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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 10, issue 10, 2010

Central limits and financial risk pp. 1091-1097 Downloads
Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Lisa Goldberg and Michael Hayes
An empirical study of liquidity dynamics and resistance and support levels pp. 1099-1107 Downloads
Carla Gomes and Henri Waelbroeck
On the stickiness property pp. 1109-1112 Downloads
Erhan Bayraktar and Hasanjan Sayit
A class of Levy process models with almost exact calibration to both barrier and vanilla FX options pp. 1115-1136 Downloads
Peter Carr and John Crosby
Up and down credit risk pp. 1137-1151 Downloads
Tomasz Bielecki, Stephane Crepey and Monique Jeanblanc
Approximation of aggregate and extremal losses within the very heavy tails framework pp. 1153-1162 Downloads
Ivan Mitov, Svetlozar Rachev and Frank Fabozzi
Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes pp. 1163-1172 Downloads
Lihua Bai, Junyi Guo and Huayue Zhang
High-dimensional covariance forecasting for short intra-day horizons pp. 1173-1185 Downloads
Roel Oomen
Econometric analysis of microscopic simulation models pp. 1187-1201 Downloads
Youwei Li, Bas Donkers and Bertrand Melenberg
The risk-shifting effect and the value of a warrant pp. 1203-1213 Downloads
Emanuele Bajo and Massimiliano Barbi
The impact of the choice of VaR models on the level of regulatory capital according to Basel II pp. 1215-1224 Downloads
Oliver Hermsen

Volume 10, issue 9, 2010

Time to default and other sensitivities of credit ratings pp. 947-952 Downloads
Dror Parnes
The Geneva Finance Research Institute pp. 953-956 Downloads
Miret Padovani
On the first passage time distribution of an Ornstein-Uhlenbeck process pp. 957-960 Downloads
Chuang Yi
Electricity spot price modelling with a view towards extreme spike risk pp. 963-974 Downloads
Claudia Kluppelberg, Thilo Meyer-Brandis and Andrea Schmidt
Pricing swing options in the electricity markets under regime-switching uncertainty pp. 975-994 Downloads
M. I. M. Wahab, Z. Yin and N. C. P. Edirisinghe
How to speed up the quantization tree algorithm with an application to swing options pp. 995-1007 Downloads
Anne Laure Bronstein, Gilles Pages and Benedikt Wilbertz
Loss aversion and the price of risk pp. 1009-1022 Downloads
Moshe Levy
Dynamic complex hedging in additive markets pp. 1023-1037 Downloads
Jose Corcuera and Joao Guerra
The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management pp. 1039-1054 Downloads
Xiaolin Luo and Pavel Shevchenko
Predicting bankruptcy using the discrete-time semiparametric hazard model pp. 1055-1066 Downloads
K. F. Cheng, C. K. Chu and Ruey-Ching Hwang
Predictability of nonlinear trading rules in the U.S. stock market pp. 1067-1076 Downloads
Terence Tai Leung Chong and Tau-Hing Lam
Regression-based algorithms for life insurance contracts with surrender guarantees pp. 1077-1090 Downloads
Anna Rita Bacinello, Enrico Biffis and Pietro Millossovich

Volume 10, issue 8, 2010

Pricing the credit default swap rate for jump diffusion default intensity processes pp. 809-817 Downloads
Yong-Ki Ma and Jeong-Hoon Kim
Static-arbitrage lower bounds on the prices of basket options via linear programming pp. 819-827 Downloads
Javier Pena, Juan Vera and Luis Zuluaga
Markov models for commodity futures: theory and practice pp. 831-854 Downloads
Leif Andersen
Multivariate models for operational risk pp. 855-869 Downloads
Klaus Bocker and Claudia Kluppelberg
(Non-)robustness of maximum likelihood estimators for operational risk severity distributions pp. 871-882 Downloads
Sonja Huber
Do financial returns have finite or infinite variance? A paradox and an explanation pp. 883-893 Downloads
Michael Grabchak and Gennady Samorodnitsky
Asymmetry of information flow between volatilities across time scales pp. 895-915 Downloads
Ramazan Gencay, Nikola Gradojevic, Faruk Selcuk and Brandon Whitcher
Wavelet decomposition for intra-day volume dynamics pp. 917-930 Downloads
Jaisimha Manchaldore, Imon Palit and Oleg Soloviev
Portfolio selection based on the mean-VaR efficient frontier pp. 931-945 Downloads
Chueh-Yung Tsao

Volume 10, issue 7, 2010

Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria pp. 681-687 Downloads
Leonard Maclean, Edward Thorp and William Ziemba
Analysis of Kelly-optimal portfolios pp. 689-697 Downloads
Paolo Laureti, Matus Medo and Yi-Cheng Zhang
A stochastic-difference-equation model for hedge-fund returns pp. 701-733 Downloads
Emanuel Derman, Kun Soo Park and Ward Whitt
Leveraged Levy processes as models for stock prices pp. 735-748 Downloads
Dilip Madan and Yue Xiao
No-dynamic-arbitrage and market impact pp. 749-759 Downloads
Jim Gatheral
Statistical arbitrage in the US equities market pp. 761-782 Downloads
Marco Avellaneda and Jeong-Hyun Lee
Multi-scale variation, path risk and long-term portfolio management pp. 783-796 Downloads
Roger Bowden and Jennifer Zhu
Identifying common dynamic features in stock returns pp. 797-807 Downloads
Jorge Caiado and Nuno Crato

Volume 10, issue 6, 2010

Measuring investment performance consistency pp. 565-574 Downloads
Michael Villaverde
Can expected shortfall and Value-at-Risk be used to statically hedge options? pp. 575-583 Downloads
Jonathan Wylie, Qiang Zhang and Tak Kuen Siu
Explicit expressions for moments of Pareto order statistics pp. 585-589 Downloads
Saralees Nadarajah
Robustness and sensitivity analysis of risk measurement procedures pp. 593-606 Downloads
Rama Cont, Romain Deguest and Giacomo Scandolo
Pricing and hedging basket options to prespecified levels of acceptability pp. 607-615 Downloads
Dilip Madan
Portfolio sensitivity to changes in the maximum and the maximum drawdown pp. 617-627 Downloads
Libor Pospisil and Jan Vecer
A transform approach to compute prices and Greeks of barrier options driven by a class of Levy processes pp. 629-644 Downloads
Marc Jeannin and Martijn Pistorius
Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk pp. 645-662 Downloads
Keiichi Tanaka, Takeshi Yamada and Toshiaki Watanabe
Generalized uncorrelated SABR models with a high degree of symmetry pp. 663-679 Downloads
Tai-Ho Wang, Peter Laurence and Sheng-Li Wang

Volume 10, issue 5, 2010

Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds pp. 455-460 Downloads
Melanie Frick and Annabelle Kehl
Stochastic resonance and the trade arrival rate of stocks pp. 461-466 Downloads
A. Christian Silva and Ju-Yi Yen
Portfolio selection with higher moments pp. 469-485 Downloads
Campbell Harvey, John Liechty, Merrill Liechty and Peter Muller
No-transaction bounds and estimation risk pp. 487-493 Downloads
Vasyl Golosnoy
Exact properties of measures of optimal investment for benchmarked portfolios pp. 495-502 Downloads
John Knight and S. E. Satchell
Optimization of N-risky asset portfolios with stochastic variance and transaction costs pp. 503-514 Downloads
C. Atkinson and P. Ingpochai
Financial literacy and portfolio diversification pp. 515-528 Downloads
Margarida Abreu and Victor Mendes
Risk and predictability of Singapore's private residential market pp. 529-543 Downloads
Qin Xiao and Weihong Huang
Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities pp. 545-554 Downloads
Christopher Hessel and Jun Wang
An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms pp. 555-564 Downloads
Christoph Woster

Volume 10, issue 4, 2010

A principal-component approach to measuring investor sentiment pp. 339-347 Downloads
Haiqiang Chen, Terence Tai Leung Chong and Xin Duan
Asymmetric dividend smoothing in the aggregate stock market pp. 349-355 Downloads
Sokwon Kim and Byeongseon Seo
Valuation of energy storage: an optimal switching approach pp. 359-374 Downloads
Rene Carmona and Michael Ludkovski
Robust estimation with flexible parametric distributions: estimation of utility stock betas pp. 375-387 Downloads
James McDonald, Richard Michelfelder and Panayiotis Theodossiou
International trade and financial integration: a weighted network analysis pp. 389-399 Downloads
Stefano Schiavo, Javier Reyes and Giorgio Fagiolo
Automated trading with boosting and expert weighting pp. 401-420 Downloads
German Creamer and Yoav Freund
Change analysis of a dynamic copula for measuring dependence in multivariate financial data pp. 421-430 Downloads
Dominique Guegan and J. Zhang
Volatility conditional on price trends pp. 431-442 Downloads
Gilles Zumbach
Portfolio allocation and the investment horizon: a multiscaling approach pp. 443-453 Downloads
Sangbae Kim and Francis In

Volume 10, issue 3, 2010

A risk-based evaluation of the free-trader option pp. 235-240 Downloads
Ren-Raw Chen and Frank Fabozzi
The new 'brew' on the Liffey: How FMC2 is adding the yeast pp. 241-245 Downloads
Anthony Brabazon
Single and joint default in a structural model with purely discontinuous asset prices pp. 249-263 Downloads
Filippo Fiorani, Elisa Luciano and Patrizia Semeraro
Pricing a CDO on stochastically correlated underlyings pp. 265-277 Downloads
Marcos Escobar Anel, Barbara Gotz, Luis Seco and Rudi Zagst
Pricing inflation-linked bonds pp. 279-293 Downloads
Paolo Falbo, Francesco Paris and Cristian Pelizzari
Hierarchies of Archimedean copulas pp. 295-304 Downloads
Cornelia Savu and Mark Trede
Multi-asset spread option pricing and hedging pp. 305-324 Downloads
Minqiang Li, Jieyun Zhou and Shi-Jie Deng
Asset allocation using flexible dynamic correlation models with regime switching pp. 325-338 Downloads
Edoardo Otranto

Volume 10, issue 2, 2010

Queueing theoretical analysis of foreign currency exchange rates pp. 121-130 Downloads
Jun-Ichi Inoue and Naoya Sazuka
Does size matter? A genetic programming approach to technical trading pp. 131-140 Downloads
Janice How, Martin Ling and Peter Verhoeven
Optimal execution strategies in limit order books with general shape functions pp. 143-157 Downloads
Aurelien Alfonsi, Antje Fruth and Alexander Schied
Implications of a regime-switching model on natural gas storage valuation and optimal operation pp. 159-176 Downloads
Zhuliang Chen and Peter Forsyth
A comparison of biased simulation schemes for stochastic volatility models pp. 177-194 Downloads
Roger Lord, Remmert Koekkoek and Dick van Dijk
Utility valuation of multi-name credit derivatives and application to CDOs pp. 195-208 Downloads
Ronnie Sircar and Thaleia Zariphopoulou
Cash management using multi-stage stochastic programming pp. 209-219 Downloads
Robert Ferstl and Alex Weissensteiner
Analysis of the rebalancing frequency in log-optimal portfolio selection pp. 221-234 Downloads
Daniel Kuhn and David Luenberger

Volume 10, issue 1, 2010

Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap pp. 1-12 Downloads
Jessica James and Louis Yang
Some applications of M-ary detection in quantitative finance pp. 13-20 Downloads
W. P. Malcolm and R. J. Elliott
Real-world jump-diffusion term structure models pp. 23-37 Downloads
Nicola Bruti-Liberati, Christina Nikitopoulos-Sklibosios and Eckhard Platen
Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise pp. 39-47 Downloads
Carlo Marinelli
Pricing a defaultable bond with a stochastic recovery rate pp. 49-58 Downloads
Shu-Ling Chiang and Ming-Shann Tsai
On the analytical-numerical valuation of the Bermudan and American options pp. 59-74 Downloads
Andras Prekopa and Tamás Szántai
A Levy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing pp. 75-90 Downloads
Anders Eriksson
Portfolio optimization for student t and skewed t returns pp. 91-105 Downloads
Wenbo Hu and Alec Kercheval
Power mapping with dynamical adjustment for improved portfolio optimization pp. 107-119 Downloads
Rudi Schafer, Nils Fredrik Nilsson and Thomas Guhr
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