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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 13, issue 12, 2013

On pricing basket credit default swaps pp. 1845-1854 Downloads
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu and Harry Zheng
Pricing corporate debt with finite maturity and chapter 11 proceedings pp. 1855-1861 Downloads
Min Dai, Lishang Jiang and Jianwei Lin
Counterparty Credit Risk pp. 1863-1865 Downloads
Samim Ghamami
Credit gap risk in a first passage time model with jumps pp. 1871-1889 Downloads
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Default probability estimation in small samples--with an application to sovereign bonds pp. 1891-1902 Downloads
Walter Orth
The impact of different correlation approaches on valuing credit default swaps with counterparty risk pp. 1903-1913 Downloads
Gunter Meissner, Seth Rooder and Kristofor Fan
Measuring marginal risk contributions in credit portfolios pp. 1915-1923 Downloads
Thomas Siller
Interest rates and default in unsecured loan markets pp. 1925-1934 Downloads
Jose Angelo Divino, Edna Souza Lima and Jaime Orrillo
A collateralized loan's loss under a quadratic Gaussian default intensity process pp. 1935-1946 Downloads
Satoshi Yamashita and Toshinao Yoshiba
Forecasting credit ratings with the varying-coefficient model pp. 1947-1965 Downloads
Ruey-Ching Hwang
On the conditional default probability in a regulated market with jump risk pp. 1967-1975 Downloads
Lijun Bo, Xindan Li, Yongjin Wang and Xuewei Yang
Modeling of commercial real estate credit risks pp. 1977-1989 Downloads
Yong Kim
Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure pp. 1991-2010 Downloads
Gian Luca Tassinari and Corrado Corradi

Volume 13, issue 11, 2013

Mathematical definition, mapping, and detection of (anti)fragility pp. 1677-1689 Downloads
N. N. Taleb and Raphael Douady
Antifragile: Things That Gain from Disorder pp. 1691-1692 Downloads
Jeff Holman
Anti-fragile: How to Live in a World We Don't Understand pp. 1693-1695 Downloads
Con Keating
The reactive volatility model pp. 1697-1706 Downloads
Sebastien Valeyre, Denis Grebenkov, Sofiane Aboura and Qian Liu
Limit order books pp. 1709-1742 Downloads
Martin D. Gould, Mason A. Porter, Stacy Williams, Mark McDonald, Daniel J. Fenn and Sam D. Howison
How efficiency shapes market impact pp. 1743-1758 Downloads
J. Farmer, Austin Gerig, Fabrizio Lillo and Henri Waelbroeck
The non-linear market impact of large trades: evidence from buy-side order flow pp. 1759-1778 Downloads
Nataliya Bershova and Dmitry Rakhlin
Rebuilding the limit order book: sequential Bayesian inference on hidden states pp. 1779-1799 Downloads
Hugh L. Christensen, Richard E. Turner, Simon I. Hill and Simon J. Godsill
Smooth and bid-offer compliant volatility surfaces under general dividend streams pp. 1801-1812 Downloads
Olivier Bachem, Gabriel Drimus and Walter Farkas
Fast Ninomiya--Victoir calibration of the double-mean-reverting model pp. 1813-1829 Downloads
Christian Bayer, Jim Gatheral and Morten Karlsmark
American option valuation using first-passage densities pp. 1831-1843 Downloads
Óscar Gutiérrez

Volume 13, issue 10, 2013

Do sovereign wealth funds herd in equity markets? pp. 1503-1518 Downloads
Valeria Miceli
Investment instruments with volatility target mechanism pp. 1519-1528 Downloads
S. Albeverio, V. Steblovskaya and K. Wallbaum
Pension Finance: Putting the Risks and Costs of Defined Benefit Plans Back Under Your Control pp. 1529-1530 Downloads
Vadim Gracie
Minimizing shortfall pp. 1533-1545 Downloads
Lisa R. Goldberg, Michael Y. Hayes and Ola Mahmoud
A stochastic volatility model and optimal portfolio selection pp. 1547-1558 Downloads
Xudong Zeng and Michael Taksar
Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication pp. 1559-1573 Downloads
Akihiko Takahashi and Kyo Yamamoto
Efficient portfolio valuation incorporating liquidity risk pp. 1575-1586 Downloads
Yu Tian, Ron Rood and Cornelis W. Oosterlee
Performance analysis of log-optimal portfolio strategies with transaction costs pp. 1587-1597 Downloads
Mihály Ormos and András Urbán
Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints pp. 1599-1612 Downloads
Isabelle Bajeux-Besnainou, Roland Portait and Guillaume Tergny
Market timing ability and mutual funds: a heterogeneous agent approach pp. 1613-1620 Downloads
Bart Frijns, Aaron Gilbert and Remco Zwinkels
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures pp. 1621-1635 Downloads
Jun-Ya Gotoh, Keita Shinozaki and Akiko Takeda
Reliability-based portfolio optimization with conditional value at risk (CVaR) pp. 1637-1651 Downloads
Raghu Nandan Sengupta and Siddharth Sahoo
Extension of the random matrix theory to the L-moments for robust portfolio selection pp. 1653-1673 Downloads
Ghislain Yanou

Volume 13, issue 9, 2013

Good times, bad times: inflation uncertainty and equity returns pp. 1331-1342 Downloads
Victoria Galsband
Impact of meta-order in the Minority Game pp. 1343-1352 Downloads
A. C. Barato, I. Mastromatteo, M. Bardoscia and M. Marsili
Numerical Solution of Stochastic Differential Equations with Jumps in Finance pp. 1353-1355 Downloads
Andrew Papanicolaou
A moment matching market implied calibration pp. 1359-1373 Downloads
Florence Guillaume and Wim Schoutens
Relative forecasting performance of volatility models: Monte Carlo evidence pp. 1375-1394 Downloads
Thomas Lux and Leonardo Morales-Arias
Optimal trade execution under price-sensitive risk preferences pp. 1395-1409 Downloads
Stefan Ankirchner and Thomas Kruse
Pairs trading based on statistical variability of the spread process pp. 1411-1430 Downloads
Timofei Bogomolov
Modeling trade duration in U.S. Treasury markets pp. 1431-1442 Downloads
Mardi Dungey, Ólan Henry and Michael Mckenzie
Block bootstrap methods and the choice of stocks for the long run pp. 1443-1457 Downloads
Philippe Cogneau and Valeri Zakamouline
A mean/variance approach to long-term fixed-income portfolio allocation pp. 1459-1471 Downloads
Gilles Zumbach
Time consistency of dynamic risk measures in markets with transaction costs pp. 1473-1489 Downloads
Zachary Feinstein and Birgit Rudloff
Revisiting the demand for money function: evidence from the random coefficients approach pp. 1491-1502 Downloads
Chien-Chiang Lee and An-Hsing Chang

Volume 13, issue 8, 2013

Free boundary problems and perpetual American strangles pp. 1149-1155 Downloads
Ming-Chi Chang and Yuan-Chung Sheu
Option pricing under hybrid stochastic and local volatility pp. 1157-1165 Downloads
Sun-Yong Choi, Jean-Pierre Fouque and Jeong-Hoon Kim
On the performance of delta hedging strategies in exponential Lévy models pp. 1173-1184 Downloads
Stephan Denkl, Martina Goy, Jan Kallsen, Johannes Muhle-Karbe and Arnd Pauwels
Using relative returns to accommodate fat-tailed innovations in processes and option pricing pp. 1185-1197 Downloads
Cathy O'Neil and Gilles Zumbach
Pricing levered warrants with dilution using observable variables pp. 1199-1209 Downloads
Isabel Abinzano and Javier Navas
A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk pp. 1211-1223 Downloads
Yung-Ming Shiu, Pai-Lung Chou and Jen-Wen Sheu
Are Chinese warrants derivatives? Evidence from connections to their underlying stocks pp. 1225-1240 Downloads
Ke Tang and Changyun Wang
The bid--ask spread of bank-issued options: a quantile regression analysis pp. 1241-1255 Downloads
Giovanni Petrella and Reuben Segara
Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes pp. 1257-1287 Downloads
Dervis Bayazit and Craig A. Nolder
Log Student’s t -distribution-based option sensitivities: Greeks for the Gosset formulae pp. 1289-1302 Downloads
Daniel T. Cassidy, Michael J. Hamp and Rachid Ouyed
Computation of Greeks for asset price dynamics driven by stable and tempered stable processes pp. 1303-1316 Downloads
Reiichiro Kawai and Atsushi Takeuchi
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity pp. 1317-1330 Downloads
Sergio Bianchi, A. Pantanella and A. Pianese

Volume 13, issue 7, 2013

A formalization of double auction market dynamics pp. 981-988 Downloads
Edward Tsang, Richard Olsen and Shaimaa Masry
Conservatism bias in the presence of strategic interaction pp. 989-996 Downloads
Guo Ying Luo
Great by Choice: Uncertainty, Chaos, and Luck -- Why Some Thrive Despite Them All pp. 997-999 Downloads
Lloyd Kurtz
Primal--dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps pp. 1003-1013 Downloads
Sven Balder, Antje Mahayni and John Schoenmakers
Applying hedging strategies to estimate model risk and provision calculation pp. 1015-1028 Downloads
Alberto Elices and Eduard Giménez
Arbitrage-free interval and dynamic hedging in an illiquid market pp. 1029-1039 Downloads
Jinqiang Yang and Zhaojun Yang
The term structure of S&P 100 model-free volatilities pp. 1041-1058 Downloads
Kian-Guan Lim and Christopher Ting
The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks pp. 1059-1070 Downloads
Matthieu Duvinage, Paolo Mazza and Mikael Petitjean
Analysis of trade packages in the Chinese stock market pp. 1071-1089 Downloads
Fei Ren and Wei-Xing Zhou
Industry herding and market states: evidence from Chinese stock markets pp. 1091-1113 Downloads
Chien-Chiang Lee, Mei-Ping Chen and Kuan-Mien Hsieh
Time zone normalization of FX seasonality pp. 1115-1123 Downloads
S. Masry, A. Dupuis, R. B. Olsen and E. Tsang
Do foreign exchange fund managers behave like heterogeneous agents? pp. 1125-1134 Downloads
Willem Verschoor and Remco Zwinkels
Currency total return swaps: valuation and risk factor analysis pp. 1135-1148 Downloads
Romain Cuchet, Pascal François and Georges Hübner

Volume 13, issue 6, 2013

Optimal hedging in discrete time pp. 819-825 Downloads
Bruno Rémillard and Sylvain Rubenthaler
Good deals in markets with friction pp. 827-836 Downloads
Alejandro Balbás, Beatriz Balbás and Raquel Balbás
The Theory That Would Not Die pp. 837-838 Downloads
Maurizio Ferconi
Pricing Bermudan options using low-discrepancy mesh methods pp. 841-860 Downloads
Phelim P. Boyle, Adam W. Kolkiewicz and Ken Seng Tan
A new sampling strategy willow tree method with application to path-dependent option pricing pp. 861-872 Downloads
Wei Xu, Zhiwu Hong and Chenxiang Qin
A multi-dimensional local average lattice method for multi-asset models pp. 873-884 Downloads
Kyoung-Sook Moon and Hongjoong Kim
A simple iterative method for the valuation of American options pp. 885-895 Downloads
In Joon Kim, Bong-Gyu Jang and Kyeong Tae Kim
The exact smile of certain local volatility models pp. 897-905 Downloads
Matthew Lorig
On the computation of option prices and Greeks under the CEV model pp. 907-917 Downloads
Manuela Larguinho, José Carlos Dias and Carlos A. Braumann
Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation pp. 919-937 Downloads
S. T. Tse and Justin W. L. Wan
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model pp. 939-954 Downloads
Sai Hung Marten Ting and Christian-Oliver Ewald
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates pp. 955-966 Downloads
Rehez Ahlip and Marek Rutkowski
A new class of Bayesian semi-parametric models with applications to option pricing pp. 967-980 Downloads
Marcin Kacperczyk, Paul Damien and Stephen G. Walker

Volume 13, issue 5, 2012

Active momentum trading versus passive ' naive diversification' pp. 655-663 Downloads
Anurag Banerjee and Chi-Hsiou Hung
Is hyperbolic discounting really evidence of irrational behavior? pp. 665-670 Downloads
Philip A. Horvath and Kanhaiyaa Sinha
The Capital Asset Pricing Model in the 21st Century pp. 671-672 Downloads
Richard Michaud
Variance swap dynamics pp. 675-685 Downloads
K. Detlefsen and Wolfgang Härdle
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case pp. 687-698 Downloads
Robert J. Elliott and Guang-Hua Lian
An endogenous volatility approach to pricing and hedging call options with transaction costs pp. 699-712 Downloads
Leonard C. MacLean, Yonggan Zhao and William T. Ziemba
Fast and realistic European ARCH option pricing and hedging pp. 713-728 Downloads
Gilles Zumbach and Luis Fernández
Buyer's quantile hedge portfolios in discrete-time trading pp. 729-738 Downloads
Mustafa Ç. Pinar
Risk premiums in a simple market model for implied volatility pp. 739-748 Downloads
Bas Peeters
Derivative pricing under asymmetric and imperfect collateralization and CVA pp. 749-768 Downloads
Masaaki Fujii and Akihiko Takahashi
Semi-closed form cubature and applications to financial diffusion models pp. 769-782 Downloads
Christian Bayer, Peter Friz and Ronnie Loeffen
Multiple-limit trades: empirical facts and application to lead--lag measures pp. 783-793 Downloads
Fabrizio Pomponio and Frederic Abergel
Log-normal continuous cascade model of asset returns: aggregation properties and estimation pp. 795-818 Downloads
E. Bacry, A. Kozhemyak and J. F. Muzy

Volume 13, issue 4, 2013

Stochastic spot price multi-period model and option valuation for electrical markets pp. 483-492 Downloads
Eivind Helland, Timur Aka and Eric Winnington
Investing in the wine market: a country-level threshold cointegration approach pp. 493-503 Downloads
Lucia Baldi, Massimo Peri and Daniela Vandone
Econometrics of Financial High-Frequency Data, by Nikolaus Hautsch pp. 505-506 Downloads
Terrence Hendershott
A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model pp. 509-526 Downloads
Hiroaki Suenaga
The dynamics of commodity prices pp. 527-542 Downloads
Chris Brooks and Marcel Prokopczuk
A hybrid commodity and interest rate market model pp. 543-560 Downloads
K. F. Pilz and Erik Schlogl
The structure of gold and silver spread returns pp. 561-570 Downloads
Jonathan Batten, Cetin Ciner, Brian Lucey and Peter Szilagyi
Gold and the U.S. dollar: tales from the turmoil pp. 571-582 Downloads
Paolo Zagaglia and Massimiliano Marzo
Short-term and long-term dependencies of the S&P 500 index and commodity prices pp. 583-592 Downloads
Michael Graham, Jarno Kiviaho and Jussi Nikkinen
Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model pp. 593-612 Downloads
Elyas Elyasiani, Iqbal Mansur and Babatunde Odusami
Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade? pp. 613-626 Downloads
Liyan Han, Rong Liang and Ke Tang
Efficient pricing of swing options in Lévy-driven models pp. 627-635 Downloads
Oleg Kudryavtsev and Antonino Zanette
Is the EUA a new asset class? pp. 637-653 Downloads
Vicente Medina and Angel Pardo

Volume 13, issue 3, 2013

An ecological perspective on the future of computer trading pp. 325-346 Downloads
J. Farmer and Spyros Skouras
More Mathematical Finance pp. 347-348 Downloads
Stefan Weber
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship pp. 351-367 Downloads
Nick Deguillaume, Riccardo Rebonato and Andrey Pogudin
The use of Bayes factors to compare interest rate term structure models pp. 369-381 Downloads
W. Keener Hughen, Carmelo Giaccotto and Po-Hsuan Hsu
Predicting issuer credit ratings using generalized estimating equations pp. 383-398 Downloads
Ruey-Ching Hwang
Contagion models a la carte: which one to choose? pp. 399-405 Downloads
Harry Zheng
An extension of Davis and Lo's contagion model pp. 407-420 Downloads
Areski Cousin, Diana Dorobantu and Didier Rulliere
A market model with medium/long-term effects due to an insider pp. 421-437 Downloads
Hiroaki Hata and Arturo Kohatsu-Higa
Firm characteristics that drive the momentum pattern in the UK stock market pp. 439-449 Downloads
Antonios Siganos
EMU equity markets' return variance and spillover effects from the short-term interest rate pp. 451-470 Downloads
Ai Jun Hou
Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients pp. 471-481 Downloads
Kuan Min Wang and Thanh-Binh Nguyen Thi

Volume 13, issue 2, 2013

The buy-and-hold horizon and portfolio choice pp. 159-166 Downloads
Geoffrey Woglom
Smoothed safety first and the holding of assets pp. 167-176 Downloads
M. Ryan Haley, Harry Paarsch and Charles H. Whiteman
Thinking, Fast and Slow, by D. Kahneman pp. 177-179 Downloads
Lisa R. Goldberg
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance pp. 183-194 Downloads
Eckhard Platen and Lei Shi
Fractional differencing in discrete time pp. 195-204 Downloads
John Elder, Robert J. Elliott and Hong Miao
Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas pp. 205-226 Downloads
Alessandro Cipollini and Paul Canty
Asset pricing with disequilibrium price adjustment: theory and empirical evidence pp. 227-239 Downloads
Cheng-Few Lee, Chiung-Min Tsai and Alice C. Lee
The representation of American options prices under stochastic volatility and jump-diffusion dynamics pp. 241-253 Downloads
Gerald H. L. Cheang, Carl Chiarella and Andrew Ziogas
A perturbative approach to Bermudan options pricing with applications pp. 255-263 Downloads
Roberto Baviera and Lorenzo Giada
Multiscale analysis of economic time series by scale-dependent Lyapunov exponent pp. 265-274 Downloads
Jianbo Gao, Jing Hu, Wen-Wen Tung and Yi Zheng
Prediction accuracy and sloppiness of log-periodic functions pp. 275-280 Downloads
David S. Brée, Damien Challet and Pier Paolo Peirano
Equity issues and aggregate market returns under information asymmetry pp. 281-300 Downloads
Xiaoquan Jiang and Bong-Soo Lee
The augmented Black--Litterman model: a ranking-free approach to factor-based portfolio construction and beyond pp. 301-316 Downloads
Wing Cheung
The law of one accounting variable pp. 317-322 Downloads
Haim Reisman

Volume 13, issue 1, 2013

Empirical performance of models for barrier option valuation pp. 1-11 Downloads
Cathrine Jessen and Rolf Poulsen
Optimizing a basket against the efficient market hypothesis pp. 13-23 Downloads
Frédéric Abergel and Mauro Politi
Dark Markets, by Darrell Duffie pp. 25-26 Downloads
Viral V. Acharya
The statistical properties of the innovations in multivariate ARCH processes in high dimensions pp. 29-44 Downloads
Gilles Zumbach
Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation pp. 45-63 Downloads
Dolores Furió and Francisco Climent
Modelling microstructure noise with mutually exciting point processes pp. 65-77 Downloads
E. Bacry, S. Delattre, Marc Hoffmann and J. F. Muzy
Optimal high-frequency trading with limit and market orders pp. 79-94 Downloads
Fabien Guilbaud and Huyên Pham
The British call option pp. 95-109 Downloads
Goran Peskir and Farman Samee
Derivatives pricing with marked point processes using tick-by-tick data pp. 111-123 Downloads
Álvaro Cartea
The valuation of structured products using Markov chain models pp. 125-136 Downloads
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
American step-up and step-down default swaps under Lévy models pp. 137-157 Downloads
Tim Leung and Kazutoshi Yamazaki
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