Time-frequency analysis of crude oil and S&P500 futures contracts pp. 1893-1908 Joseph McCarthy and Alexei G. Orlov Short-horizon return predictability and oil prices pp. 1909-1934 Jaime Casassus and Freddy Higuera Modeling the distribution of day-ahead electricity returns: a comparison pp. 1935-1949 Sandro Sapio The valuation of clean spread options: linking electricity, emissions and fuels pp. 1951-1965 René Carmona , Michael Coulon and Daniel Schwarz Volume 12, issue 11 , 2012
The end of diversification pp. 1629-1636 Jessica James , Kristjan Kasikov and Kerry-Ann Edwards A look at side-by-side management: evidence from ETFs and mutual funds pp. 1637-1645 Herminio Romero-Pérez and Javier Rodríguez Finance and the Good Society, by Robert J. Shiller pp. 1647-1648 Con Keating Robust and adaptive algorithms for online portfolio selection pp. 1651-1662 Theodoros Tsagaris , Ajay Jasra and Niall Adams Pricing the Chicago Board of Trade T-Bond futures pp. 1663-1678 Ramzi Ben-Abdallah , Hatem Ben-Ameur and Michèle Breton Options on realized variance by transform methods: a non-affine stochastic volatility model pp. 1679-1694 Gabriel G. Drimus Truncation and acceleration of the Tian tree for the pricing of American put options pp. 1695-1708 Ting Chen and Mark Joshi The macroeconomic content of international equity market factors pp. 1709-1721 Sarantis Tsiaplias Testing for a rational bubble under long memory pp. 1723-1732 Michael Frömmel and Robinson Kruse The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure pp. 1733-1751 Maria Elena Bontempi and Roberto Golinelli An experimental study on real-options strategies pp. 1753-1772 Mei Wang , Abraham Bernstein and Marc Chesney Volume 12, issue 10 , 2012
Capital regulation and auditing pp. 1467-1475 Ensar Yilmaz and Burak Ünveren On the role of risk in the Morningstar rating for mutual funds pp. 1477-1486 Francesco Lisi and Massimiliano Caporin Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger pp. 1487-1489 Alec N. Kercheval Dynamical clustering of exchange rates pp. 1493-1520 Daniel J. Fenn , Mason A. Porter , Peter J. Mucha , Mark McDonald , Stacy Williams , Neil F. Johnson and Nick S. Jones Do jumps mislead the FX market? pp. 1521-1532 Jean-Yves Gnabo , Jérôme Lahaye , Sébastien Laurent and Christelle Lecourt Trending time-varying coefficient market models pp. 1533-1546 Chongshan Zhang and Xiangrong Yin Market risks in asset management companies pp. 1547-1556 Bernd Scherer Fast simulations in credit risk pp. 1557-1569 Halis Sak and Wolfgang Hörmann A new method for generating approximation algorithms for financial mathematics applications pp. 1571-1583 Frank J. Fabozzi , Arturo Leccadito and Radu S. Tunaru Consumer confidence and stock returns over market fluctuations pp. 1585-1597 Shiu-Sheng Chen Firm size, information acquisition and price efficiency pp. 1599-1614 Tian Zhao Optimal insurance contract and coverage levels under loss aversion utility preference pp. 1615-1628 Ching-Ping Wang and Hung-Hsi Huang Volume 12, issue 9 , 2012
VaR limits for pension funds: an evaluation pp. 1315-1324 Solange Berstein and Romulo Chumacero Two stock options at the races: Black--Scholes forecasts pp. 1325-1333 G. Oshanin and G. Schehr Boomerang, by Michael Lewis pp. 1335-1336 Nicholas Dunbar A liquidity-based model for asset price bubbles pp. 1339-1349 Robert A Jarrow , Philip Protter and Alexandre F. Roch Financial crisis dynamics: attempt to define a market instability indicator pp. 1351-1365 Youngna Choi and Raphael Douady Statistical signatures in times of panic: markets as a self-organizing system pp. 1367-1379 Lisa Borland Z -Transform and preconditioning techniques for option pricingGianluca Fusai , Daniele Marazzina , Marina Marena and Michael Ng The price impact of order book events: market orders, limit orders and cancellations pp. 1395-1419 Zoltán Eisler , Jean-Philippe Bouchaud and Julien Kockelkoren Volatility behavior, information efficiency and risk in the S&P 500 index markets pp. 1421-1437 Shu-Mei Chiang , Huimin Chung and Chien-Ming Huang IPO pricing: a case of short-sale restrictions and divergent expectations pp. 1439-1451 Richard J. Kish , Nandkumar Nayar and Wenlong Weng A paradigm shift from production function to production copula: statistical description of production activity of firms pp. 1453-1466 Hiroshi Iyetomi , Hideaki Aoyama , Yoshi Fujiwara , Yuichi Ikeda and Wataru Souma Volume 12, issue 8 , 2012
Stock market crashes in 2007--2009: were we able to predict them? pp. 1161-1187 Sébastien Lleo and William T. Ziemba Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics pp. 1189-1192 C. Schinckus Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown pp. 1193-1195 Roger Stein Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis pp. 1199-1218 Rama Cont and Cathrine Jessen Pricing CDOs with state-dependent stochastic recovery rates pp. 1219-1240 Salah Amraoui , Laurent Cousot , Sebastien Hitier and Jean-Paul Laurent Forward-neutral valuation relationships for options on zero coupon bonds pp. 1241-1252 António Câmara and Ana Câmara Universal price impact functions of individual trades in an order-driven market pp. 1253-1263 Wei-Xing Zhou Path-dependent scenario trees for multistage stochastic programmes in finance pp. 1265-1281 Giorgio Consigli , Gaetano Iaquinta and Vittorio Moriggia The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE) pp. 1283-1298 Guy Kaplanski and Haim Levy Financial factors and firm growth: evidence from financial data on Taiwanese firms pp. 1299-1314 Khurshid M Kiani , Ellen Huiru Chen and Zagros Madjd-Sadjadi Volume 12, issue 7 , 2012
Mortgage valuation: a quasi-closed-form solution pp. 993-1001 Cristina Viegas and José Azevedo-Pereira New analytical option pricing models with Weyl--Titchmarsh theory pp. 1003-1010 Jin E. Zhang and Yishen Li An Introduction to Austrian Economics, by Thomas C. Taylor pp. 1011-1012 Barry Schachter How does the market react to your order flow? pp. 1015-1024 B. Tóth , Z. Eisler , F. Lillo , J. Kockelkoren , J.-P. Bouchaud and J. Doyne Farmer Reduced form modeling of limit order markets pp. 1025-1036 Pekka Malo and Teemu Pennanen Measuring large comovements in financial markets pp. 1037-1049 Jeremy Penzer , Friedrich Schmid and Rafael Schmidt Cycles, determinism and persistence in agent-based games and financial time-series: part I pp. 1051-1064 J. B. Satinover and D. Sornette Cycles, determinism and persistence in agent-based games and financial time-series: part II pp. 1065-1078 J. B. Satinover and D. Sornette Option pricing for GARCH-type models with generalized hyperbolic innovations pp. 1079-1094 Christophe Chorro , Dominique Guégan and Florian Ielpo GARCH options via local risk minimization pp. 1095-1110 Juan-Pablo Ortega A class of stochastic volatility models and the q -optimal martingale measure pp. 1111-1117 Sotirios Sabanis An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs pp. 1119-1141 Artur Sepp Choosing the optimal annuitization time post-retirement pp. 1143-1159 Russell Gerrard , Bjarne Højgaard and Elena Vigna Volume 12, issue 6 , 2012
Entrepreneurship and innovation in financial institutions pp. 831-837 Chander Velu From credit valuation adjustments to credit capital commitments pp. 839-845 Dilip B. Madan Realism in quantitative finance: a note pp. 847-848 Andreas Andrikopoulos The Darwin Economy: Liberty, Competition, and the Common Good, by Robert H. Frank pp. 849-851 Terence C. Burnham Hedging derivatives with model error pp. 855-863 Robert A Jarrow Optimal stopping under model uncertainty and the regularity of lower Snell envelopes pp. 865-871 Treviño-Aguilar Erick General approximation schemes for option prices in stochastic volatility models pp. 873-891 Karl Larsson Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability pp. 893-905 Yuko Hashimoto , Takatoshi Ito , Takaaki Ohnishi , Misako Takayasu , Hideki Takayasu and Tsutomu Watanabe Exchange rate and inflation risk premia in the EMU pp. 907-931 Begoña Font and Alfredo Juan Grau Pricing guaranteed minimum withdrawal benefits under stochastic interest rates pp. 933-941 Jingjiang Peng , Kwai Sun Leung and Yue Kuen Kwok Monitoring the board: should shareholders have direct proxy access? pp. 943-950 Gilberto Loureiro Time varying betas and the unconditional distribution of asset returns pp. 951-967 C. J. Adcock , M. Ceu Cortez , M. J. Rocha Armada and F. Silva Do industries contain predictive information for the Fama--French factors? pp. 969-991 Chikashi Tsuji Volume 12, issue 5 , 2012
A strategy-proof test of portfolio returns pp. 671-683 Dean P. Foster and H. Peyton Young Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group pp. 685-689 Emmanuel Bacry , Marc Hoffmann and Mathieu Rosenbaum Stochastic Analysis with Financial Applications, by Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu (Eds.) pp. 691-692 Greg M. Gupton Leverage causes fat tails and clustered volatility pp. 695-707 Stefan Thurner , J. Doyne Farmer and John Geanakoplos Unbounded liabilities, capital reserve requirements and the taxpayer put option pp. 709-724 Ernst Eberlein and Dilip B. Madan A closed-form solution to American options under general diffusion processes pp. 725-737 Jing Zhao and Hoi Ying Wong Estimation of multiple period expected shortfall and median shortfall for risk management pp. 739-754 Mike K. P. So and Chi-Ming Wong Probability-unbiased Value-at-Risk estimators pp. 755-768 Ivo Francioni and Florian Herzog Bayesian Value-at-Risk with product partition models pp. 769-780 Giacomo Bormetti , Maria Elena De Giuli , Danilo Delpini and Claudia Tarantola Time-varying long-run mean of commodity prices and the modeling of futures term structures pp. 781-790 Ke Tang Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange pp. 791-804 Joey Wenling Yang and Jerry Parwada Coupling index and stocks pp. 805-818 Benjamin Jourdain and Mohamed Sbai Performance evaluation of balanced pension plans pp. 819-830 Laura Andreu and Laurens A. P. Swinkels Volume 12, issue 4 , 2012
The scale of market quakes pp. 501-508 T. Bisig , A. Dupuis , V. Impagliazzo and R. B. Olsen Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman pp. 509-511 M.A.H. Dempster Foreword pp. 515-515 Ionut Florescu , Maria C. Mariani , H. Eugene Stanley and Frederi G. Viens Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange pp. 517-530 Angelo Carollo , Gabriella Vaglica , Fabrizio Lillo and Rosario N. Mantegna Model calibration and automated trading agent for Euro futures pp. 531-545 Germán Creamer A generalized birth--death stochastic model for high-frequency order book dynamics pp. 547-557 He Huang and Alec N. Kercheval High-frequency trading model for a complex trading hierarchy pp. 559-566 Boris Podobnik , Duan Wang and H. Eugene Stanley Hidden noise structure and random matrix models of stock correlations pp. 567-572 Ivailo . Dimov , Petter N. Kolm , Lee Maclin and Dan Y. C. Shiber Regularization for stationary multivariate time series pp. 573-586 Yan Sun and Xiaodong Lin Integer-valued Lévy processes and low latency financial econometrics pp. 587-605 Ole E. Barndorff-Nielsen , David G. Pollard and Neil Shephard Estimation of quarticity with high-frequency data pp. 607-622 Maria Elvira Mancino and Simona Sanfelici Detecting market crashes by analysing long-memory effects using high-frequency data pp. 623-634 E. Barany , M. P. Beccar Varela , . Florescu and . Sengupta Stochastic volatility and option pricing with long-memory in discrete and continuous time pp. 635-649 Alexandra Chronopoulou and Frederi G. Viens Systemic risk components and deposit insurance premia pp. 651-662 Jeremy Staum Nonlinear problems modeling stochastic volatility and transaction costs pp. 663-670 Maria C. Mariani and Indranil SenGupta Volume 12, issue 3 , 2012
Amira Dridi , Mohamed El Ghourabi and Mohamed Limam Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda pp. 341-342 Agostino Capponi Positive return premia in Japan pp. 345-367 Chikashi Tsuji Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan pp. 369-382 Pin-Huang Chou , Kuan-Cheng Ko , Szu-Tsen Kuo and Shinn-Juh Lin The performance of enhanced-return index funds: evidence from bootstrap analysis pp. 383-395 An-Sing Chen , Yeh-Chung Chu and Mark T. Leung Nonlinear interdependence of the Chinese stock markets pp. 397-410 Abdol Soofi , Zhe Li and Xiaofeng Hui Models for stock returns pp. 411-424 Saralees Nadarajah Converse trading strategies, intrinsic noise and the stylized facts of financial markets pp. 425-436 Frank Westerhoff and Reiner Franke A comparison of statistical tests for the adequacy of a neural network regression model pp. 437-449 Nikos S. Thomaidis and Georgios D. Dounias Pricing dynamic binary variables and their derivatives pp. 451-464 David G. Luenberger Real options with a double continuation region pp. 465-475 Anna Battauz , Marzia De Donno and Alessandro Sbuelz Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance pp. 477-488 Bin Lu , Xin-Yuan Song and Xin-Dan Li Temperature models for pricing weather derivatives pp. 489-500 Frank Schiller , Gerold Seidler and Maximilian Wimmer Volume 12, issue 2 , 2012
The euro's impacts on the smooth transition dynamics of stock market volatilities pp. 169-179 Ray Yeutien Chou , Chun-Chou Wu and Yi-Nung yang Option Prices as Probabilities: A New Look at Generalized Black--Scholes Formulae, by C. Profeta, B. Roynette and M. Yor pp. 181-182 Steven Evans Analytical formulas for a local volatility model with stochastic rates pp. 185-198 E. Benhamou , E. Gobet and M. Miri Stochastic volatility models including open, close, high and low prices pp. 199-212 Enrique Ter Horst , Abel Rodriguez , Henryk Gzyl and German Molina Discovering stock dynamics through multidimensional volatility phases pp. 213-230 Hsieh Fushing , Shu-Chun Chen and Chii-Ruey Hwang An unbiased autoregressive conditional intraday seasonal variance filtering process pp. 231-247 Jang Hyung Cho and Robert T. Daigler Swap rate variance swaps pp. 249-261 Nicolas Merener Discrete sine transform for multi-scale realized volatility measures§ pp. 263-279 Giuseppe Curci and Fulvio Corsi Fourier volatility forecasting with high-frequency data and microstructure noise pp. 281-293 Emilio Barucci , Davide Magno and Maria Elvira Mancino Contagion determination via copula and volatility threshold models pp. 295-310 Veni Arakelian and Petros Dellaportas Does herding affect volatility? Implications for the Spanish stock market pp. 311-327 Natividad Blasco , Pilar Corredor and Sandra Ferreruela Volume 12, issue 1 , 2012
The times change: multivariate subordination. Empirical facts pp. 1-10 Nicolas Huth and Frédéric Abergel Financial engineering at Columbia University pp. 11-14 Mark Broadie , Emanuel Derman , Paul Glasserman and Steven Kou Jon McAuliffe On the analytical/numerical pricing of American put options against binomial tree prices pp. 17-20 Mark Joshi and Mike Staunton On the binomial tree method and other issues in connection with pricing Bermudan and American options pp. 21-26 András Prékopa and Tamás Szántai Equity quantile upper and lower swaps pp. 29-37 Dilip B. Madan and Martijn Pistorius Mark-to-model for cash CDOs through indifference pricing pp. 39-48 Guillaume Bernis Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators pp. 49-60 Jimmy E. Hilliard and Jitka Hilliard Arbitrage-free approximation of call price surfaces and input data risk pp. 61-73 Judith Glaser and Pascal Heider A generalized variance gamma process for financial applications pp. 75-87 Roberto Marfè Extension of stochastic volatility equity models with the Hull--White interest rate process pp. 89-105 Lech A. Grzelak , Cornelis W. Oosterlee and Sacha Van Weeren Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets pp. 107-118 Mohamed Ariff and Vijaya B. Marisetty Term structure movements implicit in Asian option prices pp. 119-134 Caio Almeida and José Vicente A probabilistic clustering method for US interest rate analysis pp. 135-148 Foued SaÂdaoui A jump-diffusion model for the euro overnight rate pp. 149-165 Mattia Raudaschl
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