Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 14, issue 12, 2014

Estimate nothing pp. 2065-2072

Moritz Duembgen and L. C. G. Rogers

Discrete Time Series, Processes, and Applications in Finance pp. 2073-2074

Ola Mahmoud

A continuous time Bayesian network classifier for intraday FX prediction pp. 2079-2092

S. Villa and Fabio Stella

Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method pp. 2093-2104

Helinä Laakkonen

Identifying and forecasting house prices: a macroeconomic perspective pp. 2105-2120

Nan-Kuang Chen, Han-Liang Cheng and Ching-Sheng Mao

Clustering financial time series with variance ratio statistics pp. 2121-2133

João Bastos and Jorge Caiado

Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data pp. 2135-2153

Massimo Guidolin and Stuart Hyde

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) pp. 2155-2170

Osvaldo C. Silva Filho, Flavio A. Ziegelmann and Michael Dueker

Power-law behaviour in time durations between extreme returns pp. 2171-2183

Juan Reboredo, Miguel A. Rivera-Castro and Edilson Machado de Assis

Quantile regression estimates and the analysis of structural breaks pp. 2185-2192

Marilena Furno

Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks pp. 2193-2203

Kiseok Nam, Joshua Krausz and Augustine C. Arize

Detecting volatility persistence in GARCH models in the presence of the leverage effect pp. 2205-2213

A. B. M. Rabiul Alam Beg and Sajid Anwar

Model risk of the implied GARCH-normal model pp. 2215-2224

Shih-Feng Huang and Meihui Guo

A long-memory integer-valued time series model, INARFIMA, for financial application pp. 2225-2235

Shahiduzzaman Quoreshi

Alternative modeling for long term risk pp. 2237-2253

Dominique Gu�gan and Xin Zhao

Volume 14, issue 11, 2014

Pairs trading: optimal thresholds and profitability pp. 1881-1893

Zhengqin Zeng and Chi-Guhn Lee

The Second Machine Age: Work, Progress, and Prosperity in a Time of Brilliant Technologies pp. 1895-1896

Xiaojing Dong and Shelby H. McIntyre

Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results pp. 1899-1922

Alexander Lipton, Andrey Gal and Andris Lasis

A chaos expansion approach under hybrid volatility models pp. 1923-1936

Hideharu Funahashi

An almost Markovian LIBOR market model calibrated to caps and swaptions pp. 1937-1959

Junwu Gan

An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions pp. 1961-1970

Marianito R. Rodrigo and Rogemar S. Mamon

The pricing of basket-spread options pp. 1971-1982

Chun-Sing Lau and Chi-Fai Lo

Mean-variance cointegration and the expectations hypothesis pp. 1983-1997

Till Strohsal and Enzo Weber

Correlations between stock returns and bond returns: income and substitution effects pp. 1999-2018

Gwangheon Hong, Youngsoo Kim and Bong-Soo Lee

Cardinality versus q -norm constraints for index tracking pp. 2019-2032

Bj�rn Fastrich, Sandra Paterlini and Peter Winker

Grey Relational Analysis and Neural Network Forecasting of REIT returns pp. 2033-2044

Jo-Hui Chen, Ting-Tzu Chang, Chao-Rung Ho and John Francis Diaz

Portfolio choice with indivisible and illiquid housing assets: the case of Spain pp. 2045-2064

Sergio Mayordomo, Maria Rodriguez-Moreno and Juan Ignacio Pe�a

Volume 14, issue 10, 2014

Bayesian testing for jumps in stochastic volatility models with correlated jumps pp. 1693-1700

Yong Li and Jie Zhang

The Half-life of Facts: Why Everything We Know Has an Expiration Date pp. 1701-1703

Roger M. Stein

Making mean-variance hedging implementable in a partially observable market pp. 1709-1724

Masaaki Fujii and Akihiko Takahashi

Hedging strategies for energy derivatives pp. 1725-1737

Patrick Leoni, N. Vandaele and M. Vanmaele

Dynamic option hedging via stochastic model predictive control based on scenario simulation pp. 1739-1751

Alberto Bemporad, Leonardo Bellucci and Tommaso Gabbriellini

Option pricing and Greeks via a moving least square meshfree method pp. 1753-1764

Yongsik Kim, Hyeong-Ohk Bae and Hyeng Keun Koo

Discrete dividends and the FTSE-100 index options valuation pp. 1765-1784

Nelson Areal and Artur Rodrigues

Closed form spread option valuation pp. 1785-1794

Petter Bjerksund and Gunnar Stensland

Pricing of geometric Asian options under Heston's stochastic volatility model pp. 1795-1809

Bara Kim and In-Suk Wee

A regime-switching Heston model for VIX and S&P 500 implied volatilities pp. 1811-1827

Andrew Papanicolaou and Ronnie Sircar

Dynamics of the implied volatility surface. Theory and empirical evidence pp. 1829-1837

Jacinto Marabel Romo

Comparison of methods to estimate option implied risk-neutral densities pp. 1839-1855

Wan-Ni Lai

Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails pp. 1857-1879

Seung Hwan Lee

Volume 14, issue 9, 2014

Modelling the rebalancing slippage of leveraged exchange-traded funds pp. 1503-1511

Lakshithe Wagalath

After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead pp. 1513-1515

Thomas Hughes

Applications sought for book review editor from 2015 pp. 1518-1518

Alexander Smith

Optimal liquidation in dark pools pp. 1519-1539

Peter Kratz and Torsten Sch�neborn

Myopic loss aversion, reference point, and money illusion pp. 1541-1554

Xue Dong He and Xun Yu Zhou

Smooth monotone covariance for elliptical distributions and applications in finance pp. 1555-1571

Xiaoping Zhou, Dmitry Malioutov, Frank Fabozzi and Svetlozar T. Rachev

Copula dynamics in CDOs pp. 1573-1585

Barbara Choros-Tomczyk, Wolfgang Karl H�rdle and Ludger Overbeck

Haar wavelets-based approach for quantifying credit portfolio losses pp. 1587-1595

Josep J. Masdemont and Luis Ortiz-Gracia

Commodity markets through the business cycle pp. 1597-1618

Julien Chevallier, Mathieu Gatumel and Florian Ielpo

Skewness premium with L�vy processes pp. 1619-1626

José Fajardo and Ernesto Mordecki

Assessing stock market dependence and contagion pp. 1627-1641

Omar Abbara and Mauricio Zevallos

A Black-Litterman approach to correlation stress testing pp. 1643-1649

F. C. Ng, W. K. Li and Philip L. H. Yu

An optimal investment model with Markov-driven volatilities pp. 1651-1661

Shangzhen Luo and Xudong Zeng

Complexity and financial stability in a large random economy pp. 1663-1675

Matteo Marsili

Completeness, interconnectedness and distribution of interbank exposures-a parameterized analysis of the stability of financial networks pp. 1677-1692

Angelika Sachs

Volume 14, issue 8, 2013

Asian options on the harmonic average pp. 1315-1322

Jan Vecer

How to make Dupire's local volatility work with jumps pp. 1327-1331

Peter K. Friz, Stefan Gerhold and Marc Yor

Applications sought for book review editor from 2015 pp. 1334-1334

Alexander Smith

Pricing discrete barrier options and credit default swaps under L�vy processes pp. 1337-1365

Marco De Innocentis and Sergei Levendorskiĭ

Pricing barrier stock options with discrete dividends by approximating analytical formulae pp. 1367-1382

Tian-Shyr Dai and Chun-Yuan Chiu

Multivariate L�vy processes with dependent jump intensity pp. 1383-1398

Roberto Marf�

Gradient-based simulated maximum likelihood estimation for L�vy-driven Ornstein-Uhlenbeck stochastic volatility models pp. 1399-1414

Yi-Jie Peng, Michael C. Fu and Jian-Qiang Hu

Bayesian testing volatility persistence in stochastic volatility models with jumps pp. 1415-1426

Xiao-Bin Liu and Yong Li

Jump detection with wavelets for high-frequency financial time series pp. 1427-1444

Yi Xue, Ramazan Gen�ay and Stephen Fagan

Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market pp. 1445-1452

Ionuţ Florescu, Maria Cristina Mariani and Granville Sewell

An intensity model for credit risk with switching L�vy processes pp. 1453-1465

Donatien Hainaut and Olivier Le Courtois

Forecasting forward defaults: a simple hazard model with competing risks pp. 1467-1477

Ruey-Ching Hwang and Chih-Kang Chu

On a continuous time stock price model with regime switching, delay, and threshold pp. 1479-1488

Pedro P. Mota and Manuel L. Esqu�vel

Computing optimal rebalance frequency for log-optimal portfolios pp. 1489-1502

Sujit R. Das, Dmitri Kaznachey and Mukul Goyal

Volume 14, issue 7, 2014

The Kelly growth optimal strategy with a stop-loss rule pp. 1131-1139

M. Nielsen

Risk-Return Analysis: The Theory and Practice of Rational Investing pp. 1141-1144

Haim Levy

Hawkes model for price and trades high-frequency dynamics pp. 1147-1166

Emmanuel Bacry and Jean-Fran�ois Muzy

Real-time market microstructure analysis: online transaction cost analysis pp. 1167-1185

R. Azencott, A. Beri, Y. Gadhyan, N. Joseph, Charles-Albert Lehalle and M. Rowley

Extreme dependence for multivariate data pp. 1187-1199

Damien Bosc and Alfred Galichon

CLA's, PLA's and a new method for pricing general passport options pp. 1201-1209

Peter Buchen and Hamish Malloch

On a symmetrization of diffusion processes pp. 1211-1216

Jiro Akahori and Yuri Imamura

On the calibration of distortion risk measures to bid-ask prices pp. 1217-1228

Karl F. Bann�r and Matthias Scherer

Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500 pp. 1229-1242

Panos Xidonas and George Mavrotas

Financial instability contagion: a dynamical systems approach pp. 1243-1255

Giuseppe Castellacci and Youngna Choi

Axiomatization of residual income and generation of financial securities pp. 1257-1271

Roberto Ghiselli Ricci and Carlo Alberto Magni

Inferring fundamental value and crash nonlinearity from bubble calibration pp. 1273-1282

Wanfeng Yan, Ryan Woodard and Didier Sornette

An economic evaluation of stock-bond return comovements with copula-based GARCH models pp. 1283-1296

Chih-Chiang Wu and Zih-Ying Lin

Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations pp. 1297-1313

S.T. Boris Choy, Cathy W. S. Chen and Edward Lin

Volume 14, issue 6, 2014

Copula-opinion pooling with complex opinions pp. 941-946

Joseph Simonian

Asymmetric information, illiquidity and asset returns: evidence from China pp. 947-957

Guangchuan Li, Lei Lu, Bo Wu and Zhou Zhang

Doing Capitalism in the Innovation Economy pp. 959-960

Sanjay Unni

Corporate governance and stock returns in Asia pp. 965-976

Roy Kouwenberg, Roelof Salomons and Pipat Thontirawong

The effect of corporate social responsibility on stock performance: new evidence for the USA and Europe pp. 977-991

Urs von Arx and Andreas Ziegler

Slow price reactions to analysts' recommendation revisions pp. 993-1004

Kotaro Miwa and Kazuhiro Ueda

Pricing assets with stochastic cash-flow growth pp. 1005-1017

Assaf Eisdorfer and Carmelo Giaccotto

An information-based model of target stock price runup in the market for corporate control pp. 1019-1030

Matthew Brigida, Jeff Madura and Ariel Viale

Cross-ownership as a structural explanation for over- and underestimation of default probability pp. 1031-1046

Sabine Karl and Tom Fischer

Using a hybrid evolution approach to forecast financial failures for Taiwan-listed companies pp. 1047-1058

Mu-Yen Chen

Banks' interest rate risk: the net interest income perspective versus the market value perspective pp. 1059-1068

Christoph Memmel

Upfront versus staged financing: the role of verifiability pp. 1069-1078

Dongsoo Shin and Sungho Yun

Investment decisions with financial constraints. Evidence from Spanish firms pp. 1079-1095

Jacinto Marabel Romo

Optimal dividend strategy with transaction costs for an upward jump model pp. 1097-1106

Ming Zhou and Ka Fai Cedric Yiu

The role of government in the venture capital market with asymmetric information pp. 1107-1114

Anson Wong

The exit decision in the European venture capital market pp. 1115-1130

Elisabete Gomes Santana F�lix, Cesaltina Pires and Mohamed Azzim Gulamhussen

Volume 14, issue 5, 2014

On a dynamic adaptation of The Distribution Builder approach to investment decisions pp. 749-760

Phillip Monin

A computational definition of financial randomness pp. 761-770

Olivier Brandouy, Jean-Paul Delahaye and Lin Ma

Introduction to Risk Parity and Budgeting pp. 771-772

Bernd Scherer

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio - a comment pp. 775-776

Frank Schuhmacher and Wolfgang Breuer

Momentum and reversion in risk neutral martingale probabilities pp. 777-787

Dilip B. Madan

Lookback option pricing using the Fourier transform B-spline method pp. 789-803

Gareth G. Haslip and Vladimir Kaishev

Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements pp. 805-830

Dima Rahman

Do fear indices help predict stock returns? pp. 831-847

G. Rubbaniy, Robel Asmerom, Syed Kumail Abbas Rizvi and Bushra Naqvi

Processes for stocks capturing their statistical properties from one day to one year pp. 849-861

Gilles Zumbach, Luis Fern�ndez and Caroline Weber

Bayesian estimation of truncated data with applications to operational risk measurement pp. 863-888

Xiaoping Zhou, Rosella Giacometti, Frank Fabozzi and Ann H. Tucker

Scaling laws: a viable alternative to value at risk? pp. 889-911

Thomas Chopping

A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm pp. 913-930

Marcos L�pez de Prado and Matthew D. Foreman

Estimating correlation and covariance matrices by weighting of market similarity pp. 931-939

M.C. M�nnix, R. Sch�fer and O. Grothe

Volume 14, issue 4, 2014

The rise of global stock market crash probabilities pp. 557-571

Thijs Markwat

A principal component approach to measuring investor sentiment in China pp. 573-579

Haiqiang Chen, Terence Tai Leung Chong and Yingni She

Expected Returns: An Investor's Guide to Harvesting Market Rewards pp. 581-582

Jason Hsu

Special Issue of Quantitative Finance on 'Behavioral Finance' pp. 587-588

Hersh Shefrin

Asset price bubbles: a survey pp. 589-604

Anna Scherbina and Bernd Schlusche

Is trading behavior stable across contexts? Evidence from style and multi-style investors pp. 605-627

Douglas W. Blackburn, William Goetzmann and Andrey D. Ukhov

Out of the blue: mood maintenance hypothesis and seasonal effects on investors' reaction to news pp. 629-640

Doron Kliger and Andrey Kudryavtsev

Return prediction and stock selection from unidentified historical data pp. 641-655

Doron Sonsino and Tal Shavit

Optimal portfolios under worst-case scenarios pp. 657-671

Carole Bernard, Jit Seng Chen and Steven Vanduffel

Can utility optimization explain the demand for structured investment products? pp. 673-681

Thorsten Hens and Marc Oliver Rieger

Framing and the disposition effect: evidence from mutual fund investor redemption behaviour pp. 683-697

Greg Niehaus and David Shrider

Portfolio performance evaluation with loss aversion pp. 699-710

Valeri Zakamouline

The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks pp. 711-724

Vassilis A. Efthymiou and George Leledakis

Investor behaviour and contagion pp. 725-735

Todd Feldman

Is momentum a self-fulfilling prophecy? pp. 737-748

Steven J. Jordan

Volume 14, issue 3, 2014

Trading system capability pp. 383-392

Andrew Kumiega, Thaddeus Neururer and Ben Van Vliet

Ambiguity, asset prices, and excess volatility in a pure-exchange economy pp. 393-399

Weidong Xu, Chongfeng Wu and Weilin Xiao

Elements of quantitative finance: a response to Jeff Holman's review of Antifragile pp. 401-401

Nassim Nicholas Taleb

The Signal and the Noise: Why So Many Predictions Fail -- but Some Don't, by Nate Silver pp. 403-406

Lisa R. Goldberg

Pricing American options written on two underlying assets pp. 409-426

Carl Chiarella and Jonathan Ziveyi

Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging pp. 427-442

Igor Halperin and Andrey Itkin

Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model pp. 443-456

Cyrille Dubarry and Randal Douc

Stochastic volatility for interest rate derivatives pp. 457-480

Linus Kaisajuntti and Joanne Kennedy

Multiplicative noise, fast convolution and pricing pp. 481-494

Giacomo Bormetti and Sofia Cazzaniga

Refining the least squares Monte Carlo method by imposing structure pp. 495-507

Pascal L�tourneau and Lars Stentoft

A bifurcation model of market returns pp. 509-528

David Nawrocki and Tonis Vaga

Three-point approach for estimating integrated volatility and integrated covariance pp. 529-543

Jying-Nan Wang

Subprime mortgage funding and liquidity risk pp. 545-555

M.A. Petersen, B. De Waal, J. Mukuddem-Petersen and M.P. Mulaudzi

Volume 14, issue 2, 2014

The market pricing of the lifeboat provision in a closed-end fund pp. 189-197

Chunyang Zhou, Chongfeng Wu and Wenfeng Wu

Parsimonious HJM modelling for multiple yield curve dynamics pp. 199-210

N. Moreni and Andrea Pallavicini

Market Liquidity: Asset Pricing, Risk, and Crises pp. 211-212

Robert Korajczyk

Longevity hedge effectiveness: a decomposition pp. 217-235

Andrew J.G. Cairns, Kevin Dowd, David Blake and Guy D. Coughlan

On efficiency of mean--variance based portfolio selection in defined contribution pension schemes pp. 237-258

Elena Vigna

Valuing clustering in catastrophe derivatives pp. 259-270

Sebastian Jaimungal and Yuxiang Chong

Estimation methods for expected shortfall pp. 271-291

Saralees Nadarajah, Bo Zhang and Stephen Chan

Estimation of tail-related value-at-risk measures: range-based extreme value approach pp. 293-304

Heng-Chih Chou and David K. Wang

How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used pp. 305-325

Jung-Bin Su

The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees pp. 327-342

Jing Li and Alexander Szimayer

Bayesian analysis of equity-linked savings contracts with American-style options pp. 343-356

Arto Luoma, Anne Puustelli and Lasse Koskinen

Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model pp. 357-368

Filip Uzelac and Alexander Szimayer

Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility pp. 369-382

Ryan Donnelly, Sebastian Jaimungal and Dmitri H. Rubisov

Volume 14, issue 1, 2014

The role of volatility regimes on volatility transmission patterns pp. 1-13

Nikos Nomikos and Enrique Salvador

The fair value of FX options. Do you get what you pay for? pp. 15-23

Vincent Charvin, Jonathan Fullwood and Jessica James

Oxford Handbook of Credit Derivatives pp. 25-26

Dominic O'Kane

Robust risk measurement and model risk pp. 29-58

Paul Glasserman and Xingbo Xu

Arbitrage-free SVI volatility surfaces pp. 59-71

Jim Gatheral and Antoine Jacquier

Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization pp. 73-85

Jian Geng, I. Michael Navon and Xiao Chen

Bridge homogeneous volatility estimators pp. 87-99

A. Saichev, D. Sornette, V. Filimonov and Fulvio Corsi

Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities pp. 101-110

Jimmy E. Hilliard

Do affine jump-diffusion models require global calibration? Empirical studies from option markets pp. 111-123

Seungho Yang and Jaewook Lee

Risk adjustments of option prices under time-changed dynamics pp. 125-141

E. Nicolato and D. Sloth

Option pricing with realistic ARCH processes pp. 143-170

Gilles Zumbach and Luis Fern�ndez

Pricing credit default swaps with bilateral value adjustments pp. 171-188

Alexander Lipton and Ioana Savescu