Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 8, issue 8, 2008

Optimal time to sell a stock in the Black-Scholes model: comment on 'Thou shalt buy and hold', by A. Shiryaev, Z. Xu and X.Y. Zhou pp. 753-760

Satya Majumdar and Jean-Philippe Bouchaud

Response to comment on 'Thou shalt buy and hold' pp. 761-762

Albert Shiryaev, Zuoquan Xu and Xun Yu Zhou

Thou shalt buy and hold pp. 765-776

Albert Shiryaev, Zuoquan Xu and Xun Yu Zhou

Bankruptcy in long-term investments pp. 777-794

Minjie Yu, Qiang Zhang and Dennis Yang

Arbitrage pricing of defaultable game options with applications to convertible bonds pp. 795-810

Tomasz Bielecki, Stephane Crepey, Monique Jeanblanc and Marek Rutkowski

Bond pricing when the short-term interest rate follows a threshold process pp. 811-822

Wolfgang Lemke and Theofanis Archontakis

Modeling stock pinning pp. 823-831

Marc Jeannin, Giulia Iori and David Samuel

Update rules for convex risk measures pp. 833-843

Sina Tutsch

Improved lower and upper bound algorithms for pricing American options by simulation pp. 845-861

Mark Broadie and Menghui Cao

Volume 8, issue 7, 2008

On the challenges in quantitative equity management pp. 649-665

Frank Fabozzi, Sergio Focardi and Caroline Jonas

Modelling bonds and credit default swaps using a structural model with contagion pp. 669-680

Helen Haworth, Christoph Reisinger and William Shaw

Liquidity risk theory and coherent measures of risk pp. 681-692

Carlo Acerbi and Giacomo Scandolo

Value versus growth: stochastic dominance criteria pp. 693-704

Abhay Abhyankar, Keng-Yu Ho and Huainan Zhao

Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series pp. 705-722

Christoly Biely and Stefan Thurner

Detecting log-periodicity in a regime-switching model of stock returns pp. 723-738

George Chang and James Feigenbaum

Turbo warrants under stochastic volatility pp. 739-751

Hoi Ying Wong and Chun Man Chan

Volume 8, issue 6, 2008

Individual asset liability management pp. 547-560

E. A. Medova, J. K. Murphy, A. P. Owen and K. Rehman

Employee stock option valuation with repricing features pp. 561-569

Kwai Sun Leung and Yue Kuen Kwok

Coupling smiles pp. 573-590

Valdo Durrleman and Nicole El Karoui

A multifactor volatility Heston model pp. 591-604

José Da Fonseca, Martino Grasselli and Claudio Tebaldi

Enhancing hedging performance with the spanning polynomial projection pp. 605-617

An-Sing Chen and Yan-Zhen Liu

Local likelihood estimators in a regression model for stock returns pp. 619-635

Uwe Christian Jonck

Hybrid versus highbred: combined economic models with time-series analyses pp. 637-647

Leon Li

Volume 8, issue 5, 2008

A preliminary enquiry into the causes of the Credit Crunch pp. 435-451

David Murphy

Black-Scholes theory for an underlying with multiple attractors pp. 453-457

Frederik Herzberg

Perpetual American options in incomplete markets: the infinitely divisible case pp. 461-469

Vicky Henderson and David Hobson

Pricing a class of exotic commodity options in a multi-factor jump-diffusion model pp. 471-483

John Crosby

Least-squares Importance Sampling for Monte Carlo security pricing pp. 485-497

Luca Capriotti

A probabilistic analysis of the trading the line strategy pp. 499-512

V. Abramov, M. K. Khan and R. A. Khan

Financial markets in the laboratory: an experimental analysis of some stylized facts pp. 513-532

Andrea Morone

An empirical re-examination of the dividend-investment relation pp. 533-546

Mbodja Mougoue

Volume 8, issue 4, 2008

Can the January anomaly in Taiwan's stock market be explained by the prospect theory? pp. 335-339

Chin-Chen Chien and Tsung-Cheng Chen

Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany pp. 341-349

Josep Garcia Blandon

Analysing liquidity and absorption limits of electronic markets with volume durations pp. 353-361

Wing Lon Ng

Wealth-driven competition in a speculative financial market: examples with maximizing agents pp. 363-380

Mikhail Anufriev

Conditional risk-return relationship in a time-varying beta model pp. 381-390

Peng Huang and C. Hueng

Historical simulation approach to the estimation of stochastic discount factor models pp. 391-404

Andrei Semenov

A new computational tool for analysing dynamic hedging under transaction costs pp. 405-413

James Primbs and Yuji Yamada

Risk-sensitive benchmarked asset management pp. 415-426

Mark Davis and Sebastien Lleo

New and robust drift approximations for the LIBOR market model pp. 427-434

Mark Joshi and Alan Stacey

Volume 8, issue 3, 2008

High-frequency trading in a limit order book pp. 217-224

Marco Avellaneda and Sasha Stoikov

Multi-asset minority games pp. 225-231

G. Bianconi, A. De Martino, F. F. Ferreira and M. Marsili

Price discovery in the presence of boundedly rational agents pp. 235-249

Karl Ludwig Keiber

Long-memory in high-frequency exchange rate volatility under temporal aggregation pp. 251-261

David Mcmillan and Alan Speight

The implied volatility smirk pp. 263-284

Jin Zhang and Yi Xiang

On the super-replicating approach when trading a derivative is limited pp. 285-297

Sergei Isaenko

Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach pp. 299-312

Peter Meindl and James Primbs

American futures options arbitrage: evidence from the Nikkei 225 options market pp. 313-320

Changyun Wang, Wei Zhang and Weng Kit Tan

US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk pp. 321-334

Kwamie Dunbar

Volume 8, issue 2, 2008

Option valuation, time-changed processes and the fast Fourier transform pp. 103-108

Oscar Gutierrez

Goodness-of-fit tests for parametric families of Archimedean copulas pp. 109-116

Cornelia Savu and Mark Trede

Pricing options with Green's functions when volatility, interest rate and barriers depend on time pp. 119-133

Gregor Dorfleitner, Paul Schneider, Kurt Hawlitschek and Arne Buch

Enhanced policy iteration for American options via scenario selection pp. 135-146

Christian Bender, Anastasia Kolodko and John Schoenmakers

Path integral pricing of Asian options on state-dependent volatility models pp. 147-161

Giuseppe Campolieti and Roman Makarov

Fast swaption pricing under the market model with a square-root volatility process pp. 163-180

Lixin Wu and Fan Zhang

A multi-factor jump-diffusion model for commodities pp. 181-200

John Crosby

Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns pp. 201-215

Don Galagedera and Elizabeth Maharaj

Volume 8, issue 1, 2008

Financial markets. The joy of volatility pp. 1-3

M. A. H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé

Impact of economic data surprises on exchange rates in the inter-dealer market pp. 5-15

Jessica James and Kristjan Kasikov

The next tick on Nasdaq pp. 19-40

Bruce Mizrach

Relation between bid-ask spread, impact and volatility in order-driven markets pp. 41-57

Matthieu Wyart, Jean-Philippe Bouchaud, Julien Kockelkoren, Marc Potters and Michele Vettorazzo

Heterogeneity, convergence, and autocorrelations pp. 59-79

Xuezhong (Tony) He and Youwei Li

Semiparametric diffusion estimation and application to a stock market index pp. 81-92

Wolfgang Hardle, Torsten Kleinow, Alexander Korostelev, Camille Logeay and Eckhard Platen

Risk-adjusted value allocation for (non-traded) assets with performance ratios pp. 93-102

Johannes Leitner