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 1, issue 6, 2001

Striking a global balance for successful risk systems pp. 556-557 Downloads
V. Spedding
Stochastic volatility, power laws and long memory pp. 558-559 Downloads
Benoît Mandelbrot
Power laws and long memory pp. 560-562 Downloads
Thomas Lux
Scaling and universality in economics: empirical results and theoretical interpretation pp. 563-567 Downloads
H. E. Stanley and V. Plerou
Live laboratory will analyse real-time market data pp. 568-570 Downloads
V. Spedding
Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction pp. 573-596 Downloads
T. Choulli, M. Taksar and X. Y. Zhou
Pricing, no-arbitrage bounds and robust hedging of instalment options pp. 597-610 Downloads
M. H. A. Davis, W. Schachermayer and R. G. Tompkins
A jump-diffusion model for pricing corporate debt securities in a complex capital structure pp. 611-620 Downloads
M. Kijima and T. Suzuki
Stochastic volatility as a simple generator of apparent financial power laws and long memory pp. 621-631 Downloads
Blake Lebaron
Turbulence in financial markets: the surprising explanatory power of simple cascade models pp. 632-640 Downloads
Thomas Lux
Scaling in financial prices: IV. Multifractal concentration pp. 641-649 Downloads
Benoît Mandelbrot

Volume 1, issue 5, 2001

A guide for the perplexed quant pp. 476-480 Downloads
E. Derman
On the modelling of option prices pp. 481-481 Downloads
D. B. Madan
Welcome to a non-Black-Scholes world pp. 482-483 Downloads
J-P. Bouchaud and M. Potters
Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints pp. 489-501 Downloads
N. J. Jobst, M. D. Horniman, C. A. Lucas and G. Mitra
Deriving the arbitrage pricing theory when the number of factors is unknown pp. 502-508 Downloads
L. P. Middleton and S. E. Satchell
Asset price and wealth dynamics under heterogeneous expectations pp. 509-526 Downloads
Carl Chiarella and Xuezhong He
More on a statistical analysis of log-periodic precursors to financial crashes pp. 527-532 Downloads
James Feigenbaum
Multi-dimensional rational bubbles and fat tails pp. 533-541 Downloads
Yannick Malevergne and D. Sornette
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach pp. 542-551 Downloads
P. Silvapulle and Clive Granger

Volume 1, issue 4, 2001

A little learning is a dangerous thing pp. 380-382 Downloads
J. James
Infectious defaults pp. 382-387 Downloads
M. Davis and V. Lo
Triangular arbitrage in the spot and forward foreign exchange markets pp. 387-390 Downloads
I. Moosa
A real-time adaptive trading system using genetic programming pp. 397-413 Downloads
M. A. H. Dempster and C. M. Jones
Conditional entropy and randomness in financial time series pp. 414-426 Downloads
M. D. London, A. K. Evans and M. J. Turner
Scaling in financial prices: III. Cartoon Brownian motions in multifractal time pp. 427-440 Downloads
Benoît Mandelbrot
Financial networks with intermediation pp. 441-451 Downloads
A. Nagurney and K. Ke
Significance of log-periodic precursors to financial crashes pp. 452-471 Downloads
D. Sornette and A. Johansen

Volume 1, issue 3, 2001

Stochastic volatility and option pricing pp. 292-297 Downloads
D. Gkamas
The taming of the skew pp. 298-300 Downloads
A. Smith
Pricing weather derivatives by marginal value pp. 305-308 Downloads
M. Davis
Finance and variational inequalities-super-* pp. 309-317 Downloads
A. Nagurney
Feller processes of normal inverse Gaussian type pp. 318-331 Downloads
O.E. Barndorff-Nielsen and S.Z. Levendorskii
Effects of regulation on a self-organized market pp. 332-335 Downloads
Gianaurelio Cuniberti, Angelo Valleriani and José Luis Vega
Optimal portfolio selection and compression in an incomplete market pp. 336-345 Downloads
N. Dokuchaev and U. Haussmann
A statistical analysis of log-periodic precursors to financial crashes-super-* pp. 346-360 Downloads
James Feigenbaum
Designing proxies for stock market indices is computationally hard-super-* pp. 361-371 Downloads
M-Y. Kao and S.R. Tate
Non-random topology of stock markets pp. 372-374 Downloads
N. Vandewalle, F. Brisbois and X. Tordoir

Volume 1, issue 2, 2001

Alex Lipton: a driving force behind physics and finance pp. 196-197 Downloads
V. Spedding
Defining efficiency in heterogeneous markets pp. 198-201 Downloads
Michel Dacorogna, U. Mller, R. Olsen and O. Pictet
Statistical mechanics of asset markets with private information pp. 203-211 Downloads
J. Berg, M. Marsili, Aldo Rustichini and R. Zecchina
On a universal mechanism for long-range volatility correlations pp. 212-216 Downloads
J-P. Bouchaud, I. Giardina and M. Mzard
Correlation structure of extreme stock returns pp. 217-222 Downloads
P. Cizeau, M. Potters and J-P. Bouchaud
Empirical properties of asset returns: stylized facts and statistical issues pp. 223-236 Downloads
R. Cont
What good is a volatility model? pp. 237-245 Downloads
Robert Engle and Andrew Patton
Correlated adaptation of agents in a simple market: a statistical physics perspective pp. 246-253 Downloads
J. P. Garrahan, E. Moro and D. Sherrington
A builder's guide to agent-based financial markets pp. 254-261 Downloads
Blake Lebaron
Price fluctuations, market activity and trading volume pp. 262-269 Downloads
V. Plerou, P. Gopikrishnan, Xavier Gabaix, L. A. N. Amaral and H. E. Stanley
A tractable market model with jumps for pricing short-term interest rate derivatives pp. 270-283 Downloads
Y. Samuelides and E. Nahum
Learning to profit with discrete investment rules pp. 284-288 Downloads
S. Skouras

Volume 1, issue 1, 2001

Proprietary trading: truth and fiction pp. 6-8 Downloads
P. Muller
Options and forwards compete for best hedge pp. 9-11 Downloads
C. Attfield, M. Glod and J. James
Real options give insights into real value pp. 12-14 Downloads
S. Leppard and P. Morawitz
Optimal positioning in derivative securities pp. 19-37 Downloads
P. Carr and D. Madan
Information and option pricings pp. 38-44 Downloads
X. Guo
Asset allocation and derivatives pp. 45-72 Downloads
M. B. Haugh and Andrew Lo
Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach pp. 73-78 Downloads
C. F. Lo and C. H. Hui
Multivariate extremes, aggregation and risk estimation pp. 79-95 Downloads
H. A. Hauksson, Michel Dacorogna, T. Domenig, U. Mller and G. Samorodnitsky
High-frequency cross-correlation in a set of stocks pp. 96-104 Downloads
G. Bonanno, F. Lillo and Rosario Mantegna
Power laws in economics and finance: some ideas from physics pp. 105-112 Downloads
J-P. Bouchaud
Scaling in financial prices: I. Tails and dependence pp. 113-123 Downloads
Benoît Mandelbrot
Scaling in financial prices: II. Multifractals and the star equation pp. 124-130 Downloads
Benoît Mandelbrot
Multifractal returns and hierarchical portfolio theory pp. 131-148 Downloads
J-F. Muzy, D. Sornette, J. Delour and A. Arneodo
Financial markets as nonlinear adaptive evolutionary systems pp. 149-167 Downloads
Cars Hommes
From Minority Games to real markets pp. 168-176 Downloads
Damien Challet, A. Chessa, M. Marsili and Y-C. Zhang
Towards evolutionary game models of financial markets pp. 177-185 Downloads
Daniel Friedman
Money and Goldstone modes pp. 186-190 Downloads
P. Bak, S. F. Nrrelykke and Martin Shubik
Page updated 2019-06-26