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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 6, issue 6, 2006

The modified Weibull distribution for asset returns pp. 449-449 Downloads
Saralees Nadarajah and Samuel Kotz
The modified weibull distribution for asset returns: reply pp. 451-451 Downloads
Yannick Malevergne, V. Pisarenko and D. Sornette
Equilibrium asset pricing: with non-Gaussian factors and exponential utilities pp. 455-463 Downloads
Dilip Madan
A cross-currency Levy market model pp. 465-480 Downloads
Ernst Eberlein and Nataliya Koval
Myopic loss aversion and margin of safety: the risk of value investing pp. 481-494 Downloads
Kuan Xu and Gordon Fisher
On a subjective approach to risk measurement pp. 495-511 Downloads
Piotr Jaworski
Fast strong approximation Monte Carlo schemes for stochastic volatility models pp. 513-536 Downloads
Christian Kahl and Peter Jackel

Volume 6, issue 5, 2006

Derman and Taleb's 'The illusions of dynamic replication': a comment pp. 365-367 Downloads
Doriana Ruffino and Jonathan Treussard
There's more to volatility than volume pp. 371-384 Downloads
Laszlo Gillemot, J. Farmer and Fabrizio Lillo
A multivariate jump-driven financial asset model pp. 385-402 Downloads
Elisa Luciano and Wim Schoutens
Drawdowns preceding rallies in the Brownian motion model pp. 403-409 Downloads
Olympia Hadjiliadis and Jan Vecer
Do emerging markets with consistent returns have better future performance? pp. 411-422 Downloads
Boyce Watkins
Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model pp. 423-433 Downloads
Jaume Masoliver and Josep Perello
Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs pp. 435-445 Downloads
Valeri Zakamouline

Volume 6, issue 4, 2006

Intelligent finance—an emerging direction pp. 273-277 Downloads
Heping Pan, Didier Sornette and Kenneth Kortanek
Book review pp. 279-280 Downloads
Stathis Tompaidis
Short-term market reaction after extreme price changes of liquid stocks pp. 283-295 Downloads
Adam Zawadowski, Gyorgy Andor and Janos Kertesz
Analysis of drawdowns and drawups in the US$ interest-rate market pp. 297-326 Downloads
Riccardo Rebonato and Valerio Gaspari
Barrier options and their static hedges: simple derivations and extensions pp. 327-335 Downloads
Rolf Poulsen
The square-root process and Asian options pp. 337-347 Downloads
Angelos Dassios and Jayalaxshmi Nagaradjasarma
Efficient hybrid methods for portfolio credit derivatives pp. 349-357 Downloads
Hui Zheng
The robustness of modified unit root tests in the presence of GARCH pp. 359-363 Downloads
Steven Cook

Volume 6, issue 3, 2006

Dynamic capital allocation: exploiting persistent patterns in currency performance pp. 185-191 Downloads
Collin Crownover
Book Review pp. 193-193 Downloads
David Hobson
Local volatility function models under a benchmark approach pp. 197-206 Downloads
David Heath and Eckhard Platen
Expensive martingales pp. 207-218 Downloads
Hans Buehler
Symmetry and duality in Levy markets pp. 219-227 Downloads
José Fajardo and Ernesto Mordecki
An exact and explicit solution for the valuation of American put options pp. 229-242 Downloads
Song-Ping Zhu
Pricing defaultable bonds: a middle-way approach between structural and reduced-form models pp. 243-253 Downloads
Lara Cathcart and Lina El-Jahel
Investor preferences and portfolio selection: is diversification an appropriate strategy? pp. 255-271 Downloads
C. Hueng and Ruey Yau

Volume 6, issue 2, 2006

A simple approach for pricing equity options with Markov switching state variables pp. 95-105 Downloads
Donald Aingworth, Sanjiv Das and Rajeev Motwani
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? pp. 107-112 Downloads
J. Farmer, Austin Gerig, Fabrizio Lillo and Szabolcs Mike
Random walks, liquidity molasses and critical response in financial markets pp. 115-123 Downloads
Jean-Philippe Bouchaud, Julien Kockelkoren and Marc Potters
Esscher transforms and the minimal entropy martingale measure for exponential Levy models pp. 125-145 Downloads
Friedrich Hubalek and Carlo Sgarra
A new technique for calibrating stochastic volatility models: the Malliavin gradient method pp. 147-158 Downloads
Christian-Oliver Ewald and Aihua Zhang
The generalized value at risk admissible set: constraint consistency and portfolio outcomes pp. 159-171 Downloads
Roger Bowden
On the equivalence of the static and dynamic asset allocation problems pp. 173-183 Downloads
Robert Kohn and Oana Papazoglu-Statescu

Volume 6, issue 1, 2006

Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow pp. 1-3 Downloads
J. Farmer
Large stock price changes: volume or liquidity? pp. 7-14 Downloads
Philipp Weber and Bernd Rosenow
A Bayesian analysis of log-periodic precursors to financial crashes pp. 15-36 Downloads
George Chang and James Feigenbaum
Optimal exercise strategies for corporate warrants pp. 37-54 Downloads
Christian Koziol
Pricing exotic options in a path integral approach pp. 55-66 Downloads
G. Bormetti, G. Montagna, N. Moreni and O. Nicrosini
The value of the 'swap' feature in equity default swaps pp. 67-74 Downloads
Javier Gil-Bazo
On risk management problems related to a coherence property pp. 75-81 Downloads
Frank Fabozzi and Radu Tunaru
Optimal portfolio for an insider in a market driven by Levy processes pp. 83-94 Downloads
Giulia Di Nunno, Thilo Meyer-Brandis, Bernt Øksendal and Frank Proske

Volume 5, issue 6, 2005

Statistical properties of demand fluctuation in the financial market pp. 513-517 Downloads
Kaushik Matia and Kazuko Yamasaki
Two phase behaviour and the distribution of volume pp. 519-521 Downloads
Vasiliki Plerou, Parameswaran Gopikrishnan and H. Eugene Stanley
Moment swaps pp. 525-530 Downloads
Wim Schoutens
Valuation of volatility derivatives as an inverse problem pp. 531-542 Downloads
Peter Friz and Jim Gatheral
On a multivariate Markov chain model for credit risk measurement pp. 543-556 Downloads
Tak Kuen Siu, Wai-Ki Ching, S. Eric Fung and Michael Ng
Multiple equilibria in a monopoly market with heterogeneous agents and externalities pp. 557-568 Downloads
Jean-Pierre Nadal, Denis Phan, Mirta Gordon and Jean Vannimenus
Price return autocorrelation and predictability in agent-based models of financial markets pp. 569-576 Downloads
Damien Challet and Tobias Galla
Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method pp. 577-591 Downloads
Didier Sornette and Wei-Xing Zhou

Volume 5, issue 5, 2005

FX trading models - how are they doing? pp. 425-431 Downloads
Jessica James
On the distributional distance between the lognormal LIBOR and swap market models pp. 433-442 Downloads
Damiano Brigo and Jan Liinev
Pricing Black-Scholes options with correlated interest rate risk and credit risk: an extension pp. 443-457 Downloads
Szu-Lang Liao and Hsing-Hua Huang
Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund pp. 459-474 Downloads
Andreas Lindemann, Christian Dunis and Paulo Lisboa
On non-Gaussianity and dependence in financial time series: a nonextensive approach pp. 475-487 Downloads
S. M. Duarte Queiros
Empirical estimation of tail dependence using copulas: application to Asian markets pp. 489-501 Downloads
Cyril Caillault and Dominique Guegan
Optimal portfolio delegation when parties have different coefficients of risk aversion pp. 503-512 Downloads
Kasper Larsen

Volume 5, issue 4, 2005

The illusions of dynamic replication pp. 323-326 Downloads
Emanuel Derman and Nassim Nicholas Taleb
Static-arbitrage upper bounds for the prices of basket options pp. 329-342 Downloads
David Hobson, Peter Laurence and Tai-Ho Wang
Time to wealth goals in capital accumulation pp. 343-355 Downloads
Leonard Maclean, William Ziemba and Yuming Li
Order book approach to price impact pp. 357-364 Downloads
P. Weber and B. Rosenow
The immediate price impact of trades on the Australian Stock Exchange pp. 365-377 Downloads
Marcus Lim and Richard Coggins
Empirical distributions of stock returns: between the stretched exponential and the power law? pp. 379-401 Downloads
Yannick Malevergne, V. Pisarenko and D. Sornette
Wavelet Galerkin pricing of American options on Levy driven assets pp. 403-424 Downloads
A. -M. Matache, P. -A. Nitsche and C. Schwab

Volume 5, issue 3, 2005

Editorials pp. 235-235 Downloads
Carl Chiarella and Eckhard Platen
Waiting for returns: using space-time duality to calibrate financial diffusions pp. 237-244 Downloads
Mark Kamstra and Moshe Milevsky
Discrete credit barrier models pp. 247-256 Downloads
Claudio Albanese and Oliver Chen
PDE approach to valuation and hedging of credit derivatives pp. 257-270 Downloads
Tomasz Bielecki, Monique Jeanblanc and Marek Rutkowski
Pairs trading pp. 271-276 Downloads
Robert Elliott, John Van Der Hoek and William Malcolm
A Markov model for valuing asset prices in a dynamic bargaining market pp. 277-288 Downloads
Masaaki Kijima and Yoshihiko Uchida
Pricing inflation-indexed derivatives pp. 289-302 Downloads
Fabio Mercurio
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility pp. 303-313 Downloads
Holger Kraft
Optimal portfolios with a positive lower bound on final wealth pp. 315-321 Downloads
Ralf Korn

Volume 5, issue 2, 2005

Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences pp. 133-140 Downloads
Rosario Mantegna
Durations, volume and the prediction of financial returns in transaction time pp. 145-152 Downloads
Christian Hafner
Surprise volume and heteroskedasticity in equity market returns pp. 153-168 Downloads
Niklas Wagner and Terry Marsh
A learning market-maker in the Glosten-Milgrom model pp. 169-180 Downloads
Sanmay Das
On accurate and provably efficient GARCH option pricing algorithms pp. 181-198 Downloads
Yuh-Dauh Lyuu and Chi-Ning Wu
Stochastic volatility and the goodness-of-fit of the Heston model pp. 199-211 Downloads
Gilles Daniel, Nathan Joseph and David Bree
Tobin tax and market depth pp. 213-218 Downloads
G. Ehrenstein, Frank Westerhoff and D. Stauffer
International tax arbitrage, financial parity conditions and preferential capital gains taxation pp. 219-226 Downloads
Frank Strobel
Estimating value-at-risk: a point process approach pp. 227-234 Downloads
V. Chavez-Demoulin, A. C. Davison and A. J. McNeil

Volume 5, issue 1, 2005

The use of Hurst and effective return in investing pp. 1-8 Downloads
Andrew Clark
Empirical modelling of contagion: a review of methodologies pp. 9-24 Downloads
Mardi Dungey, Renee Fry-McKibbin, Brenda Gonzalez-Hermosillo and Vance Martin
Analysis of default data using hidden Markov models pp. 27-34 Downloads
Giacomo Giampieri, Mark Davis and Martin Crowder
The impact of the market portfolio on the valuation, incentives and optimality of executive stock options pp. 35-47 Downloads
Vicky Henderson
Pricing electricity risk by interest rate methods pp. 49-60 Downloads
Juri Hinz, Lutz Von Grafenstein, Michel Verschuere and Martina Wilhelm
Valuing employee reload options under the time vesting requirement pp. 61-69 Downloads
Min Dai and Yue Kuen Kwok
A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices pp. 71-87 Downloads
Andrea Consiglio, Valerio Lacagnina and Annalisa Russino
A moment expansion approach to option pricing pp. 89-104 Downloads
Marco Airoldi
A framework to measure integrated risk pp. 105-121 Downloads
Elena Medova and Robert Smith
Financial contagion, spillovers and causality in the Markov switching framework pp. 123-131 Downloads
Jedrzej Białkowski and Dobromił Serwa
Page updated 2019-06-16