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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 4, issue 6, 2004

Robust tests of the random walk hypothesis pp. 57-60 Downloads
Erhard Reschenhofer
Quantum games in finance pp. 61-67 Downloads
Edward Piotrowski and Jan Sladkowski
Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods pp. 619-636 Downloads
Brendan Bradley and Murad Taqqu
Bivariate normal mixture spread option valuation pp. 637-648 Downloads
Carol Alexander and Andrew Scourse
Rank reduction of correlation matrices by majorization pp. 649-662 Downloads
Raoul Pietersz and Patrick Groenen
Pricing equity options everywhere pp. 663-676 Downloads
S. Dyrting
Network topology of the interbank market pp. 677-684 Downloads
Michael Boss, Helmut Elsinger, Martin Summer and Stefan Thurner
Application of the heston and hull-white models to german dax data pp. 685-693 Downloads
Ralf Remer and Reinhard Mahnke
Anomalous waiting times in high-frequency financial data pp. 695-702 Downloads
Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli and Marco Raberto

Volume 4, issue 5, 2004

Preface pp. 49-49 Downloads
J. P. Bouchaud
A look ahead at options pricing and volatility pp. 51-54 Downloads
Marco Avellaneda
A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction pp. 479-488 Downloads
Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea
Adaptive mixture for a controlled smile: the LT model pp. 489-498 Downloads
Nadhem Meziou
A non-Gaussian option pricing model with skew pp. 499-514 Downloads
Lisa Borland and Jean-Philippe Bouchaud
Option valuation with infinitely divisible distributions pp. 515-524 Downloads
Steven Heston
Early exercise boundary and option prices in Levy driven models pp. 525-547 Downloads
S. Z. Levendorski
Hedging European and Barrier options using stochastic optimization pp. 549-557 Downloads
Michael Villaverde
Delta-hedging vega risk? pp. 559-579 Downloads
Stephane Crepey
From local volatility to local Levy models pp. 581-588 Downloads
Peter Carr, Helyette Geman, Dilip Madan and Marc Yor
GARCH and Volatility swaps pp. 589-595 Downloads
Alireza Javaheri, Paul Wilmott and Espen Haug
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models pp. 597-606 Downloads
Jean-Pierre Fouque and Chuan-Hsiang Han
Option pricing and hedging with minimum local expected shortfall pp. 607-618 Downloads
Benoit Pochart and Jean-Philippe Bouchaud

Volume 4, issue 4, 2004

Adaptive systems for foreign exchange trading pp. 37-45 Downloads
Mark Austin, Graham Bates, Michael Dempster, Vasco Leemans and Stacy Williams
What really causes large price changes? pp. 383-397 Downloads
J. Farmer, Laszlo Gillemot, Fabrizio Lillo, Szabolcs Mike and Anindya Sen
Technical trading and the volatility of exchange rates pp. 399-415 Downloads
Christian Bauer and Bernhard Herz
A methodology for index tracking based on time-series clustering pp. 417-425 Downloads
Sergio Focardi and Frank Fabozzi
Non-parametric estimation of historical volatility pp. 427-440 Downloads
John Randal, Peter Thomson and Martin Lally
How trading activity scales with company size in the FTSE 100 pp. 441-456 Downloads
Gilles Zumbach
Option pricing with Weyl-Titchmarsh theory pp. 457-464 Downloads
Yishen Li and Jin Zhang
Preposterior analysis for option pricing pp. 465-477 Downloads
Dorje Brody, Ian Buckley and Bernhard Meister

Volume 4, issue 3, 2004

QFRC drives financial research pp. 29-29 Downloads
Tony Hall
Equity indexing: Optimize your passive investments pp. 30-33 Downloads
Carol Alexander and Anca Dimitriu
Going beyond the LIBOR model pp. 34-34 Downloads
Alireza Javaheri
Performance of utility-based strategies for hedging basis risk pp. 245-255 Downloads
Michael Monoyios
Testing for persistence in stock returns with GARCH-stable shocks pp. 256-265 Downloads
Prasad Bidarkota and J. Huston McCulloch
Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model pp. 266-275 Downloads
Mark Joshi and Dherminder Kainth
Dynamics of international financial networks with risk management pp. 276-291 Downloads
Anna Nagurney and Jose Cruz
Pricing options with American-style average reset features pp. 292-300 Downloads
Chuang-Chang Chang, San-Lin Chung and Mark Shackleton
Geometric Asian options: valuation and calibration with stochastic volatility pp. 301-314 Downloads
Hoi Ying Wong and Ying Lok Cheung
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy pp. 315-327 Downloads
Bjarne Højgaard and Michael Taksar
A new Fourier transform algorithm for value-at-risk pp. 328-338 Downloads
Claudio Albanese, Ken Jackson and Petter Wiberg
Sampling from Archimedean copulas pp. 339-352 Downloads
Niall Whelan
An out-of-equilibrium model of the distributions of wealth pp. 353-364 Downloads
Nicola Scafetta, Sergio Picozzi and Bruce West
On the estimation of cost of capital and its reliability pp. 365-372 Downloads
Wing-Keung Wong and Raymond Chan
Models of asset returns: changes of pattern from high to low event frequency pp. 373-382 Downloads
Juuso Toyli, Marko Sysi-aho and Kimmo Kaski

Volume 4, issue 2, 2004

Robert F Engle: Understanding volatility as a process pp. 19-20 Downloads
Robert Engle
A diffusive wander through human life pp. 21-23 Downloads
Moshe Milevsky
Adventures on the edge of chaos pp. 24-24 Downloads
K. P. Zetie
Perpetual American options with fractional Brownian motion pp. 123-128 Downloads
Robert Elliott and Leunglung Chan
Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market pp. 129-139 Downloads
Lim Kian Guan, Liu Xiaoqing and Tsui Kai Chong
A duscrete-time model of high-frequency stock returns pp. 140-150 Downloads
Takaki Hayashi
On the accuracy of the local linear approximation for the term structure of interest rates pp. 151-157 Downloads
Hideyuki Takamizawa and Isao Shoji
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method pp. 158-169 Downloads
Y. K. Tse, Xibin Zhang and Jun Yu
Pricing Asian options in a semimartingale model pp. 170-175 Downloads
Jan Vecer and Mingxin Xu
Fluctuations and response in financial markets: the subtle nature of 'random' price changes pp. 176-190 Downloads
Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters and Matthieu Wyart
Aggregate consumption spending, the stock market and asymmetric error correction pp. 191-198 Downloads
Lonnie Stevans
Applying importance sampling for estimating coherent credit risk contributions pp. 199-207 Downloads
Sandro Merino and Mark Nyfeler
Statistical analysis of financial time series under the assumption of local stationarity pp. 208-220 Downloads
Stephan Clemencon and Skander Slim
Positive forward rates in the maximum smoothness framework pp. 221-232 Downloads
Julian Manzano and Jorgen Blomvall
Optimal tracking for asset allocation with fixed and proportional transaction costs pp. 233-243 Downloads
Stanley Pliska and Kiyoshi Suzuki

Volume 4, issue 1, 2004

Enhancing trend-following strategies with option selling pp. 1-6 Downloads
Jessica James and Hetty Colchester
Understanding option prices pp. 55-63 Downloads
Ajay Khanna and Dilip Madan
Aggregating sectors in the infectious defaults model pp. 64-69 Downloads
Ola Hammarlid
Volatility processes and volatility forecast with long memory pp. 70-86 Downloads
Gilles Zumbach
Valuing Bermudan options when asset returns are Levy processes pp. 87-100 Downloads
Evis Këllezi and Nick Webber
The pricing of dual-expiry exotics pp. 101-108 Downloads
Peter Buchen
A spot market model for pricing derivatives in electricity markets pp. 109-122 Downloads
Markus Burger, Bernhard Klar, Alfred Müller and Gero Schindlmayr
Page updated 2019-06-18