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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 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