Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 6, issue 6, 2006

The modified Weibull distribution for asset returns pp. 449-449

Saralees Nadarajah and Samuel Kotz

The modified weibull distribution for asset returns: reply pp. 451-451

Yannick Malevergne, V. Pisarenko and D. Sornette

Equilibrium asset pricing: with non-Gaussian factors and exponential utilities pp. 455-463

Dilip Madan

A cross-currency Levy market model pp. 465-480

Ernst Eberlein and Nataliya Koval

Myopic loss aversion and margin of safety: the risk of value investing pp. 481-494

Kuan Xu and Gordon Fisher

On a subjective approach to risk measurement pp. 495-511

Piotr Jaworski

Fast strong approximation Monte Carlo schemes for stochastic volatility models pp. 513-536

Christian Kahl and Peter Jackel

Volume 6, issue 5, 2006

Derman and Taleb's 'The illusions of dynamic replication': a comment pp. 365-367

Doriana Ruffino and Jonathan Treussard

There's more to volatility than volume pp. 371-384

Laszlo Gillemot, J. Farmer and Fabrizio Lillo

A multivariate jump-driven financial asset model pp. 385-402

Elisa Luciano and Wim Schoutens

Drawdowns preceding rallies in the Brownian motion model pp. 403-409

Olympia Hadjiliadis and Jan Vecer

Do emerging markets with consistent returns have better future performance? pp. 411-422

Boyce Watkins

Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model pp. 423-433

Jaume Masoliver and Josep Perello

Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs pp. 435-445

Valeri Zakamouline

Volume 6, issue 4, 2006

Intelligent finance—an emerging direction pp. 273-277

Heping Pan, Didier Sornette and Kenneth Kortanek

Book review pp. 279-280

Stathis Tompaidis

Short-term market reaction after extreme price changes of liquid stocks pp. 283-295

Adam Zawadowski, Gyorgy Andor and Janos Kertesz

Analysis of drawdowns and drawups in the US$ interest-rate market pp. 297-326

Riccardo Rebonato and Valerio Gaspari

Barrier options and their static hedges: simple derivations and extensions pp. 327-335

Rolf Poulsen

The square-root process and Asian options pp. 337-347

Angelos Dassios and Jayalaxshmi Nagaradjasarma

Efficient hybrid methods for portfolio credit derivatives pp. 349-357

Hui Zheng

The robustness of modified unit root tests in the presence of GARCH pp. 359-363

Steven Cook

Volume 6, issue 3, 2006

Dynamic capital allocation: exploiting persistent patterns in currency performance pp. 185-191

Collin Crownover

Book Review pp. 193-193

David Hobson

Local volatility function models under a benchmark approach pp. 197-206

David Heath and Eckhard Platen

Expensive martingales pp. 207-218

Hans Buehler

Symmetry and duality in Levy markets pp. 219-227

José Fajardo and Ernesto Mordecki

An exact and explicit solution for the valuation of American put options pp. 229-242

Song-Ping Zhu

Pricing defaultable bonds: a middle-way approach between structural and reduced-form models pp. 243-253

Lara Cathcart and Lina El-Jahel

Investor preferences and portfolio selection: is diversification an appropriate strategy? pp. 255-271

C. Hueng and Ruey Yau

Volume 6, issue 2, 2006

A simple approach for pricing equity options with Markov switching state variables pp. 95-105

Donald Aingworth, Sanjiv Das and Rajeev Motwani

Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary? pp. 107-112

J. Farmer, Austin Gerig, Fabrizio Lillo and Szabolcs Mike

Random walks, liquidity molasses and critical response in financial markets pp. 115-123

Jean-Philippe Bouchaud, Julien Kockelkoren and Marc Potters

Esscher transforms and the minimal entropy martingale measure for exponential Levy models pp. 125-145

Friedrich Hubalek and Carlo Sgarra

A new technique for calibrating stochastic volatility models: the Malliavin gradient method pp. 147-158

Christian-Oliver Ewald and Aihua Zhang

The generalized value at risk admissible set: constraint consistency and portfolio outcomes pp. 159-171

Roger Bowden

On the equivalence of the static and dynamic asset allocation problems pp. 173-183

Robert Kohn and Oana Papazoglu-Statescu

Volume 6, issue 1, 2006

Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow pp. 1-3

J. Farmer

Large stock price changes: volume or liquidity? pp. 7-14

Philipp Weber and Bernd Rosenow

A Bayesian analysis of log-periodic precursors to financial crashes pp. 15-36

George Chang and James Feigenbaum

Optimal exercise strategies for corporate warrants pp. 37-54

Christian Koziol

Pricing exotic options in a path integral approach pp. 55-66

G. Bormetti, G. Montagna, N. Moreni and O. Nicrosini

The value of the 'swap' feature in equity default swaps pp. 67-74

Javier Gil-Bazo

On risk management problems related to a coherence property pp. 75-81

Frank Fabozzi and Radu Tunaru

Optimal portfolio for an insider in a market driven by Levy processes pp. 83-94

Giulia Di Nunno, Thilo Meyer-Brandis, Bernt Øksendal and Frank Proske

Volume 5, issue 6, 2005

Statistical properties of demand fluctuation in the financial market pp. 513-517

Kaushik Matia and Kazuko Yamasaki

Two phase behaviour and the distribution of volume pp. 519-521

Vasiliki Plerou, Parameswaran Gopikrishnan and H. Eugene Stanley

Moment swaps pp. 525-530

Wim Schoutens

Valuation of volatility derivatives as an inverse problem pp. 531-542

Peter Friz and Jim Gatheral

On a multivariate Markov chain model for credit risk measurement pp. 543-556

Tak Kuen Siu, Wai-Ki Ching, S. Eric Fung and Michael Ng

Multiple equilibria in a monopoly market with heterogeneous agents and externalities pp. 557-568

Jean-Pierre Nadal, Denis Phan, Mirta Gordon and Jean Vannimenus

Price return autocorrelation and predictability in agent-based models of financial markets pp. 569-576

Damien Challet and Tobias Galla

Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method pp. 577-591

Didier Sornette and Wei-Xing Zhou

Volume 5, issue 5, 2005

FX trading models - how are they doing? pp. 425-431

Jessica James

On the distributional distance between the lognormal LIBOR and swap market models pp. 433-442

Damiano Brigo and Jan Liinev

Pricing Black-Scholes options with correlated interest rate risk and credit risk: an extension pp. 443-457

Szu-Lang Liao and Hsing-Hua Huang

Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund pp. 459-474

Andreas Lindemann, Christian Dunis and Paulo Lisboa

On non-Gaussianity and dependence in financial time series: a nonextensive approach pp. 475-487

S. M. Duarte Queiros

Empirical estimation of tail dependence using copulas: application to Asian markets pp. 489-501

Cyril Caillault and Dominique Guegan

Optimal portfolio delegation when parties have different coefficients of risk aversion pp. 503-512

Kasper Larsen

Volume 5, issue 4, 2005

The illusions of dynamic replication pp. 323-326

Emanuel Derman and Nassim Nicholas Taleb

Static-arbitrage upper bounds for the prices of basket options pp. 329-342

David Hobson, Peter Laurence and Tai-Ho Wang

Time to wealth goals in capital accumulation pp. 343-355

Leonard Maclean, William Ziemba and Yuming Li

Order book approach to price impact pp. 357-364

P. Weber and B. Rosenow

The immediate price impact of trades on the Australian Stock Exchange pp. 365-377

Marcus Lim and Richard Coggins

Empirical distributions of stock returns: between the stretched exponential and the power law? pp. 379-401

Yannick Malevergne, V. Pisarenko and D. Sornette

Wavelet Galerkin pricing of American options on Levy driven assets pp. 403-424

A. -M. Matache, P. -A. Nitsche and C. Schwab

Volume 5, issue 3, 2005

Editorials pp. 235-235

Carl Chiarella and Eckhard Platen

Waiting for returns: using space-time duality to calibrate financial diffusions pp. 237-244

Mark Kamstra and Moshe Milevsky

Discrete credit barrier models pp. 247-256

Claudio Albanese and Oliver Chen

PDE approach to valuation and hedging of credit derivatives pp. 257-270

Tomasz Bielecki, Monique Jeanblanc and Marek Rutkowski

Pairs trading pp. 271-276

Robert Elliott, John Van Der Hoek and William Malcolm

A Markov model for valuing asset prices in a dynamic bargaining market pp. 277-288

Masaaki Kijima and Yoshihiko Uchida

Pricing inflation-indexed derivatives pp. 289-302

Fabio Mercurio

Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility pp. 303-313

Holger Kraft

Optimal portfolios with a positive lower bound on final wealth pp. 315-321

Ralf Korn

Volume 5, issue 2, 2005

Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences pp. 133-140

Rosario Mantegna

Durations, volume and the prediction of financial returns in transaction time pp. 145-152

Christian Hafner

Surprise volume and heteroskedasticity in equity market returns pp. 153-168

Niklas Wagner and Terry Marsh

A learning market-maker in the Glosten-Milgrom model pp. 169-180

Sanmay Das

On accurate and provably efficient GARCH option pricing algorithms pp. 181-198

Yuh-Dauh Lyuu and Chi-Ning Wu

Stochastic volatility and the goodness-of-fit of the Heston model pp. 199-211

Gilles Daniel, Nathan Joseph and David Bree

Tobin tax and market depth pp. 213-218

G. Ehrenstein, Frank Westerhoff and D. Stauffer

International tax arbitrage, financial parity conditions and preferential capital gains taxation pp. 219-226

Frank Strobel

Estimating value-at-risk: a point process approach pp. 227-234

V. Chavez-Demoulin, A. C. Davison and A. J. McNeil

Volume 5, issue 1, 2005

The use of Hurst and effective return in investing pp. 1-8

Andrew Clark

Empirical modelling of contagion: a review of methodologies pp. 9-24

Mardi Dungey, Renee Fry-McKibbin, Brenda Gonzalez-Hermosillo and Vance Martin

Analysis of default data using hidden Markov models pp. 27-34

Giacomo Giampieri, Mark Davis and Martin Crowder

The impact of the market portfolio on the valuation, incentives and optimality of executive stock options pp. 35-47

Vicky Henderson

Pricing electricity risk by interest rate methods pp. 49-60

Juri Hinz, Lutz Von Grafenstein, Michel Verschuere and Martina Wilhelm

Valuing employee reload options under the time vesting requirement pp. 61-69

Min Dai and Yue Kuen Kwok

A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices pp. 71-87

Andrea Consiglio, Valerio Lacagnina and Annalisa Russino

A moment expansion approach to option pricing pp. 89-104

Marco Airoldi

A framework to measure integrated risk pp. 105-121

Elena Medova and Robert Smith

Financial contagion, spillovers and causality in the Markov switching framework pp. 123-131

Jedrzej Białkowski and Dobromił Serwa