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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 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
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