Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 12, issue 12, 2012

Inconvenience yield, or the theory of normal contango pp. 1773-1777

Ilia Bouchouev

Long--short versus long-only commodity funds pp. 1779-1785

John M. Mulvey

The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin pp. 1787-1789

Lloyd Kurtz

Determinants of oil futures prices and convenience yields pp. 1795-1809

M. A. H. Dempster, Elena Medova and Ke Tang

Pricing and hedging of long-term futures and forward contracts by a three-factor model pp. 1811-1826

Kenichiro Shiraya and Akihiko Takahashi

An empirical study of the impact of skewness and kurtosis on hedging decisions pp. 1827-1837

Jing-Yi Lai

Analyzing the dynamics of the refining margin: implications for valuation and hedging pp. 1839-1855

Andr�s Garc�a Mirantes, Javier Población and Gregorio Serna

Quantitative spread trading on crude oil and refined products markets pp. 1857-1875

Mark Cummins and Andrea Bucca

Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market pp. 1877-1891

Yijun Du, Chen Wang and Yibing Du

Time-frequency analysis of crude oil and S&P500 futures contracts pp. 1893-1908

Joseph McCarthy and Alexei Orlov

Short-horizon return predictability and oil prices pp. 1909-1934

Jaime Casassus and Freddy Higuera

Modeling the distribution of day-ahead electricity returns: a comparison pp. 1935-1949

Sandro Sapio

The valuation of clean spread options: linking electricity, emissions and fuels pp. 1951-1965

Ren� Carmona, Michael Coulon and Daniel Schwarz

Volume 12, issue 11, 2012

The end of diversification pp. 1629-1636

Jessica James, Kristjan Kasikov and Kerry-Ann Edwards

A look at side-by-side management: evidence from ETFs and mutual funds pp. 1637-1645

Herminio Romero-P�rez and Javier Rodr�guez

Finance and the Good Society, by Robert J. Shiller pp. 1647-1648

Con Keating

Robust and adaptive algorithms for online portfolio selection pp. 1651-1662

Theodoros Tsagaris, Ajay Jasra and Niall Adams

Pricing the Chicago Board of Trade T-Bond futures pp. 1663-1678

Ramzi Ben-Abdallah, Hatem Ben-Ameur and Michèle Breton

Options on realized variance by transform methods: a non-affine stochastic volatility model pp. 1679-1694

Gabriel G. Drimus

Truncation and acceleration of the Tian tree for the pricing of American put options pp. 1695-1708

Ting Chen and Mark Joshi

The macroeconomic content of international equity market factors pp. 1709-1721

Sarantis Tsiaplias

Testing for a rational bubble under long memory pp. 1723-1732

Michael Frömmel and Robinson Kruse

The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure pp. 1733-1751

Maria Bontempi and Roberto Golinelli

An experimental study on real-options strategies pp. 1753-1772

Mei Wang, Abraham Bernstein and Marc Chesney

Volume 12, issue 10, 2012

Capital regulation and auditing pp. 1467-1475

Ensar Yilmaz and Burak Ünveren

On the role of risk in the Morningstar rating for mutual funds pp. 1477-1486

Francesco Lisi and Massimiliano Caporin

Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger pp. 1487-1489

Alec N. Kercheval

Dynamical clustering of exchange rates pp. 1493-1520

Daniel J. Fenn, Mason A. Porter, Peter J. Mucha, Mark McDonald, Stacy Williams, Neil F. Johnson and Nick S. Jones

Do jumps mislead the FX market? pp. 1521-1532

Jean-Yves Gnabo, J�rôme Lahaye, Sébastien Laurent and Christelle Lecourt

Trending time-varying coefficient market models pp. 1533-1546

Chongshan Zhang and Xiangrong Yin

Market risks in asset management companies pp. 1547-1556

Bernd Scherer

Fast simulations in credit risk pp. 1557-1569

Halis Sak and Wolfgang Hörmann

A new method for generating approximation algorithms for financial mathematics applications pp. 1571-1583

Frank Fabozzi, Arturo Leccadito and Radu S. Tunaru

Consumer confidence and stock returns over market fluctuations pp. 1585-1597

Shiu-Sheng Chen

Firm size, information acquisition and price efficiency pp. 1599-1614

Tian Zhao

Optimal insurance contract and coverage levels under loss aversion utility preference pp. 1615-1628

Ching-Ping Wang and Hung-Hsi Huang

Volume 12, issue 9, 2012

VaR limits for pension funds: an evaluation pp. 1315-1324

Solange Berstein and Romulo Chumacero

Two stock options at the races: Black--Scholes forecasts pp. 1325-1333

G. Oshanin and G. Schehr

Boomerang, by Michael Lewis pp. 1335-1336

Nicholas Dunbar

A liquidity-based model for asset price bubbles pp. 1339-1349

Robert Jarrow, Philip Protter and Alexandre F. Roch

Financial crisis dynamics: attempt to define a market instability indicator pp. 1351-1365

Youngna Choi and Raphael Douady

Statistical signatures in times of panic: markets as a self-organizing system pp. 1367-1379

Lisa Borland

Z -Transform and preconditioning techniques for option pricing pp. 1381-1394

Gianluca Fusai, Daniele Marazzina, Marina Marena and Michael Ng

The price impact of order book events: market orders, limit orders and cancellations pp. 1395-1419

Zoltán Eisler, Jean-Philippe Bouchaud and Julien Kockelkoren

Volatility behavior, information efficiency and risk in the S&P 500 index markets pp. 1421-1437

Shu-Mei Chiang, Huimin Chung and Chien-Ming Huang

IPO pricing: a case of short-sale restrictions and divergent expectations pp. 1439-1451

Richard J. Kish, Nandkumar Nayar and Wenlong Weng

A paradigm shift from production function to production copula: statistical description of production activity of firms pp. 1453-1466

Hiroshi Iyetomi, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda and Wataru Souma

Volume 12, issue 8, 2012

Stock market crashes in 2007--2009: were we able to predict them? pp. 1161-1187

Sebastien Lleo and William T. Ziemba

Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics pp. 1189-1192

C. Schinckus

Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown pp. 1193-1195

Roger Stein

Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis pp. 1199-1218

Rama Cont and Cathrine Jessen

Pricing CDOs with state-dependent stochastic recovery rates pp. 1219-1240

Salah Amraoui, Laurent Cousot, Sebastien Hitier and Jean-Paul Laurent

Forward-neutral valuation relationships for options on zero coupon bonds pp. 1241-1252

Ant�nio C�mara and Ana C�mara

Universal price impact functions of individual trades in an order-driven market pp. 1253-1263

Wei-Xing Zhou

Path-dependent scenario trees for multistage stochastic programmes in finance pp. 1265-1281

Giorgio Consigli, Gaetano Iaquinta and Vittorio Moriggia

The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE) pp. 1283-1298

Guy Kaplanski and Haim Levy

Financial factors and firm growth: evidence from financial data on Taiwanese firms pp. 1299-1314

Khurshid Kiani, Ellen Huiru Chen and Zagros Madjd-Sadjadi

Volume 12, issue 7, 2012

Mortgage valuation: a quasi-closed-form solution pp. 993-1001

Cristina Viegas and Jos� Azevedo-Pereira

New analytical option pricing models with Weyl--Titchmarsh theory pp. 1003-1010

Jin E. Zhang and Yishen Li

An Introduction to Austrian Economics, by Thomas C. Taylor pp. 1011-1012

Barry Schachter

How does the market react to your order flow? pp. 1015-1024

B. Tóth, Z. Eisler, F. Lillo, J. Kockelkoren, J.-P. Bouchaud and J. Farmer

Reduced form modeling of limit order markets pp. 1025-1036

Pekka Malo and Teemu Pennanen

Measuring large comovements in financial markets pp. 1037-1049

Jeremy Penzer, Friedrich Schmid and Rafael Schmidt

Cycles, determinism and persistence in agent-based games and financial time-series: part I pp. 1051-1064

J. B. Satinover and D. Sornette

Cycles, determinism and persistence in agent-based games and financial time-series: part II pp. 1065-1078

J. B. Satinover and D. Sornette

Option pricing for GARCH-type models with generalized hyperbolic innovations pp. 1079-1094

Christophe Chorro, Dominique Gu�gan and Florian Ielpo

GARCH options via local risk minimization pp. 1095-1110

Juan-Pablo Ortega

A class of stochastic volatility models and the q -optimal martingale measure pp. 1111-1117

Sotirios Sabanis

An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs pp. 1119-1141

Artur Sepp

Choosing the optimal annuitization time post-retirement pp. 1143-1159

Russell Gerrard, Bjarne Højgaard and Elena Vigna

Volume 12, issue 6, 2012

Entrepreneurship and innovation in financial institutions pp. 831-837

Chander Velu

From credit valuation adjustments to credit capital commitments pp. 839-845

Dilip B. Madan

Realism in quantitative finance: a note pp. 847-848

Andreas Andrikopoulos

The Darwin Economy: Liberty, Competition, and the Common Good, by Robert H. Frank pp. 849-851

Terence Burnham

Hedging derivatives with model error pp. 855-863

Robert Jarrow

Optimal stopping under model uncertainty and the regularity of lower Snell envelopes pp. 865-871

Treviño-Aguilar Erick

General approximation schemes for option prices in stochastic volatility models pp. 873-891

Karl Larsson

Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability pp. 893-905

Yuko Hashimoto, Takatoshi Ito, Takaaki Ohnishi, Misako Takayasu, Hideki Takayasu and Tsutomu Watanabe

Exchange rate and inflation risk premia in the EMU pp. 907-931

Begoña Font and Alfredo Juan Grau

Pricing guaranteed minimum withdrawal benefits under stochastic interest rates pp. 933-941

Jingjiang Peng, Kwai Sun Leung and Yue Kuen Kwok

Monitoring the board: should shareholders have direct proxy access? pp. 943-950

Gilberto Loureiro

Time varying betas and the unconditional distribution of asset returns pp. 951-967

C. J. Adcock, M. Ceu Cortez, M. J. Rocha Armada and Florinda Silva

Do industries contain predictive information for the Fama--French factors? pp. 969-991

Chikashi Tsuji

Volume 12, issue 5, 2012

A strategy-proof test of portfolio returns pp. 671-683

Dean P. Foster and H. Young

Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group pp. 685-689

Emmanuel Bacry, Marc Hoffmann and Mathieu Rosenbaum

Stochastic Analysis with Financial Applications, by Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu (Eds.) pp. 691-692

Greg Gupton

Leverage causes fat tails and clustered volatility pp. 695-707

Stefan Thurner, J. Farmer and John Geanakoplos

Unbounded liabilities, capital reserve requirements and the taxpayer put option pp. 709-724

Ernst Eberlein and Dilip B. Madan

A closed-form solution to American options under general diffusion processes pp. 725-737

Jing Zhao and Hoi Ying Wong

Estimation of multiple period expected shortfall and median shortfall for risk management pp. 739-754

Mike K. P. So and Chi-Ming Wong

Probability-unbiased Value-at-Risk estimators pp. 755-768

Ivo Francioni and Florian Herzog

Bayesian Value-at-Risk with product partition models pp. 769-780

Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini and Claudia Tarantola

Time-varying long-run mean of commodity prices and the modeling of futures term structures pp. 781-790

Ke Tang

Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange pp. 791-804

Joey Wenling Yang and Jerry Parwada

Coupling index and stocks pp. 805-818

Benjamin Jourdain and Mohamed Sbai

Performance evaluation of balanced pension plans pp. 819-830

Laura Andreu and Laurens Swinkels

Volume 12, issue 4, 2012

The scale of market quakes pp. 501-508

T. Bisig, A. Dupuis, V. Impagliazzo and R. B. Olsen

Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman pp. 509-511

M.A.H. Dempster

Foreword pp. 515-515

Ionut Florescu, Maria C. Mariani, H. Eugene Stanley and Frederi G. Viens

Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange pp. 517-530

Angelo Carollo, Gabriella Vaglica, Fabrizio Lillo and Rosario Mantegna

Model calibration and automated trading agent for Euro futures pp. 531-545

German Creamer

A generalized birth--death stochastic model for high-frequency order book dynamics pp. 547-557

He Huang and Alec N. Kercheval

High-frequency trading model for a complex trading hierarchy pp. 559-566

Boris Podobnik, Duan Wang and H. Eugene Stanley

Hidden noise structure and random matrix models of stock correlations pp. 567-572

Ivailo I. Dimov, Petter N. Kolm, Lee Maclin and Dan Y. C. Shiber

Regularization for stationary multivariate time series pp. 573-586

Yan Sun and Xiaodong Lin

Integer-valued L�vy processes and low latency financial econometrics pp. 587-605

Ole Barndorff-Nielsen, David G. Pollard and Neil Shephard

Estimation of quarticity with high-frequency data pp. 607-622

Maria Elvira Mancino and Simona Sanfelici

Detecting market crashes by analysing long-memory effects using high-frequency data pp. 623-634

E. Barany, M. P. Beccar Varela, I. Florescu and I. Sengupta

Stochastic volatility and option pricing with long-memory in discrete and continuous time pp. 635-649

Alexandra Chronopoulou and Frederi G. Viens

Systemic risk components and deposit insurance premia pp. 651-662

Jeremy Staum

Nonlinear problems modeling stochastic volatility and transaction costs pp. 663-670

Maria C. Mariani and Indranil SenGupta

Volume 12, issue 3, 2012

On monitoring financial stress index with extreme value theory pp. 329-339

Amira Dridi, Mohamed El Ghourabi and Mohamed Limam

Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda pp. 341-342

Agostino Capponi

Positive return premia in Japan pp. 345-367

Chikashi Tsuji

Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan pp. 369-382

Pin-Huang Chou, Kuan-Cheng Ko, Szu-Tsen Kuo and Shinn-Juh Lin

The performance of enhanced-return index funds: evidence from bootstrap analysis pp. 383-395

An-Sing Chen, Yeh-Chung Chu and Mark T. Leung

Nonlinear interdependence of the Chinese stock markets pp. 397-410

Abdol Soofi, Zhe Li and Xiaofeng Hui

Models for stock returns pp. 411-424

Saralees Nadarajah

Converse trading strategies, intrinsic noise and the stylized facts of financial markets pp. 425-436

Frank Westerhoff and Reiner Franke

A comparison of statistical tests for the adequacy of a neural network regression model pp. 437-449

Nikos S. Thomaidis and Georgios D. Dounias

Pricing dynamic binary variables and their derivatives pp. 451-464

David G. Luenberger

Real options with a double continuation region pp. 465-475

Anna Battauz, Marzia De Donno and Alessandro Sbuelz

Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance pp. 477-488

Bin Lu, Xin-Yuan Song and Xin-Dan Li

Temperature models for pricing weather derivatives pp. 489-500

Frank Schiller, Gerold Seidler and Maximilian Wimmer

Volume 12, issue 2, 2012

The euro's impacts on the smooth transition dynamics of stock market volatilities pp. 169-179

Ray Chou, Chun-Chou Wu and Yi-Nung Yang

Option Prices as Probabilities: A New Look at Generalized Black--Scholes Formulae, by C. Profeta, B. Roynette and M. Yor pp. 181-182

Steven Evans

Analytical formulas for a local volatility model with stochastic rates pp. 185-198

Eric Benhamou, E. Gobet and M. Miri

Stochastic volatility models including open, close, high and low prices pp. 199-212

Enrique Ter Horst, Abel Rodriguez, Henryk Gzyl and German Molina

Discovering stock dynamics through multidimensional volatility phases pp. 213-230

Hsieh Fushing, Shu-Chun Chen and Chii-Ruey Hwang

An unbiased autoregressive conditional intraday seasonal variance filtering process pp. 231-247

Jang Hyung Cho and Robert T. Daigler

Swap rate variance swaps pp. 249-261

Nicolas Merener

Discrete sine transform for multi-scale realized volatility measures§ pp. 263-279

Giuseppe Curci and Fulvio Corsi

Fourier volatility forecasting with high-frequency data and microstructure noise pp. 281-293

Emilio Barucci, Davide Magno and Maria Elvira Mancino

Contagion determination via copula and volatility threshold models pp. 295-310

Veni Arakelian and Petros Dellaportas

Does herding affect volatility? Implications for the Spanish stock market pp. 311-327

Natividad Blasco, Pilar Corredor and Sandra Ferreruela

Volume 12, issue 1, 2012

The times change: multivariate subordination. Empirical facts pp. 1-10

Nicolas Huth and Fr�d�ric Abergel

Financial engineering at Columbia University pp. 11-14

Mark Broadie, Emanuel Derman, Paul Glasserman and Steven Kou

Markov Decision Processes with Applications to Finance, by N. Bäuerle and U. Rieder pp. 15-16

Jon McAuliffe

On the analytical/numerical pricing of American put options against binomial tree prices pp. 17-20

Mark Joshi and Mike Staunton

On the binomial tree method and other issues in connection with pricing Bermudan and American options pp. 21-26

Andr�s Pr�kopa and Tam�s Sz�ntai

Equity quantile upper and lower swaps pp. 29-37

Dilip B. Madan and Martijn Pistorius

Mark-to-model for cash CDOs through indifference pricing pp. 39-48

Guillaume Bernis

Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators pp. 49-60

Jimmy E. Hilliard and Jitka Hilliard

Arbitrage-free approximation of call price surfaces and input data risk pp. 61-73

Judith Glaser and Pascal Heider

A generalized variance gamma process for financial applications pp. 75-87

Roberto Marfe

Extension of stochastic volatility equity models with the Hull--White interest rate process pp. 89-105

Lech Grzelak, Cornelis Oosterlee and Sacha Van Weeren

Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets pp. 107-118

Mohamed Ariff and Vijaya B. Marisetty

Term structure movements implicit in Asian option prices pp. 119-134

Caio Almeida and Jos� Vicente

A probabilistic clustering method for US interest rate analysis pp. 135-148

Foued Saâdaoui

A jump-diffusion model for the euro overnight rate pp. 149-165

Mattia Raudaschl