Quantitative Finance

2001 - 2025

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.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 4, issue 6, 2004

Robust tests of the random walk hypothesis pp. 57-60

Erhard Reschenhofer

Quantum games in finance pp. 61-67

Edward Piotrowski and Jan Sladkowski

Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods pp. 619-636

Brendan Bradley and Murad Taqqu

Bivariate normal mixture spread option valuation pp. 637-648

Carol Alexander and Andrew Scourse

Rank reduction of correlation matrices by majorization pp. 649-662

Raoul Pietersz and Patrick Groenen

Pricing equity options everywhere pp. 663-676

S. Dyrting

Network topology of the interbank market pp. 677-684

Michael Boss, Helmut Elsinger, Martin Summer and Stefan Thurner

Application of the heston and hull-white models to german dax data pp. 685-693

Ralf Remer and Reinhard Mahnke

Anomalous waiting times in high-frequency financial data pp. 695-702

Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli and Marco Raberto

Volume 4, issue 5, 2004

Preface pp. 49-49

J. P. Bouchaud

A look ahead at options pricing and volatility pp. 51-54

Marco Avellaneda

A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction pp. 479-488

Emmanuel Jurczenko, Bertrand Maillet and Bogdan Negrea

Adaptive mixture for a controlled smile: the LT model pp. 489-498

Nadhem Meziou

A non-Gaussian option pricing model with skew pp. 499-514

Lisa Borland and Jean-Philippe Bouchaud

Option valuation with infinitely divisible distributions pp. 515-524

Steven Heston

Early exercise boundary and option prices in Levy driven models pp. 525-547

S. Z. Levendorski

Hedging European and Barrier options using stochastic optimization pp. 549-557

Michael Villaverde

Delta-hedging vega risk? pp. 559-579

Stephane Crepey

From local volatility to local Levy models pp. 581-588

Peter Carr, Helyette Geman, Dilip Madan and Marc Yor

GARCH and Volatility swaps pp. 589-595

Alireza Javaheri, Paul Wilmott and Espen Haug

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models pp. 597-606

Jean-Pierre Fouque and Chuan-Hsiang Han

Option pricing and hedging with minimum local expected shortfall pp. 607-618

Benoit Pochart and Jean-Philippe Bouchaud

Volume 4, issue 4, 2004

Adaptive systems for foreign exchange trading pp. 37-45

Mark Austin, Graham Bates, Michael Dempster, Vasco Leemans and Stacy Williams

What really causes large price changes? pp. 383-397

J. Farmer, Laszlo Gillemot, Fabrizio Lillo, Szabolcs Mike and Anindya Sen

Technical trading and the volatility of exchange rates pp. 399-415

Christian Bauer and Bernhard Herz

A methodology for index tracking based on time-series clustering pp. 417-425

Sergio Focardi and Frank Fabozzi

Non-parametric estimation of historical volatility pp. 427-440

John Randal, Peter Thomson and Martin Lally

How trading activity scales with company size in the FTSE 100 pp. 441-456

Gilles Zumbach

Option pricing with Weyl-Titchmarsh theory pp. 457-464

Yishen Li and Jin Zhang

Preposterior analysis for option pricing pp. 465-477

Dorje Brody, Ian Buckley and Bernhard Meister

Volume 4, issue 3, 2004

QFRC drives financial research pp. 29-29

Tony Hall

Equity indexing: Optimize your passive investments pp. 30-33

Carol Alexander and Anca Dimitriu

Going beyond the LIBOR model pp. 34-34

Alireza Javaheri

Performance of utility-based strategies for hedging basis risk pp. 245-255

Michael Monoyios

Testing for persistence in stock returns with GARCH-stable shocks pp. 256-265

Prasad Bidarkota and J. Huston McCulloch

Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model pp. 266-275

Mark Joshi and Dherminder Kainth

Dynamics of international financial networks with risk management pp. 276-291

Anna Nagurney and Jose Cruz

Pricing options with American-style average reset features pp. 292-300

Chuang-Chang Chang, San-Lin Chung and Mark Shackleton

Geometric Asian options: valuation and calibration with stochastic volatility pp. 301-314

Hoi Ying Wong and Ying Lok Cheung

Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy pp. 315-327

Bjarne Højgaard and Michael Taksar

A new Fourier transform algorithm for value-at-risk pp. 328-338

Claudio Albanese, Ken Jackson and Petter Wiberg

Sampling from Archimedean copulas pp. 339-352

Niall Whelan

An out-of-equilibrium model of the distributions of wealth pp. 353-364

Nicola Scafetta, Sergio Picozzi and Bruce West

On the estimation of cost of capital and its reliability pp. 365-372

Wing-Keung Wong and Raymond Chan

Models of asset returns: changes of pattern from high to low event frequency pp. 373-382

Juuso Toyli, Marko Sysi-aho and Kimmo Kaski

Volume 4, issue 2, 2004

Robert F Engle: Understanding volatility as a process pp. 19-20

Robert Engle

A diffusive wander through human life pp. 21-23

Moshe Milevsky

Adventures on the edge of chaos pp. 24-24

K. P. Zetie

Perpetual American options with fractional Brownian motion pp. 123-128

Robert Elliott and Leunglung Chan

Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market pp. 129-139

Lim Kian Guan, Liu Xiaoqing and Tsui Kai Chong

A duscrete-time model of high-frequency stock returns pp. 140-150

Takaki Hayashi

On the accuracy of the local linear approximation for the term structure of interest rates pp. 151-157

Hideyuki Takamizawa and Isao Shoji

Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method pp. 158-169

Y. K. Tse, Xibin Zhang and Jun Yu

Pricing Asian options in a semimartingale model pp. 170-175

Jan Vecer and Mingxin Xu

Fluctuations and response in financial markets: the subtle nature of 'random' price changes pp. 176-190

Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters and Matthieu Wyart

Aggregate consumption spending, the stock market and asymmetric error correction pp. 191-198

Lonnie Stevans

Applying importance sampling for estimating coherent credit risk contributions pp. 199-207

Sandro Merino and Mark Nyfeler

Statistical analysis of financial time series under the assumption of local stationarity pp. 208-220

Stephan Clemencon and Skander Slim

Positive forward rates in the maximum smoothness framework pp. 221-232

Julian Manzano and Jorgen Blomvall

Optimal tracking for asset allocation with fixed and proportional transaction costs pp. 233-243

Stanley Pliska and Kiyoshi Suzuki

Volume 4, issue 1, 2004

Enhancing trend-following strategies with option selling pp. 1-6

Jessica James and Hetty Colchester

Understanding option prices pp. 55-63

Ajay Khanna and Dilip Madan

Aggregating sectors in the infectious defaults model pp. 64-69

Ola Hammarlid

Volatility processes and volatility forecast with long memory pp. 70-86

Gilles Zumbach

Valuing Bermudan options when asset returns are Levy processes pp. 87-100

Evis Këllezi and Nick Webber

The pricing of dual-expiry exotics pp. 101-108

Peter Buchen

A spot market model for pricing derivatives in electricity markets pp. 109-122

Markus Burger, Bernhard Klar, Alfred Müller and Gero Schindlmayr