Quantitative Finance

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Editor: Jean-Philippe Bouchaud
Editor: Michael Dempster
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:taf:quantf

2009, Volume 9, Issue 7

• 767-773 Capital requirements, acceptable risks and profits
  by Dilip Madan [Downloadable! (restricted)]
• 775-790 The causes of the credit crunch: a backwards look?
  by David Murphy [Downloadable! (restricted)]
• 793-802 The Epps effect revisited
  by Bence Toth & Janos Kertesz [Downloadable! (restricted)]
• 803-817 Pricing and capital requirements for with profit contracts: modelling considerations
  by Laura Ballotta [Downloadable! (restricted)]
• 819-825 Valuing qualitative options with stochastic volatility
  by Bong-Gyu Jang & Kum-Hwan Roh [Downloadable! (restricted)]
• 827-838 Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
  by Tian-Shyr Dai [Downloadable! (restricted)]
• 839-854 An empirical analysis of multivariate copula models
  by Matthias Fischer & Christian Kock & Stephan Schluter & Florian Weigert [Downloadable! (restricted)]
• 855-868 Gram-Charlier densities: a multivariate approach
  by Esther B. Del Brio & Trino-Manuel Niguez & Javier Perote [Downloadable! (restricted)]
• 869-885 Robust portfolio selection under downside risk measures
  by Shushang Zhu & Duan Li & Shouyang Wang [Downloadable! (restricted)]

• 637-651 Evaluating style investment—Does a fund market defined along equity styles add value?
  by Woo Chang Kim & John Mulvey [Downloadable! (restricted)]
• 653-660 On the long-term behavior of mutual fund returns
  by Luis Miguel Doncel & Pilar Grau-Carles & Jorge Sainz [Downloadable! (restricted)]
• 663-692 Spectral methods for volatility derivatives
  by Claudio Albanese & Harry Lo & Aleksandar Mijatovic [Downloadable! (restricted)]
• 693-704 Risk minimization in stochastic volatility models: model risk and empirical performance
  by Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald [Downloadable! (restricted)]
• 705-715 Pseudospectral methods for pricing options
  by Sangwon Suh [Downloadable! (restricted)]
• 717-726 A dynamic programming approach for pricing CDS and CDS options
  by Hatem Ben-Ameur & Damiano Brigo & Eymen Errais [Downloadable! (restricted)]
• 727-735 Numerical computation of Theta in a jump-diffusion model by integration by parts
  by Delphine David & Nicolas Privault [Downloadable! (restricted)]
• 737-745 Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
  by Jeroen Rombouts & Marno Verbeek [Downloadable! (restricted)]
• 747-755 VaR and expected shortfall: a non-normal regime switching framework
  by Robert Elliott & Hong Miao [Downloadable! (restricted)]
• 757-766 Capital market equilibrium with heterogeneous investors
  by Haim Shalit & Shlomo Yitzhaki [Downloadable! (restricted)]

• 495-503 Modeling risk in arbitrage strategies using finite mixtures
  by Adam Tashman & Robert Frey [Downloadable! (restricted)]
• 505-515 Time reversal invariance in finance
  by Gilles Zumbach [Downloadable! (restricted)]
• 519-525 Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
  by Ngai Hang Chan & Chi Tim Ng [Downloadable! (restricted)]
• 527-545 What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
  by Roberto Pascual & David Veredas [Downloadable! (restricted)]
• 547-563 Diffusive behavior and the modeling of characteristic times in limit order executions
  by Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna [Downloadable! (restricted)]
• 565-580 Portfolio diversification and value at risk under thick-tailedness
  by Rustam Ibragimov [Downloadable! (restricted)]
• 581-595 Capital allocation for credit portfolios with kernel estimators
  by Dirk Tasche [Downloadable! (restricted)]
• 597-606 A multivariate Levy process model with linear correlation
  by Reiichiro Kawai [Downloadable! (restricted)]
• 607-619 Volatility transmission patterns and terrorist attacks
  by Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro [Downloadable! (restricted)]
• 621-636 A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms
  by Joaquim J.S. Ramalho & Jacinto Vidigal da Silva [Downloadable! (restricted)]

• 373-382 Credit contagion and credit risk
  by J. P. L. Hatchett & R. Kuhn [Downloadable! (restricted)]
• 383-393 Implied Levy volatility
  by Jose Manuel Corcuera & Florence Guillaume & Peter Leoni & Wim Schoutens [Downloadable! (restricted)]
• 397-409 Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance
  by Alvaro Cartea & Sam Howison [Downloadable! (restricted)]
• 411-416 Pricing measures, forward measures and semigroups
  by Jinke Zhou & Xiaolu Wang [Downloadable! (restricted)]
• 417-428 Arbitrage-free smoothing of the implied volatility surface
  by Matthias Fengler [Downloadable! (restricted)]
• 429-438 Computing the endogenous mortgage rate without iterations
  by Yevgeny Goncharov [Downloadable! (restricted)]
• 439-449 Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models
  by Dirk Prange & Wolfgang Scherer [Downloadable! (restricted)]
• 451-464 A continuous-time model for reinvestment risk in bond markets
  by Mikkel Dahl [Downloadable! (restricted)]
• 465-475 Unexpected volatility and intraday serial correlation
  by Simone Bianco & Roberto Reno [Downloadable! (restricted)]
• 477-489 Feedback trading and intermittent market turbulence
  by Demosthenes Tambakis [Downloadable! (restricted)]

• 243-256 Embracing change: financial informatics and risk analytics
  by Mark Flood [Downloadable! (restricted)]
• 259-278 Evidence for state transition and altered serial codependence in US$ interest rates
  by Riccardo Rebonato & Jian Chen [Downloadable! (restricted)]
• 279-287 A two-factor model for the electricity forward market
  by Rudiger Kiesel & Gero Schindlmayr & Reik Borger [Downloadable! (restricted)]
• 289-296 An analytic approximation of the likelihood function for the Heston model volatility estimation problem
  by Amir Atiya & Steve Wall [Downloadable! (restricted)]
• 297-304 Insider trading with correlation between liquidity trading and a public signal
  by Katsumasa Nishide [Downloadable! (restricted)]
• 305-314 Nonlinear dynamical structural equation models
  by Wenyang Zhang & Sik-Yum Lee [Downloadable! (restricted)]
• 315-327 Regression methods in pricing American and Bermudan options using consumption processes
  by Denis Belomestny & Grigori Milstein & Vladimir Spokoiny [Downloadable! (restricted)]
• 329-340 Double knock-out Asian barrier options which widen or contract as they approach maturity
  by C. Atkinson & S. Kazantzaki [Downloadable! (restricted)]
• 341-352 Barrier option pricing: a hybrid method approach
  by Andrew Ming-Long Wang & Yu-Hong Liu & Yi-Long Hsiao [Downloadable! (restricted)]
• 353-361 Risky asset pricing based on safety first fund management
  by Yuanyao Ding & Bo Zhang [Downloadable! (restricted)]
• 363-370 An exact test on structural changes in the weights of the global minimum variance portfolio
  by Taras Bodnar [Downloadable! (restricted)]

• 123-127 [image omitted] Uncovered interest parity and the FX carry trade
  by Jessica James & Kristjan Kasikov & Aysu Secmen [Downloadable! (restricted)]
• 133-145 A multi-quality model of interest rates
  by Masaaki Kijima & Keiichi Tanaka & Tony Wong [Downloadable! (restricted)]
• 147-160 Efficient estimation of transition rates between credit ratings from observations at discrete time points
  by Mogens Bladt & Michael SØrensen [Downloadable! (restricted)]
• 161-170 Portfolio choice under dynamic investment performance criteria
  by M. Musiela & T. Zariphopoulou [Downloadable! (restricted)]
• 171-176 Achieving smooth asymptotics for the prices of European options in binomial trees
  by Mark Joshi [Downloadable! (restricted)]
• 177-186 Pricing jump risk with utility indifference
  by Lixin Wu & Min Dai [Downloadable! (restricted)]
• 187-196 Estimating default barriers from market information
  by Hoi Ying Wong & Tsz Wang Choi [Downloadable! (restricted)]
• 197-206 Coherent hedging in incomplete markets
  by Birgit Rudloff [Downloadable! (restricted)]
• 207-215 Law of large numbers and large deviations for dependent risks
  by Ramona Maier & Mario Wuthrich [Downloadable! (restricted)]
• 217-229 Empirical analysis of the average asset correlation for real estate investment trusts
  by Jose Lopez [Downloadable! (restricted)]
• 231-242 Investment strategies in the long run with proportional transaction costs and a HARA utility function
  by Petr Dostal [Downloadable! (restricted)]

• 1-8 Estimating the cost of deposit insurance with stochastic interest rates: the case of Taiwan
  by Hwei-Lin Chuang & Shih-Cheng Lee & Yi-Chun Lin & Min-Teh Yu [Downloadable! (restricted)]
• 9-16 Statistical properties of an experimental political futures market
  by Sun-Chong Wang & Sai-Ping Li & Chung-Ching Tai & Shu-Heng Che [Downloadable! (restricted)]
• 19-26 Equity with Markov-modulated dividends
  by Giuseppe Di Graziano & L. C. G. Rogers [Downloadable! (restricted)]
• 27-42 Sato processes and the valuation of structured products
  by Ernst Eberlein & Dilip Madan [Downloadable! (restricted)]
• 43-54 Robust estimation of historical volatility and correlations in risk management
  by Alexander Tchernitser & Dmitri Rubisov [Downloadable! (restricted)]
• 55-70 Estimating risk-neutral density with parametric models in interest rate markets
  by Frank Fabozzi & Radu Tunaru & George Albota [Downloadable! (restricted)]
• 71-91 Efficient factor GARCH models and factor-DCC models
  by Kun Zhang & Laiwan Chan [Downloadable! (restricted)]
• 93-104 Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models
  by Beum-Jo Park [Downloadable! (restricted)]
• 105-121 Non-parametric estimation of a multiscale CHARN model using SVR
  by Amir Safari & Detlef Seese [Downloadable! (restricted)]

• 753-760 Optimal time to sell a stock in the Black-Scholes model: comment on 'Thou shalt buy and hold', by A. Shiryaev, Z. Xu and X.Y. Zhou
  by Satya Majumdar & Jean-Philippe Bouchaud [Downloadable! (restricted)]
• 761-762 Response to comment on 'Thou shalt buy and hold'
  by Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou [Downloadable! (restricted)]
• 765-776 Thou shalt buy and hold
  by Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou [Downloadable! (restricted)]
• 777-794 Bankruptcy in long-term investments
  by Minjie Yu & Qiang Zhang & Dennis Yang [Downloadable! (restricted)]
• 795-810 Arbitrage pricing of defaultable game options with applications to convertible bonds
  by Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc & Marek Rutkowski [Downloadable! (restricted)]
• 811-822 Bond pricing when the short-term interest rate follows a threshold process
  by Wolfgang Lemke & Theofanis Archontakis [Downloadable! (restricted)]
• 823-831 Modeling stock pinning
  by Marc Jeannin & Giulia Iori & David Samuel [Downloadable! (restricted)]
• 833-843 Update rules for convex risk measures
  by Sina Tutsch [Downloadable! (restricted)]
• 845-861 Improved lower and upper bound algorithms for pricing American options by simulation
  by Mark Broadie & Menghui Cao [Downloadable! (restricted)]

• 649-665 On the challenges in quantitative equity management
  by Frank Fabozzi & Sergio Focardi & Caroline Jonas [Downloadable! (restricted)]
• 669-680 Modelling bonds and credit default swaps using a structural model with contagion
  by Helen Haworth & Christoph Reisinger & William Shaw [Downloadable! (restricted)]
• 681-692 Liquidity risk theory and coherent measures of risk
  by Carlo Acerbi & Giacomo Scandolo [Downloadable! (restricted)]
• 693-704 Value versus growth: stochastic dominance criteria
  by Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao [Downloadable! (restricted)]
• 705-722 Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
  by Christoly Biely & Stefan Thurner [Downloadable! (restricted)]
• 723-738 Detecting log-periodicity in a regime-switching model of stock returns
  by George Chang & James Feigenbaum [Downloadable! (restricted)]
• 739-751 Turbo warrants under stochastic volatility
  by Hoi Ying Wong & Chun Man Chan [Downloadable! (restricted)]

• 547-560 Individual asset liability management
  by E. A. Medova & J. K. Murphy & A. P. Owen & K. Rehman [Downloadable! (restricted)]
• 561-569 Employee stock option valuation with repricing features
  by Kwai Sun Leung & Yue Kuen Kwok [Downloadable! (restricted)]
• 573-590 Coupling smiles
  by Valdo Durrleman & Nicole El Karoui [Downloadable! (restricted)]
• 591-604 A multifactor volatility Heston model
  by JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi [Downloadable! (restricted)]
• 605-617 Enhancing hedging performance with the spanning polynomial projection
  by An-Sing Chen & Yan-Zhen Liu [Downloadable! (restricted)]
• 619-635 Local likelihood estimators in a regression model for stock returns
  by Uwe Christian Jonck [Downloadable! (restricted)]
• 637-647 Hybrid versus highbred: combined economic models with time-series analyses
  by Ming-Yuan Leon Li [Downloadable! (restricted)]

• 435-451 A preliminary enquiry into the causes of the Credit Crunch
  by David Murphy [Downloadable! (restricted)]
• 453-457 Black-Scholes theory for an underlying with multiple attractors
  by Frederik Herzberg [Downloadable! (restricted)]
• 461-469 Perpetual American options in incomplete markets: the infinitely divisible case
  by Vicky Henderson & David Hobson [Downloadable! (restricted)]
• 471-483 Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
  by John Crosby [Downloadable! (restricted)]
• 485-497 Least-squares Importance Sampling for Monte Carlo security pricing
  by Luca Capriotti [Downloadable! (restricted)]
• 499-512 A probabilistic analysis of the trading the line strategy
  by V. Abramov & M. K. Khan & R. A. Khan [Downloadable! (restricted)]
• 513-532 Financial markets in the laboratory: an experimental analysis of some stylized facts
  by Andrea Morone [Downloadable! (restricted)]
• 533-546 An empirical re-examination of the dividend-investment relation
  by Mbodja Mougoue [Downloadable! (restricted)]

• 335-339 Can the January anomaly in Taiwan's stock market be explained by the prospect theory?
  by Chin-Chen Chien & Tsung-Cheng Chen [Downloadable! (restricted)]
• 341-349 Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany
  by Josep Garcia Blandon [Downloadable! (restricted)]
• 353-361 Analysing liquidity and absorption limits of electronic markets with volume durations
  by Wing Lon Ng [Downloadable! (restricted)]
• 363-380 Wealth-driven competition in a speculative financial market: examples with maximizing agents
  by Mikhail Anufriev [Downloadable! (restricted)]
• 381-390 Conditional risk-return relationship in a time-varying beta model
  by Peng Huang & C. James Hueng [Downloadable! (restricted)]
• 391-404 Historical simulation approach to the estimation of stochastic discount factor models
  by Andrei Semenov [Downloadable! (restricted)]
• 405-413 A new computational tool for analysing dynamic hedging under transaction costs
  by James Primbs & Yuji Yamada [Downloadable! (restricted)]
• 415-426 Risk-sensitive benchmarked asset management
  by Mark Davis & SEBastien Lleo [Downloadable! (restricted)]
• 427-434 New and robust drift approximations for the LIBOR market model
  by Mark Joshi & Alan Stacey [Downloadable! (restricted)]

• 217-224 High-frequency trading in a limit order book
  by Marco Avellaneda & Sasha Stoikov [Downloadable! (restricted)]
• 225-231 Multi-asset minority games
  by G. Bianconi & A. De Martino & F. F. Ferreira & M. Marsili [Downloadable! (restricted)]
• 235-249 Price discovery in the presence of boundedly rational agents
  by Karl Ludwig Keiber [Downloadable! (restricted)]
• 251-261 Long-memory in high-frequency exchange rate volatility under temporal aggregation
  by David Mcmillan & Alan Speight [Downloadable! (restricted)]
• 263-284 The implied volatility smirk
  by Jin Zhang & Yi Xiang [Downloadable! (restricted)]
• 285-297 On the super-replicating approach when trading a derivative is limited
  by Sergei Isaenko [Downloadable! (restricted)]
• 299-312 Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
  by Peter Meindl & James Primbs [Downloadable! (restricted)]
• 313-320 American futures options arbitrage: evidence from the Nikkei 225 options market
  by Changyun Wang & Wei Zhang & Weng Kit Tan [Downloadable! (restricted)]
• 321-334 US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
  by Kwamie Dunbar [Downloadable! (restricted)]

• 103-108 Option valuation, time-changed processes and the fast Fourier transform
  by Óscar Gutiérrez [Downloadable! (restricted)]
• 109-116 Goodness-of-fit tests for parametric families of Archimedean copulas
  by Cornelia Savu & Mark Trede [Downloadable! (restricted)]
• 119-133 Pricing options with Green's functions when volatility, interest rate and barriers depend on time
  by Gregor Dorfleitner & Paul Schneider & Kurt Hawlitschek & Arne Buch [Downloadable! (restricted)]
• 135-146 Enhanced policy iteration for American options via scenario selection
  by Christian Bender & Anastasia Kolodko & John Schoenmakers [Downloadable! (restricted)]
• 147-161 Path integral pricing of Asian options on state-dependent volatility models
  by Giuseppe Campolieti & Roman Makarov [Downloadable! (restricted)]
• 163-180 Fast swaption pricing under the market model with a square-root volatility process
  by Lixin Wu & Fan Zhang [Downloadable! (restricted)]
• 181-200 A multi-factor jump-diffusion model for commodities
  by John Crosby [Downloadable! (restricted)]
• 201-215 Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
  by Don Galagedera & Elizabeth Maharaj [Downloadable! (restricted)]

• 1-3 Financial markets. The joy of volatility
  by M. A. H. Dempster & Igor Evstigneev & Klaus Reiner Schenk-Hoppé [Downloadable! (restricted)]
• 5-15 Impact of economic data surprises on exchange rates in the inter-dealer market
  by Jessica James & Kristjan Kasikov [Downloadable! (restricted)]
• 19-40 The next tick on Nasdaq
  by Bruce Mizrach [Downloadable! (restricted)]
• 41-57 Relation between bid-ask spread, impact and volatility in order-driven markets
  by Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo [Downloadable! (restricted)]
• 59-79 Heterogeneity, convergence, and autocorrelations
  by Xue-Zhong He & Youwei Li [Downloadable! (restricted)]
• 81-92 Semiparametric diffusion estimation and application to a stock market index
  by Wolfgang Härdle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen [Downloadable! (restricted)]
• 93-102 Risk-adjusted value allocation for (non-traded) assets with performance ratios
  by Johannes Leitner [Downloadable! (restricted)]

• 585-589 Optimal approximations of power laws with exponentials: application to volatility models with long memory
  by Thierry Bochud & Damien Challet [Downloadable! (restricted)]
• 591-596 Forecasting volatility in GARCH models with additive outliers
  by Beatriz Catalán & F. Javier Trívez [Downloadable! (restricted)]
• 599-607 Conditional tail behaviour and Value at Risk
  by Fabio Bellini & Gianna Figà-talamanca [Downloadable! (restricted)]
• 609-619 Value-at-risk in a market subject to regime switching
  by Ryohei Kawata & Masaaki Kijima [Downloadable! (restricted)]
• 621-636 Value-at-risk forecasts under scrutiny - the German experience
  by Stefan Jaschke & Gerhard Stahl & Richard Stehle [Downloadable! (restricted)]
• 637-650 The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
  by Luis Muga & Rafael Santamaría [Downloadable! (restricted)]
• 651-667 Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
  by Thomas Chiang & Lin Tan & Huimin Li [Downloadable! (restricted)]
• 669-685 Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
  by Chaker Aloui [Downloadable! (restricted)]
• 687-696 Testing asymmetry in financial time series
  by Francesco Lisi [Downloadable! (restricted)]
• 697-699 Comments on 'A theory of non-Gaussian option pricing'
  by Gil Adams & Yuhua Yuan & Michael Kelly [Downloadable! (restricted)]
• 701-701 A theory of non-Gaussian option pricing
  by Lisa Borland [Downloadable! (restricted)]
• 703-703 A non-Gaussian option pricing model with skew
  by Lisa Borland & Jean-Philippe Bouchaud [Downloadable! (restricted)]

• 473-479 Model-free price hedge ratios for homogeneous claims on tradable assets
  by Carol Alexander & Leonardo Nogueira [Downloadable! (restricted)]
• 483-485 A remark on managerial behaviour and agency cost
  by Zhihui Gu & Qingyuan Zhang [Downloadable! (restricted)]
• 487-496 On the structure of Gaussian pricing models and Gaussian Markov functional models
  by C. D. D. Neumann [Downloadable! (restricted)]
• 497-505 A test of the beta model on Eurodollar futures options
  by Les Gulko [Downloadable! (restricted)]
• 507-524 Volatility surfaces: theory, rules of thumb, and empirical evidence
  by Toby Daglish & John Hull & Wulin Suo [Downloadable! (restricted)]
• 525-535 Solvable local and stochastic volatility models: supersymmetric methods in option pricing
  by Pierre Henry-labordère [Downloadable! (restricted)]
• 537-545 Insiders' hedging in a jump diffusion model
  by Kiseop Lee & Seongjoo Song [Downloadable! (restricted)]
• 547-551 On the existence of an efficient hedge for an American contingent claim within a discrete time market
  by Leonel Pérez-hernández [Downloadable! (restricted)]
• 553-561 The volatility of temperature and pricing of weather derivatives
  by Fred ESPEN Benth & Jurate saltyte Benth [Downloadable! (restricted)]
• 563-573 On option pricing models in the presence of heavy tails
  by Michel Vellekoop & Hans Nieuwenhuis [Downloadable! (restricted)]
• 575-583 A jump telegraph model for option pricing
  by Nikita Ratanov [Downloadable! (restricted)]

• 357-358 Introduction to the special issue on portfolio construction and risk management
  by M. A. H. Dempster & Gautam Mitra & Georg Ch. Pflug [Downloadable! (restricted)]
• 359-364 Coherent measures of risk in everyday market practice
  by Carlo Acerbi [Downloadable! (restricted)]
• 365-370 DC pension fund benchmarking with fixed-mix portfolio optimization
  by M. A. H. Dempster & E. A. Germano & M. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston & N. Zhang [Downloadable! (restricted)]
• 373-387 Higher moment coherent risk measures
  by PAVLO A. Krokhmal [Downloadable! (restricted)]
• 389-396 On the feasibility of portfolio optimization under expected shortfall
  by Stefano Ciliberti & Imre Kondor & Marc Mézard [Downloadable! (restricted)]
• 397-409 Stability analysis of portfolio management with conditional value-at-risk
  by Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios [Downloadable! (restricted)]
• 411-421 Stress testing for VaR and CVaR
  by Jitka Dupacová & Jan PolÍvka [Downloadable! (restricted)]
• 423-433 Stable distributions in the Black-Litterman approach to asset allocation
  by Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi [Downloadable! (restricted)]
• 435-442 Ambiguity in portfolio selection
  by Georg Pflug & David Wozabal [Downloadable! (restricted)]
• 443-458 Mean-risk models using two risk measures: a multi-objective approach
  by Diana Roman & Kenneth Darby-Dowman & Gautam Mitra [Downloadable! (restricted)]
• 459-472 Implied non-recombining trees and calibration for the volatility smile
  by Chris Charalambous & Nicos Christofides & Eleni D. Constantinide & Spiros H. Martzoukos [Downloadable! (restricted)]

• 257-260 Financial Pareto ratios
  by Saralees Nadarajah & Samuel Kotz [Downloadable! (restricted)]
• 261-265 Country risk and the estimation of asset return distributions
  by Robert Brooks & Xibin Zhang & Emawtee Bissoondoyal Bheenick [Downloadable! (restricted)]
• 269-284 A positive interest rate model with sticky barrier
  by Yuri Kabanov & Masaaki Kijima & Sofiane Rinaz [Downloadable! (restricted)]
• 285-287 A simple solution for sticky cap and sticky floor
  by Roberto Baviera [Downloadable! (restricted)]
• 289-300 Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
  by Jonathan M. Godbey & Jimmy E. Hilliard [Downloadable! (restricted)]
• 301-319 Modelling stock price movements: multifractality or multifractionality?
  by Sergio Bianchi & Augusto Pianese [Downloadable! (restricted)]
• 321-342 Overreaction diamonds: precursors and aftershocks for significant price changes
  by Ahmet Duran & Gunduz Caginalp [Downloadable! (restricted)]
• 343-356 Bayesian analysis of the factor model with finance applications
  by Sik-Yum Lee & Wai-Yin Poon & Xin-Yuan Song [Downloadable! (restricted)]

• 111-112 Introduction to the special issue on financial planning in a dynamical setting
  by M. A. H. Dempster & Gautam Mitra & Georg Ch. Pflug [Downloadable! (restricted)]
• 115-122 Trends in quantitative equity management: survey results
  by Frank J. Fabozzi & Sergio Focardi & Caroline Jonas [Downloadable! (restricted)]
• 125-136 Portfolio optimization under the Value-at-Risk constraint
  by Traian A. Pirvu [Downloadable! (restricted)]
• 137-149 Dynamic consumption and asset allocation with derivative securities
  by Yuan-Hung Hsuku [Downloadable! (restricted)]
• 151-160 Volatility-induced financial growth
  by Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppé [Downloadable! (restricted)]
• 161-173 Constant rebalanced portfolios and side-information
  by E. Fagiuoli & F. Stella & A. Ventura [Downloadable! (restricted)]
• 175-187 Improving performance for long-term investors: wide diversification, leverage, and overlay strategies
  by John M. Mulvey & Cenk Ural & Zhuojuan Zhang [Downloadable! (restricted)]
• 189-216 Stochastic programming for funding mortgage pools
  by Gerd Infanger [Downloadable! (restricted)]
• 217-229 Scenario-generation methods for an optimal public debt strategy
  by Massimo Bernaschi & Maya Briani & Marco Papi & Davide Vergni [Downloadable! (restricted)]
• 231-244 Solving ALM problems via sequential stochastic programming
  by Florian Herzog & Gabriel Dondi & Simon Keel & Lorenz M. Schumani & Hans P. Geering [Downloadable! (restricted)]
• 245-256 Designing minimum guaranteed return funds
  by M. A. H. Dempster & M. Germano & E. A. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston [Downloadable! (restricted)]

• 1-12 Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques
  by David Buckle [Downloadable! (restricted)]
• 13-16 The effect of size-based regulation on an economic system exhibiting self-organized criticality
  by Di Lu & Shuming Du [Downloadable! (restricted)]
• 17-18 BookReview
  by Ulrich Horst [Downloadable! (restricted)]
• 21-36 Multi-scaling in finance
  by T. Di Matteo [Downloadable! (restricted)]
• 37-53 Do supply and demand drive stock prices?
  by Carl Hopman [Downloadable! (restricted)]
• 55-62 Relative volume as a doubly stochastic binomial point process
  by James McCulloch [Downloadable! (restricted)]
• 63-74 The geometry of crashes. A measure of the dynamics of stock market crises
  by Tanya Araújo & Francisco Louçã [Downloadable! (restricted)]
• 75-86 Is there an informationally passive benchmark for option pricing incorporating maturity?
  by Vicky Henderson & David Hobson & Tino Kluge [Downloadable! (restricted)]
• 87-94 Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α-quantile options
  by Kwai Sun Leung & Yue Kuen Kwok [Downloadable! (restricted)]
• 95-110 Calibration of a nonlinear feedback option pricing model
  by Simona Sanfelici [Downloadable! (restricted)]

• 449-449 The modified Weibull distribution for asset returns
  by Saralees Nadarajah & Samuel Kotz [Downloadable! (restricted)]
• 451-451 The modified weibull distribution for asset returns: reply
  by Y. Malevergne & V. Pisarenko & D. Sornette [Downloadable! (restricted)]
• 455-463 Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
  by Dilip B. Madan [Downloadable! (restricted)]

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Did you know? You can create a compilation of all publications of a group of people, say alumni of a program, your students or memers of an association.

This page was last updated on 2009-11-8.