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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 14, issue 12, 2014

Estimate nothing pp. 2065-2072 Downloads
Moritz Duembgen and L. C. G. Rogers
Discrete Time Series, Processes, and Applications in Finance pp. 2073-2074 Downloads
Ola Mahmoud
A continuous time Bayesian network classifier for intraday FX prediction pp. 2079-2092 Downloads
S. Villa and Fabio Stella
Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method pp. 2093-2104 Downloads
Helinä Laakkonen
Identifying and forecasting house prices: a macroeconomic perspective pp. 2105-2120 Downloads
Nan-Kuang Chen, Han-Liang Cheng and Ching-Sheng Mao
Clustering financial time series with variance ratio statistics pp. 2121-2133 Downloads
João Bastos and Jorge Caiado
Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data pp. 2135-2153 Downloads
Massimo Guidolin and Stuart Hyde
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) pp. 2155-2170 Downloads
Osvaldo C. Silva Filho, Flavio A. Ziegelmann and Michael Dueker
Power-law behaviour in time durations between extreme returns pp. 2171-2183 Downloads
Juan Reboredo, Miguel A. Rivera-Castro and Edilson Machado de Assis
Quantile regression estimates and the analysis of structural breaks pp. 2185-2192 Downloads
Marilena Furno
Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks pp. 2193-2203 Downloads
Kiseok Nam, Joshua Krausz and Augustine C. Arize
Detecting volatility persistence in GARCH models in the presence of the leverage effect pp. 2205-2213 Downloads
A. B. M. Rabiul Alam Beg and Sajid Anwar
Model risk of the implied GARCH-normal model pp. 2215-2224 Downloads
Shih-Feng Huang and Meihui Guo
A long-memory integer-valued time series model, INARFIMA, for financial application pp. 2225-2235 Downloads
Shahiduzzaman Quoreshi
Alternative modeling for long term risk pp. 2237-2253 Downloads
Dominique Guégan and Xin Zhao

Volume 14, issue 11, 2014

Pairs trading: optimal thresholds and profitability pp. 1881-1893 Downloads
Zhengqin Zeng and Chi-Guhn Lee
The Second Machine Age: Work, Progress, and Prosperity in a Time of Brilliant Technologies pp. 1895-1896 Downloads
Xiaojing Dong and Shelby H. McIntyre
Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results pp. 1899-1922 Downloads
Alexander Lipton, Andrey Gal and Andris Lasis
A chaos expansion approach under hybrid volatility models pp. 1923-1936 Downloads
Hideharu Funahashi
An almost Markovian LIBOR market model calibrated to caps and swaptions pp. 1937-1959 Downloads
Junwu Gan
An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions pp. 1961-1970 Downloads
Marianito R. Rodrigo and Rogemar S. Mamon
The pricing of basket-spread options pp. 1971-1982 Downloads
Chun-Sing Lau and Chi-Fai Lo
Mean-variance cointegration and the expectations hypothesis pp. 1983-1997 Downloads
Till Strohsal and Enzo Weber
Correlations between stock returns and bond returns: income and substitution effects pp. 1999-2018 Downloads
Gwangheon Hong, Youngsoo Kim and Bong-Soo Lee
Cardinality versus q -norm constraints for index tracking pp. 2019-2032 Downloads
Björn Fastrich, Sandra Paterlini and Peter Winker
Grey Relational Analysis and Neural Network Forecasting of REIT returns pp. 2033-2044 Downloads
Jo-Hui Chen, Ting-Tzu Chang, Chao-Rung Ho and John Francis Diaz
Portfolio choice with indivisible and illiquid housing assets: the case of Spain pp. 2045-2064 Downloads
Sergio Mayordomo, Maria Rodriguez-Moreno and Juan Ignacio Peña

Volume 14, issue 10, 2014

Bayesian testing for jumps in stochastic volatility models with correlated jumps pp. 1693-1700 Downloads
Yong Li and Jie Zhang
The Half-life of Facts: Why Everything We Know Has an Expiration Date pp. 1701-1703 Downloads
Roger M. Stein
Making mean-variance hedging implementable in a partially observable market pp. 1709-1724 Downloads
Masaaki Fujii and Akihiko Takahashi
Hedging strategies for energy derivatives pp. 1725-1737 Downloads
Patrick Leoni, N. Vandaele and M. Vanmaele
Dynamic option hedging via stochastic model predictive control based on scenario simulation pp. 1739-1751 Downloads
Alberto Bemporad, Leonardo Bellucci and Tommaso Gabbriellini
Option pricing and Greeks via a moving least square meshfree method pp. 1753-1764 Downloads
Yongsik Kim, Hyeong-Ohk Bae and Hyeng Keun Koo
Discrete dividends and the FTSE-100 index options valuation pp. 1765-1784 Downloads
Nelson Areal and Artur Rodrigues
Closed form spread option valuation pp. 1785-1794 Downloads
Petter Bjerksund and Gunnar Stensland
Pricing of geometric Asian options under Heston's stochastic volatility model pp. 1795-1809 Downloads
Bara Kim and In-Suk Wee
A regime-switching Heston model for VIX and S&P 500 implied volatilities pp. 1811-1827 Downloads
Andrew Papanicolaou and Ronnie Sircar
Dynamics of the implied volatility surface. Theory and empirical evidence pp. 1829-1837 Downloads
Jacinto Marabel Romo
Comparison of methods to estimate option implied risk-neutral densities pp. 1839-1855 Downloads
Wan-Ni Lai
Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails pp. 1857-1879 Downloads
Seung Hwan Lee

Volume 14, issue 9, 2014

Modelling the rebalancing slippage of leveraged exchange-traded funds pp. 1503-1511 Downloads
Lakshithe Wagalath
After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead pp. 1513-1515 Downloads
Thomas Hughes
Applications sought for book review editor from 2015 pp. 1518-1518 Downloads
Alexander Smith
Optimal liquidation in dark pools pp. 1519-1539 Downloads
Peter Kratz and Torsten Schöneborn
Myopic loss aversion, reference point, and money illusion pp. 1541-1554 Downloads
Xue Dong He and Xun Yu Zhou
Smooth monotone covariance for elliptical distributions and applications in finance pp. 1555-1571 Downloads
Xiaoping Zhou, Dmitry Malioutov, Frank Fabozzi and Svetlozar T. Rachev
Copula dynamics in CDOs pp. 1573-1585 Downloads
Barbara Choros-Tomczyk, Wolfgang Härdle and Ludger Overbeck
Haar wavelets-based approach for quantifying credit portfolio losses pp. 1587-1595 Downloads
Josep J. Masdemont and Luis Ortiz-Gracia
Commodity markets through the business cycle pp. 1597-1618 Downloads
Julien Chevallier, Mathieu Gatumel and Florian Ielpo
Skewness premium with Lévy processes pp. 1619-1626 Downloads
José Fajardo and Ernesto Mordecki
Assessing stock market dependence and contagion pp. 1627-1641 Downloads
Omar Abbara and Mauricio Zevallos
A Black-Litterman approach to correlation stress testing pp. 1643-1649 Downloads
F. C. Ng, W. K. Li and Philip L. H. Yu
An optimal investment model with Markov-driven volatilities pp. 1651-1661 Downloads
Shangzhen Luo and Xudong Zeng
Complexity and financial stability in a large random economy pp. 1663-1675 Downloads
Matteo Marsili
Completeness, interconnectedness and distribution of interbank exposures-a parameterized analysis of the stability of financial networks pp. 1677-1692 Downloads
Angelika Sachs

Volume 14, issue 8, 2013

Asian options on the harmonic average pp. 1315-1322 Downloads
Jan Vecer
How to make Dupire's local volatility work with jumps pp. 1327-1331 Downloads
Peter K. Friz, Stefan Gerhold and Marc Yor
Applications sought for book review editor from 2015 pp. 1334-1334 Downloads
Alexander Smith
Pricing discrete barrier options and credit default swaps under Lévy processes pp. 1337-1365 Downloads
Marco De Innocentis and Sergei Levendorskiĭ
Pricing barrier stock options with discrete dividends by approximating analytical formulae pp. 1367-1382 Downloads
Tian-Shyr Dai and Chun-Yuan Chiu
Multivariate Lévy processes with dependent jump intensity pp. 1383-1398 Downloads
Roberto Marfè
Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models pp. 1399-1414 Downloads
Yi-Jie Peng, Michael C. Fu and Jian-Qiang Hu
Bayesian testing volatility persistence in stochastic volatility models with jumps pp. 1415-1426 Downloads
Xiao-Bin Liu and Yong Li
Jump detection with wavelets for high-frequency financial time series pp. 1427-1444 Downloads
Yi Xue, Ramazan Gencay and Stephen Fagan
Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market pp. 1445-1452 Downloads
Ionuţ Florescu, Maria Cristina Mariani and Granville Sewell
An intensity model for credit risk with switching Lévy processes pp. 1453-1465 Downloads
Donatien Hainaut and Olivier Le Courtois
Forecasting forward defaults: a simple hazard model with competing risks pp. 1467-1477 Downloads
Ruey-Ching Hwang and Chih-Kang Chu
On a continuous time stock price model with regime switching, delay, and threshold pp. 1479-1488 Downloads
Pedro P. Mota and Manuel L. EsquÍvel
Computing optimal rebalance frequency for log-optimal portfolios pp. 1489-1502 Downloads
Sujit R. Das, Dmitri Kaznachey and Mukul Goyal

Volume 14, issue 7, 2014

The Kelly growth optimal strategy with a stop-loss rule pp. 1131-1139 Downloads
M. Nielsen
Risk-Return Analysis: The Theory and Practice of Rational Investing pp. 1141-1144 Downloads
Haim Levy
Hawkes model for price and trades high-frequency dynamics pp. 1147-1166 Downloads
Emmanuel Bacry and Jean-François Muzy
Real-time market microstructure analysis: online transaction cost analysis pp. 1167-1185 Downloads
R. Azencott, A. Beri, Y. Gadhyan, N. Joseph, Charles-Albert Lehalle and M. Rowley
Extreme dependence for multivariate data pp. 1187-1199 Downloads
Damien Bosc and Alfred Galichon
CLA's, PLA's and a new method for pricing general passport options pp. 1201-1209 Downloads
Peter Buchen and Hamish Malloch
On a symmetrization of diffusion processes pp. 1211-1216 Downloads
Jiro Akahori and Yuri Imamura
On the calibration of distortion risk measures to bid-ask prices pp. 1217-1228 Downloads
Karl F. Bannör and Matthias Scherer
Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500 pp. 1229-1242 Downloads
Panos Xidonas and George Mavrotas
Financial instability contagion: a dynamical systems approach pp. 1243-1255 Downloads
Giuseppe Castellacci and Youngna Choi
Axiomatization of residual income and generation of financial securities pp. 1257-1271 Downloads
Roberto Ghiselli Ricci and Carlo Alberto Magni
Inferring fundamental value and crash nonlinearity from bubble calibration pp. 1273-1282 Downloads
Wanfeng Yan, Ryan Woodard and Didier Sornette
An economic evaluation of stock-bond return comovements with copula-based GARCH models pp. 1283-1296 Downloads
Chih-Chiang Wu and Zih-Ying Lin
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations pp. 1297-1313 Downloads
S.T. Boris Choy, Cathy W. S. Chen and Edward Lin

Volume 14, issue 6, 2014

Copula-opinion pooling with complex opinions pp. 941-946 Downloads
Joseph Simonian
Asymmetric information, illiquidity and asset returns: evidence from China pp. 947-957 Downloads
Guangchuan Li, Lei Lu, Bo Wu and Zhou Zhang
Doing Capitalism in the Innovation Economy pp. 959-960 Downloads
Sanjay Unni
Corporate governance and stock returns in Asia pp. 965-976 Downloads
Roy Kouwenberg, Roelof Salomons and Pipat Thontirawong
The effect of corporate social responsibility on stock performance: new evidence for the USA and Europe pp. 977-991 Downloads
Urs von Arx and Andreas Ziegler
Slow price reactions to analysts' recommendation revisions pp. 993-1004 Downloads
Kotaro Miwa and Kazuhiro Ueda
Pricing assets with stochastic cash-flow growth pp. 1005-1017 Downloads
Assaf Eisdorfer and Carmelo Giaccotto
An information-based model of target stock price runup in the market for corporate control pp. 1019-1030 Downloads
Matthew Brigida, Jeff Madura and Ariel Viale
Cross-ownership as a structural explanation for over- and underestimation of default probability pp. 1031-1046 Downloads
Sabine Karl and Tom Fischer
Using a hybrid evolution approach to forecast financial failures for Taiwan-listed companies pp. 1047-1058 Downloads
Mu-Yen Chen
Banks' interest rate risk: the net interest income perspective versus the market value perspective pp. 1059-1068 Downloads
Christoph Memmel
Upfront versus staged financing: the role of verifiability pp. 1069-1078 Downloads
Dongsoo Shin and Sungho Yun
Investment decisions with financial constraints. Evidence from Spanish firms pp. 1079-1095 Downloads
Jacinto Marabel Romo
Optimal dividend strategy with transaction costs for an upward jump model pp. 1097-1106 Downloads
Ming Zhou and Ka Fai Cedric Yiu
The role of government in the venture capital market with asymmetric information pp. 1107-1114 Downloads
Anson Wong
The exit decision in the European venture capital market pp. 1115-1130 Downloads
Elisabete Félix, Cesaltina Pires and Mohamed Azzim Gulamhussen

Volume 14, issue 5, 2014

On a dynamic adaptation of The Distribution Builder approach to investment decisions pp. 749-760 Downloads
Phillip Monin
A computational definition of financial randomness pp. 761-770 Downloads
Olivier Brandouy, Jean-Paul Delahaye and Lin Ma
Introduction to Risk Parity and Budgeting pp. 771-772 Downloads
Bernd Scherer
When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio - a comment pp. 775-776 Downloads
Frank Schuhmacher and Wolfgang Breuer
Momentum and reversion in risk neutral martingale probabilities pp. 777-787 Downloads
Dilip B. Madan
Lookback option pricing using the Fourier transform B-spline method pp. 789-803 Downloads
Gareth G. Haslip and Vladimir Kaishev
Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements pp. 805-830 Downloads
Dima Rahman
Do fear indices help predict stock returns? pp. 831-847 Downloads
G. Rubbaniy, Robel Asmerom, Syed Kumail Abbas Rizvi and Bushra Naqvi
Processes for stocks capturing their statistical properties from one day to one year pp. 849-861 Downloads
Gilles Zumbach, Luis Fernández and Caroline Weber
Bayesian estimation of truncated data with applications to operational risk measurement pp. 863-888 Downloads
Xiaoping Zhou, Rosella Giacometti, Frank Fabozzi and Ann H. Tucker
Scaling laws: a viable alternative to value at risk? pp. 889-911 Downloads
Thomas Chopping
A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm pp. 913-930 Downloads
Marcos López de Prado and Matthew D. Foreman
Estimating correlation and covariance matrices by weighting of market similarity pp. 931-939 Downloads
M.C. Münnix, R. Schäfer and O. Grothe

Volume 14, issue 4, 2014

The rise of global stock market crash probabilities pp. 557-571 Downloads
Thijs Markwat
A principal component approach to measuring investor sentiment in China pp. 573-579 Downloads
Haiqiang Chen, Terence Tai Leung Chong and Yingni She
Expected Returns: An Investor's Guide to Harvesting Market Rewards pp. 581-582 Downloads
Jason Hsu
Special Issue of Quantitative Finance on 'Behavioral Finance' pp. 587-588 Downloads
Hersh Shefrin
Asset price bubbles: a survey pp. 589-604 Downloads
Anna Scherbina and Bernd Schlusche
Is trading behavior stable across contexts? Evidence from style and multi-style investors pp. 605-627 Downloads
Douglas W. Blackburn, William Goetzmann and Andrey D. Ukhov
Out of the blue: mood maintenance hypothesis and seasonal effects on investors' reaction to news pp. 629-640 Downloads
Doron Kliger and Andrey Kudryavtsev
Return prediction and stock selection from unidentified historical data pp. 641-655 Downloads
Doron Sonsino and Tal Shavit
Optimal portfolios under worst-case scenarios pp. 657-671 Downloads
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Can utility optimization explain the demand for structured investment products? pp. 673-681 Downloads
Thorsten Hens and Marc Oliver Rieger
Framing and the disposition effect: evidence from mutual fund investor redemption behaviour pp. 683-697 Downloads
Greg Niehaus and David Shrider
Portfolio performance evaluation with loss aversion pp. 699-710 Downloads
Valeri Zakamouline
The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks pp. 711-724 Downloads
Vassilis A. Efthymiou and George Leledakis
Investor behaviour and contagion pp. 725-735 Downloads
Todd Feldman
Is momentum a self-fulfilling prophecy? pp. 737-748 Downloads
Steven J. Jordan

Volume 14, issue 3, 2014

Trading system capability pp. 383-392 Downloads
Andrew Kumiega, Thaddeus Neururer and Ben Van Vliet
Ambiguity, asset prices, and excess volatility in a pure-exchange economy pp. 393-399 Downloads
Weidong Xu, Chongfeng Wu and Weilin Xiao
Elements of quantitative finance: a response to Jeff Holman's review of Antifragile pp. 401-401 Downloads
Nassim Nicholas Taleb
The Signal and the Noise: Why So Many Predictions Fail -- but Some Don't, by Nate Silver pp. 403-406 Downloads
Lisa R. Goldberg
Pricing American options written on two underlying assets pp. 409-426 Downloads
Carl Chiarella and Jonathan Ziveyi
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging pp. 427-442 Downloads
Igor Halperin and Andrey Itkin
Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model pp. 443-456 Downloads
Cyrille Dubarry and Randal Douc
Stochastic volatility for interest rate derivatives pp. 457-480 Downloads
Linus Kaisajuntti and Joanne Kennedy
Multiplicative noise, fast convolution and pricing pp. 481-494 Downloads
Giacomo Bormetti and Sofia Cazzaniga
Refining the least squares Monte Carlo method by imposing structure pp. 495-507 Downloads
Pascal Létourneau and Lars Stentoft
A bifurcation model of market returns pp. 509-528 Downloads
David Nawrocki and Tonis Vaga
Three-point approach for estimating integrated volatility and integrated covariance pp. 529-543 Downloads
Jying-Nan Wang
Subprime mortgage funding and liquidity risk pp. 545-555 Downloads
M.A. Petersen, B. De Waal, J. Mukuddem-Petersen and M.P. Mulaudzi

Volume 14, issue 2, 2014

The market pricing of the lifeboat provision in a closed-end fund pp. 189-197 Downloads
Chunyang Zhou, Chongfeng Wu and Wenfeng Wu
Parsimonious HJM modelling for multiple yield curve dynamics pp. 199-210 Downloads
N. Moreni and Andrea Pallavicini
Market Liquidity: Asset Pricing, Risk, and Crises pp. 211-212 Downloads
Robert Korajczyk
Longevity hedge effectiveness: a decomposition pp. 217-235 Downloads
Andrew J.G. Cairns, Kevin Dowd, David Blake and Guy D. Coughlan
On efficiency of mean--variance based portfolio selection in defined contribution pension schemes pp. 237-258 Downloads
Elena Vigna
Valuing clustering in catastrophe derivatives pp. 259-270 Downloads
Sebastian Jaimungal and Yuxiang Chong
Estimation methods for expected shortfall pp. 271-291 Downloads
Saralees Nadarajah, Bo Zhang and Stephen Chan
Estimation of tail-related value-at-risk measures: range-based extreme value approach pp. 293-304 Downloads
Heng-Chih Chou and David K. Wang
How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used pp. 305-325 Downloads
Jung-Bin Su
The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees pp. 327-342 Downloads
Jing Li and Alexander Szimayer
Bayesian analysis of equity-linked savings contracts with American-style options pp. 343-356 Downloads
Arto Luoma, Anne Puustelli and Lasse Koskinen
Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model pp. 357-368 Downloads
Filip Uzelac and Alexander Szimayer
Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility pp. 369-382 Downloads
Ryan Donnelly, Sebastian Jaimungal and Dmitri H. Rubisov

Volume 14, issue 1, 2014

The role of volatility regimes on volatility transmission patterns pp. 1-13 Downloads
Nikos Nomikos and Enrique Salvador
The fair value of FX options. Do you get what you pay for? pp. 15-23 Downloads
Vincent Charvin, Jonathan Fullwood and Jessica James
Oxford Handbook of Credit Derivatives pp. 25-26 Downloads
Dominic O'Kane
Robust risk measurement and model risk pp. 29-58 Downloads
Paul Glasserman and Xingbo Xu
Arbitrage-free SVI volatility surfaces pp. 59-71 Downloads
Jim Gatheral and Antoine Jacquier
Non-parametric calibration of the local volatility surface for European options using a second-order Tikhonov regularization pp. 73-85 Downloads
Jian Geng, I. Michael Navon and Xiao Chen
Bridge homogeneous volatility estimators pp. 87-99 Downloads
A. Saichev, D. Sornette, V. Filimonov and Fulvio Corsi
Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities pp. 101-110 Downloads
Jimmy E. Hilliard
Do affine jump-diffusion models require global calibration? Empirical studies from option markets pp. 111-123 Downloads
Seungho Yang and Jaewook Lee
Risk adjustments of option prices under time-changed dynamics pp. 125-141 Downloads
E. Nicolato and D. Sloth
Option pricing with realistic ARCH processes pp. 143-170 Downloads
Gilles Zumbach and Luis Fernández
Pricing credit default swaps with bilateral value adjustments pp. 171-188 Downloads
Alexander Lipton and Ioana Savescu
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