Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 10, issue 10, 2010

Central limits and financial risk pp. 1091-1097

Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Lisa Goldberg and Michael Hayes

An empirical study of liquidity dynamics and resistance and support levels pp. 1099-1107

Carla Gomes and Henri Waelbroeck

On the stickiness property pp. 1109-1112

Erhan Bayraktar and Hasanjan Sayit

A class of Levy process models with almost exact calibration to both barrier and vanilla FX options pp. 1115-1136

Peter Carr and John Crosby

Up and down credit risk pp. 1137-1151

Tomasz Bielecki, Stephane Crepey and Monique Jeanblanc

Approximation of aggregate and extremal losses within the very heavy tails framework pp. 1153-1162

Ivan Mitov, Svetlozar Rachev and Frank Fabozzi

Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes pp. 1163-1172

Lihua Bai, Junyi Guo and Huayue Zhang

High-dimensional covariance forecasting for short intra-day horizons pp. 1173-1185

Roel Oomen

Econometric analysis of microscopic simulation models pp. 1187-1201

Youwei Li, Bas Donkers and Bertrand Melenberg

The risk-shifting effect and the value of a warrant pp. 1203-1213

Emanuele Bajo and Massimiliano Barbi

The impact of the choice of VaR models on the level of regulatory capital according to Basel II pp. 1215-1224

Oliver Hermsen

Volume 10, issue 9, 2010

Time to default and other sensitivities of credit ratings pp. 947-952

Dror Parnes

The Geneva Finance Research Institute pp. 953-956

Miret Padovani

On the first passage time distribution of an Ornstein-Uhlenbeck process pp. 957-960

Chuang Yi

Electricity spot price modelling with a view towards extreme spike risk pp. 963-974

Claudia Kluppelberg, Thilo Meyer-Brandis and Andrea Schmidt

Pricing swing options in the electricity markets under regime-switching uncertainty pp. 975-994

M. I. M. Wahab, Z. Yin and N. C. P. Edirisinghe

How to speed up the quantization tree algorithm with an application to swing options pp. 995-1007

Anne Laure Bronstein, Gilles Pages and Benedikt Wilbertz

Loss aversion and the price of risk pp. 1009-1022

Moshe Levy

Dynamic complex hedging in additive markets pp. 1023-1037

Jose Corcuera and Joao Guerra

The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management pp. 1039-1054

Xiaolin Luo and Pavel Shevchenko

Predicting bankruptcy using the discrete-time semiparametric hazard model pp. 1055-1066

K. F. Cheng, C. K. Chu and Ruey-Ching Hwang

Predictability of nonlinear trading rules in the U.S. stock market pp. 1067-1076

Terence Tai Leung Chong and Tau-Hing Lam

Regression-based algorithms for life insurance contracts with surrender guarantees pp. 1077-1090

Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich

Volume 10, issue 8, 2010

Pricing the credit default swap rate for jump diffusion default intensity processes pp. 809-817

Yong-Ki Ma and Jeong-Hoon Kim

Static-arbitrage lower bounds on the prices of basket options via linear programming pp. 819-827

Javier Pena, Juan Vera and Luis Zuluaga

Markov models for commodity futures: theory and practice pp. 831-854

Leif Andersen

Multivariate models for operational risk pp. 855-869

Klaus Bocker and Claudia Kluppelberg

(Non-)robustness of maximum likelihood estimators for operational risk severity distributions pp. 871-882

Sonja Huber

Do financial returns have finite or infinite variance? A paradox and an explanation pp. 883-893

Michael Grabchak and Gennady Samorodnitsky

Asymmetry of information flow between volatilities across time scales pp. 895-915

Ramazan Gencay, Nikola Gradojevic, Faruk Selcuk and Brandon Whitcher

Wavelet decomposition for intra-day volume dynamics pp. 917-930

Jaisimha Manchaldore, Imon Palit and Oleg Soloviev

Portfolio selection based on the mean-VaR efficient frontier pp. 931-945

Chueh-Yung Tsao

Volume 10, issue 7, 2010

Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria pp. 681-687

Leonard Maclean, Edward Thorp and William Ziemba

Analysis of Kelly-optimal portfolios pp. 689-697

Paolo Laureti, Matus Medo and Yi-Cheng Zhang

A stochastic-difference-equation model for hedge-fund returns pp. 701-733

Emanuel Derman, Kun Soo Park and Ward Whitt

Leveraged Levy processes as models for stock prices pp. 735-748

Dilip Madan and Yue Xiao

No-dynamic-arbitrage and market impact pp. 749-759

Jim Gatheral

Statistical arbitrage in the US equities market pp. 761-782

Marco Avellaneda and Jeong-Hyun Lee

Multi-scale variation, path risk and long-term portfolio management pp. 783-796

Roger Bowden and Jennifer Zhu

Identifying common dynamic features in stock returns pp. 797-807

Jorge Caiado and Nuno Crato

Volume 10, issue 6, 2010

Measuring investment performance consistency pp. 565-574

Michael Villaverde

Can expected shortfall and Value-at-Risk be used to statically hedge options? pp. 575-583

Jonathan Wylie, Qiang Zhang and Tak Kuen Siu

Explicit expressions for moments of Pareto order statistics pp. 585-589

Saralees Nadarajah

Robustness and sensitivity analysis of risk measurement procedures pp. 593-606

Rama Cont, Romain Deguest and Giacomo Scandolo

Pricing and hedging basket options to prespecified levels of acceptability pp. 607-615

Dilip Madan

Portfolio sensitivity to changes in the maximum and the maximum drawdown pp. 617-627

Libor Pospisil and Jan Vecer

A transform approach to compute prices and Greeks of barrier options driven by a class of Levy processes pp. 629-644

Marc Jeannin and Martijn Pistorius

Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk pp. 645-662

Keiichi Tanaka, Takeshi Yamada and Toshiaki Watanabe

Generalized uncorrelated SABR models with a high degree of symmetry pp. 663-679

Tai-Ho Wang, Peter Laurence and Sheng-Li Wang

Volume 10, issue 5, 2010

Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds pp. 455-460

Melanie Frick and Annabelle Kehl

Stochastic resonance and the trade arrival rate of stocks pp. 461-466

A. Christian Silva and Ju-Yi Yen

Portfolio selection with higher moments pp. 469-485

Campbell Harvey, John Liechty, Merrill Liechty and Peter Muller

No-transaction bounds and estimation risk pp. 487-493

Vasyl Golosnoy

Exact properties of measures of optimal investment for benchmarked portfolios pp. 495-502

John Knight and S. E. Satchell

Optimization of N-risky asset portfolios with stochastic variance and transaction costs pp. 503-514

C. Atkinson and P. Ingpochai

Financial literacy and portfolio diversification pp. 515-528

Margarida Abreu and Victor Mendes

Risk and predictability of Singapore's private residential market pp. 529-543

Qin Xiao and Weihong Huang

Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities pp. 545-554

Christopher Hessel and Jun Wang

An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms pp. 555-564

Christoph Woster

Volume 10, issue 4, 2010

A principal-component approach to measuring investor sentiment pp. 339-347

Haiqiang Chen, Terence Tai Leung Chong and Xin Duan

Asymmetric dividend smoothing in the aggregate stock market pp. 349-355

Sokwon Kim and Byeongseon Seo

Valuation of energy storage: an optimal switching approach pp. 359-374

Rene Carmona and Michael Ludkovski

Robust estimation with flexible parametric distributions: estimation of utility stock betas pp. 375-387

James McDonald, Richard Michelfelder and Panayiotis Theodossiou

International trade and financial integration: a weighted network analysis pp. 389-399

Stefano Schiavo, Javier Reyes and Giorgio Fagiolo

Automated trading with boosting and expert weighting pp. 401-420

German Creamer and Yoav Freund

Change analysis of a dynamic copula for measuring dependence in multivariate financial data pp. 421-430

D. Guegan and J. Zhang

Volatility conditional on price trends pp. 431-442

Gilles Zumbach

Portfolio allocation and the investment horizon: a multiscaling approach pp. 443-453

Sangbae Kim and Francis In

Volume 10, issue 3, 2010

A risk-based evaluation of the free-trader option pp. 235-240

Ren-Raw Chen and Frank Fabozzi

The new 'brew' on the Liffey: How FMC2 is adding the yeast pp. 241-245

Anthony Brabazon

Single and joint default in a structural model with purely discontinuous asset prices pp. 249-263

Filippo Fiorani, Elisa Luciano and Patrizia Semeraro

Pricing a CDO on stochastically correlated underlyings pp. 265-277

Marcos Escobar Anel, Barbara Gotz, Luis Seco and Rudi Zagst

Pricing inflation-linked bonds pp. 279-293

Paolo Falbo, Francesco Paris and Cristian Pelizzari

Hierarchies of Archimedean copulas pp. 295-304

Cornelia Savu and Mark Trede

Multi-asset spread option pricing and hedging pp. 305-324

Minqiang Li, Jieyun Zhou and Shi-Jie Deng

Asset allocation using flexible dynamic correlation models with regime switching pp. 325-338

Edoardo Otranto

Volume 10, issue 2, 2010

Queueing theoretical analysis of foreign currency exchange rates pp. 121-130

Jun-Ichi Inoue and Naoya Sazuka

Does size matter? A genetic programming approach to technical trading pp. 131-140

Janice How, Martin Ling and Peter Verhoeven

Optimal execution strategies in limit order books with general shape functions pp. 143-157

Aurelien Alfonsi, Antje Fruth and Alexander Schied

Implications of a regime-switching model on natural gas storage valuation and optimal operation pp. 159-176

Zhuliang Chen and Peter Forsyth

A comparison of biased simulation schemes for stochastic volatility models pp. 177-194

Roger Lord, Remmert Koekkoek and Dick van Dijk

Utility valuation of multi-name credit derivatives and application to CDOs pp. 195-208

Ronnie Sircar and Thaleia Zariphopoulou

Cash management using multi-stage stochastic programming pp. 209-219

Robert Ferstl and Alex Weissensteiner

Analysis of the rebalancing frequency in log-optimal portfolio selection pp. 221-234

Daniel Kuhn and David Luenberger

Volume 10, issue 1, 2010

Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap pp. 1-12

Jessica James and Louis Yang

Some applications of M-ary detection in quantitative finance pp. 13-20

W. P. Malcolm and R. J. Elliott

Real-world jump-diffusion term structure models pp. 23-37

Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios and Eckhard Platen

Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise pp. 39-47

Carlo Marinelli

Pricing a defaultable bond with a stochastic recovery rate pp. 49-58

Shu-Ling Chiang and Ming-Shann Tsai

On the analytical-numerical valuation of the Bermudan and American options pp. 59-74

Andras Prekopa and Tam�s Sz�ntai

A Levy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing pp. 75-90

Anders Eriksson

Portfolio optimization for student t and skewed t returns pp. 91-105

Wenbo Hu and Alec Kercheval

Power mapping with dynamical adjustment for improved portfolio optimization pp. 107-119

Rudi Schafer, Nils Fredrik Nilsson and Thomas Guhr