# Quantitative Finance
2001 - 2019
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.
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**Volume 14, issue 12, 2014**
- Estimate nothing pp. 2065-2072
*Moritz Duembgen* and *L. C. G. Rogers*
- Discrete Time Series, Processes, and Applications in Finance pp. 2073-2074
*Ola Mahmoud*
- A continuous time Bayesian network classifier for intraday FX prediction pp. 2079-2092
*S. Villa* and *Fabio Stella*
- Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method pp. 2093-2104
*Helinä Laakkonen*
- Identifying and forecasting house prices: a macroeconomic perspective pp. 2105-2120
*Nan-Kuang Chen*, *Han-Liang Cheng* and *Ching-Sheng Mao*
- Clustering financial time series with variance ratio statistics pp. 2121-2133
*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
*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
*Osvaldo C. Silva Filho*, *Flavio A. Ziegelmann* and *Michael Dueker*
- Power-law behaviour in time durations between extreme returns pp. 2171-2183
*Juan Reboredo*, *Miguel A. Rivera-Castro* and *Edilson Machado de Assis*
- Quantile regression estimates and the analysis of structural breaks pp. 2185-2192
*Marilena Furno*
- Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks pp. 2193-2203
*Kiseok Nam*, *Joshua Krausz* and *Augustine C. Arize*
- Detecting volatility persistence in GARCH models in the presence of the leverage effect pp. 2205-2213
*A. B. M. Rabiul Alam Beg* and *Sajid Anwar*
- Model risk of the implied GARCH-normal model pp. 2215-2224
*Shih-Feng Huang* and *Meihui Guo*
- A long-memory integer-valued time series model, INARFIMA, for financial application pp. 2225-2235
*Shahiduzzaman Quoreshi*
- Alternative modeling for long term risk pp. 2237-2253
*Dominique Guégan* and *Xin Zhao*
**Volume 14, issue 11, 2014**
- Pairs trading: optimal thresholds and profitability pp. 1881-1893
*Zhengqin Zeng* and *Chi-Guhn Lee*
- The Second Machine Age: Work, Progress, and Prosperity in a Time of Brilliant Technologies pp. 1895-1896
*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
*Alexander Lipton*, *Andrey Gal* and *Andris Lasis*
- A chaos expansion approach under hybrid volatility models pp. 1923-1936
*Hideharu Funahashi*
- An almost Markovian LIBOR market model calibrated to caps and swaptions pp. 1937-1959
*Junwu Gan*
- An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions pp. 1961-1970
*Marianito R. Rodrigo* and *Rogemar S. Mamon*
- The pricing of basket-spread options pp. 1971-1982
*Chun-Sing Lau* and *Chi-Fai Lo*
- Mean-variance cointegration and the expectations hypothesis pp. 1983-1997
*Till Strohsal* and *Enzo Weber*
- Correlations between stock returns and bond returns: income and substitution effects pp. 1999-2018
*Gwangheon Hong*, *Youngsoo Kim* and *Bong-Soo Lee*
- Cardinality versus q -norm constraints for index tracking pp. 2019-2032
*Björn Fastrich*, *Sandra Paterlini* and *Peter Winker*
- Grey Relational Analysis and Neural Network Forecasting of REIT returns pp. 2033-2044
*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
*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
*Yong Li* and *Jie Zhang*
- The Half-life of Facts: Why Everything We Know Has an Expiration Date pp. 1701-1703
*Roger M. Stein*
- Making mean-variance hedging implementable in a partially observable market pp. 1709-1724
*Masaaki Fujii* and *Akihiko Takahashi*
- Hedging strategies for energy derivatives pp. 1725-1737
*Patrick Leoni*, *N. Vandaele* and *M. Vanmaele*
- Dynamic option hedging via stochastic model predictive control based on scenario simulation pp. 1739-1751
*Alberto Bemporad*, *Leonardo Bellucci* and *Tommaso Gabbriellini*
- Option pricing and Greeks via a moving least square meshfree method pp. 1753-1764
*Yongsik Kim*, *Hyeong-Ohk Bae* and *Hyeng Keun Koo*
- Discrete dividends and the FTSE-100 index options valuation pp. 1765-1784
*Nelson Areal* and *Artur Rodrigues*
- Closed form spread option valuation pp. 1785-1794
*Petter Bjerksund* and *Gunnar Stensland*
- Pricing of geometric Asian options under Heston's stochastic volatility model pp. 1795-1809
*Bara Kim* and *In-Suk Wee*
- A regime-switching Heston model for VIX and S&P 500 implied volatilities pp. 1811-1827
*Andrew Papanicolaou* and *Ronnie Sircar*
- Dynamics of the implied volatility surface. Theory and empirical evidence pp. 1829-1837
*Jacinto Marabel Romo*
- Comparison of methods to estimate option implied risk-neutral densities pp. 1839-1855
*Wan-Ni Lai*
- Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails pp. 1857-1879
*Seung Hwan Lee*
**Volume 14, issue 9, 2014**
- Modelling the rebalancing slippage of leveraged exchange-traded funds pp. 1503-1511
*Lakshithe Wagalath*
- After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead pp. 1513-1515
*Thomas Hughes*
- Applications sought for book review editor from 2015 pp. 1518-1518
*Alexander Smith*
- Optimal liquidation in dark pools pp. 1519-1539
*Peter Kratz* and *Torsten Schöneborn*
- Myopic loss aversion, reference point, and money illusion pp. 1541-1554
*Xue Dong He* and *Xun Yu Zhou*
- Smooth monotone covariance for elliptical distributions and applications in finance pp. 1555-1571
*Xiaoping Zhou*, *Dmitry Malioutov*, *Frank Fabozzi* and *Svetlozar T. Rachev*
- Copula dynamics in CDOs pp. 1573-1585
*Barbara Choros-Tomczyk*, *Wolfgang Härdle* and *Ludger Overbeck*
- Haar wavelets-based approach for quantifying credit portfolio losses pp. 1587-1595
*Josep J. Masdemont* and *Luis Ortiz-Gracia*
- Commodity markets through the business cycle pp. 1597-1618
*Julien Chevallier*, *Mathieu Gatumel* and *Florian Ielpo*
- Skewness premium with Lévy processes pp. 1619-1626
*José Fajardo* and *Ernesto Mordecki*
- Assessing stock market dependence and contagion pp. 1627-1641
*Omar Abbara* and *Mauricio Zevallos*
- A Black-Litterman approach to correlation stress testing pp. 1643-1649
*F. C. Ng*, *W. K. Li* and *Philip L. H. Yu*
- An optimal investment model with Markov-driven volatilities pp. 1651-1661
*Shangzhen Luo* and *Xudong Zeng*
- Complexity and financial stability in a large random economy pp. 1663-1675
*Matteo Marsili*
- Completeness, interconnectedness and distribution of interbank exposures-a parameterized analysis of the stability of financial networks pp. 1677-1692
*Angelika Sachs*
**Volume 14, issue 8, 2013**
- Asian options on the harmonic average pp. 1315-1322
*Jan Vecer*
- How to make Dupire's local volatility work with jumps pp. 1327-1331
*Peter K. Friz*, *Stefan Gerhold* and *Marc Yor*
- Applications sought for book review editor from 2015 pp. 1334-1334
*Alexander Smith*
- Pricing discrete barrier options and credit default swaps under Lévy processes pp. 1337-1365
*Marco De Innocentis* and *Sergei Levendorskiĭ*
- Pricing barrier stock options with discrete dividends by approximating analytical formulae pp. 1367-1382
*Tian-Shyr Dai* and *Chun-Yuan Chiu*
- Multivariate Lévy processes with dependent jump intensity pp. 1383-1398
*Roberto Marfè*
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models pp. 1399-1414
*Yi-Jie Peng*, *Michael C. Fu* and *Jian-Qiang Hu*
- Bayesian testing volatility persistence in stochastic volatility models with jumps pp. 1415-1426
*Xiao-Bin Liu* and *Yong Li*
- Jump detection with wavelets for high-frequency financial time series pp. 1427-1444
*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
*Ionuţ Florescu*, *Maria Cristina Mariani* and *Granville Sewell*
- An intensity model for credit risk with switching Lévy processes pp. 1453-1465
*Donatien Hainaut* and *Olivier Le Courtois*
- Forecasting forward defaults: a simple hazard model with competing risks pp. 1467-1477
*Ruey-Ching Hwang* and *Chih-Kang Chu*
- On a continuous time stock price model with regime switching, delay, and threshold pp. 1479-1488
*Pedro P. Mota* and *Manuel L. EsquÍvel*
- Computing optimal rebalance frequency for log-optimal portfolios pp. 1489-1502
*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
*M. Nielsen*
- Risk-Return Analysis: The Theory and Practice of Rational Investing pp. 1141-1144
*Haim Levy*
- Hawkes model for price and trades high-frequency dynamics pp. 1147-1166
*Emmanuel Bacry* and *Jean-François Muzy*
- Real-time market microstructure analysis: online transaction cost analysis pp. 1167-1185
*R. Azencott*, *A. Beri*, *Y. Gadhyan*, *N. Joseph*, *Charles-Albert Lehalle* and *M. Rowley*
- Extreme dependence for multivariate data pp. 1187-1199
*Damien Bosc* and *Alfred Galichon*
- CLA's, PLA's and a new method for pricing general passport options pp. 1201-1209
*Peter Buchen* and *Hamish Malloch*
- On a symmetrization of diffusion processes pp. 1211-1216
*Jiro Akahori* and *Yuri Imamura*
- On the calibration of distortion risk measures to bid-ask prices pp. 1217-1228
*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
*Panos Xidonas* and *George Mavrotas*
- Financial instability contagion: a dynamical systems approach pp. 1243-1255
*Giuseppe Castellacci* and *Youngna Choi*
- Axiomatization of residual income and generation of financial securities pp. 1257-1271
*Roberto Ghiselli Ricci* and *Carlo Alberto Magni*
- Inferring fundamental value and crash nonlinearity from bubble calibration pp. 1273-1282
*Wanfeng Yan*, *Ryan Woodard* and *Didier Sornette*
- An economic evaluation of stock-bond return comovements with copula-based GARCH models pp. 1283-1296
*Chih-Chiang Wu* and *Zih-Ying Lin*
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations pp. 1297-1313
*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
*Joseph Simonian*
- Asymmetric information, illiquidity and asset returns: evidence from China pp. 947-957
*Guangchuan Li*, *Lei Lu*, *Bo Wu* and *Zhou Zhang*
- Doing Capitalism in the Innovation Economy pp. 959-960
*Sanjay Unni*
- Corporate governance and stock returns in Asia pp. 965-976
*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
*Urs von Arx* and *Andreas Ziegler*
- Slow price reactions to analysts' recommendation revisions pp. 993-1004
*Kotaro Miwa* and *Kazuhiro Ueda*
- Pricing assets with stochastic cash-flow growth pp. 1005-1017
*Assaf Eisdorfer* and *Carmelo Giaccotto*
- An information-based model of target stock price runup in the market for corporate control pp. 1019-1030
*Matthew Brigida*, *Jeff Madura* and *Ariel Viale*
- Cross-ownership as a structural explanation for over- and underestimation of default probability pp. 1031-1046
*Sabine Karl* and *Tom Fischer*
- Using a hybrid evolution approach to forecast financial failures for Taiwan-listed companies pp. 1047-1058
*Mu-Yen Chen*
- Banks' interest rate risk: the net interest income perspective versus the market value perspective pp. 1059-1068
*Christoph Memmel*
- Upfront versus staged financing: the role of verifiability pp. 1069-1078
*Dongsoo Shin* and *Sungho Yun*
- Investment decisions with financial constraints. Evidence from Spanish firms pp. 1079-1095
*Jacinto Marabel Romo*
- Optimal dividend strategy with transaction costs for an upward jump model pp. 1097-1106
*Ming Zhou* and *Ka Fai Cedric Yiu*
- The role of government in the venture capital market with asymmetric information pp. 1107-1114
*Anson Wong*
- The exit decision in the European venture capital market pp. 1115-1130
*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
*Phillip Monin*
- A computational definition of financial randomness pp. 761-770
*Olivier Brandouy*, *Jean-Paul Delahaye* and *Lin Ma*
- Introduction to Risk Parity and Budgeting pp. 771-772
*Bernd Scherer*
- When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio - a comment pp. 775-776
*Frank Schuhmacher* and *Wolfgang Breuer*
- Momentum and reversion in risk neutral martingale probabilities pp. 777-787
*Dilip B. Madan*
- Lookback option pricing using the Fourier transform B-spline method pp. 789-803
*Gareth G. Haslip* and *Vladimir Kaishev*
- Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements pp. 805-830
*Dima Rahman*
- Do fear indices help predict stock returns? pp. 831-847
*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
*Gilles Zumbach*, *Luis Fernández* and *Caroline Weber*
- Bayesian estimation of truncated data with applications to operational risk measurement pp. 863-888
*Xiaoping Zhou*, *Rosella Giacometti*, *Frank Fabozzi* and *Ann H. Tucker*
- Scaling laws: a viable alternative to value at risk? pp. 889-911
*Thomas Chopping*
- A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm pp. 913-930
*Marcos López de Prado* and *Matthew D. Foreman*
- Estimating correlation and covariance matrices by weighting of market similarity pp. 931-939
*M.C. Münnix*, *R. Schäfer* and *O. Grothe*
**Volume 14, issue 4, 2014**
- The rise of global stock market crash probabilities pp. 557-571
*Thijs Markwat*
- A principal component approach to measuring investor sentiment in China pp. 573-579
*Haiqiang Chen*, *Terence Tai Leung Chong* and *Yingni She*
- Expected Returns: An Investor's Guide to Harvesting Market Rewards pp. 581-582
*Jason Hsu*
- Special Issue of Quantitative Finance on 'Behavioral Finance' pp. 587-588
*Hersh Shefrin*
- Asset price bubbles: a survey pp. 589-604
*Anna Scherbina* and *Bernd Schlusche*
- Is trading behavior stable across contexts? Evidence from style and multi-style investors pp. 605-627
*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
*Doron Kliger* and *Andrey Kudryavtsev*
- Return prediction and stock selection from unidentified historical data pp. 641-655
*Doron Sonsino* and *Tal Shavit*
- Optimal portfolios under worst-case scenarios pp. 657-671
*Carole Bernard*, *Jit Seng Chen* and *Steven Vanduffel*
- Can utility optimization explain the demand for structured investment products? pp. 673-681
*Thorsten Hens* and *Marc Oliver Rieger*
- Framing and the disposition effect: evidence from mutual fund investor redemption behaviour pp. 683-697
*Greg Niehaus* and *David Shrider*
- Portfolio performance evaluation with loss aversion pp. 699-710
*Valeri Zakamouline*
- The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks pp. 711-724
*Vassilis A. Efthymiou* and *George Leledakis*
- Investor behaviour and contagion pp. 725-735
*Todd Feldman*
- Is momentum a self-fulfilling prophecy? pp. 737-748
*Steven J. Jordan*
**Volume 14, issue 3, 2014**
- Trading system capability pp. 383-392
*Andrew Kumiega*, *Thaddeus Neururer* and *Ben Van Vliet*
- Ambiguity, asset prices, and excess volatility in a pure-exchange economy pp. 393-399
*Weidong Xu*, *Chongfeng Wu* and *Weilin Xiao*
- Elements of quantitative finance: a response to Jeff Holman's review of Antifragile pp. 401-401
*Nassim Nicholas Taleb*
- The Signal and the Noise: Why So Many Predictions Fail -- but Some Don't, by Nate Silver pp. 403-406
*Lisa R. Goldberg*
- Pricing American options written on two underlying assets pp. 409-426
*Carl Chiarella* and *Jonathan Ziveyi*
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging pp. 427-442
*Igor Halperin* and *Andrey Itkin*
- Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model pp. 443-456
*Cyrille Dubarry* and *Randal Douc*
- Stochastic volatility for interest rate derivatives pp. 457-480
*Linus Kaisajuntti* and *Joanne Kennedy*
- Multiplicative noise, fast convolution and pricing pp. 481-494
*Giacomo Bormetti* and *Sofia Cazzaniga*
- Refining the least squares Monte Carlo method by imposing structure pp. 495-507
*Pascal Létourneau* and *Lars Stentoft*
- A bifurcation model of market returns pp. 509-528
*David Nawrocki* and *Tonis Vaga*
- Three-point approach for estimating integrated volatility and integrated covariance pp. 529-543
*Jying-Nan Wang*
- Subprime mortgage funding and liquidity risk pp. 545-555
*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
*Chunyang Zhou*, *Chongfeng Wu* and *Wenfeng Wu*
- Parsimonious HJM modelling for multiple yield curve dynamics pp. 199-210
*N. Moreni* and *Andrea Pallavicini*
- Market Liquidity: Asset Pricing, Risk, and Crises pp. 211-212
*Robert Korajczyk*
- Longevity hedge effectiveness: a decomposition pp. 217-235
*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
*Elena Vigna*
- Valuing clustering in catastrophe derivatives pp. 259-270
*Sebastian Jaimungal* and *Yuxiang Chong*
- Estimation methods for expected shortfall pp. 271-291
*Saralees Nadarajah*, *Bo Zhang* and *Stephen Chan*
- Estimation of tail-related value-at-risk measures: range-based extreme value approach pp. 293-304
*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
*Jung-Bin Su*
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees pp. 327-342
*Jing Li* and *Alexander Szimayer*
- Bayesian analysis of equity-linked savings contracts with American-style options pp. 343-356
*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
*Filip Uzelac* and *Alexander Szimayer*
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility pp. 369-382
*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
*Nikos Nomikos* and *Enrique Salvador*
- The fair value of FX options. Do you get what you pay for? pp. 15-23
*Vincent Charvin*, *Jonathan Fullwood* and *Jessica James*
- Oxford Handbook of Credit Derivatives pp. 25-26
*Dominic O'Kane*
- Robust risk measurement and model risk pp. 29-58
*Paul Glasserman* and *Xingbo Xu*
- Arbitrage-free SVI volatility surfaces pp. 59-71
*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
*Jian Geng*, *I. Michael Navon* and *Xiao Chen*
- Bridge homogeneous volatility estimators pp. 87-99
*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
*Jimmy E. Hilliard*
- Do affine jump-diffusion models require global calibration? Empirical studies from option markets pp. 111-123
*Seungho Yang* and *Jaewook Lee*
- Risk adjustments of option prices under time-changed dynamics pp. 125-141
*E. Nicolato* and *D. Sloth*
- Option pricing with realistic ARCH processes pp. 143-170
*Gilles Zumbach* and *Luis Fernández*
- Pricing credit default swaps with bilateral value adjustments pp. 171-188
*Alexander Lipton* and *Ioana Savescu*
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