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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 3, issue 6, 2003

Real-time learning at Maryland pp. 106-108 Downloads
Alexander Triantis
Playing the trombone to tulips pp. 109-113 Downloads
Jack Gray
Robustness of simple trend-following strategies pp. 114-116 Downloads
Jessica James
A market-induced mechanism for stock pinning pp. 417-425 Downloads
Marco Avellaneda and Michael Lipkin
A semi-parametric approach to risk management pp. 426-441 Downloads
N. H. Bingham, Rudiger Kiesel and Rafael Schmidt
Pricing of index options under a minimal market model with log-normal scaling pp. 442-450 Downloads
David Heath and Eckhard Platen
A new well-posed algorithm to recover implied local volatility pp. 451-457 Downloads
Lishang Jiang, Qihong Chen, Lijun Wang and Jin Zhang
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation pp. 458-469 Downloads
Mark Joshi and Riccardo Rebonato
Fundamentalists clashing over the book: a study of order-driven stock markets pp. 470-480 Downloads
Marco LiCalzi and Paolo Pellizzari
Statistical theory of the continuous double auction pp. 481-514 Downloads
Eric Smith, J. Farmer, Laszlo Gillemot and Supriya Krishnamurthy

Volume 3, issue 5, 2003

Father of fractal complexity pp. 88-90 Downloads
Tim Chapman
Strong foundations in Chicago pp. 91-91 Downloads
Ausra Di Raimondo
Derivatives securities: what they tell us pp. 92-96 Downloads
Jing Chen
Trend following and option writing—a surprising portfolio pp. 97-100 Downloads
Jessica James
Pricing Asian options with stochastic volatility pp. 353-362 Downloads
Jean-Pierre Fouque and Chuan-Hsiang Han
Market-maker, inventory control and foreign exchange dynamics pp. 363-369 Downloads
Frank Westerhoff
Significance of log-periodic signatures in cumulative noise pp. 370-375 Downloads
Hans-Christian Graf Bothmer
A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data pp. 376-384 Downloads
Malik Magdon-Ismail and Amir Atiya
A steady-state model of the continuous double auction pp. 385-404 Downloads
Hugh Luckock
Dilution, anti-dilution and corporate positions in options on the company's own stocks pp. 405-415 Downloads
M. Hanke and K. Potzelberger

Volume 3, issue 4, 2003

Bringing economics into the laboratory pp. 58-60 Downloads
Tim Chapman
Breaking down barriers pp. 61-62 Downloads
Steven Shreve
Innovations in trading strategies pp. 63-74 Downloads
Izzy Nelken
Simple trend-following strategies in currency trading pp. 75-77 Downloads
Jessica James
Taking the pulse of the economy pp. 78-82 Downloads
Zbigniew Struzik
Testing the Gaussian copula hypothesis for financial assets dependences pp. 231-250 Downloads
Yannick Malevergne and D. Sornette
The zero-capital approach to portfolio enhancement and overlay management pp. 251-261 Downloads
Roger Bowden
GARCH model selection criteria pp. 262-284 Downloads
Heather Mitchell and Michael Mckenzie
Vol-Bond: an analytical solution pp. 285-287 Downloads
Roberto Baviera
One-state variable binomial models for European-/American-style geometric Asian options pp. 288-295 Downloads
Min Dai
The emergence of temporal correlations in a study of global economic interdependence pp. 296-305 Downloads
Eric Friedman, Simon Johnson and A. S. Landsberg
Risk trading, network topology and banking regulation pp. 306-319 Downloads
Stefan Thurner, Rudolf Hanel and Stefan Pichler
Market heterogeneities and the causal structure of volatility pp. 320-331 Downloads
Paul Lynch and Gilles Zumbach
Value at risk linear exponent (VARLINEX) forecasts pp. 332-344 Downloads
John Knight, Stephen Satchell and Guoqiang Wang
Stocks, bonds and the investment horizon: a test of time diversification on the French market pp. 345-351 Downloads
Gilles Sanfilippo

Volume 3, issue 3, 2003

Looking forward to the future pp. 30-30 Downloads
J. Farmer
Informational imperfections in theory and practice pp. 31-32 Downloads
Tim Chapman
Innovation at MIT pp. 33-38 Downloads
Andrew Lo
The US 2000-2002 market descent: clarification pp. 39-41 Downloads
Didier Sornette and Wei-Xing Zhou
Traditional investment versus absolute return programmes pp. 42-48 Downloads
Hillary Till and Joseph Eagleeye
Making money from FX volatility pp. 48-51 Downloads
Stephane Knauf
Frankfurt MathFinance Workshop 2003 pp. 52-52 Downloads
Matthias Reimer
Non-constant rates and over-diffusive prices in a simple model of limit order markets pp. 155-162 Downloads
Damien Challet and Robin Stinchcombe
Estimating GARCH models using support vector machines pp. 163-172 Downloads
Fernando Perez-cruz, Julio Afonso-rodriguez and Javier Giner
Alternative asset-price dynamics and volatility smile pp. 173-183 Downloads
Damiano Brigo, Fabio Mercurio and Giulio Sartorelli
A nonparametric test of the mixture-of-distributions model pp. 184-194 Downloads
Wai Mun Fong and Wesley Fabrice Lab-sane
Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates pp. 195-200 Downloads
Olga Yashkir and Yuri Yashkir
Stochastic simulations of time series within Weierstrass-Mandelbrot walks pp. 201-211 Downloads
Ryszard Kutner and F. Switała
A data and digital-contracts driven method for pricing complex derivatives pp. 212-219 Downloads
Jun Lu and Hiroshi Ohta
Profitable technical trading rules as a source of price instability pp. 220-229 Downloads
David Goldbaum

Volume 3, issue 2, 2003

The world is our laboratory pp. 20-21 Downloads
Cosma Shalizi
Reflections on risk pp. 22-23 Downloads
Michel Dacorogna
A close look at market microstructure pp. 23-25 Downloads
Giulia Iori
Nucleation of market shocks in the Sornette-Ide model pp. 67-70 Downloads
Ana Proykova, Lena Roussenova and Dietrich Stauffer
Financial networks with electronic transactions: modelling, analysis and computations pp. 71-87 Downloads
Anna Nagurney and Ke Ke
An index of market shocks based on multiscale analysis pp. 88-97 Downloads
Bertrand Maillet and Thierry Michel
A simple approach for pricing barrier options with time-dependent parameters pp. 98-107 Downloads
C. F. Lo, H. C. Lee and C. H. Hui
Systematic risk and timescales pp. 108-116 Downloads
Ramazan Genay, Faruk Seļuk and Brandon Whitcher
Tracking bond indices in an integrated market and credit risk environment pp. 117-135 Downloads
Norbert Jobst and Stavros Zenios
Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach pp. 136-144 Downloads
Donald Lien, Y. K. Tse and Xibin Zhang
A two-state jump model pp. 145-154 Downloads
Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov

Volume 3, issue 1, 2003

Dependence structures for multivariate high-frequency data in finance pp. 1-14 Downloads
W. Breymann, A. Dias and P. Embrechts
Analytical pricing of the smile in a forward LIBOR market model pp. 15-27 Downloads
Damiano Brigo and F. Mercurio
Optimal allocation to hedge funds: an empirical analysis pp. 28-39 Downloads
Jaksa Cvitanic, A. Lazrak, L. Martellini and F. Zapatero
Time consistency of Levy models pp. 40-50 Downloads
E. Eberlein and F. Zkan
Commodity price modelling that matches current observables: a new approach pp. 51-58 Downloads
K. R. Miltersen
Mathematical foundation of convexity correction pp. 59-65 Downloads
Antoon Pelsser
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