Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 3, issue 6, 2003

Real-time learning at Maryland pp. 106-108

Alexander Triantis

Playing the trombone to tulips pp. 109-113

Jack Gray

Robustness of simple trend-following strategies pp. 114-116

Jessica James

A market-induced mechanism for stock pinning pp. 417-425

Marco Avellaneda and Michael Lipkin

A semi-parametric approach to risk management pp. 426-441

N. H. Bingham, Rudiger Kiesel and Rafael Schmidt

Pricing of index options under a minimal market model with log-normal scaling pp. 442-450

David Heath and Eckhard Platen

A new well-posed algorithm to recover implied local volatility pp. 451-457

Lishang Jiang, Qihong Chen, Lijun Wang and Jin Zhang

A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation pp. 458-469

Mark Joshi and Riccardo Rebonato

Fundamentalists clashing over the book: a study of order-driven stock markets pp. 470-480

Marco LiCalzi and Paolo Pellizzari

Statistical theory of the continuous double auction pp. 481-514

Eric Smith, J. Farmer, Laszlo Gillemot and Supriya Krishnamurthy

Volume 3, issue 5, 2003

Father of fractal complexity pp. 88-90

Tim Chapman

Strong foundations in Chicago pp. 91-91

Ausra Di Raimondo

Derivatives securities: what they tell us pp. 92-96

Jing Chen

Trend following and option writing—a surprising portfolio pp. 97-100

Jessica James

Pricing Asian options with stochastic volatility pp. 353-362

Jean-Pierre Fouque and Chuan-Hsiang Han

Market-maker, inventory control and foreign exchange dynamics pp. 363-369

Frank Westerhoff

Significance of log-periodic signatures in cumulative noise pp. 370-375

Hans-Christian Graf Bothmer

A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data pp. 376-384

Malik Magdon-Ismail and Amir Atiya

A steady-state model of the continuous double auction pp. 385-404

Hugh Luckock

Dilution, anti-dilution and corporate positions in options on the company's own stocks pp. 405-415

M. Hanke and K. Potzelberger

Volume 3, issue 4, 2003

Bringing economics into the laboratory pp. 58-60

Tim Chapman

Breaking down barriers pp. 61-62

Steven Shreve

Innovations in trading strategies pp. 63-74

Izzy Nelken

Simple trend-following strategies in currency trading pp. 75-77

Jessica James

Taking the pulse of the economy pp. 78-82

Zbigniew Struzik

Testing the Gaussian copula hypothesis for financial assets dependences pp. 231-250

Yannick Malevergne and D. Sornette

The zero-capital approach to portfolio enhancement and overlay management pp. 251-261

Roger Bowden

GARCH model selection criteria pp. 262-284

Heather Mitchell and Michael Mckenzie

Vol-Bond: an analytical solution pp. 285-287

Roberto Baviera

One-state variable binomial models for European-/American-style geometric Asian options pp. 288-295

Min Dai

The emergence of temporal correlations in a study of global economic interdependence pp. 296-305

Eric Friedman, Simon Johnson and A. S. Landsberg

Risk trading, network topology and banking regulation pp. 306-319

Stefan Thurner, Rudolf Hanel and Stefan Pichler

Market heterogeneities and the causal structure of volatility pp. 320-331

Paul Lynch and Gilles Zumbach

Value at risk linear exponent (VARLINEX) forecasts pp. 332-344

John Knight, Stephen Satchell and Guoqiang Wang

Stocks, bonds and the investment horizon: a test of time diversification on the French market pp. 345-351

Gilles Sanfilippo

Volume 3, issue 3, 2003

Looking forward to the future pp. 30-30

J. Farmer

Informational imperfections in theory and practice pp. 31-32

Tim Chapman

Innovation at MIT pp. 33-38

Andrew Lo

The US 2000-2002 market descent: clarification pp. 39-41

Didier Sornette and Wei-Xing Zhou

Traditional investment versus absolute return programmes pp. 42-48

Hillary Till and Joseph Eagleeye

Making money from FX volatility pp. 48-51

Stephane Knauf

Frankfurt MathFinance Workshop 2003 pp. 52-52

Matthias Reimer

Non-constant rates and over-diffusive prices in a simple model of limit order markets pp. 155-162

Damien Challet and Robin Stinchcombe

Estimating GARCH models using support vector machines pp. 163-172

Fernando Perez-Cruz, Julio Afonso-rodriguez and Javier Giner

Alternative asset-price dynamics and volatility smile pp. 173-183

Damiano Brigo, Fabio Mercurio and Giulio Sartorelli

A nonparametric test of the mixture-of-distributions model pp. 184-194

Wai Mun Fong and Wesley Fabrice Lab-sane

Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates pp. 195-200

Olga Yashkir and Yuri Yashkir

Stochastic simulations of time series within Weierstrass-Mandelbrot walks pp. 201-211

Ryszard Kutner and F. Switała

A data and digital-contracts driven method for pricing complex derivatives pp. 212-219

Jun Lu and Hiroshi Ohta

Profitable technical trading rules as a source of price instability pp. 220-229

David Goldbaum

Volume 3, issue 2, 2003

The world is our laboratory pp. 20-21

Cosma Shalizi

Reflections on risk pp. 22-23

Michel Dacorogna

A close look at market microstructure pp. 23-25

Giulia Iori

Nucleation of market shocks in the Sornette-Ide model pp. 67-70

Ana Proykova, Lena Roussenova and Dietrich Stauffer

Financial networks with electronic transactions: modelling, analysis and computations pp. 71-87

Anna Nagurney and Ke Ke

An index of market shocks based on multiscale analysis pp. 88-97

Bertrand Maillet and Thierry Michel

A simple approach for pricing barrier options with time-dependent parameters pp. 98-107

C. F. Lo, H. C. Lee and C. H. Hui

Systematic risk and timescales pp. 108-116

Ramazan Genay, Faruk Seļuk and Brandon Whitcher

Tracking bond indices in an integrated market and credit risk environment pp. 117-135

Norbert Jobst and Stavros Zenios

Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach pp. 136-144

Donald Lien, Y. K. Tse and Xibin Zhang

A two-state jump model pp. 145-154

Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov

Volume 3, issue 1, 2003

Dependence structures for multivariate high-frequency data in finance pp. 1-14

W. Breymann, A. Dias and P. Embrechts

Analytical pricing of the smile in a forward LIBOR market model pp. 15-27

Damiano Brigo and F. Mercurio

Optimal allocation to hedge funds: an empirical analysis pp. 28-39

Jaksa Cvitanic, A. Lazrak, L. Martellini and F. Zapatero

Time consistency of Levy models pp. 40-50

E. Eberlein and F. Zkan

Commodity price modelling that matches current observables: a new approach pp. 51-58

K. R. Miltersen

Mathematical foundation of convexity correction pp. 59-65

Antoon Pelsser