Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 11, issue 12, 2011

On the conditional default probability in a regulated market: a structural approach pp. 1695-1702

Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang

Lectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval pp. 1703-1705

Philip Protter

Calendar pp. 1707-1707

The Editors

Predicting credit default swap prices with financial and pure data-driven approaches pp. 1709-1727

Yalin Gündüz and Marliese Uhrig-Homburg

Flexing the default barrier pp. 1729-1743

Gregor Dorfleitner, Paul Schneider and Tanja Veža

Calibrating structural models: a new methodology based on stock and credit default swap data pp. 1745-1759

Santiago Forte

Pricing collateralized debt obligations with Markov-modulated Poisson processes pp. 1761-1771

Hideyuki Takada, Ushio Sumita and Kazuki Takahashi

Hedging default risks of CDOs in Markovian contagion models pp. 1773-1791

J.-P. Laurent, A. Cousin and J.-D. Fermanian

The th default time distribution and basket default swap pricing pp. 1793-1801

Geon Choe and Hyun Jang

Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives pp. 1803-1814

Noel McWilliam, Kar-Wei Loh and Huan Huang

Empirical analysis and calibration of the CEV process for pricing equity default swaps pp. 1815-1823

Belal Baaquie, Tang Pan and Jitendra Bhanap

An extension of CreditGrades model approach with Lévy processes pp. 1825-1836

Takaaki Ozeki, Yuji Umezawa, Akira Yamazaki and Daisuke Yoshikawa

Default risk in interest rate derivatives with stochastic volatility pp. 1837-1845

Bomi Kim and Jeong-Hoon Kim

The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit pp. 1847-1864

George Christodoulakis

Editorial Board pp. ebi-ebi

The Editors

Volume 11, issue 11, 2011

Optimal leverage from non-ergodicity pp. 1593-1602

Ole Peters

The Kelly Capital Growth Investment Criterion, by Leonard MacLean, Edward Thorp, and William Ziemba (editors) pp. 1603-1605

John Mulvey

Calendar pp. 1607-1607

The Editors

Riding on the smiles pp. 1609-1632

José Da Fonseca and Martino Grasselli

A risk-based approach for pricing American options under a generalized Markov regime-switching model pp. 1633-1646

Robert Elliott and Tak Siu

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives pp. 1647-1663

Lech Grzelak, Cornelis Oosterlee and Sacha Van Weeren

Portfolio optimization under model uncertainty and BSDE games pp. 1665-1674

Bernt Øksendal and Agnès Sulem

Maximum penalized quasi-likelihood estimation of the diffusion function pp. 1675-1684

Jeff Hamrick, Yifei Huang, Constantinos Kardaras and Murad Taqqu

Options on realized variance and convex orders pp. 1685-1694

Peter Carr, Helyette Geman, Dilip Madan and Marc Yor

Volume 11, issue 10, 2011

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio pp. 1439-1447

Li Chen, Simai He and Shuzhong Zhang

Effects of skewness and kurtosis on portfolio rankings pp. 1449-1453

Massimo Pierro and Jack Mosevich

Harry Markowitz: Selected Works, edited by Harry M. Markowitz pp. 1455-1456

Lisa Goldberg

A Benchmark Approach to Quantitative Finance, by Eckhard Platen and David Heath pp. 1457-1458

Wolfgang Runggaldier

Calendar pp. 1459-1459

The Editors

Mean–variance efficient portfolios with many assets: 50% short pp. 1461-1471

Moshe Levy and Ya'acov Ritov

Hybrid metaheuristics for constrained portfolio selection problems pp. 1473-1487

Luca Gaspero, Giacomo Tollo, Andrea Roli and Andrea Schaerf

A VaR Black–Litterman model for the construction of absolute return fund-of-funds pp. 1489-1501

Miguel Lejeune

Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework pp. 1503-1516

Martin Hellmich and Stefan Kassberger

Using first degree stochastic dominance in allocation tasks: an experimental study pp. 1517-1523

Tal Shavit and Mosi Rosenboim

An enhanced model for portfolio choice with SSD criteria: a constructive approach pp. 1525-1534

Csaba Fábián, Gautam Mitra, Diana Roman and Victor Zverovich

Multiperiod mean-variance efficient portfolios with endogenous liabilities pp. 1535-1546

Markus Leippold, Fabio Trojani and Paolo Vanini

Optimal investment under dynamic risk constraints and partial information pp. 1547-1564

Wolfgang Putschögl and Jörn Sass

Long-term strategic asset allocation with inflation risk and regime switching pp. 1565-1580

Tak Kuen Siu

Optimal investment, consumption and retirement decision with disutility and borrowing constraints pp. 1581-1592

Byung Hwa Lim and Yong Shin

Volume 11, issue 9, 2011

The weekly pattern of commercial paper across different trading-day regimes pp. 1273-1283

Jian-Hsin Chou, Mei-Chu Ke, Yi-Chein Chiang and Tung Liang Liao

Inferring trading dynamics for an OTC market: the case of the euro area overnight money market pp. 1285-1295

Renaud Beaupain and Alain Durr�

Investments and Portfolio Performance, by Edwin J. Elton and Martin J. Gruber pp. 1297-1298

Russell Wermers

Randomized structural models of credit spreads pp. 1301-1313

Chuang Yi, Alexander Tchernitser and Tom Hurd

Correlations in L�vy interest rate models pp. 1315-1327

Maximilian Beinhofer, Ernst Eberlein, Arend Janssen and Manuel Polley

Heterogeneous expectations and long-range correlation of the volatility of asset returns pp. 1329-1356

J. Coulon and Yannick Malevergne

Characterizing heteroskedasticity pp. 1357-1369

Gilles Zumbach

The minimal model of financial complexity pp. 1371-1378

Philip Z. Maymin

Pricing exotic options using MSL-MC pp. 1379-1392

Klaus Schmitz Abe

Measuring expectations in options markets: an application to the S&P500 index pp. 1393-1405

Abel Rodr�guez and Enrique ter Horst

Basket trading under co-integration with the logistic mixture autoregressive model pp. 1407-1419

Xixin Cheng, Philip Yu and W.K. Li

Multi-regime nonlinear capital asset pricing models pp. 1421-1438

Cathy W. S. Chen, Richard H. Gerlach and Ann M. H. Lin

Volume 11, issue 8, 2011

[image omitted] Numerical option pricing in the presence of bubbles pp. 1125-1128

Erik Ekstrom, Per Lotstedt, Lina Von Sydow and Johan Tysk

Convergence of Heston to SVI pp. 1129-1132

Jim Gatheral and Antoine Jacquier

Markets with Transaction Costs, by Yuri Kabanov and Mher Safarian pp. 1133-1134

James Lewis

Closed-form convexity and cross-convexity adjustments for Heston prices pp. 1137-1149

Gabriel Drimus

On refined volatility smile expansion in the Heston model pp. 1151-1164

Peter Friz, Stefan Gerhold, Archil Gulisashvili and Stephan Sturm

Johnson binomial trees pp. 1165-1176

Jean-Guy Simonato

On the acceleration of explicit finite difference methods for option pricing pp. 1177-1191

Stephen O'Sullivan and Conall O'Sullivan

Non-parametric partial importance sampling for financial derivative pricing pp. 1193-1206

Jan Neddermeyer

Parisian exchange options pp. 1207-1220

An Chen and Michael Suchanecki

Pricing barrier options by a regime switching model pp. 1221-1231

Pål Nicolai Henriksen

Pricing of a reload employee stock option under severance risk pp. 1233-1244

Jun Ma

An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility pp. 1245-1269

Minqiang Li and Kyuseok Lee

Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model pp. 1271-1271

Susanne Griebsch and Uwe Wystup

Volume 11, issue 7, 2011

The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis pp. 967-978

Yue-Jun Zhang and Yi-Ming Wei

Semi-static hedging for certain Margrabe-type options with barriers pp. 979-986

Michael Schmutz

How Big Banks Fail and What to Do about It, by Darrell Duffie pp. 987-988

Riccardo Rebonato

Econophysics review: I. Empirical facts pp. 991-1012

Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca and Frederic Abergel

Econophysics review: II. Agent-based models pp. 1013-1041

Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca and Frederic Abergel

A computational view of market efficiency pp. 1043-1050

Jasmina Hasanhodzic, Andrew Lo and Emanuele Viola

On derivatives with illiquid underlying and market manipulation pp. 1051-1066

Ulrich Horst and Felix Naujokat

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators pp. 1067-1080

Ester Pantaleo, Michele Tumminello, Fabrizio Lillo and Rosario Mantegna

Statistical rehabilitation of improper correlation matrices pp. 1081-1090

A. Frigessi, A. Løland, A. Pievatolo and F. Ruggeri

Empirical properties of large covariance matrices pp. 1091-1102

Gilles Zumbach

Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case pp. 1103-1124

Zdzisław Burda, Andrzej Jarosz, Maciej Nowak, Jerzy Jurkiewicz, Gabor Papp and Ismail Zahed

Volume 11, issue 6, 2011

Volatile earnings growth, the price of earnings and the Value premium pp. 805-815

Jamie Alcock, Thomas Mollee and James Wood

Fierce stock market fluctuation disrupts scalefree distribution pp. 817-823

Jing Liu, Chi Tse and Keqing He

Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen pp. 825-826

Aaron Brown

A profitable trading and risk management strategy despite transaction costs pp. 829-848

Ahmet Duran and Michael Bommarito

Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply pp. 849-861

G. Caginalp and M. Desantis

Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets pp. 863-881

Rafael Velasco-Fuentes and Wing Lon Ng

A new microstructure noise index pp. 883-899

Mathieu Rosenbaum

Probability of an incoming order signal pp. 901-916

Jorge Pérez-Rodríguez

Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models pp. 917-932

Friedrich Hubalek and Petra Posedel Šimović

An event study of price movements following realized jumps pp. 933-946

Hossein Asgharian, Mia Holmfeldt and Marcus Larson

The January effect across volatility regimes pp. 947-953

Betty Agnani and Henry Aray

Exploring the relationship between investor sentiment and price volatility pp. 955-965

Ann Shawing Yang and Ming-Lung Wu

Volume 11, issue 5, 2011

Provably linkable trading pp. 641-651

Chris Kenyon and Jan Camenisch

Excess capital, operational disaster risk, and capital requirements for banks pp. 653-661

Mohamed Belhaj

Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility pp. 665-691

Alexander van Haastrecht and Antoon Pelsser

On the valuation of fader and discrete barrier options in Heston's stochastic volatility model pp. 693-709

Susanne Griebsch and Uwe Wystup

Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis pp. 711-727

Jan Maruhn, Morten Nalholm and Matthias Fengler

Efficient and accurate quadratic approximation methods for pricing Asian strike options pp. 729-748

Chuang-Chang Chang and Chueh-Yung Tsao

A comprehensive structural model for defaultable fixed-income bonds pp. 749-762

Rossella Agliardi

Comparing alternative Levy base correlation models for pricing and hedging CDO tranches pp. 763-773

Viktoriya Masol and Wim Schoutens

CDO pricing with nested Archimedean copulas pp. 775-787

Marius Hofert and Matthias Scherer

Asymptotics of the probability of minimizing 'down-side' risk under partial information pp. 789-803

Hideo Nagai

Volume 11, issue 4, 2010

A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework pp. 487-493

Marianito Rodrigo and Rogemar Mamon

On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves pp. 495-504

A. Falco, Ll. Navarro and J. Nave

Multifractal analysis of the dollar-yuan and euro-yuan exchange rates before and after the reform of the peg pp. 505-513

Francois Schmitt, Li Ma and Thierry Angounou

Weak and strong Taylor methods for numerical solutions of stochastic differential equations pp. 517-528

Maria Siopacha and Josef Teichmann

A jump-diffusion Libor model and its robust calibration pp. 529-546

Denis Belomestny and John Schoenmakers

Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions pp. 547-558

Ferdinando Ametrano and Mark Joshi

Interest rate models on Lie groups pp. 559-572

F. C. Park, C. M. Chun, C. W. Han and N. Webber

Term structure of volatilities and yield curve estimation methodology pp. 573-586

Antonio Diaz, Francisco Jareño and Eliseo Navarro

A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile pp. 587-597

Christian Fries and Fabian Eckstaedt

Patterns in high-frequency FX data: discovery of 12 empirical scaling laws pp. 599-614

James Glattfelder, A. Dupuis and R. B. Olsen

Higher order and recurrent neural architectures for trading the EUR/USD exchange rate pp. 615-629

Christian Dunis, Jason Laws and Georgios Sermpinis

Optimal investment in the foreign exchange market with proportional transaction costs pp. 631-640

Luitgard Veraart

Volume 11, issue 3, 2011

Tail dependence and skew distributions pp. 327-333

Thomas Fung and Eugene Seneta

On the perpetual American put options for level dependent volatility models with jumps pp. 335-341

Erhan Bayraktar

Some integral functionals of reflected SDEs and their applications in finance pp. 343-348

Lijun Bo, Yongjin Wang and Xuewei Yang

Identifying small mean-reverting portfolios pp. 351-364

Alexandre D'Aspremont

A stochastic differential game for optimal investment of an insurer with regime switching pp. 365-380

Robert Elliott and Tak Kuen Siu

An improved convolution algorithm for discretely sampled Asian options pp. 381-389

Aleš Černý and Ioannis Kyriakou

Moody's correlated binomial default distributions for inhomogeneous portfolios pp. 391-405

S. Mori, K. Kitsukawa and M. Hisakado

Dynamic copula models for the spark spread pp. 407-421

Fred Espen Benth and Paul Kettler

Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries pp. 423-435

Meng-Fen Hsieh, Tzu-Yi Yang, Yu-Tai Yang and Jen-Sin Lee

Directional entropy and tail uncertainty, with applications to financial hazard pp. 437-446

Roger Bowden

The impact of transaction duration, volume and direction on price dynamics and volatility pp. 447-457

Anthony Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka

Hidden Markov models with t components. Increased persistence and other aspects pp. 459-475

Jan Bulla

Futures and futures options with basis risk: theoretical and empirical perspectives pp. 477-485

Chou-Wen Wang and Ting-Yi Wu

Volume 11, issue 2, 2011

Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance pp. 155-156

M. A. H. Dempster

The unsmooth trajectory of Benoit Mandelbrot pp. 157-158

J. Farmer

Benoit Mandelbrot and the vindication of his ideas pp. 159-160

Alan Kirman

Benoit Mandelbrot: a personal tribute pp. 161-161

Jean-Philippe Bouchaud

Dicing with the market: randomized procedures for evaluation of mutual funds pp. 163-172

Francesco Lisi

On the statistical and economic performance of stock return predictive regression models: an international perspective pp. 175-193

Pierre Giot and Mikael Petitjean

Further international evidence on durable consumption growth and long-run consumption risk pp. 195-217

Elena Marquez and Belen Nieto

Common and local asymmetry and day-of-the-week effects among EU equity markets pp. 219-227

Kenneth Hogholm, Johan Knif and Seppo Pynnonen

Shared information in the stock market pp. 229-235

Rosario Bartiromo

Spatial linkages in international financial markets pp. 237-245

Viviana Fernandez

Does corporate governance matter for stock returns? Estimating a four-factor asset pricing model including a governance index pp. 247-259

Andre Carvalhal and Carolina Nobili

What drives stock markets over short horizons? Evidence from emerging markets pp. 261-269

Paresh Narayan

Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets pp. 271-285

Ping Wang and Peijie Wang

How rewarding is technical analysis in the Indian stock market? pp. 287-297

Subrata Kumar Mitra

Liberalisation and stock market co-movement between emerging economies pp. 299-312

Michel Beine and Bertrand Candelon

Detection of momentum effects using an index out-performance strategy pp. 313-326

N. Meade and John Beasley

Volume 11, issue 1, 2011

Coherent global market simulations and securitization measures for counterparty credit risk pp. 1-20

Claudio Albanese, Toufik Bellaj, Guillaume Gimonet and Giacomo Pietronero

The Fields Institute: thematic program on Quantitative Finance: foundations and applications - January to June, 2010 pp. 21-29

Matheus Grasselli and Thomas Hurd

A PDE approach to jump-diffusions pp. 33-52

Peter Carr and Laurent Cousot

Optimal hedge fund portfolios under liquidation risk pp. 53-67

R. Gibson Brandon and S. Gyger

Dynamic liquidation under market impact pp. 69-80

Thangaraj Draviam, Thomas Coleman and Yuying Li

The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies pp. 81-99

Martin Haugh and Ashish Jain

Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models pp. 101-113

Gilles Zumbach

The premium of dynamic trading pp. 115-123

Chun Hung Chiu and Xun Yu Zhou

Multivariate asset price dynamics with stochastic covariation pp. 125-134

Julian Williams and Christos Ioannidis

Modeling default risk with support vector machines pp. 135-154

Shiyi Chen, W. K. Hardle and Russ Moro