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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 9, issue 8, 2009

Equity portfolio risk estimation using market information and sentiment pp. 887-895 Downloads
Leela Mitra, Gautam Mitra and Dan Dibartolomeo
The news of no news in stock markets pp. 897-909 Downloads
Oral Erdoğan and Ari Yezegel
Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter pp. 913-924 Downloads
George Woodward and Heather Anderson
MaxVaR for non-normal and heteroskedastic returns pp. 925-935 Downloads
Malay Bhattacharyya, Nityanand Misra and Bharat Kodase
Modelling spikes and pricing swing options in electricity markets pp. 937-949 Downloads
Ben Hambly, Sam Howison and Tino Kluge
On the valuation of compositions in Levy term structure models pp. 951-959 Downloads
Wolfgang Kluge and Antonis Papapantoleon
An axiomatic characterization of capital allocations of coherent risk measures pp. 961-965 Downloads
Michael Kalkbrener
Investment decisions, net present value and bounded rationality pp. 967-979 Downloads
Carlo Alberto Magni

Volume 9, issue 7, 2009

Capital requirements, acceptable risks and profits pp. 767-773 Downloads
Dilip Madan
The causes of the credit crunch: a backwards look? pp. 775-790 Downloads
David Murphy
The Epps effect revisited pp. 793-802 Downloads
Bence Toth and Janos Kertesz
Pricing and capital requirements for with profit contracts: modelling considerations pp. 803-817 Downloads
Laura Ballotta
Valuing qualitative options with stochastic volatility pp. 819-825 Downloads
Bong-Gyu Jang and Kum-Hwan Roh
Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree pp. 827-838 Downloads
Tian-Shyr Dai
An empirical analysis of multivariate copula models pp. 839-854 Downloads
Matthias Fischer, Christian Kock, Stephan Schluter and Florian Weigert
Gram-Charlier densities: a multivariate approach pp. 855-868 Downloads
Esther Del Brio, Trino Ñíguez Grau and Javier Perote
Robust portfolio selection under downside risk measures pp. 869-885 Downloads
Shushang Zhu, Duan Li and Shouyang Wang

Volume 9, issue 6, 2009

Evaluating style investment—Does a fund market defined along equity styles add value? pp. 637-651 Downloads
Woo Chang Kim and John Mulvey
On the long-term behavior of mutual fund returns pp. 653-660 Downloads
Luis Doncel Pedrera, Pilar Grau and Jorge Sainz
Spectral methods for volatility derivatives pp. 663-692 Downloads
Claudio Albanese, Harry Lo and Aleksandar Mijatovic
Risk minimization in stochastic volatility models: model risk and empirical performance pp. 693-704 Downloads
Rolf Poulsen, Klaus Schenk-Hoppé and Christian-Oliver Ewald
Pseudospectral methods for pricing options pp. 705-715 Downloads
Sangwon Suh
A dynamic programming approach for pricing CDS and CDS options pp. 717-726 Downloads
Hatem Ben-Ameur, Damiano Brigo and Eymen Errais
Numerical computation of Theta in a jump-diffusion model by integration by parts pp. 727-735 Downloads
Delphine David and Nicolas Privault
Evaluating portfolio Value-at-Risk using semi-parametric GARCH models pp. 737-745 Downloads
Jeroen Rombouts and Marno Verbeek
VaR and expected shortfall: a non-normal regime switching framework pp. 747-755 Downloads
Robert Elliott and Hong Miao
Capital market equilibrium with heterogeneous investors pp. 757-766 Downloads
Haim Shalit and Shlomo Yitzhaki

Volume 9, issue 5, 2009

Modeling risk in arbitrage strategies using finite mixtures pp. 495-503 Downloads
Adam Tashman and Robert Frey
Time reversal invariance in finance pp. 505-515 Downloads
Gilles Zumbach
Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals pp. 519-525 Downloads
Ngai Hang Chan and Chi Tim Ng
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? pp. 527-545 Downloads
Roberto Pascual and David Veredas
Diffusive behavior and the modeling of characteristic times in limit order executions pp. 547-563 Downloads
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo and Rosario Mantegna
Portfolio diversification and value at risk under thick-tailedness pp. 565-580 Downloads
Rustam Ibragimov
Capital allocation for credit portfolios with kernel estimators pp. 581-595 Downloads
Dirk Tasche
A multivariate Levy process model with linear correlation pp. 597-606 Downloads
Reiichiro Kawai
Volatility transmission patterns and terrorist attacks pp. 607-619 Downloads
Helena Chuliá, Francisco Climent, Pilar Soriano and Hipolit Torro
A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms pp. 621-636 Downloads
Joaquim Ramalho and Jacinto Vidigal da Silva

Volume 9, issue 4, 2009

Credit contagion and credit risk pp. 373-382 Downloads
J. P. L. Hatchett and R. Kuhn
Implied Levy volatility pp. 383-393 Downloads
Jose Manuel Corcuera, Florence Guillaume, Peter Leoni and Wim Schoutens
Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance pp. 397-409 Downloads
Álvaro Cartea and Sam Howison
Pricing measures, forward measures and semigroups pp. 411-416 Downloads
Jinke Zhou and Xiaolu Wang
Arbitrage-free smoothing of the implied volatility surface pp. 417-428 Downloads
Matthias Fengler
Computing the endogenous mortgage rate without iterations pp. 429-438 Downloads
Yevgeny Goncharov
Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models pp. 439-449 Downloads
Dirk Prange and Wolfgang Scherer
A continuous-time model for reinvestment risk in bond markets pp. 451-464 Downloads
Mikkel Dahl
Unexpected volatility and intraday serial correlation pp. 465-475 Downloads
Simone Bianco and Roberto Renò
Feedback trading and intermittent market turbulence pp. 477-489 Downloads
Demosthenes Tambakis

Volume 9, issue 3, 2009

Embracing change: financial informatics and risk analytics pp. 243-256 Downloads
Mark Flood
Evidence for state transition and altered serial codependence in US$ interest rates pp. 259-278 Downloads
Riccardo Rebonato and Jian Chen
A two-factor model for the electricity forward market pp. 279-287 Downloads
Rudiger Kiesel, Gero Schindlmayr and Reik Borger
An analytic approximation of the likelihood function for the Heston model volatility estimation problem pp. 289-296 Downloads
Amir Atiya and Steve Wall
Insider trading with correlation between liquidity trading and a public signal pp. 297-304 Downloads
Katsumasa Nishide
Nonlinear dynamical structural equation models pp. 305-314 Downloads
Wenyang Zhang and Sik-Yum Lee
Regression methods in pricing American and Bermudan options using consumption processes pp. 315-327 Downloads
Denis Belomestny, Grigori Milstein and Vladimir Spokoiny
Double knock-out Asian barrier options which widen or contract as they approach maturity pp. 329-340 Downloads
C. Atkinson and S. Kazantzaki
Barrier option pricing: a hybrid method approach pp. 341-352 Downloads
Andrew Ming-Long Wang, Yu-Hong Liu and Yi-Long Hsiao
Risky asset pricing based on safety first fund management pp. 353-361 Downloads
Yuanyao Ding and Bo Zhang
An exact test on structural changes in the weights of the global minimum variance portfolio pp. 363-370 Downloads
Taras Bodnar

Volume 9, issue 2, 2009

[image omitted] Uncovered interest parity and the FX carry trade pp. 123-127 Downloads
Jessica James, Kristjan Kasikov and Aysu Secmen
A multi-quality model of interest rates pp. 133-145 Downloads
Masaaki Kijima, Keiichi Tanaka and Tony Wong
Efficient estimation of transition rates between credit ratings from observations at discrete time points pp. 147-160 Downloads
Mogens Bladt and Michael SØrensen
Portfolio choice under dynamic investment performance criteria pp. 161-170 Downloads
M. Musiela and T. Zariphopoulou
Achieving smooth asymptotics for the prices of European options in binomial trees pp. 171-176 Downloads
Mark Joshi
Pricing jump risk with utility indifference pp. 177-186 Downloads
Lixin Wu and Min Dai
Estimating default barriers from market information pp. 187-196 Downloads
Hoi Ying Wong and Tsz Wang Choi
Coherent hedging in incomplete markets pp. 197-206 Downloads
Birgit Rudloff
Law of large numbers and large deviations for dependent risks pp. 207-215 Downloads
Ramona Maier and Mario Wuthrich
Empirical analysis of the average asset correlation for real estate investment trusts pp. 217-229 Downloads
Jose Lopez
Investment strategies in the long run with proportional transaction costs and a HARA utility function pp. 231-242 Downloads
Petr Dostal

Volume 9, issue 1, 2009

Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan pp. 1-8 Downloads
Hwei-Lin Chuang, Shih-Cheng Lee, Yi-Chun Lin and Min-Teh Yu
Statistical properties of an experimental political futures market pp. 9-16 Downloads
Sun-Chong Wang, Sai-Ping Li, Chung-Ching Tai and Shu-Heng Che
Equity with Markov-modulated dividends pp. 19-26 Downloads
Giuseppe Di Graziano and L. C. G. Rogers
Sato processes and the valuation of structured products pp. 27-42 Downloads
Ernst Eberlein and Dilip Madan
Robust estimation of historical volatility and correlations in risk management pp. 43-54 Downloads
Alexander Tchernitser and Dmitri Rubisov
Estimating risk-neutral density with parametric models in interest rate markets pp. 55-70 Downloads
Frank Fabozzi, Radu Tunaru and George Albota
Efficient factor GARCH models and factor-DCC models pp. 71-91 Downloads
Kun Zhang and Laiwan Chan
Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models pp. 93-104 Downloads
Beum Jo Park
Non-parametric estimation of a multiscale CHARN model using SVR pp. 105-121 Downloads
Amir Safari and Detlef Seese
Page updated 2019-06-27