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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 7, issue 6, 2007

Optimal approximations of power laws with exponentials: application to volatility models with long memory pp. 585-589 Downloads
Thierry Bochud and Damien Challet
Forecasting volatility in GARCH models with additive outliers pp. 591-596 Downloads
Beatriz Catalan and F. Javier Trivez
Conditional tail behaviour and Value at Risk pp. 599-607 Downloads
Fabio Bellini and Gianna Figa-talamanca
Value-at-risk in a market subject to regime switching pp. 609-619 Downloads
Ryohei Kawata and Masaaki Kijima
Value-at-risk forecasts under scrutiny—the German experience pp. 621-636 Downloads
Stefan Jaschke, Gerhard Stahl and Richard Stehle
The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market pp. 637-650 Downloads
Luis Muga and Rafael Santamaria
Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets pp. 651-667 Downloads
Thomas Chiang, Lin Tan and Huimin Li
Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period pp. 669-685 Downloads
Chaker Aloui
Testing asymmetry in financial time series pp. 687-696 Downloads
Francesco Lisi
Comments on 'A theory of non-Gaussian option pricing' pp. 697-699 Downloads
Gil Adams, Yuhua Yuan and Michael Kelly
A theory of non-Gaussian option pricing pp. 701-701 Downloads
Lisa Borland
A non-Gaussian option pricing model with skew pp. 703-703 Downloads
Lisa Borland and Jean-Philippe Bouchaud

Volume 7, issue 5, 2007

Model-free price hedge ratios for homogeneous claims on tradable assets pp. 473-479 Downloads
Carol Alexander and Leonardo Nogueira
A remark on managerial behaviour and agency cost pp. 483-485 Downloads
Zhihui Gu and Qingyuan Zhang
On the structure of Gaussian pricing models and Gaussian Markov functional models pp. 487-496 Downloads
C. D. D. Neumann
A test of the beta model on Eurodollar futures options pp. 497-505 Downloads
Les Gulko
Volatility surfaces: theory, rules of thumb, and empirical evidence pp. 507-524 Downloads
Toby Daglish, John Hull and Wulin Suo
Solvable local and stochastic volatility models: supersymmetric methods in option pricing pp. 525-535 Downloads
Pierre Henry-labordere
Insiders' hedging in a jump diffusion model pp. 537-545 Downloads
Kiseop Lee and Seongjoo Song
On the existence of an efficient hedge for an American contingent claim within a discrete time market pp. 547-551 Downloads
Leonel Pérez-Hernández
The volatility of temperature and pricing of weather derivatives pp. 553-561 Downloads
Fred ESPEN Benth and Jurate saltyte Benth
On option pricing models in the presence of heavy tails pp. 563-573 Downloads
Michel Vellekoop and Hans Nieuwenhuis
A jump telegraph model for option pricing pp. 575-583 Downloads
Nikita Ratanov

Volume 7, issue 4, 2007

Introduction to the special issue on portfolio construction and risk management pp. 357-358 Downloads
M. A. H. Dempster, Gautam Mitra and Georg Ch. Pflug
Coherent measures of risk in everyday market practice pp. 359-364 Downloads
Carlo Acerbi
DC pension fund benchmarking with fixed-mix portfolio optimization pp. 365-370 Downloads
M. A. H. Dempster, E. A. Germano, M. Medova, M. I. Rietbergen, F. Sandrini, M. Scrowston and N. Zhang
Higher moment coherent risk measures pp. 373-387 Downloads
Pavlo A. Krokhmal
On the feasibility of portfolio optimization under expected shortfall pp. 389-396 Downloads
Stefano Ciliberti, Imre Kondor and Marc Mezard
Stability analysis of portfolio management with conditional value-at-risk pp. 397-409 Downloads
Michal Kaut, Hercules Vladimirou, Stein Wallace and Stavros Zenios
Stress testing for VaR and CVaR pp. 411-421 Downloads
Jitka Dupacova and Jan PolIvka
Stable distributions in the Black-Litterman approach to asset allocation pp. 423-433 Downloads
Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev and Frank Fabozzi
Ambiguity in portfolio selection pp. 435-442 Downloads
Georg Pflug and David Wozabal
Mean-risk models using two risk measures: a multi-objective approach pp. 443-458 Downloads
Diana Roman, Kenneth Darby-Dowman and Gautam Mitra
Implied non-recombining trees and calibration for the volatility smile pp. 459-472 Downloads
Chris Charalambous, Nicos Christofides, Eleni D. Constantinide and Spiros H. Martzoukos

Volume 7, issue 3, 2007

Financial Pareto ratios pp. 257-260 Downloads
Saralees Nadarajah and Samuel Kotz
Country risk and the estimation of asset return distributions pp. 261-265 Downloads
Robert Brooks, Xibin Zhang and Emawtee Bissoondoyal Bheenick
A positive interest rate model with sticky barrier pp. 269-284 Downloads
Yuri Kabanov, Masaaki Kijima and Sofiane Rinaz
A simple solution for sticky cap and sticky floor pp. 285-287 Downloads
Roberto Baviera
Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach pp. 289-300 Downloads
Jonathan M. Godbey and Jimmy E. Hilliard
Modelling stock price movements: multifractality or multifractionality? pp. 301-319 Downloads
Sergio Bianchi and Augusto Pianese
Overreaction diamonds: precursors and aftershocks for significant price changes pp. 321-342 Downloads
Ahmet Duran and Gunduz Caginalp
Bayesian analysis of the factor model with finance applications pp. 343-356 Downloads
Sik-Yum Lee, Wai-Yin Poon and Xin-Yuan Song

Volume 7, issue 2, 2007

Introduction to the special issue on financial planning in a dynamical setting pp. 111-112 Downloads
M. A. H. Dempster, Gautam Mitra and Georg Ch. Pflug
Trends in quantitative equity management: survey results pp. 115-122 Downloads
Frank Fabozzi, Sergio Focardi and Caroline Jonas
Portfolio optimization under the Value-at-Risk constraint pp. 125-136 Downloads
Traian A. Pirvu
Dynamic consumption and asset allocation with derivative securities pp. 137-149 Downloads
Yuan-Hung Hsuku
Volatility-induced financial growth pp. 151-160 Downloads
Michael A. H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé
Constant rebalanced portfolios and side-information pp. 161-173 Downloads
E. Fagiuoli, Fabio Stella and A. Ventura
Improving performance for long-term investors: wide diversification, leverage, and overlay strategies pp. 175-187 Downloads
John M. Mulvey, Cenk Ural and Zhuojuan Zhang
Stochastic programming for funding mortgage pools pp. 189-216 Downloads
Gerd Infanger
Scenario-generation methods for an optimal public debt strategy pp. 217-229 Downloads
Massimo Bernaschi, Maya Briani, Marco Papi and Davide Vergni
Solving ALM problems via sequential stochastic programming pp. 231-244 Downloads
Florian Herzog, Gabriel Dondi, Simon Keel, Lorenz M. Schumani and Hans P. Geering
Designing minimum guaranteed return funds pp. 245-256 Downloads
M. A. H. Dempster, M. Germano, E. A. Medova, M. I. Rietbergen, F. Sandrini and M. Scrowston

Volume 7, issue 1, 2007

Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques pp. 1-12 Downloads
David Buckle
The effect of size-based regulation on an economic system exhibiting self-organized criticality pp. 13-16 Downloads
Di Lu and Shuming Du
BookReview pp. 17-18 Downloads
Ulrich Horst
Multi-scaling in finance pp. 21-36 Downloads
T. Di Matteo
Do supply and demand drive stock prices? pp. 37-53 Downloads
Carl Hopman
Relative volume as a doubly stochastic binomial point process pp. 55-62 Downloads
James McCulloch
The geometry of crashes. A measure of the dynamics of stock market crises pp. 63-74 Downloads
Tanya Araújo and Francisco Louçã
Is there an informationally passive benchmark for option pricing incorporating maturity? pp. 75-86 Downloads
Vicky Henderson, David Hobson and Tino Kluge
Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α-quantile options pp. 87-94 Downloads
Kwai Sun Leung and Yue Kuen Kwok
Calibration of a nonlinear feedback option pricing model pp. 95-110 Downloads
Simona Sanfelici
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