Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Dedication brings success through diversity pp. 400-401: Vanessa Spedding
Where mathematics, insurance and finance meet pp. 402-404: Paul Embrechts
Molten lava meets market languor pp. 405-405: Alessio Sancetta and Steve Satchell
Debunking efficient markets? pp. 406-407: Steve Keen
S&P 500 predictions of Sornette and Zhou pp. 407-407: Christian Meister and Hans-Christian Graf Bothmer
How to get rich with Sornette and Zhou pp. 408-408: Dietrich Stauffer
Risk considerations unique to hedge funds pp. 409-411: Hilary Till
A theory of non-Gaussian option pricing pp. 415-431: Lisa Borland
Pricing of perpetual Bermudan options pp. 432-442: Svetlana Boyarchenko and S. Z. Levendorskii
Probability distribution of returns in the Heston model with stochastic volatility pp. 443-453: Adrian Dragulescu and Victor Yakovenko
An interest rate model with a Markovian mean reverting level pp. 454-458: Robert Elliott and Rogemar Mamon
Consistent pricing and hedging for a modified constant elasticity of variance model pp. 459-467: David Heath and Eckhard Platen
The US 2000-2002 market descent: How much longer and deeper? pp. 468-481: Didier Sornette and Wei-Xing Zhou
Diversification and generalized tracking errors for correlated non-normal returns pp. 482-486: Mark Wise and Vineer Bhansali
Stochastic volatility options pricing with wavelets and artificial neural networks pp. 487-495: Christopher Zapart

Financial risk as a challenge for stochastic analysis pp. 320-321: Hans Follmer
Reflections on interaction and markets pp. 322-326: Alan Kirman
Smart Monte Carlo: various tricks using Malliavin calculus pp. 329-336: Eric Benhamou
On a semi-spectral method for pricing an option on a mean-reverting asset pp. 337-345: L. P. Bos, A. F. Ware and B. S. Pavlov
A simulation analysis of the microstructure of double auction markets pp. 346-353: Carl Chiarella and Giulia Iori
Trend-following hedge funds and multi-period asset allocation pp. 354-361: Dries Darius, Aytac Ilhan, John Mulvey, Koray Simsek and Ronnie Sircar
A variance reduction technique based on integral representations pp. 362-369: David Heath and Eckhard Platen
Bounding Bermudan swaptions in a swap-rate market model pp. 370-377: Mark Joshi and Jochen Theis
Some comments on the APT pp. 378-386: Haim Reisman
The power of patience: a behavioural regularity in limit-order placement pp. 387-392: Ilija Zovko and J. Farmer

Fast transformations lead to global view pp. 232-233: Vanessa Spedding
Collaboration is key to real-world insights pp. 234-236: Carol Leisenring
Measuring risk-adjusted returns in alternative investments pp. 237-238: Hilary Till
Fluid reading, forex risk pp. 239-239: Pierre Lequeux
Semi-parametric modelling in finance: theoretical foundations pp. 241-250: N. H. Bingham and Rudiger Kiesel
Statistical properties of stock order books: empirical results and models pp. 251-256: Jean-Philippe Bouchaud, Marc Mezard and Marc Potters
Recovery of volatility coefficient by linearization pp. 257-263: Ilia Bouchouev, Victor Isakov and Nicolas Valdivia
Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos pp. 264-281: A. Corcos, J-P Eckmann, A. Malaspinas, Yannick Malevergne and D. Sornette
The perception of time, risk and return during periods of speculation pp. 282-296: Emanuel Derman
Dissecting financial markets: sectors and states pp. 297-302: Matteo Marsili
The skewed multifractal random walk with applications to option smiles pp. 303-314: Benoit Pochart and Jean-Philippe Bouchaud

Investment management accessible to all pp. 172-173: Vanessa Spedding
Research on alternative investments at Princeton pp. 174-176: John Mulvey
Risk with reservations pp. 177-178: Cosma Shalizi
Martingales for (normal) profit pp. 179-179: Cosma Shalizi
Optimal design of derivatives in illiquid markets pp. 181-188: Pauline Barrieu and Nicole El Karoui
Dynamical pricing of weather derivatives pp. 189-198: Dorje Brody, Joanna Syroka and Mihail Zervos
A comparison of transaction costs on Xetra and on Nasdaq pp. 199-216: Otto Loistl, Bernd Schossmann, Olaf Vetter and Alexander Veverka
On the foundation of performance measures under asymmetric returns pp. 217-223: Christian Pedersen and Stephen Satchell
Economies of scale in innovations with block-busters pp. 224-227: D. Sornette

Scholarly approach brings sweeping change pp. 84-85: Vanessa Spedding
Adaptability assures research centre's sucess pp. 86-87: Vanessa Spedding
The first history of derivatives pp. 88-88: John Hull
Multiresolution approximation for volatility processes pp. 91-110: Enrico Capobianco
International tax arbitrage via corporate income splitting pp. 111-115: Satish Chand
Option pricing under regime switching pp. 116-132: Jin-Chuan Duan, Ivilina Popova and Peter Ritchken
Value management pp. 133-138: Klaus Hellwig
Skewness in individual stocks at different investment horizons pp. 139-146: Amado Peiro
Heterogeneous expectations, currency options and the euro/dollar pp. 147-157: Bronka Rzepkowski
On the computation of option prices and sensitivities in the Black-Scholes-Merton model pp. 158-166: B. A. Shadwick and W. F. Shadwick

Active management: Can it beat the markets? pp. 4-5: Vanessa Spedding
Introduction to the special issue on volatility modelling pp. 6-7: Rama Cont and Marco Avellaneda
Defusing volatility explosions with complex analysis pp. 7-8: Nick Webber
Some recent developments in stochastic volatility modelling pp. 11-23: Ole Barndorff-Nielsen, Elisa Nicolato and Neil Shephard
Variance reduction for Monte Carlo simulation in a stochastic volatility environment pp. 24-30: Jean-Pierre Fouque and Tracey Andrew Tullie
Deterministic implied volatility models pp. 31-44: P. Balland
Dynamics of implied volatility surfaces pp. 45-60: Rama Cont and José Da Fonseca
Asymptotics and calibration of local volatility models pp. 61-69: H. Berestycki, J. Busca and I. Florent
Entropy and information in the interest rate term structure pp. 70-80: D. C. Brody and L. P. Hughston