Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 7, issue 6, 2007

Optimal approximations of power laws with exponentials: application to volatility models with long memory pp. 585-589

Thierry Bochud and Damien Challet

Forecasting volatility in GARCH models with additive outliers pp. 591-596

Beatriz Catalan and F. Javier Trivez

Conditional tail behaviour and Value at Risk pp. 599-607

Fabio Bellini and Gianna Figà-Talamanca

Value-at-risk in a market subject to regime switching pp. 609-619

Ryohei Kawata and Masaaki Kijima

Value-at-risk forecasts under scrutiny—the German experience pp. 621-636

Stefan Jaschke, Gerhard Stahl and Richard Stehle

The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market pp. 637-650

Luis Muga and Rafael Santamaria

Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets pp. 651-667

Thomas Chiang, Lin Tan and Huimin Li

Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period pp. 669-685

Chaker Aloui

Testing asymmetry in financial time series pp. 687-696

Francesco Lisi

Comments on 'A theory of non-Gaussian option pricing' pp. 697-699

Gil Adams, Yuhua Yuan and Michael Kelly

A theory of non-Gaussian option pricing pp. 701-701

Lisa Borland

A non-Gaussian option pricing model with skew pp. 703-703

Lisa Borland and Jean-Philippe Bouchaud

Volume 7, issue 5, 2007

Model-free price hedge ratios for homogeneous claims on tradable assets pp. 473-479

Carol Alexander and Leonardo Nogueira

A remark on managerial behaviour and agency cost pp. 483-485

Zhihui Gu and Qingyuan Zhang

On the structure of Gaussian pricing models and Gaussian Markov functional models pp. 487-496

C. D. D. Neumann

A test of the beta model on Eurodollar futures options pp. 497-505

Les Gulko

Volatility surfaces: theory, rules of thumb, and empirical evidence pp. 507-524

Toby Daglish, John Hull and Wulin Suo

Solvable local and stochastic volatility models: supersymmetric methods in option pricing pp. 525-535

Pierre Henry-labordere

Insiders' hedging in a jump diffusion model pp. 537-545

Kiseop Lee and Seongjoo Song

On the existence of an efficient hedge for an American contingent claim within a discrete time market pp. 547-551

Leonel Pérez-Hernández

The volatility of temperature and pricing of weather derivatives pp. 553-561

Fred ESPEN Benth and Jurate saltyte Benth

On option pricing models in the presence of heavy tails pp. 563-573

Michel Vellekoop and Hans Nieuwenhuis

A jump telegraph model for option pricing pp. 575-583

Nikita Ratanov

Volume 7, issue 4, 2007

Introduction to the special issue on portfolio construction and risk management pp. 357-358

M. A. H. Dempster, Gautam Mitra and Georg Ch. Pflug

Coherent measures of risk in everyday market practice pp. 359-364

Carlo Acerbi

DC pension fund benchmarking with fixed-mix portfolio optimization pp. 365-370

M. A. H. Dempster, E. A. Germano, M. Medova, M. I. Rietbergen, F. Sandrini, M. Scrowston and N. Zhang

Higher moment coherent risk measures pp. 373-387

Pavlo A. Krokhmal

On the feasibility of portfolio optimization under expected shortfall pp. 389-396

Stefano Ciliberti, Imre Kondor and Marc Mezard

Stability analysis of portfolio management with conditional value-at-risk pp. 397-409

Michal Kaut, Hercules Vladimirou, Stein Wallace and Stavros Zenios

Stress testing for VaR and CVaR pp. 411-421

Jitka Dupacova and Jan PolIvka

Stable distributions in the Black-Litterman approach to asset allocation pp. 423-433

Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev and Frank Fabozzi

Ambiguity in portfolio selection pp. 435-442

Georg Pflug and David Wozabal

Mean-risk models using two risk measures: a multi-objective approach pp. 443-458

Diana Roman, Kenneth Darby-Dowman and Gautam Mitra

Implied non-recombining trees and calibration for the volatility smile pp. 459-472

Chris Charalambous, Nicos Christofides, Eleni D. Constantinide and Spiros H. Martzoukos

Volume 7, issue 3, 2007

Financial Pareto ratios pp. 257-260

Saralees Nadarajah and Samuel Kotz

Country risk and the estimation of asset return distributions pp. 261-265

Robert Brooks, Xibin Zhang and Emawtee Bissoondoyal Bheenick

A positive interest rate model with sticky barrier pp. 269-284

Yuri Kabanov, Masaaki Kijima and Sofiane Rinaz

A simple solution for sticky cap and sticky floor pp. 285-287

Roberto Baviera

Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach pp. 289-300

Jonathan M. Godbey and Jimmy E. Hilliard

Modelling stock price movements: multifractality or multifractionality? pp. 301-319

Sergio Bianchi and Augusto Pianese

Overreaction diamonds: precursors and aftershocks for significant price changes pp. 321-342

Ahmet Duran and Gunduz Caginalp

Bayesian analysis of the factor model with finance applications pp. 343-356

Sik-Yum Lee, Wai-Yin Poon and Xin-Yuan Song

Volume 7, issue 2, 2007

Introduction to the special issue on financial planning in a dynamical setting pp. 111-112

M. A. H. Dempster, Gautam Mitra and Georg Ch. Pflug

Trends in quantitative equity management: survey results pp. 115-122

Frank Fabozzi, Sergio Focardi and Caroline Jonas

Portfolio optimization under the Value-at-Risk constraint pp. 125-136

Traian A. Pirvu

Dynamic consumption and asset allocation with derivative securities pp. 137-149

Yuan-Hung Hsuku

Volatility-induced financial growth pp. 151-160

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

Constant rebalanced portfolios and side-information pp. 161-173

E. Fagiuoli, Fabio Stella and A. Ventura

Improving performance for long-term investors: wide diversification, leverage, and overlay strategies pp. 175-187

John M. Mulvey, Cenk Ural and Zhuojuan Zhang

Stochastic programming for funding mortgage pools pp. 189-216

Gerd Infanger

Scenario-generation methods for an optimal public debt strategy pp. 217-229

Massimo Bernaschi, Maya Briani, Marco Papi and Davide Vergni

Solving ALM problems via sequential stochastic programming pp. 231-244

Florian Herzog, Gabriel Dondi, Simon Keel, Lorenz M. Schumani and Hans P. Geering

Designing minimum guaranteed return funds pp. 245-256

M. A. H. Dempster, M. Germano, E. A. Medova, M. I. Rietbergen, F. Sandrini and M. Scrowston

Volume 7, issue 1, 2007

Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques pp. 1-12

David Buckle

The effect of size-based regulation on an economic system exhibiting self-organized criticality pp. 13-16

Di Lu and Shuming Du

BookReview pp. 17-18

Ulrich Horst

Multi-scaling in finance pp. 21-36

T. Di Matteo

Do supply and demand drive stock prices? pp. 37-53

Carl Hopman

Relative volume as a doubly stochastic binomial point process pp. 55-62

James McCulloch

The geometry of crashes. A measure of the dynamics of stock market crises pp. 63-74

Tanya Araújo and Francisco Louçã

Is there an informationally passive benchmark for option pricing incorporating maturity? pp. 75-86

Vicky Henderson, David Hobson and Tino Kluge

Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α-quantile options pp. 87-94

Kwai Sun Leung and Yue Kuen Kwok

Calibration of a nonlinear feedback option pricing model pp. 95-110

Simona Sanfelici