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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 8, issue 8, 2008

Optimal time to sell a stock in the Black-Scholes model: comment on 'Thou shalt buy and hold', by A. Shiryaev, Z. Xu and X.Y. Zhou pp. 753-760 Downloads
Satya Majumdar and Jean-Philippe Bouchaud
Response to comment on 'Thou shalt buy and hold' pp. 761-762 Downloads
Albert Shiryaev, Zuoquan Xu and Xun Yu Zhou
Thou shalt buy and hold pp. 765-776 Downloads
Albert Shiryaev, Zuoquan Xu and Xun Yu Zhou
Bankruptcy in long-term investments pp. 777-794 Downloads
Minjie Yu, Qiang Zhang and Dennis Yang
Arbitrage pricing of defaultable game options with applications to convertible bonds pp. 795-810 Downloads
Tomasz Bielecki, Stephane Crepey, Monique Jeanblanc and Marek Rutkowski
Bond pricing when the short-term interest rate follows a threshold process pp. 811-822 Downloads
Wolfgang Lemke and Theofanis Archontakis
Modeling stock pinning pp. 823-831 Downloads
Marc Jeannin, Giulia Iori and David Samuel
Update rules for convex risk measures pp. 833-843 Downloads
Sina Tutsch
Improved lower and upper bound algorithms for pricing American options by simulation pp. 845-861 Downloads
Mark Broadie and Menghui Cao

Volume 8, issue 7, 2008

On the challenges in quantitative equity management pp. 649-665 Downloads
Frank Fabozzi, Sergio Focardi and Caroline Jonas
Modelling bonds and credit default swaps using a structural model with contagion pp. 669-680 Downloads
Helen Haworth, Christoph Reisinger and William Shaw
Liquidity risk theory and coherent measures of risk pp. 681-692 Downloads
Carlo Acerbi and Giacomo Scandolo
Value versus growth: stochastic dominance criteria pp. 693-704 Downloads
Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao
Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series pp. 705-722 Downloads
Christoly Biely and Stefan Thurner
Detecting log-periodicity in a regime-switching model of stock returns pp. 723-738 Downloads
George Chang and James Feigenbaum
Turbo warrants under stochastic volatility pp. 739-751 Downloads
Hoi Ying Wong and Chun Man Chan

Volume 8, issue 6, 2008

Individual asset liability management pp. 547-560 Downloads
E. A. Medova, J. K. Murphy, A. P. Owen and K. Rehman
Employee stock option valuation with repricing features pp. 561-569 Downloads
Kwai Sun Leung and Yue Kuen Kwok
Coupling smiles pp. 573-590 Downloads
Valdo Durrleman and Nicole El Karoui
A multifactor volatility Heston model pp. 591-604 Downloads
José Da Fonseca, Martino Grasselli and Claudio Tebaldi
Enhancing hedging performance with the spanning polynomial projection pp. 605-617 Downloads
An-Sing Chen and Yan-Zhen Liu
Local likelihood estimators in a regression model for stock returns pp. 619-635 Downloads
Uwe Christian Jonck
Hybrid versus highbred: combined economic models with time-series analyses pp. 637-647 Downloads
Leon Li

Volume 8, issue 5, 2008

A preliminary enquiry into the causes of the Credit Crunch pp. 435-451 Downloads
David Murphy
Black-Scholes theory for an underlying with multiple attractors pp. 453-457 Downloads
Frederik Herzberg
Perpetual American options in incomplete markets: the infinitely divisible case pp. 461-469 Downloads
Vicky Henderson and David Hobson
Pricing a class of exotic commodity options in a multi-factor jump-diffusion model pp. 471-483 Downloads
John Crosby
Least-squares Importance Sampling for Monte Carlo security pricing pp. 485-497 Downloads
Luca Capriotti
A probabilistic analysis of the trading the line strategy pp. 499-512 Downloads
V. Abramov, M. K. Khan and R. A. Khan
Financial markets in the laboratory: an experimental analysis of some stylized facts pp. 513-532 Downloads
Andrea Morone
An empirical re-examination of the dividend-investment relation pp. 533-546 Downloads
Mbodja Mougoue

Volume 8, issue 4, 2008

Can the January anomaly in Taiwan's stock market be explained by the prospect theory? pp. 335-339 Downloads
Chin-Chen Chien and Tsung-Cheng Chen
Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany pp. 341-349 Downloads
Josep Garcia Blandon
Analysing liquidity and absorption limits of electronic markets with volume durations pp. 353-361 Downloads
Wing Lon Ng
Wealth-driven competition in a speculative financial market: examples with maximizing agents pp. 363-380 Downloads
Mikhail Anufriev
Conditional risk-return relationship in a time-varying beta model pp. 381-390 Downloads
Peng Huang and C. Hueng
Historical simulation approach to the estimation of stochastic discount factor models pp. 391-404 Downloads
Andrei Semenov
A new computational tool for analysing dynamic hedging under transaction costs pp. 405-413 Downloads
James Primbs and Yuji Yamada
Risk-sensitive benchmarked asset management pp. 415-426 Downloads
Mark Davis and Sebastien Lleo
New and robust drift approximations for the LIBOR market model pp. 427-434 Downloads
Mark Joshi and Alan Stacey

Volume 8, issue 3, 2008

High-frequency trading in a limit order book pp. 217-224 Downloads
Marco Avellaneda and Sasha Stoikov
Multi-asset minority games pp. 225-231 Downloads
G. Bianconi, A. De Martino, F. F. Ferreira and M. Marsili
Price discovery in the presence of boundedly rational agents pp. 235-249 Downloads
Karl Ludwig Keiber
Long-memory in high-frequency exchange rate volatility under temporal aggregation pp. 251-261 Downloads
David Mcmillan and Alan Speight
The implied volatility smirk pp. 263-284 Downloads
Jin Zhang and Yi Xiang
On the super-replicating approach when trading a derivative is limited pp. 285-297 Downloads
Sergei Isaenko
Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach pp. 299-312 Downloads
Peter Meindl and James Primbs
American futures options arbitrage: evidence from the Nikkei 225 options market pp. 313-320 Downloads
Changyun Wang, Wei Zhang and Weng Kit Tan
US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk pp. 321-334 Downloads
Kwamie Dunbar

Volume 8, issue 2, 2008

Option valuation, time-changed processes and the fast Fourier transform pp. 103-108 Downloads
Oscar Gutierrez
Goodness-of-fit tests for parametric families of Archimedean copulas pp. 109-116 Downloads
Cornelia Savu and Mark Trede
Pricing options with Green's functions when volatility, interest rate and barriers depend on time pp. 119-133 Downloads
Gregor Dorfleitner, Paul Schneider, Kurt Hawlitschek and Arne Buch
Enhanced policy iteration for American options via scenario selection pp. 135-146 Downloads
Christian Bender, Anastasia Kolodko and John Schoenmakers
Path integral pricing of Asian options on state-dependent volatility models pp. 147-161 Downloads
Giuseppe Campolieti and Roman Makarov
Fast swaption pricing under the market model with a square-root volatility process pp. 163-180 Downloads
Lixin Wu and Fan Zhang
A multi-factor jump-diffusion model for commodities pp. 181-200 Downloads
John Crosby
Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns pp. 201-215 Downloads
Don Galagedera and Elizabeth Maharaj

Volume 8, issue 1, 2008

Financial markets. The joy of volatility pp. 1-3 Downloads
M. A. H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé
Impact of economic data surprises on exchange rates in the inter-dealer market pp. 5-15 Downloads
Jessica James and Kristjan Kasikov
The next tick on Nasdaq pp. 19-40 Downloads
Bruce Mizrach
Relation between bid-ask spread, impact and volatility in order-driven markets pp. 41-57 Downloads
Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters and Michele Vettorazzo
Heterogeneity, convergence, and autocorrelations pp. 59-79 Downloads
Xuezhong He and Youwei Li
Semiparametric diffusion estimation and application to a stock market index pp. 81-92 Downloads
Wolfgang Härdle, Torsten Kleinow, Alexander Korostelev, Camille Logeay and Eckhard Platen
Risk-adjusted value allocation for (non-traded) assets with performance ratios pp. 93-102 Downloads
Johannes Leitner
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