Quantitative Finance

2001 - 2025

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

V. Spedding

Stochastic volatility, power laws and long memory pp. 558-559

Benoît Mandelbrot

Power laws and long memory pp. 560-562

Thomas Lux

Scaling and universality in economics: empirical results and theoretical interpretation pp. 563-567

H. E. Stanley and V. Plerou

Live laboratory will analyse real-time market data pp. 568-570

V. Spedding

Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction pp. 573-596

T. Choulli, M. Taksar and X. Y. Zhou

Pricing, no-arbitrage bounds and robust hedging of instalment options pp. 597-610

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

M. Kijima and T. Suzuki

Stochastic volatility as a simple generator of apparent financial power laws and long memory pp. 621-631

Blake Lebaron

Turbulence in financial markets: the surprising explanatory power of simple cascade models pp. 632-640

Thomas Lux

Scaling in financial prices: IV. Multifractal concentration pp. 641-649

Benoît Mandelbrot

Volume 1, issue 5, 2001

A guide for the perplexed quant pp. 476-480

E. Derman

On the modelling of option prices pp. 481-481

D. B. Madan

Welcome to a non-Black-Scholes world pp. 482-483

J-P. Bouchaud and M. Potters

Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints pp. 489-501

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

L. P. Middleton and S. E. Satchell

Asset price and wealth dynamics under heterogeneous expectations pp. 509-526

Carl Chiarella and Xuezhong (Tony) He

More on a statistical analysis of log-periodic precursors to financial crashes pp. 527-532

James Feigenbaum

Multi-dimensional rational bubbles and fat tails pp. 533-541

Yannick Malevergne and D. Sornette

Large returns, conditional correlation and portfolio diversification: a value-at-risk approach pp. 542-551

P. Silvapulle and Clive Granger

Volume 1, issue 4, 2001

A little learning is a dangerous thing pp. 380-382

J. James

Infectious defaults pp. 382-387

M. Davis and V. Lo

Triangular arbitrage in the spot and forward foreign exchange markets pp. 387-390

I. Moosa

A real-time adaptive trading system using genetic programming pp. 397-413

M. A. H. Dempster and C. M. Jones

Conditional entropy and randomness in financial time series pp. 414-426

M. D. London, A. K. Evans and M. J. Turner

Scaling in financial prices: III. Cartoon Brownian motions in multifractal time pp. 427-440

Benoît Mandelbrot

Financial networks with intermediation pp. 441-451

A. Nagurney and K. Ke

Significance of log-periodic precursors to financial crashes pp. 452-471

D. Sornette and A. Johansen

Volume 1, issue 3, 2001

Stochastic volatility and option pricing pp. 292-297

D. Gkamas

The taming of the skew pp. 298-300

A. Smith

Pricing weather derivatives by marginal value pp. 305-308

M. Davis

Finance and variational inequalities-super-* pp. 309-317

A. Nagurney

Feller processes of normal inverse Gaussian type pp. 318-331

Ole Barndorff-Nielsen and S.Z. Levendorskii

Effects of regulation on a self-organized market pp. 332-335

Gianaurelio Cuniberti, Angelo Valleriani and Jos� Luis Vega

Optimal portfolio selection and compression in an incomplete market pp. 336-345

N. Dokuchaev and U. Haussmann

A statistical analysis of log-periodic precursors to financial crashes-super-* pp. 346-360

James Feigenbaum

Designing proxies for stock market indices is computationally hard-super-* pp. 361-371

M-Y. Kao and S.R. Tate

Non-random topology of stock markets pp. 372-374

N. Vandewalle, F. Brisbois and X. Tordoir

Volume 1, issue 2, 2001

Alex Lipton: a driving force behind physics and finance pp. 196-197

V. Spedding

Defining efficiency in heterogeneous markets pp. 198-201

Michel Dacorogna, U. Mller, R. Olsen and O. Pictet

Statistical mechanics of asset markets with private information pp. 203-211

J. Berg, M. Marsili, Aldo Rustichini and R. Zecchina

On a universal mechanism for long-range volatility correlations pp. 212-216

J-P. Bouchaud, I. Giardina and M. Mzard

Correlation structure of extreme stock returns pp. 217-222

P. Cizeau, M. Potters and J-P. Bouchaud

Empirical properties of asset returns: stylized facts and statistical issues pp. 223-236

R. Cont

What good is a volatility model? pp. 237-245

Robert Engle and Andrew Patton

Correlated adaptation of agents in a simple market: a statistical physics perspective pp. 246-253

J. P. Garrahan, E. Moro and D. Sherrington

A builder's guide to agent-based financial markets pp. 254-261

Blake Lebaron

Price fluctuations, market activity and trading volume pp. 262-269

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

Y. Samuelides and E. Nahum

Learning to profit with discrete investment rules pp. 284-288

S. Skouras

Volume 1, issue 1, 2001

Proprietary trading: truth and fiction pp. 6-8

P. Muller

Options and forwards compete for best hedge pp. 9-11

C. Attfield, M. Glod and J. James

Real options give insights into real value pp. 12-14

S. Leppard and P. Morawitz

Optimal positioning in derivative securities pp. 19-37

Peter Carr and D. Madan

Information and option pricings pp. 38-44

X. Guo

Asset allocation and derivatives pp. 45-72

M. B. Haugh and Andrew Lo

Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach pp. 73-78

C. F. Lo and C. H. Hui

Multivariate extremes, aggregation and risk estimation pp. 79-95

H. A. Hauksson, Michel Dacorogna, T. Domenig, U. Mller and G. Samorodnitsky

High-frequency cross-correlation in a set of stocks pp. 96-104

G. Bonanno, F. Lillo and Rosario Mantegna

Power laws in economics and finance: some ideas from physics pp. 105-112

J-P. Bouchaud

Scaling in financial prices: I. Tails and dependence pp. 113-123

Benoît Mandelbrot

Scaling in financial prices: II. Multifractals and the star equation pp. 124-130

Benoît Mandelbrot

Multifractal returns and hierarchical portfolio theory pp. 131-148

J-F. Muzy, D. Sornette, J. Delour and A. Arneodo

Financial markets as nonlinear adaptive evolutionary systems pp. 149-167

Cars Hommes

From Minority Games to real markets pp. 168-176

Damien Challet, A. Chessa, M. Marsili and Y-C. Zhang

Towards evolutionary game models of financial markets pp. 177-185

Daniel Friedman

Money and Goldstone modes pp. 186-190

P. Bak, S. F. Nrrelykke and Martin Shubik