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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 11, issue 12, 2011

On the conditional default probability in a regulated market: a structural approach pp. 1695-1702 Downloads
Lijun Bo, Dan Tang, Yongjin Wang and Xuewei Yang
Lectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval pp. 1703-1705 Downloads
Philip Protter
Calendar pp. 1707-1707 Downloads
The Editors
Predicting credit default swap prices with financial and pure data-driven approaches pp. 1709-1727 Downloads
Yalin Gündüz and Marliese Uhrig-Homburg
Flexing the default barrier pp. 1729-1743 Downloads
Gregor Dorfleitner, Paul Schneider and Tanja Veža
Calibrating structural models: a new methodology based on stock and credit default swap data pp. 1745-1759 Downloads
Santiago Forte
Pricing collateralized debt obligations with Markov-modulated Poisson processes pp. 1761-1771 Downloads
Hideyuki Takada, Ushio Sumita and Kazuki Takahashi
Hedging default risks of CDOs in Markovian contagion models pp. 1773-1791 Downloads
J.-P. Laurent, A. Cousin and J.-D. Fermanian
The th default time distribution and basket default swap pricing pp. 1793-1801 Downloads
Geon Choe and Hyun Jang
Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives pp. 1803-1814 Downloads
Noel McWilliam, Kar-Wei Loh and Huan Huang
Empirical analysis and calibration of the CEV process for pricing equity default swaps pp. 1815-1823 Downloads
Belal Baaquie, Tang Pan and Jitendra Bhanap
An extension of CreditGrades model approach with Lévy processes pp. 1825-1836 Downloads
Takaaki Ozeki, Yuji Umezawa, Akira Yamazaki and Daisuke Yoshikawa
Default risk in interest rate derivatives with stochastic volatility pp. 1837-1845 Downloads
Bomi Kim and Jeong-Hoon Kim
The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit pp. 1847-1864 Downloads
George Christodoulakis
Editorial Board pp. ebi-ebi Downloads
The Editors

Volume 11, issue 11, 2011

Optimal leverage from non-ergodicity pp. 1593-1602 Downloads
Ole Peters
The Kelly Capital Growth Investment Criterion, by Leonard MacLean, Edward Thorp, and William Ziemba (editors) pp. 1603-1605 Downloads
John Mulvey
Calendar pp. 1607-1607 Downloads
The Editors
Riding on the smiles pp. 1609-1632 Downloads
José Da Fonseca and Martino Grasselli
A risk-based approach for pricing American options under a generalized Markov regime-switching model pp. 1633-1646 Downloads
Robert Elliott and Tak Siu
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives pp. 1647-1663 Downloads
Lech Grzelak, Cornelis Oosterlee and Sacha Van Weeren
Portfolio optimization under model uncertainty and BSDE games pp. 1665-1674 Downloads
Bernt Øksendal and Agnès Sulem
Maximum penalized quasi-likelihood estimation of the diffusion function pp. 1675-1684 Downloads
Jeff Hamrick, Yifei Huang, Constantinos Kardaras and Murad Taqqu
Options on realized variance and convex orders pp. 1685-1694 Downloads
Peter Carr, Helyette Geman, Dilip Madan and Marc Yor

Volume 11, issue 10, 2011

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio pp. 1439-1447 Downloads
Li Chen, Simai He and Shuzhong Zhang
Effects of skewness and kurtosis on portfolio rankings pp. 1449-1453 Downloads
Massimo Pierro and Jack Mosevich
Harry Markowitz: Selected Works, edited by Harry M. Markowitz pp. 1455-1456 Downloads
Lisa Goldberg
A Benchmark Approach to Quantitative Finance, by Eckhard Platen and David Heath pp. 1457-1458 Downloads
Wolfgang Runggaldier
Calendar pp. 1459-1459 Downloads
The Editors
Mean–variance efficient portfolios with many assets: 50% short pp. 1461-1471 Downloads
Moshe Levy and Ya'acov Ritov
Hybrid metaheuristics for constrained portfolio selection problems pp. 1473-1487 Downloads
Luca Gaspero, Giacomo Tollo, Andrea Roli and Andrea Schaerf
A VaR Black–Litterman model for the construction of absolute return fund-of-funds pp. 1489-1501 Downloads
Miguel Lejeune
Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework pp. 1503-1516 Downloads
Martin Hellmich and Stefan Kassberger
Using first degree stochastic dominance in allocation tasks: an experimental study pp. 1517-1523 Downloads
Tal Shavit and Mosi Rosenboim
An enhanced model for portfolio choice with SSD criteria: a constructive approach pp. 1525-1534 Downloads
Csaba Fábián, Gautam Mitra, Diana Roman and Victor Zverovich
Multiperiod mean-variance efficient portfolios with endogenous liabilities pp. 1535-1546 Downloads
Markus Leippold, Fabio Trojani and Paolo Vanini
Optimal investment under dynamic risk constraints and partial information pp. 1547-1564 Downloads
Wolfgang Putschögl and Jörn Sass
Long-term strategic asset allocation with inflation risk and regime switching pp. 1565-1580 Downloads
Tak Kuen Siu
Optimal investment, consumption and retirement decision with disutility and borrowing constraints pp. 1581-1592 Downloads
Byung Hwa Lim and Yong Shin

Volume 11, issue 9, 2011

The weekly pattern of commercial paper across different trading-day regimes pp. 1273-1283 Downloads
Jian-Hsin Chou, Mei-Chu Ke, Yi-Chein Chiang and Tung Liang Liao
Inferring trading dynamics for an OTC market: the case of the euro area overnight money market pp. 1285-1295 Downloads
Renaud Beaupain and Alain Durré
Investments and Portfolio Performance, by Edwin J. Elton and Martin J. Gruber pp. 1297-1298 Downloads
Russ Wermers
Randomized structural models of credit spreads pp. 1301-1313 Downloads
Chuang Yi, Alexander Tchernitser and Tom Hurd
Correlations in Lévy interest rate models pp. 1315-1327 Downloads
Maximilian Beinhofer, Ernst Eberlein, Arend Janssen and Manuel Polley
Heterogeneous expectations and long-range correlation of the volatility of asset returns pp. 1329-1356 Downloads
J. Coulon and Yannick Malevergne
Characterizing heteroskedasticity pp. 1357-1369 Downloads
Gilles Zumbach
The minimal model of financial complexity pp. 1371-1378 Downloads
Philip Z. Maymin
Pricing exotic options using MSL-MC pp. 1379-1392 Downloads
Klaus Schmitz Abe
Measuring expectations in options markets: an application to the S&P500 index pp. 1393-1405 Downloads
Abel Rodríguez and Enrique ter Horst
Basket trading under co-integration with the logistic mixture autoregressive model pp. 1407-1419 Downloads
Xixin Cheng, Philip Yu and W.K. Li
Multi-regime nonlinear capital asset pricing models pp. 1421-1438 Downloads
Cathy W. S. Chen, Richard H. Gerlach and Ann M. H. Lin

Volume 11, issue 8, 2011

[image omitted] Numerical option pricing in the presence of bubbles pp. 1125-1128 Downloads
Erik Ekstrom, Per Lotstedt, Lina Von Sydow and Johan Tysk
Convergence of Heston to SVI pp. 1129-1132 Downloads
Jim Gatheral and Antoine Jacquier
Markets with Transaction Costs, by Yuri Kabanov and Mher Safarian pp. 1133-1134 Downloads
James Lewis
Closed-form convexity and cross-convexity adjustments for Heston prices pp. 1137-1149 Downloads
Gabriel Drimus
On refined volatility smile expansion in the Heston model pp. 1151-1164 Downloads
Peter Friz, Stefan Gerhold, Archil Gulisashvili and Stephan Sturm
Johnson binomial trees pp. 1165-1176 Downloads
Jean-Guy Simonato
On the acceleration of explicit finite difference methods for option pricing pp. 1177-1191 Downloads
Stephen O'Sullivan and Conall O'Sullivan
Non-parametric partial importance sampling for financial derivative pricing pp. 1193-1206 Downloads
Jan Neddermeyer
Parisian exchange options pp. 1207-1220 Downloads
An Chen and Michael Suchanecki
Pricing barrier options by a regime switching model pp. 1221-1231 Downloads
Pål Nicolai Henriksen
Pricing of a reload employee stock option under severance risk pp. 1233-1244 Downloads
Jun Ma
An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility pp. 1245-1269 Downloads
Minqiang Li and Kyuseok Lee
Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model pp. 1271-1271 Downloads
Susanne Griebsch and Uwe Wystup

Volume 11, issue 7, 2011

The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis pp. 967-978 Downloads
Yue-Jun Zhang and Yi-Ming Wei
Semi-static hedging for certain Margrabe-type options with barriers pp. 979-986 Downloads
Michael Schmutz
How Big Banks Fail and What to Do about It, by Darrell Duffie pp. 987-988 Downloads
Riccardo Rebonato
Econophysics review: I. Empirical facts pp. 991-1012 Downloads
Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca and Frederic Abergel
Econophysics review: II. Agent-based models pp. 1013-1041 Downloads
Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca and Frederic Abergel
A computational view of market efficiency pp. 1043-1050 Downloads
Jasmina Hasanhodzic, Andrew Lo and Emanuele Viola
On derivatives with illiquid underlying and market manipulation pp. 1051-1066 Downloads
Ulrich Horst and Felix Naujokat
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators pp. 1067-1080 Downloads
Ester Pantaleo, Michele Tumminello, Fabrizio Lillo and Rosario Mantegna
Statistical rehabilitation of improper correlation matrices pp. 1081-1090 Downloads
A. Frigessi, A. Løland, A. Pievatolo and F. Ruggeri
Empirical properties of large covariance matrices pp. 1091-1102 Downloads
Gilles Zumbach
Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case pp. 1103-1124 Downloads
Zdzisław Burda, Andrzej Jarosz, Maciej Nowak, Jerzy Jurkiewicz, Gabor Papp and Ismail Zahed

Volume 11, issue 6, 2011

Volatile earnings growth, the price of earnings and the Value premium pp. 805-815 Downloads
Jamie Alcock, Thomas Mollee and James Wood
Fierce stock market fluctuation disrupts scalefree distribution pp. 817-823 Downloads
Jing Liu, Chi Tse and Keqing He
Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen pp. 825-826 Downloads
Aaron Brown
A profitable trading and risk management strategy despite transaction costs pp. 829-848 Downloads
Ahmet Duran and Michael Bommarito
Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply pp. 849-861 Downloads
G. Caginalp and M. Desantis
Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets pp. 863-881 Downloads
Rafael Velasco-Fuentes and Wing Lon Ng
A new microstructure noise index pp. 883-899 Downloads
Mathieu Rosenbaum
Probability of an incoming order signal pp. 901-916 Downloads
Jorge Pérez-Rodríguez
Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models pp. 917-932 Downloads
Friedrich Hubalek and Petra Posedel
An event study of price movements following realized jumps pp. 933-946 Downloads
Hossein Asgharian, Mia Holmfeldt and Marcus Larson
The January effect across volatility regimes pp. 947-953 Downloads
Betty Agnani and Henry Aray
Exploring the relationship between investor sentiment and price volatility pp. 955-965 Downloads
Ann Shawing Yang and Ming-Lung Wu

Volume 11, issue 5, 2011

Provably linkable trading pp. 641-651 Downloads
Chris Kenyon and Jan Camenisch
Excess capital, operational disaster risk, and capital requirements for banks pp. 653-661 Downloads
Mohamed Belhaj
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility pp. 665-691 Downloads
Alexander van Haastrecht and Antoon Pelsser
On the valuation of fader and discrete barrier options in Heston's stochastic volatility model pp. 693-709 Downloads
Susanne Griebsch and Uwe Wystup
Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis pp. 711-727 Downloads
Jan Maruhn, Morten Nalholm and Matthias Fengler
Efficient and accurate quadratic approximation methods for pricing Asian strike options pp. 729-748 Downloads
Chuang-Chang Chang and Chueh-Yung Tsao
A comprehensive structural model for defaultable fixed-income bonds pp. 749-762 Downloads
Rossella Agliardi
Comparing alternative Levy base correlation models for pricing and hedging CDO tranches pp. 763-773 Downloads
Viktoriya Masol and Wim Schoutens
CDO pricing with nested Archimedean copulas pp. 775-787 Downloads
Marius Hofert and Matthias Scherer
Asymptotics of the probability of minimizing 'down-side' risk under partial information pp. 789-803 Downloads
Hideo Nagai

Volume 11, issue 4, 2010

A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework pp. 487-493 Downloads
Marianito Rodrigo and Rogemar Mamon
On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves pp. 495-504 Downloads
A. Falco, Ll. Navarro and J. Nave
Multifractal analysis of the dollar-yuan and euro-yuan exchange rates before and after the reform of the peg pp. 505-513 Downloads
Francois Schmitt, Li Ma and Thierry Angounou
Weak and strong Taylor methods for numerical solutions of stochastic differential equations pp. 517-528 Downloads
Maria Siopacha and Josef Teichmann
A jump-diffusion Libor model and its robust calibration pp. 529-546 Downloads
Denis Belomestny and John Schoenmakers
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions pp. 547-558 Downloads
Ferdinando Ametrano and Mark Joshi
Interest rate models on Lie groups pp. 559-572 Downloads
F. C. Park, C. M. Chun, C. W. Han and N. Webber
Term structure of volatilities and yield curve estimation methodology pp. 573-586 Downloads
Antonio Diaz, Francisco Jareño and Eliseo Navarro
A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile pp. 587-597 Downloads
Christian Fries and Fabian Eckstaedt
Patterns in high-frequency FX data: discovery of 12 empirical scaling laws pp. 599-614 Downloads
James Glattfelder, A. Dupuis and R. B. Olsen
Higher order and recurrent neural architectures for trading the EUR/USD exchange rate pp. 615-629 Downloads
Christian Dunis, Jason Laws and Georgios Sermpinis
Optimal investment in the foreign exchange market with proportional transaction costs pp. 631-640 Downloads
Luitgard Veraart

Volume 11, issue 3, 2010

Tail dependence and skew distributions pp. 327-333 Downloads
Thomas Fung and Eugene Seneta
On the perpetual American put options for level dependent volatility models with jumps pp. 335-341 Downloads
Erhan Bayraktar
Some integral functionals of reflected SDEs and their applications in finance pp. 343-348 Downloads
Lijun Bo, Yongjin Wang and Xuewei Yang
Identifying small mean-reverting portfolios pp. 351-364 Downloads
Alexandre D'Aspremont
A stochastic differential game for optimal investment of an insurer with regime switching pp. 365-380 Downloads
Robert Elliott and Tak Kuen Siu
An improved convolution algorithm for discretely sampled Asian options pp. 381-389 Downloads
Ales Cerny and Ioannis Kyriakou
Moody's correlated binomial default distributions for inhomogeneous portfolios pp. 391-405 Downloads
S. Mori, K. Kitsukawa and M. Hisakado
Dynamic copula models for the spark spread pp. 407-421 Downloads
Fred Espen Benth and Paul Kettler
Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries pp. 423-435 Downloads
Meng-Fen Hsieh, Tzu-Yi Yang, Yu-Tai Yang and Jen-Sin Lee
Directional entropy and tail uncertainty, with applications to financial hazard pp. 437-446 Downloads
Roger Bowden
The impact of transaction duration, volume and direction on price dynamics and volatility pp. 447-457 Downloads
Anthony Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka
Hidden Markov models with t components. Increased persistence and other aspects pp. 459-475 Downloads
Jan Bulla
Futures and futures options with basis risk: theoretical and empirical perspectives pp. 477-485 Downloads
Chou-Wen Wang and Ting-Yi Wu

Volume 11, issue 2, 2011

Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance pp. 155-156 Downloads
M. A. H. Dempster
The unsmooth trajectory of Benoit Mandelbrot pp. 157-158 Downloads
J. Farmer
Benoit Mandelbrot and the vindication of his ideas pp. 159-160 Downloads
Alan Kirman
Benoit Mandelbrot: a personal tribute pp. 161-161 Downloads
Jean-Philippe Bouchaud
Dicing with the market: randomized procedures for evaluation of mutual funds pp. 163-172 Downloads
Francesco Lisi
On the statistical and economic performance of stock return predictive regression models: an international perspective pp. 175-193 Downloads
Pierre Giot and Mikael Petitjean
Further international evidence on durable consumption growth and long-run consumption risk pp. 195-217 Downloads
Elena Marquez and Belen Nieto
Common and local asymmetry and day-of-the-week effects among EU equity markets pp. 219-227 Downloads
Kenneth Hogholm, Johan Knif and Seppo Pynnonen
Shared information in the stock market pp. 229-235 Downloads
Rosario Bartiromo
Spatial linkages in international financial markets pp. 237-245 Downloads
Viviana Fernandez
Does corporate governance matter for stock returns? Estimating a four-factor asset pricing model including a governance index pp. 247-259 Downloads
Andre Carvalhal and Carolina Nobili
What drives stock markets over short horizons? Evidence from emerging markets pp. 261-269 Downloads
Paresh Narayan
Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets pp. 271-285 Downloads
Ping Wang and Peijie Wang
How rewarding is technical analysis in the Indian stock market? pp. 287-297 Downloads
Subrata Kumar Mitra
Liberalisation and stock market co-movement between emerging economies pp. 299-312 Downloads
Michel Beine and Bertrand Candelon
Detection of momentum effects using an index out-performance strategy pp. 313-326 Downloads
N. Meade and John Beasley

Volume 11, issue 1, 2011

Coherent global market simulations and securitization measures for counterparty credit risk pp. 1-20 Downloads
Claudio Albanese, Toufik Bellaj, Guillaume Gimonet and Giacomo Pietronero
The Fields Institute: thematic program on Quantitative Finance: foundations and applications - January to June, 2010 pp. 21-29 Downloads
Matheus Grasselli and Thomas Hurd
A PDE approach to jump-diffusions pp. 33-52 Downloads
Peter Carr and Laurent Cousot
Optimal hedge fund portfolios under liquidation risk pp. 53-67 Downloads
R. Gibson Brandon and S. Gyger
Dynamic liquidation under market impact pp. 69-80 Downloads
Thangaraj Draviam, Thomas Coleman and Yuying Li
The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies pp. 81-99 Downloads
Martin Haugh and Ashish Jain
Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models pp. 101-113 Downloads
Gilles Zumbach
The premium of dynamic trading pp. 115-123 Downloads
Chun Hung Chiu and Xun Yu Zhou
Multivariate asset price dynamics with stochastic covariation pp. 125-134 Downloads
Julian Williams and Christos Ioannidis
Modeling default risk with support vector machines pp. 135-154 Downloads
Shiyi Chen, W. K. Hardle and Russ Moro
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