Content
2003, Volume 3, Issue 3
- 33-38 Innovation at MIT
by Andrew Lo - 39-41 The US 2000-2002 market descent: clarification
by Didier Sornette & Wei-Xing Zhou - 42-48 Traditional investment versus absolute return programmes
by Hillary Till & Joseph Eagleeye - 48-51 Making money from FX volatility
by Stephane Knauf - 52-52 Frankfurt MathFinance Workshop 2003
by Matthias Reimer - 155-162 Non-constant rates and over-diffusive prices in a simple model of limit order markets
by Damien Challet & Robin Stinchcombe - 163-172 Estimating GARCH models using support vector machines
by Fernando Perez-cruz & Julio Afonso-rodriguez & Javier Giner - 173-183 Alternative asset-price dynamics and volatility smile
by Damiano Brigo & Fabio Mercurio & Giulio Sartorelli - 184-194 A nonparametric test of the mixture-of-distributions model
by Wai Mun Fong & Wesley Fabrice Lab-sane - 195-200 Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
by Olga Yashkir & Yuri Yashkir - 201-211 Stochastic simulations of time series within Weierstrass-Mandelbrot walks
by R. Kutner & F. Switała - 212-219 A data and digital-contracts driven method for pricing complex derivatives
by Jun Lu & Hiroshi Ohta - 220-229 Profitable technical trading rules as a source of price instability
by David Goldbaum
2003, Volume 3, Issue 2
- 20-21 The world is our laboratory
by Cosma Shalizi - 22-23 Reflections on risk
by Michel Dacorogna - 23-25 A close look at market microstructure
by Giulia Iori - 67-70 Nucleation of market shocks in the Sornette-Ide model
by Ana Proykova & Lena Roussenova & Dietrich Stauffer - 71-87 Financial networks with electronic transactions: modelling, analysis and computations
by Anna Nagurney & Ke Ke - 88-97 An index of market shocks based on multiscale analysis
by Bertrand Maillet & Thierry Michel - 98-107 A simple approach for pricing barrier options with time-dependent parameters
by C. F. Lo & H. C. Lee & C. H. Hui - 108-116 Systematic risk and timescales
by Ramazan Genay & Faruk Seļuk & Brandon Whitcher - 117-135 Tracking bond indices in an integrated market and credit risk environment
by Norbert Jobst & Stavros Zenios - 136-144 Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
by Donald Lien & Y. K. Tse & Xibin Zhang - 145-154 A two-state jump model
by Claudio Albanese & Sebastian Jaimungal & Dmitri Rubisov
2003, Volume 3, Issue 1
- 1-14 Dependence structures for multivariate high-frequency data in finance
by W. Breymann & A. Dias & P. Embrechts - 15-27 Analytical pricing of the smile in a forward LIBOR market model
by D. Brigo & F. Mercurio - 28-39 Optimal allocation to hedge funds: an empirical analysis
by J. Cvitanic & A. Lazrak & L. Martellini & F. Zapatero - 40-50 Time consistency of Levy models
by E. Eberlein & F. zkan - 51-58 Commodity price modelling that matches current observables: a new approach
by K. R. Miltersen - 59-65 Mathematical foundation of convexity correction
by A. Pelsser
2003, Volume 2, Issue 4
- 232-233 Fast transformations lead to global view
by Vanessa Spedding
2002, Volume 2, Issue 6
- 400-401 Dedication brings success through diversity
by Vanessa Spedding - 402-404 Where mathematics, insurance and finance meet
by Paul Embrechts - 405-405 Molten lava meets market languor
by Alessio Sancetta & Steve Satchell - 406-407 Debunking efficient markets?
by Steve Keen - 407-407 S&P 500 predictions of Sornette and Zhou
by Christian Meister & Hans-Christian Graf Bothmer - 408-408 How to get rich with Sornette and Zhou
by Dietrich Stauffer - 409-411 Risk considerations unique to hedge funds
by Hilary Till - 415-431 A theory of non-Gaussian option pricing
by Lisa Borland - 432-442 Pricing of perpetual Bermudan options
by S. I. Boyarchenko & S. Z. Levendorskii - 443-453 Probability distribution of returns in the Heston model with stochastic volatility
by Adrian Dragulescu & Victor Yakovenko - 454-458 An interest rate model with a Markovian mean reverting level
by Robert Elliott & Rogemar Mamon - 459-467 Consistent pricing and hedging for a modified constant elasticity of variance model
by David Heath & Eckhard Platen - 468-481 The US 2000-2002 market descent: How much longer and deeper?
by Didier Sornette & Wei-Xing Zhou - 482-486 Diversification and generalized tracking errors for correlated non-normal returns
by Mark Wise & Vineer Bhansali - 487-495 Stochastic volatility options pricing with wavelets and artificial neural networks
by Christopher Zapart
2002, Volume 2, Issue 5
- 320-321 Financial risk as a challenge for stochastic analysis
by Hans Follmer - 322-326 Reflections on interaction and markets
by Alan Kirman - 329-336 Smart Monte Carlo: various tricks using Malliavin calculus
by Eric Benhamou - 337-345 On a semi-spectral method for pricing an option on a mean-reverting asset
by L. P. Bos & A. F. Ware & B. S. Pavlov - 346-353 A simulation analysis of the microstructure of double auction markets
by Carl Chiarella & Giulia Iori - 354-361 Trend-following hedge funds and multi-period asset allocation
by Dries Darius & Aytac Ilhan & John Mulvey & Koray Simsek & Ronnie Sircar - 362-369 A variance reduction technique based on integral representations
by David Heath & Eckhard Platen - 370-377 Bounding Bermudan swaptions in a swap-rate market model
by Mark Joshi & Jochen Theis - 378-386 Some comments on the APT
by Haim Reisman - 387-392 The power of patience: a behavioural regularity in limit-order placement
by Ilija Zovko & J Doyne Farmer
2002, Volume 2, Issue 4
- 234-236 Collaboration is key to real-world insights
by Carol Leisenring - 237-238 Measuring risk-adjusted returns in alternative investments
by Hilary Till - 239-239 Fluid reading, forex risk
by Pierre Lequeux - 241-250 Semi-parametric modelling in finance: theoretical foundations
by N. H. Bingham & Rudiger Kiesel - 251-256 Statistical properties of stock order books: empirical results and models
by Jean-Philippe Bouchaud & Marc Mezard & Marc Potters - 257-263 Recovery of volatility coefficient by linearization
by Ilia Bouchouev & Victor Isakov & Nicolas Valdivia - 264-281 Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
by A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette - 282-296 The perception of time, risk and return during periods of speculation
by Emanuel Derman - 297-302 Dissecting financial markets: sectors and states
by Matteo Marsili - 303-314 The skewed multifractal random walk with applications to option smiles
by Benoit Pochart & Jean-Philippe Bouchaud
2002, Volume 2, Issue 3
- 172-173 Investment management accessible to all
by Vanessa Spedding - 174-176 Research on alternative investments at Princeton
by John Mulvey - 177-178 Risk with reservations
by Cosma Shalizi - 179-179 Martingales for (normal) profit
by Cosma Shalizi - 181-188 Optimal design of derivatives in illiquid markets
by Pauline Barrieu & Nicole El Karoui - 189-198 Dynamical pricing of weather derivatives
by Dorje Brody & Joanna Syroka & Mihail Zervos - 199-216 A comparison of transaction costs on Xetra and on Nasdaq
by Otto Loistl & Bernd Schossmann & Olaf Vetter & Alexander Veverka - 217-223 On the foundation of performance measures under asymmetric returns
by Christian Pedersen & Stephen Satchell - 224-227 Economies of scale in innovations with block-busters
by D. Sornette
2002, Volume 2, Issue 2
- 84-85 Scholarly approach brings sweeping change
by Vanessa Spedding - 86-87 Adaptability assures research centre's sucess
by Vanessa Spedding - 88-88 The first history of derivatives
by John Hull - 91-110 Multiresolution approximation for volatility processes
by Enrico Capobianco - 111-115 International tax arbitrage via corporate income splitting
by Satish Chand - 116-132 Option pricing under regime switching
by Jin-Chuan Duan & Ivilina Popova & Peter Ritchken - 133-138 Value management
by Klaus Hellwig - 139-146 Skewness in individual stocks at different investment horizons
by Amado Peiro - 147-157 Heterogeneous expectations, currency options and the euro/dollar
by Bronka Rzepkowski - 158-166 On the computation of option prices and sensitivities in the Black-Scholes-Merton model
by B. A. Shadwick & W. F. Shadwick
2002, Volume 2, Issue 1
- 4-5 Active management: Can it beat the markets?
by Vanessa Spedding - 6-7 Introduction to the special issue on volatility modelling
by Rama Cont & Marco Avellaneda - 7-8 Defusing volatility explosions with complex analysis
by Nick Webber - 11-23 Some recent developments in stochastic volatility modelling
by Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard - 24-30 Variance reduction for Monte Carlo simulation in a stochastic volatility environment
by Jean-Pierre Fouque & Tracey Andrew Tullie - 31-44 Deterministic implied volatility models
by P. Balland - 45-60 Dynamics of implied volatility surfaces
by Rama Cont & Jose da Fonseca - 61-69 Asymptotics and calibration of local volatility models
by H. Berestycki & J. Busca & I. Florent - 70-80 Entropy and information in the interest rate term structure
by D. C. Brody & L. P. Hughston
2001, Volume 1, Issue 6
- 556-557 Striking a global balance for successful risk systems
by V. Spedding - 558-559 Stochastic volatility, power laws and long memory
by B. B. Mandelbrot - 560-562 Power laws and long memory
by T. Lux - 563-567 Scaling and universality in economics: empirical results and theoretical interpretation
by H. E. Stanley & V. Plerou - 568-570 Live laboratory will analyse real-time market data
by V. Spedding - 573-596 Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
by T. Choulli & M. Taksar & X. Y. Zhou - 597-610 Pricing, no-arbitrage bounds and robust hedging of instalment options
by M. H. A. Davis & W. Schachermayer & R. G. Tompkins - 611-620 A jump-diffusion model for pricing corporate debt securities in a complex capital structure
by M. Kijima & T. Suzuki - 621-631 Stochastic volatility as a simple generator of apparent financial power laws and long memory
by B. LeBaron - 632-640 Turbulence in financial markets: the surprising explanatory power of simple cascade models
by T. Lux - 641-649 Scaling in financial prices: IV. Multifractal concentration
by B. B. Mandelbrot
2001, Volume 1, Issue 5
- 476-480 A guide for the perplexed quant
by E. derman - 481-481 On the modelling of option prices
by D. B. Madan - 482-483 Welcome to a non-Black-Scholes world
by J-P. Bouchaud & M. Potters - 489-501 Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
by N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra - 502-508 Deriving the arbitrage pricing theory when the number of factors is unknown
by L. P. Middleton & S. E. Satchell - 509-526 Asset price and wealth dynamics under heterogeneous expectations
by C. Chiarella & X-Z. He - 527-532 More on a statistical analysis of log-periodic precursors to financial crashes
by J. A. Feigenbaum - 533-541 Multi-dimensional rational bubbles and fat tails
by Y. Malevergne & D. Sornette - 542-551 Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
by P. Silvapulle & C. W. J. Granger
2001, Volume 1, Issue 4
- 380-382 A little learning is a dangerous thing..
by J. James - 382-387 Infectious defaults
by M. Davis & V. Lo - 387-390 Triangular arbitrage in the spot and forward foreign exchange markets
by I. Moosa - 397-413 A real-time adaptive trading system using genetic programming
by M. A. H. dempster & C. M. Jones - 414-426 Conditional entropy and randomness in financial time series
by M. D. London & A. K. Evans & M. J. Turner - 427-440 Scaling in financial prices: III. Cartoon Brownian motions in multifractal time
by B. B. Mandelbrot - 441-451 Financial networks with intermediation
by A. Nagurney & K. Ke - 452-471 Significance of log-periodic precursors to financial crashes
by D. Sornette & A. Johansen
March 2001, Volume 1, Issue 3
- 292-297 Stochastic volatility and option pricing
by D. Gkamas - 298-300 The taming of the skew
by A. Smith - 305-308 Pricing weather derivatives by marginal value
by M. Davis - 309-317 Finance and variational inequalities-super-
by A. Nagurney - 318-331 Feller processes of normal inverse Gaussian type
by O.E. Barndorff-Nielsen & S.Z. Levendorskii - 332-335 Effects of regulation on a self-organized market
by Gianaurelio Cuniberti & Angelo Valleriani & Jos� Luis Vega - 336-345 Optimal portfolio selection and compression in an incomplete market
by N. Dokuchaev & U. Haussmann - 346-360 A statistical analysis of log-periodic precursors to financial crashes-super-
by J.A. Feigenbaum - 361-371 Designing proxies for stock market indices is computationally hard-super-
by M-Y. Kao & S.R. Tate - 372-374 Non-random topology of stock markets
by N. Vandewalle & F. Brisbois & X. Tordoir
2001, Volume 1, Issue 2
- 196-197 Alex Lipton: a driving force behind physics and finance
by V. Spedding - 198-201 Defining efficiency in heterogeneous markets
by M. Dacorogna & U. Mller & R. Olsen & O. Pictet - 203-211 Statistical mechanics of asset markets with private information
by J. Berg & M. Marsili & A. Rustichini & R. Zecchina - 212-216 On a universal mechanism for long-range volatility correlations
by J-P. Bouchaud & I. Giardina & M. Mzard - 217-222 Correlation structure of extreme stock returns
by P. Cizeau & M. Potters & J-P. Bouchaud - 223-236 Empirical properties of asset returns: stylized facts and statistical issues
by R. Cont - 237-245 What good is a volatility model?
by R. F. Engle & A. J. Patton - 246-253 Correlated adaptation of agents in a simple market: a statistical physics perspective
by J. P. Garrahan & E. Moro & D. Sherrington - 254-261 A builder's guide to agent-based financial markets
by B. LeBaron - 262-269 Price fluctuations, market activity and trading volume
by V. Plerou & P. Gopikrishnan & X. Gabaix & L. A. N. Amaral & H. E. Stanley - 270-283 A tractable market model with jumps for pricing short-term interest rate derivatives
by Y. Samuelides & E. Nahum - 284-288 Learning to profit with discrete investment rules
by S. Skouras
2001, Volume 1, Issue 1
- 6-8 Proprietary trading: truth and fiction
by P. Muller - 9-11 Options and forwards compete for best hedge
by C. Attfield & M. Glod & J. James - 12-14 Real options give insights into real value
by S. Leppard & P. Morawitz - 19-37 Optimal positioning in derivative securities
by P. Carr & D. Madan - 38-44 Information and option pricings
by X. Guo - 45-72 Asset allocation and derivatives
by M. B. Haugh & A. W. Lo - 73-78 Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
by C. F. Lo & C. H. Hui - 79-95 Multivariate extremes, aggregation and risk estimation
by H. A. Hauksson & M. Dacorogna & T. Domenig & U. Mller & G. Samorodnitsky - 96-104 High-frequency cross-correlation in a set of stocks
by G. Bonanno & F. Lillo & R. N. Mantegna - 105-112 Power laws in economics and finance: some ideas from physics
by J-P. Bouchaud - 113-123 Scaling in financial prices: I. Tails and dependence
by B. B. Mandelbrot - 124-130 Scaling in financial prices: II. Multifractals and the star equation
by B. B. Mandelbrot - 131-148 Multifractal returns and hierarchical portfolio theory
by J-F. Muzy & D. Sornette & J. delour & A. Arneodo - 149-167 Financial markets as nonlinear adaptive evolutionary systems
by C. H. Hommes - 168-176 From Minority Games to real markets
by D. Challet & A. Chessa & M. Marsili & Y-C. Zhang - 177-185 Towards evolutionary game models of financial markets
by D. Friedman - 186-190 Money and Goldstone modes
by P. Bak & S. F. Nrrelykke & M. Shubik