Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 13, issue 12, 2013

On pricing basket credit default swaps pp. 1845-1854

Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu and Harry Zheng

Pricing corporate debt with finite maturity and chapter 11 proceedings pp. 1855-1861

Min Dai, Lishang Jiang and Jianwei Lin

Counterparty Credit Risk pp. 1863-1865

Samim Ghamami

Credit gap risk in a first passage time model with jumps pp. 1871-1889

Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt

Default probability estimation in small samples--with an application to sovereign bonds pp. 1891-1902

Walter Orth

The impact of different correlation approaches on valuing credit default swaps with counterparty risk pp. 1903-1913

Gunter Meissner, Seth Rooder and Kristofor Fan

Measuring marginal risk contributions in credit portfolios pp. 1915-1923

Thomas Siller

Interest rates and default in unsecured loan markets pp. 1925-1934

Jose Angelo Divino, Edna Souza Lima and Jaime Orrillo

A collateralized loan's loss under a quadratic Gaussian default intensity process pp. 1935-1946

Satoshi Yamashita and Toshinao Yoshiba

Forecasting credit ratings with the varying-coefficient model pp. 1947-1965

Ruey-Ching Hwang

On the conditional default probability in a regulated market with jump risk pp. 1967-1975

Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang

Modeling of commercial real estate credit risks pp. 1977-1989

Yong Kim

Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure pp. 1991-2010

Gian Luca Tassinari and Corrado Corradi

Volume 13, issue 11, 2013

Mathematical definition, mapping, and detection of (anti)fragility pp. 1677-1689

N. N. Taleb and Raphael Douady

Antifragile: Things That Gain from Disorder pp. 1691-1692

Jeff Holman

Anti-fragile: How to Live in a World We Don't Understand pp. 1693-1695

Con Keating

The reactive volatility model pp. 1697-1706

Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura and Qian Liu

Limit order books pp. 1709-1742

Martin D. Gould, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn and Sam D. Howison

How efficiency shapes market impact pp. 1743-1758

J. Farmer, Austin Gerig, Fabrizio Lillo and Henri Waelbroeck

The non-linear market impact of large trades: evidence from buy-side order flow pp. 1759-1778

Nataliya Bershova and Dmitry Rakhlin

Rebuilding the limit order book: sequential Bayesian inference on hidden states pp. 1779-1799

Hugh L. Christensen, Richard E. Turner, Simon I. Hill and Simon J. Godsill

Smooth and bid-offer compliant volatility surfaces under general dividend streams pp. 1801-1812

Olivier Bachem, Gabriel Drimus and Walter Farkas

Fast Ninomiya--Victoir calibration of the double-mean-reverting model pp. 1813-1829

Christian Bayer, Jim Gatheral and Morten Karlsmark

American option valuation using first-passage densities pp. 1831-1843

�scar Guti�rrez

Volume 13, issue 10, 2013

Do sovereign wealth funds herd in equity markets? pp. 1503-1518

Valeria Miceli

Investment instruments with volatility target mechanism pp. 1519-1528

S. Albeverio, V. Steblovskaya and K. Wallbaum

Pension Finance: Putting the Risks and Costs of Defined Benefit Plans Back Under Your Control pp. 1529-1530

Vadim Gracie

Minimizing shortfall pp. 1533-1545

Lisa R. Goldberg, Michael Y. Hayes and Ola Mahmoud

A stochastic volatility model and optimal portfolio selection pp. 1547-1558

Xudong Zeng and Michael Taksar

Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication pp. 1559-1573

Akihiko Takahashi and Kyo Yamamoto

Efficient portfolio valuation incorporating liquidity risk pp. 1575-1586

Yu Tian, Ron Rood and Cornelis Oosterlee

Performance analysis of log-optimal portfolio strategies with transaction costs pp. 1587-1597

Mihály Ormos and Andr�s Urb�n

Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints pp. 1599-1612

Isabelle Bajeux-Besnainou, Roland Portait and Guillaume Tergny

Market timing ability and mutual funds: a heterogeneous agent approach pp. 1613-1620

Bart Frijns, Aaron Gilbert and Remco Zwinkels

Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures pp. 1621-1635

Jun-Ya Gotoh, Keita Shinozaki and Akiko Takeda

Reliability-based portfolio optimization with conditional value at risk (CVaR) pp. 1637-1651

Raghu Nandan Sengupta and Siddharth Sahoo

Extension of the random matrix theory to the L-moments for robust portfolio selection pp. 1653-1673

Ghislain Yanou

Volume 13, issue 9, 2013

Good times, bad times: inflation uncertainty and equity returns pp. 1331-1342

Victoria Galsband

Impact of meta-order in the Minority Game pp. 1343-1352

A. C. Barato, I. Mastromatteo, M. Bardoscia and M. Marsili

Numerical Solution of Stochastic Differential Equations with Jumps in Finance pp. 1353-1355

Andrew Papanicolaou

A moment matching market implied calibration pp. 1359-1373

Florence Guillaume and Wim Schoutens

Relative forecasting performance of volatility models: Monte Carlo evidence pp. 1375-1394

Thomas Lux and Leonardo Morales-Arias

Optimal trade execution under price-sensitive risk preferences pp. 1395-1409

Stefan Ankirchner and Thomas Kruse

Pairs trading based on statistical variability of the spread process pp. 1411-1430

Timofei Bogomolov

Modeling trade duration in U.S. Treasury markets pp. 1431-1442

Mardi Dungey, Ólan Henry and Michael Mckenzie

Block bootstrap methods and the choice of stocks for the long run pp. 1443-1457

Philippe Cogneau and Valeri Zakamouline

A mean/variance approach to long-term fixed-income portfolio allocation pp. 1459-1471

Gilles Zumbach

Time consistency of dynamic risk measures in markets with transaction costs pp. 1473-1489

Zachary Feinstein and Birgit Rudloff

Revisiting the demand for money function: evidence from the random coefficients approach pp. 1491-1502

Chien-Chiang Lee and An-Hsing Chang

Volume 13, issue 8, 2013

Free boundary problems and perpetual American strangles pp. 1149-1155

Ming-Chi Chang and Yuan-Chung Sheu

Option pricing under hybrid stochastic and local volatility pp. 1157-1165

Sun-Yong Choi, Jean-Pierre Fouque and Jeong-Hoon Kim

On the performance of delta hedging strategies in exponential L�vy models pp. 1173-1184

Stephan Denkl, Martina Goy, Jan Kallsen, Johannes Muhle-Karbe and Arnd Pauwels

Using relative returns to accommodate fat-tailed innovations in processes and option pricing pp. 1185-1197

Cathy O'Neil and Gilles Zumbach

Pricing levered warrants with dilution using observable variables pp. 1199-1209

Isabel Abinzano and Javier Navas

A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk pp. 1211-1223

Yung-Ming Shiu, Pai-Lung Chou and Jen-Wen Sheu

Are Chinese warrants derivatives? Evidence from connections to their underlying stocks pp. 1225-1240

Ke Tang and Changyun Wang

The bid--ask spread of bank-issued options: a quantile regression analysis pp. 1241-1255

Giovanni Petrella and Reuben Segara

Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes pp. 1257-1287

Dervis Bayazit and Craig A. Nolder

Log Student’s t -distribution-based option sensitivities: Greeks for the Gosset formulae pp. 1289-1302

Daniel T. Cassidy, Michael J. Hamp and Rachid Ouyed

Computation of Greeks for asset price dynamics driven by stable and tempered stable processes pp. 1303-1316

Reiichiro Kawai and Atsushi Takeuchi

Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity pp. 1317-1330

Sergio Bianchi, A. Pantanella and A. Pianese

Volume 13, issue 7, 2013

A formalization of double auction market dynamics pp. 981-988

Edward Tsang, Richard Olsen and Shaimaa Masry

Conservatism bias in the presence of strategic interaction pp. 989-996

Guo Ying Luo

Great by Choice: Uncertainty, Chaos, and Luck -- Why Some Thrive Despite Them All pp. 997-999

Lloyd Kurtz

Primal--dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps pp. 1003-1013

Sven Balder, Antje Mahayni and John Schoenmakers

Applying hedging strategies to estimate model risk and provision calculation pp. 1015-1028

Alberto Elices and Eduard Gim�nez

Arbitrage-free interval and dynamic hedging in an illiquid market pp. 1029-1039

Jinqiang Yang and Zhaojun Yang

The term structure of S&P 100 model-free volatilities pp. 1041-1058

Kian-Guan Lim and Christopher Ting

The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks pp. 1059-1070

Matthieu Duvinage, Paolo Mazza and Mikael Petitjean

Analysis of trade packages in the Chinese stock market pp. 1071-1089

Fei Ren and Wei-Xing Zhou

Industry herding and market states: evidence from Chinese stock markets pp. 1091-1113

Chien-Chiang Lee, Mei-Ping Chen and Kuan-Mien Hsieh

Time zone normalization of FX seasonality pp. 1115-1123

S. Masry, A. Dupuis, R. B. Olsen and E. Tsang

Do foreign exchange fund managers behave like heterogeneous agents? pp. 1125-1134

Willem Verschoor and Remco Zwinkels

Currency total return swaps: valuation and risk factor analysis pp. 1135-1148

Romain Cuchet, Pascal François and Georges Hübner

Volume 13, issue 6, 2013

Optimal hedging in discrete time pp. 819-825

Bruno R�millard and Sylvain Rubenthaler

Good deals in markets with friction pp. 827-836

Alejandro Balbás, Beatriz Balbás and Raquel Balbás

The Theory That Would Not Die pp. 837-838

Maurizio Ferconi

Pricing Bermudan options using low-discrepancy mesh methods pp. 841-860

Phelim P. Boyle, Adam W. Kolkiewicz and Ken Seng Tan

A new sampling strategy willow tree method with application to path-dependent option pricing pp. 861-872

Wei Xu, Zhiwu Hong and Chenxiang Qin

A multi-dimensional local average lattice method for multi-asset models pp. 873-884

Kyoung-Sook Moon and Hongjoong Kim

A simple iterative method for the valuation of American options pp. 885-895

In Joon Kim, Bong-Gyu Jang and Kyeong Tae Kim

The exact smile of certain local volatility models pp. 897-905

Matthew Lorig

On the computation of option prices and Greeks under the CEV model pp. 907-917

Manuela Larguinho, José Carlos Dias and Carlos A. Braumann

Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation pp. 919-937

S. T. Tse and Justin W. L. Wan

On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model pp. 939-954

Sai Hung Marten Ting and Christian-Oliver Ewald

Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates pp. 955-966

Rehez Ahlip and Marek Rutkowski

A new class of Bayesian semi-parametric models with applications to option pricing pp. 967-980

Marcin Kacperczyk, Paul Damien and Stephen G. Walker

Volume 13, issue 5, 2012

Active momentum trading versus passive ' naive diversification' pp. 655-663

Anurag Banerjee and Chi-Hsiou Hung

Is hyperbolic discounting really evidence of irrational behavior? pp. 665-670

Philip A. Horvath and Kanhaiyaa Sinha

The Capital Asset Pricing Model in the 21st Century pp. 671-672

Richard Michaud

Variance swap dynamics pp. 675-685

K. Detlefsen and Wolfgang Härdle

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case pp. 687-698

Robert J. Elliott and Guang-Hua Lian

An endogenous volatility approach to pricing and hedging call options with transaction costs pp. 699-712

Leonard C. MacLean, Yonggan Zhao and William T. Ziemba

Fast and realistic European ARCH option pricing and hedging pp. 713-728

Gilles Zumbach and Luis Fernández

Buyer's quantile hedge portfolios in discrete-time trading pp. 729-738

Mustafa Ç. Pinar

Risk premiums in a simple market model for implied volatility pp. 739-748

Bas Peeters

Derivative pricing under asymmetric and imperfect collateralization and CVA pp. 749-768

Masaaki Fujii and Akihiko Takahashi

Semi-closed form cubature and applications to financial diffusion models pp. 769-782

Christian Bayer, Peter Friz and Ronnie Loeffen

Multiple-limit trades: empirical facts and application to lead--lag measures pp. 783-793

Fabrizio Pomponio and Frederic Abergel

Log-normal continuous cascade model of asset returns: aggregation properties and estimation pp. 795-818

E. Bacry, A. Kozhemyak and J. F. Muzy

Volume 13, issue 4, 2013

Stochastic spot price multi-period model and option valuation for electrical markets pp. 483-492

Eivind Helland, Timur Aka and Eric Winnington

Investing in the wine market: a country-level threshold cointegration approach pp. 493-503

Lucia Baldi, Massimo Peri and Daniela Vandone

Econometrics of Financial High-Frequency Data, by Nikolaus Hautsch pp. 505-506

Terrence Hendershott

A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model pp. 509-526

Hiroaki Suenaga

The dynamics of commodity prices pp. 527-542

Chris Brooks and Marcel Prokopczuk

A hybrid commodity and interest rate market model pp. 543-560

K. F. Pilz and Erik Schlogl

The structure of gold and silver spread returns pp. 561-570

Jonathan Batten, Cetin Ciner, Brian Lucey and Peter Szilagyi

Gold and the U.S. dollar: tales from the turmoil pp. 571-582

Paolo Zagaglia and Massimiliano Marzo

Short-term and long-term dependencies of the S&P 500 index and commodity prices pp. 583-592

Michael Graham, Jarno Kiviaho and Jussi Nikkinen

Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model pp. 593-612

Elyas Elyasiani, Iqbal Mansur and Babatunde Odusami

Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade? pp. 613-626

Liyan Han, Rong Liang and Ke Tang

Efficient pricing of swing options in L�vy-driven models pp. 627-635

Oleg Kudryavtsev and Antonino Zanette

Is the EUA a new asset class? pp. 637-653

Vicente Medina and Angel Pardo

Volume 13, issue 3, 2013

An ecological perspective on the future of computer trading pp. 325-346

J. Farmer and Spyros Skouras

More Mathematical Finance pp. 347-348

Stefan Weber

The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship pp. 351-367

Nick Deguillaume, Riccardo Rebonato and Andrey Pogudin

The use of Bayes factors to compare interest rate term structure models pp. 369-381

W. Keener Hughen, Carmelo Giaccotto and Po-Hsuan Hsu

Predicting issuer credit ratings using generalized estimating equations pp. 383-398

Ruey-Ching Hwang

Contagion models a la carte: which one to choose? pp. 399-405

Harry Zheng

An extension of Davis and Lo's contagion model pp. 407-420

Areski Cousin, Diana Dorobantu and Didier Rulliere

A market model with medium/long-term effects due to an insider pp. 421-437

Hiroaki Hata and Arturo Kohatsu-Higa

Firm characteristics that drive the momentum pattern in the UK stock market pp. 439-449

Antonios Siganos

EMU equity markets' return variance and spillover effects from the short-term interest rate pp. 451-470

Ai Jun Hou

Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients pp. 471-481

Kuan Min Wang and Thanh-Binh Nguyen Thi

Volume 13, issue 2, 2013

The buy-and-hold horizon and portfolio choice pp. 159-166

Geoffrey Woglom

Smoothed safety first and the holding of assets pp. 167-176

M. Ryan Haley, Harry Paarsch and Charles H. Whiteman

Thinking, Fast and Slow, by D. Kahneman pp. 177-179

Lisa R. Goldberg

On the numerical stability of simulation methods for SDEs under multiplicative noise in finance pp. 183-194

Eckhard Platen and Lei Shi

Fractional differencing in discrete time pp. 195-204

John Elder, Robert J. Elliott and Hong Miao

Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas pp. 205-226

Alessandro Cipollini and Paul Canty

Asset pricing with disequilibrium price adjustment: theory and empirical evidence pp. 227-239

Cheng-Few Lee, Chiung-Min Tsai and Alice C. Lee

The representation of American options prices under stochastic volatility and jump-diffusion dynamics pp. 241-253

Gerald H. L. Cheang, Carl Chiarella and Andrew Ziogas

A perturbative approach to Bermudan options pricing with applications pp. 255-263

Roberto Baviera and Lorenzo Giada

Multiscale analysis of economic time series by scale-dependent Lyapunov exponent pp. 265-274

Jianbo Gao, Jing Hu, Wen-Wen Tung and Yi Zheng

Prediction accuracy and sloppiness of log-periodic functions pp. 275-280

David S. Br�e, Damien Challet and Pier Paolo Peirano

Equity issues and aggregate market returns under information asymmetry pp. 281-300

Xiaoquan Jiang and Bong-Soo Lee

The augmented Black--Litterman model: a ranking-free approach to factor-based portfolio construction and beyond pp. 301-316

Wing Cheung

The law of one accounting variable pp. 317-322

Haim Reisman

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

Fr�d�ric Abergel and Mauro Politi

Dark Markets, by Darrell Duffie pp. 25-26

Viral 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 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 L�vy models pp. 137-157

Tim Leung and Kazutoshi Yamazaki