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

• 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)]
• 465-480 A cross-currency Lévy market model
  by Ernst Eberlein & Nataliya Koval [Downloadable! (restricted)]
• 481-494 Myopic loss aversion and margin of safety: the risk of value investing
  by Kuan Xu & Gordon Fisher [Downloadable! (restricted)]
• 495-511 On a subjective approach to risk measurement
  by Piotr Jaworski [Downloadable! (restricted)]
• 513-536 Fast strong approximation Monte Carlo schemes for stochastic volatility models
  by Christian Kahl & Peter Jäckel [Downloadable! (restricted)]

• 273-277 Intelligent finance--an emerging direction
  by Heping Pan & Didier Sornette & Kenneth Kortanek [Downloadable! (restricted)]
• 279-280 Book review
  by Stathis Tompaidis [Downloadable! (restricted)]
• 283-295 Short-term market reaction after extreme price changes of liquid stocks
  by Ádám G. Zawadowski & György Andor & János Kertész [Downloadable! (restricted)]
• 297-326 Analysis of drawdowns and drawups in the US$ interest-rate market
  by Riccardo Rebonato & Valerio Gaspari [Downloadable! (restricted)]
• 327-335 Barrier options and their static hedges: simple derivations and extensions
  by Rolf Poulsen [Downloadable! (restricted)]
• 337-347 The square-root process and Asian options
  by Angelos Dassios & Jayalaxshmi Nagaradjasarma [Downloadable! (restricted)]
• 349-357 Efficient hybrid methods for portfolio credit derivatives
  by H. Zheng [Downloadable! (restricted)]
• 359-363 The robustness of modified unit root tests in the presence of GARCH
  by Steven Cook [Downloadable! (restricted)]

• 185-191 Dynamic capital allocation: exploiting persistent patterns in currency performance
  by Collin Crownover [Downloadable! (restricted)]
• 193-193 Book Review
  by David Hobson [Downloadable! (restricted)]
• 197-206 Local volatility function models under a benchmark approach
  by David Heath & Eckhard Platen [Downloadable! (restricted)]
• 207-218 Expensive martingales
  by Hans Buehler [Downloadable! (restricted)]
• 219-227 Symmetry and duality in Lévy markets
  by JosÉ Fajardo & Ernesto Mordecki [Downloadable! (restricted)]
• 229-242 An exact and explicit solution for the valuation of American put options
  by Song-Ping Zhu [Downloadable! (restricted)]
• 243-253 Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
  by Lara Cathcart & Lina El-Jahel [Downloadable! (restricted)]
• 255-271 Investor preferences and portfolio selection: is diversification an appropriate strategy?
  by C. James Hueng & Ruey Yau [Downloadable! (restricted)]

• 95-105 A simple approach for pricing equity options with Markov switching state variables
  by Donald D. Aingworth & Sanjiv R. Das & Rajeev Motwani [Downloadable! (restricted)]
• 107-112 Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
  by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike [Downloadable! (restricted)]
• 115-123 Random walks, liquidity molasses and critical response in financial markets
  by Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters [Downloadable! (restricted)]
• 125-145 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
  by Friedrich Hubalek & Carlo Sgarra§ [Downloadable! (restricted)]
• 147-158 A new technique for calibrating stochastic volatility models: the Malliavin gradient method
  by Christian-Oliver Ewald & Aihua Zhang [Downloadable! (restricted)]
• 159-171 The generalized value at risk admissible set: constraint consistency and portfolio outcomes
  by Roger J. Bowden [Downloadable! (restricted)]
• 173-183 On the equivalence of the static and dynamic asset allocation problems
  by Robert V. Kohn & Oana M. Papazoglu-Statescu† [Downloadable! (restricted)]

• 513-517 Statistical properties of demand fluctuation in the financial market
  by Kaushik Matia & Kazuko Yamasaki [Downloadable! (restricted)]
• 519-521 Two phase behaviour and the distribution of volume
  by Vasiliki Plerou & Parameswaran Gopikrishnan† & H. Eugene Stanley [Downloadable! (restricted)]
• 525-530 Moment swaps
  by Wim Schoutens [Downloadable! (restricted)]
• 531-542 Valuation of volatility derivatives as an inverse problem
  by Peter Friz & Jim Gatheral [Downloadable! (restricted)]
• 557-568 Multiple equilibria in a monopoly market with heterogeneous agents and externalities
  by Jean-Pierre Nadal & Denis Phan∥ & Mirta B. Gordon & Jean Vannimenus [Downloadable! (restricted)]
• 569-576 Price return autocorrelation and predictability in agent-based models of financial markets
  by Damien Challet & Tobias Galla [Downloadable! (restricted)]
• 577-591 Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path’ method
  by Didier Sornette & Wei-Xing Zhou [Downloadable! (restricted)]

• 425-431 FX trading models -- how are they doing?
  by Jessica James [Downloadable! (restricted)]
• 433-442 On the distributional distance between the lognormal LIBOR and swap market models
  by Damiano Brigo & Jan Liinev [Downloadable! (restricted)]
• 443-457 Pricing Black--Scholes options with correlated interest rate risk and credit risk: an extension
  by Szu-Lang Liao & Hsing-Hua Huang [Downloadable! (restricted)]
• 459-474 Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund
  by Andreas Lindemann & Christian L. Dunis & Paulo Lisboa [Downloadable! (restricted)]
• 475-487 On non-Gaussianity and dependence in financial time series: a nonextensive approach
  by S. M. Duarte Queirós [Downloadable! (restricted)]
• 489-501 Empirical estimation of tail dependence using copulas: application to Asian markets
  by Cyril Caillault & Dominique Guégan [Downloadable! (restricted)]
• 503-512 Optimal portfolio delegation when parties have different coefficients of risk aversion
  by Kasper Larsen [Downloadable! (restricted)]

• C37-C45 Adaptive systems for foreign exchange trading
  by Mark P Austin & Graham Bates & Michael A H Dempster & Vasco Leemans & Stacy N Williams [Downloadable! (restricted)]

• 402-404 Where mathematics, insurance and finance meet
  by P. Embrechts [Downloadable! (restricted)]
• 405-405 Molten lava meets market languor
  by A. Sancetta & S.E. Satchell [Downloadable! (restricted)]
• 406-407 Debunking efficient markets?
  by S. Keen [Downloadable! (restricted)]
• 407-407 S&P 500 predictions of Sornette and Zhou
  by C. Meister & H-C.G.v. Bothmer [Downloadable! (restricted)]
• 408-408 How to get rich with Sornette and Zhou
  by D. Stauffer [Downloadable! (restricted)]
• 409-411 Risk considerations unique to hedge funds
  by H. Till [Downloadable! (restricted)]
• 415-431 A theory of non-Gaussian option pricing
  by L. Borland [Downloadable! (restricted)]
• 432-442 Pricing of perpetual Bermudan options
  by S.I. Boyarchenko & S.Z. Levendorskii [Downloadable! (restricted)]
• 443-453 Probability distribution of returns in the Heston model with stochastic volatility
  by A.A. Dragulescu & V.M. Yakovenko [Downloadable! (restricted)]
• 454-458 An interest rate model with a Markovian mean reverting level
  by R.J. Elliott & R.S. Mamon [Downloadable! (restricted)]
• 459-467 Consistent pricing and hedging for a modified constant elasticity of variance model
  by D. Heath & E. Platen [Downloadable! (restricted)]
• 468-481 The US 2000-2002 market descent: how much longer and deeper?
  by D. Sornette & W-X. Zhou [Downloadable! (restricted)]
• 482-486 Diversification and generalized tracking errors for correlated non-normal returns
  by M.B. Wise & V. Bhansali [Downloadable! (restricted)]
• 487-495 Stochastic volatility options pricing with wavelets and artificial neural networks
  by C. Zapart [Downloadable! (restricted)]

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This page was last updated on 2008-7-1.