EconPapers    
Economics at your fingertips  
 

Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.


Volume 2, issue 6, 2002

Dedication brings success through diversity pp. 400-401 Downloads
Vanessa Spedding
Where mathematics, insurance and finance meet pp. 402-404 Downloads
Paul Embrechts
Molten lava meets market languor pp. 405-405 Downloads
Alessio Sancetta and Steve Satchell
Debunking efficient markets? pp. 406-407 Downloads
Steve Keen
S&P 500 predictions of Sornette and Zhou pp. 407-407 Downloads
Christian Meister and Hans-Christian Graf Bothmer
How to get rich with Sornette and Zhou pp. 408-408 Downloads
Dietrich Stauffer
Risk considerations unique to hedge funds pp. 409-411 Downloads
Hilary Till
A theory of non-Gaussian option pricing pp. 415-431 Downloads
Lisa Borland
Pricing of perpetual Bermudan options pp. 432-442 Downloads
Svetlana Boyarchenko and S. Z. Levendorskii
Probability distribution of returns in the Heston model with stochastic volatility pp. 443-453 Downloads
Adrian Dragulescu and Victor Yakovenko
An interest rate model with a Markovian mean reverting level pp. 454-458 Downloads
Robert Elliott and Rogemar Mamon
Consistent pricing and hedging for a modified constant elasticity of variance model pp. 459-467 Downloads
David Heath and Eckhard Platen
The US 2000-2002 market descent: How much longer and deeper? pp. 468-481 Downloads
Didier Sornette and Wei-Xing Zhou
Diversification and generalized tracking errors for correlated non-normal returns pp. 482-486 Downloads
Mark Wise and Vineer Bhansali
Stochastic volatility options pricing with wavelets and artificial neural networks pp. 487-495 Downloads
Christopher Zapart

Volume 2, issue 5, 2002

Financial risk as a challenge for stochastic analysis pp. 320-321 Downloads
Hans Follmer
Reflections on interaction and markets pp. 322-326 Downloads
Alan Kirman
Smart Monte Carlo: various tricks using Malliavin calculus pp. 329-336 Downloads
Eric Benhamou
On a semi-spectral method for pricing an option on a mean-reverting asset pp. 337-345 Downloads
L. P. Bos, A. F. Ware and B. S. Pavlov
A simulation analysis of the microstructure of double auction markets pp. 346-353 Downloads
Carl Chiarella and Giulia Iori
Trend-following hedge funds and multi-period asset allocation pp. 354-361 Downloads
Dries Darius, Aytac Ilhan, John Mulvey, Koray Simsek and Ronnie Sircar
A variance reduction technique based on integral representations pp. 362-369 Downloads
David Heath and Eckhard Platen
Bounding Bermudan swaptions in a swap-rate market model pp. 370-377 Downloads
Mark Joshi and Jochen Theis
Some comments on the APT pp. 378-386 Downloads
Haim Reisman
The power of patience: a behavioural regularity in limit-order placement pp. 387-392 Downloads
Ilija Zovko and J. Farmer

Volume 2, issue 4, 2003

Fast transformations lead to global view pp. 232-233 Downloads
Vanessa Spedding
Collaboration is key to real-world insights pp. 234-236 Downloads
Carol Leisenring
Measuring risk-adjusted returns in alternative investments pp. 237-238 Downloads
Hilary Till
Fluid reading, forex risk pp. 239-239 Downloads
Pierre Lequeux
Semi-parametric modelling in finance: theoretical foundations pp. 241-250 Downloads
N. H. Bingham and Rudiger Kiesel
Statistical properties of stock order books: empirical results and models pp. 251-256 Downloads
Jean-Philippe Bouchaud, Marc Mezard and Marc Potters
Recovery of volatility coefficient by linearization pp. 257-263 Downloads
Ilia Bouchouev, Victor Isakov and Nicolas Valdivia
Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos pp. 264-281 Downloads
A. Corcos, J-P Eckmann, A. Malaspinas, Yannick Malevergne and D. Sornette
The perception of time, risk and return during periods of speculation pp. 282-296 Downloads
Emanuel Derman
Dissecting financial markets: sectors and states pp. 297-302 Downloads
Matteo Marsili
The skewed multifractal random walk with applications to option smiles pp. 303-314 Downloads
Benoit Pochart and Jean-Philippe Bouchaud

Volume 2, issue 3, 2002

Investment management accessible to all pp. 172-173 Downloads
Vanessa Spedding
Research on alternative investments at Princeton pp. 174-176 Downloads
John Mulvey
Risk with reservations pp. 177-178 Downloads
Cosma Shalizi
Martingales for (normal) profit pp. 179-179 Downloads
Cosma Shalizi
Optimal design of derivatives in illiquid markets pp. 181-188 Downloads
Pauline Barrieu and Nicole El Karoui
Dynamical pricing of weather derivatives pp. 189-198 Downloads
Dorje Brody, Joanna Syroka and Mihail Zervos
A comparison of transaction costs on Xetra and on Nasdaq pp. 199-216 Downloads
Otto Loistl, Bernd Schossmann, Olaf Vetter and Alexander Veverka
On the foundation of performance measures under asymmetric returns pp. 217-223 Downloads
Christian Pedersen and Stephen Satchell
Economies of scale in innovations with block-busters pp. 224-227 Downloads
D. Sornette

Volume 2, issue 2, 2002

Scholarly approach brings sweeping change pp. 84-85 Downloads
Vanessa Spedding
Adaptability assures research centre's sucess pp. 86-87 Downloads
Vanessa Spedding
The first history of derivatives pp. 88-88 Downloads
John Hull
Multiresolution approximation for volatility processes pp. 91-110 Downloads
Enrico Capobianco
International tax arbitrage via corporate income splitting pp. 111-115 Downloads
Satish Chand
Option pricing under regime switching pp. 116-132 Downloads
Jin-Chuan Duan, Ivilina Popova and Peter Ritchken
Value management pp. 133-138 Downloads
Klaus Hellwig
Skewness in individual stocks at different investment horizons pp. 139-146 Downloads
Amado Peiro
Heterogeneous expectations, currency options and the euro/dollar pp. 147-157 Downloads
Bronka Rzepkowski
On the computation of option prices and sensitivities in the Black-Scholes-Merton model pp. 158-166 Downloads
B. A. Shadwick and W. F. Shadwick

Volume 2, issue 1, 2002

Active management: Can it beat the markets? pp. 4-5 Downloads
Vanessa Spedding
Introduction to the special issue on volatility modelling pp. 6-7 Downloads
Rama Cont and Marco Avellaneda
Defusing volatility explosions with complex analysis pp. 7-8 Downloads
Nick Webber
Some recent developments in stochastic volatility modelling pp. 11-23 Downloads
Ole Barndorff-Nielsen, Elisa Nicolato and Neil Shephard
Variance reduction for Monte Carlo simulation in a stochastic volatility environment pp. 24-30 Downloads
Jean-Pierre Fouque and Tracey Andrew Tullie
Deterministic implied volatility models pp. 31-44 Downloads
P. Balland
Dynamics of implied volatility surfaces pp. 45-60 Downloads
Rama Cont and José Da Fonseca
Asymptotics and calibration of local volatility models pp. 61-69 Downloads
H. Berestycki, J. Busca and I. Florent
Entropy and information in the interest rate term structure pp. 70-80 Downloads
D. C. Brody and L. P. Hughston
Page updated 2019-06-19