Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 9, issue 8, 2009

Equity portfolio risk estimation using market information and sentiment pp. 887-895

Leela Mitra, Gautam Mitra and Dan Dibartolomeo

The news of no news in stock markets pp. 897-909

Oral Erdoğan and Ari Yezegel

Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter pp. 913-924

George Woodward and Heather Anderson

MaxVaR for non-normal and heteroskedastic returns pp. 925-935

Malay Bhattacharyya, Nityanand Misra and Bharat Kodase

Modelling spikes and pricing swing options in electricity markets pp. 937-949

Ben Hambly, Sam Howison and Tino Kluge

On the valuation of compositions in Levy term structure models pp. 951-959

Wolfgang Kluge and Antonis Papapantoleon

An axiomatic characterization of capital allocations of coherent risk measures pp. 961-965

Michael Kalkbrener

Investment decisions, net present value and bounded rationality pp. 967-979

Carlo Alberto Magni

Volume 9, issue 7, 2009

Capital requirements, acceptable risks and profits pp. 767-773

Dilip Madan

The causes of the credit crunch: a backwards look? pp. 775-790

David Murphy

The Epps effect revisited pp. 793-802

Bence Toth and Janos Kertesz

Pricing and capital requirements for with profit contracts: modelling considerations pp. 803-817

Laura Ballotta

Valuing qualitative options with stochastic volatility pp. 819-825

Bong-Gyu Jang and Kum-Hwan Roh

Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree pp. 827-838

Tian-Shyr Dai

An empirical analysis of multivariate copula models pp. 839-854

Matthias Fischer, Christian Kock, Stephan Schluter and Florian Weigert

Gram-Charlier densities: a multivariate approach pp. 855-868

Esther Del Brio, Trino Ñíguez Grau and Javier Perote

Robust portfolio selection under downside risk measures pp. 869-885

Shushang Zhu, Duan Li and Shouyang Wang

Volume 9, issue 6, 2009

Evaluating style investment—Does a fund market defined along equity styles add value? pp. 637-651

Woo Chang Kim and John Mulvey

On the long-term behavior of mutual fund returns pp. 653-660

Luis Doncel Pedrera, Pilar Grau and Jorge Sainz

Spectral methods for volatility derivatives pp. 663-692

Claudio Albanese, Harry Lo and Aleksandar Mijatovic

Risk minimization in stochastic volatility models: model risk and empirical performance pp. 693-704

Rolf Poulsen, Klaus Schenk-Hoppé and Christian-Oliver Ewald

Pseudospectral methods for pricing options pp. 705-715

Sangwon Suh

A dynamic programming approach for pricing CDS and CDS options pp. 717-726

Hatem Ben-Ameur, Damiano Brigo and Eymen Errais

Numerical computation of Theta in a jump-diffusion model by integration by parts pp. 727-735

Delphine David and Nicolas Privault

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models pp. 737-745

Jeroen Rombouts and Marno Verbeek

VaR and expected shortfall: a non-normal regime switching framework pp. 747-755

Robert Elliott and Hong Miao

Capital market equilibrium with heterogeneous investors pp. 757-766

Haim Shalit and Shlomo Yitzhaki

Volume 9, issue 5, 2009

Modeling risk in arbitrage strategies using finite mixtures pp. 495-503

Adam Tashman and Robert Frey

Time reversal invariance in finance pp. 505-515

Gilles Zumbach

Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals pp. 519-525

Ngai Hang Chan and Chi Tim Ng

What pieces of limit order book information matter in explaining order choice by patient and impatient traders? pp. 527-545

Roberto Pascual and David Veredas

Diffusive behavior and the modeling of characteristic times in limit order executions pp. 547-563

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo and Rosario Mantegna

Portfolio diversification and value at risk under thick-tailedness pp. 565-580

Rustam Ibragimov

Capital allocation for credit portfolios with kernel estimators pp. 581-595

Dirk Tasche

A multivariate Levy process model with linear correlation pp. 597-606

Reiichiro Kawai

Volatility transmission patterns and terrorist attacks pp. 607-619

Helena Chuliá, Francisco Climent, Pilar Soriano and Hipolit Torro

A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms pp. 621-636

Joaquim Ramalho and Jacinto Vidigal da Silva

Volume 9, issue 4, 2009

Credit contagion and credit risk pp. 373-382

J. P. L. Hatchett and R. Kuhn

Implied Levy volatility pp. 383-393

Jose Manuel Corcuera, Florence Guillaume, Peter Leoni and Wim Schoutens

Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance pp. 397-409

Álvaro Cartea and Sam Howison

Pricing measures, forward measures and semigroups pp. 411-416

Jinke Zhou and Xiaolu Wang

Arbitrage-free smoothing of the implied volatility surface pp. 417-428

Matthias Fengler

Computing the endogenous mortgage rate without iterations pp. 429-438

Yevgeny Goncharov

Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models pp. 439-449

Dirk Prange and Wolfgang Scherer

A continuous-time model for reinvestment risk in bond markets pp. 451-464

Mikkel Dahl

Unexpected volatility and intraday serial correlation pp. 465-475

Simone Bianco and Roberto Renò

Feedback trading and intermittent market turbulence pp. 477-489

Demosthenes Tambakis

Volume 9, issue 3, 2009

Embracing change: financial informatics and risk analytics pp. 243-256

Mark Flood

Evidence for state transition and altered serial codependence in US$ interest rates pp. 259-278

Riccardo Rebonato and Jian Chen

A two-factor model for the electricity forward market pp. 279-287

Rudiger Kiesel, Gero Schindlmayr and Reik Borger

An analytic approximation of the likelihood function for the Heston model volatility estimation problem pp. 289-296

Amir Atiya and Steve Wall

Insider trading with correlation between liquidity trading and a public signal pp. 297-304

Katsumasa Nishide

Nonlinear dynamical structural equation models pp. 305-314

Wenyang Zhang and Sik-Yum Lee

Regression methods in pricing American and Bermudan options using consumption processes pp. 315-327

Denis Belomestny, Grigori Milstein and Vladimir Spokoiny

Double knock-out Asian barrier options which widen or contract as they approach maturity pp. 329-340

C. Atkinson and S. Kazantzaki

Barrier option pricing: a hybrid method approach pp. 341-352

Andrew Ming-Long Wang, Yu-Hong Liu and Yi-Long Hsiao

Risky asset pricing based on safety first fund management pp. 353-361

Yuanyao Ding and Bo Zhang

An exact test on structural changes in the weights of the global minimum variance portfolio pp. 363-370

Taras Bodnar

Volume 9, issue 2, 2009

[image omitted] Uncovered interest parity and the FX carry trade pp. 123-127

Jessica James, Kristjan Kasikov and Aysu Secmen

A multi-quality model of interest rates pp. 133-145

Masaaki Kijima, Keiichi Tanaka and Tony Wong

Efficient estimation of transition rates between credit ratings from observations at discrete time points pp. 147-160

Mogens Bladt and Michael Sørensen

Portfolio choice under dynamic investment performance criteria pp. 161-170

M. Musiela and T. Zariphopoulou

Achieving smooth asymptotics for the prices of European options in binomial trees pp. 171-176

Mark Joshi

Pricing jump risk with utility indifference pp. 177-186

Lixin Wu and Min Dai

Estimating default barriers from market information pp. 187-196

Hoi Ying Wong and Tsz Wang Choi

Coherent hedging in incomplete markets pp. 197-206

Birgit Rudloff

Law of large numbers and large deviations for dependent risks pp. 207-215

Ramona Maier and Mario Wuthrich

Empirical analysis of the average asset correlation for real estate investment trusts pp. 217-229

Jose Lopez

Investment strategies in the long run with proportional transaction costs and a HARA utility function pp. 231-242

Petr Dostal

Volume 9, issue 1, 2009

Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan pp. 1-8

Hwei-Lin Chuang, Shih-Cheng Lee, Yi-Chun Lin and Min-Teh Yu

Statistical properties of an experimental political futures market pp. 9-16

Sun-Chong Wang, Sai-Ping Li, Chung-Ching Tai and Shu-Heng Che

Equity with Markov-modulated dividends pp. 19-26

Giuseppe Di Graziano and L. C. G. Rogers

Sato processes and the valuation of structured products pp. 27-42

Ernst Eberlein and Dilip Madan

Robust estimation of historical volatility and correlations in risk management pp. 43-54

Alexander Tchernitser and Dmitri Rubisov

Estimating risk-neutral density with parametric models in interest rate markets pp. 55-70

Frank Fabozzi, Radu Tunaru and George Albota

Efficient factor GARCH models and factor-DCC models pp. 71-91

Kun Zhang and Laiwan Chan

Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models pp. 93-104

Beum Jo Park

Non-parametric estimation of a multiscale CHARN model using SVR pp. 105-121

Amir Safari and Detlef Seese