Taylor and Francis Journals
Quantitative Finance
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2009, Volume 9, Issue 5
2009, Volume 9, Issue 4
- 373-382 Credit contagion and credit risk
by J. P. L. Hatchett & R. Kuhn - 383-393 Implied Levy volatility
by Jose Manuel Corcuera & Florence Guillaume & Peter Leoni & Wim Schoutens - 397-409 Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance
by Alvaro Cartea & Sam Howison - 411-416 Pricing measures, forward measures and semigroups
by Jinke Zhou & Xiaolu Wang - 417-428 Arbitrage-free smoothing of the implied volatility surface
by Matthias Fengler - 429-438 Computing the endogenous mortgage rate without iterations
by Yevgeny Goncharov - 439-449 Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models
by Dirk Prange & Wolfgang Scherer - 451-464 A continuous-time model for reinvestment risk in bond markets
by Mikkel Dahl - 465-475 Unexpected volatility and intraday serial correlation
by Simone Bianco & Roberto Reno - 477-489 Feedback trading and intermittent market turbulence
by Demosthenes Tambakis
2009, Volume 9, Issue 3
- 243-256 Embracing change: financial informatics and risk analytics
by Mark Flood - 259-278 Evidence for state transition and altered serial codependence in US$ interest rates
by Riccardo Rebonato & Jian Chen - 279-287 A two-factor model for the electricity forward market
by Rudiger Kiesel & Gero Schindlmayr & Reik Borger - 289-296 An analytic approximation of the likelihood function for the Heston model volatility estimation problem
by Amir Atiya & Steve Wall - 297-304 Insider trading with correlation between liquidity trading and a public signal
by Katsumasa Nishide - 305-314 Nonlinear dynamical structural equation models
by Wenyang Zhang & Sik-Yum Lee - 315-327 Regression methods in pricing American and Bermudan options using consumption processes
by Denis Belomestny & Grigori Milstein & Vladimir Spokoiny - 329-340 Double knock-out Asian barrier options which widen or contract as they approach maturity
by C. Atkinson & S. Kazantzaki - 341-352 Barrier option pricing: a hybrid method approach
by Andrew Ming-Long Wang & Yu-Hong Liu & Yi-Long Hsiao - 353-361 Risky asset pricing based on safety first fund management
by Yuanyao Ding & Bo Zhang - 363-370 An exact test on structural changes in the weights of the global minimum variance portfolio
by Taras Bodnar
2009, Volume 9, Issue 2
- 123-127 [image omitted] Uncovered interest parity and the FX carry trade
by Jessica James & Kristjan Kasikov & Aysu Secmen - 133-145 A multi-quality model of interest rates
by Masaaki Kijima & Keiichi Tanaka & Tony Wong - 147-160 Efficient estimation of transition rates between credit ratings from observations at discrete time points
by Mogens Bladt & Michael S�rensen - 161-170 Portfolio choice under dynamic investment performance criteria
by M. Musiela & T. Zariphopoulou - 171-176 Achieving smooth asymptotics for the prices of European options in binomial trees
by Mark Joshi - 177-186 Pricing jump risk with utility indifference
by Lixin Wu & Min Dai - 187-196 Estimating default barriers from market information
by Hoi Ying Wong & Tsz Wang Choi - 197-206 Coherent hedging in incomplete markets
by Birgit Rudloff - 207-215 Law of large numbers and large deviations for dependent risks
by Ramona Maier & Mario Wuthrich - 217-229 Empirical analysis of the average asset correlation for real estate investment trusts
by Jose Lopez - 231-242 Investment strategies in the long run with proportional transaction costs and a HARA utility function
by Petr Dostal
2009, Volume 9, Issue 1
- 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 - 9-16 Statistical properties of an experimental political futures market
by Sun-Chong Wang & Sai-Ping Li & Chung-Ching Tai & Shu-Heng Che - 19-26 Equity with Markov-modulated dividends
by Giuseppe Di Graziano & L. C. G. Rogers - 27-42 Sato processes and the valuation of structured products
by Ernst Eberlein & Dilip Madan - 43-54 Robust estimation of historical volatility and correlations in risk management
by Alexander Tchernitser & Dmitri Rubisov - 55-70 Estimating risk-neutral density with parametric models in interest rate markets
by Frank Fabozzi & Radu Tunaru & George Albota - 71-91 Efficient factor GARCH models and factor-DCC models
by Kun Zhang & Laiwan Chan - 93-104 Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models
by Beum-Jo Park - 105-121 Non-parametric estimation of a multiscale CHARN model using SVR
by Amir Safari & Detlef Seese
2008, Volume 8, Issue 8
- 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 - 761-762 Response to comment on 'Thou shalt buy and hold'
by Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou - 765-776 Thou shalt buy and hold
by Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou - 777-794 Bankruptcy in long-term investments
by Minjie Yu & Qiang Zhang & Dennis Yang - 795-810 Arbitrage pricing of defaultable game options with applications to convertible bonds
by Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc & Marek Rutkowski - 811-822 Bond pricing when the short-term interest rate follows a threshold process
by Wolfgang Lemke & Theofanis Archontakis - 823-831 Modeling stock pinning
by Marc Jeannin & Giulia Iori & David Samuel - 833-843 Update rules for convex risk measures
by Sina Tutsch - 845-861 Improved lower and upper bound algorithms for pricing American options by simulation
by Mark Broadie & Menghui Cao
2008, Volume 8, Issue 7
- 649-665 On the challenges in quantitative equity management
by Frank Fabozzi & Sergio Focardi & Caroline Jonas - 669-680 Modelling bonds and credit default swaps using a structural model with contagion
by Helen Haworth & Christoph Reisinger & William Shaw - 681-692 Liquidity risk theory and coherent measures of risk
by Carlo Acerbi & Giacomo Scandolo - 693-704 Value versus growth: stochastic dominance criteria
by Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao - 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 - 723-738 Detecting log-periodicity in a regime-switching model of stock returns
by George Chang & James Feigenbaum - 739-751 Turbo warrants under stochastic volatility
by Hoi Ying Wong & Chun Man Chan
2008, Volume 8, Issue 6
- 547-560 Individual asset liability management
by E. A. Medova & J. K. Murphy & A. P. Owen & K. Rehman - 561-569 Employee stock option valuation with repricing features
by Kwai Sun Leung & Yue Kuen Kwok - 573-590 Coupling smiles
by Valdo Durrleman & Nicole El Karoui - 591-604 A multifactor volatility Heston model
by JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi - 605-617 Enhancing hedging performance with the spanning polynomial projection
by An-Sing Chen & Yan-Zhen Liu - 619-635 Local likelihood estimators in a regression model for stock returns
by Uwe Christian Jonck - 637-647 Hybrid versus highbred: combined economic models with time-series analyses
by Ming-Yuan Leon Li
2008, Volume 8, Issue 5
- 435-451 A preliminary enquiry into the causes of the Credit Crunch
by David Murphy - 453-457 Black-Scholes theory for an underlying with multiple attractors
by Frederik Herzberg - 461-469 Perpetual American options in incomplete markets: the infinitely divisible case
by Vicky Henderson & David Hobson - 471-483 Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
by John Crosby - 485-497 Least-squares Importance Sampling for Monte Carlo security pricing
by Luca Capriotti - 499-512 A probabilistic analysis of the trading the line strategy
by V. Abramov & M. K. Khan & R. A. Khan - 513-532 Financial markets in the laboratory: an experimental analysis of some stylized facts
by Andrea Morone - 533-546 An empirical re-examination of the dividend-investment relation
by Mbodja Mougoue
2008, Volume 8, Issue 4
- 335-339 Can the January anomaly in Taiwan's stock market be explained by the prospect theory?
by Chin-Chen Chien & Tsung-Cheng Chen - 341-349 Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany
by Josep Garcia Blandon - 353-361 Analysing liquidity and absorption limits of electronic markets with volume durations
by Wing Lon Ng - 363-380 Wealth-driven competition in a speculative financial market: examples with maximizing agents
by Mikhail Anufriev - 381-390 Conditional risk-return relationship in a time-varying beta model
by Peng Huang & C. James Hueng - 391-404 Historical simulation approach to the estimation of stochastic discount factor models
by Andrei Semenov - 405-413 A new computational tool for analysing dynamic hedging under transaction costs
by James Primbs & Yuji Yamada - 415-426 Risk-sensitive benchmarked asset management
by Mark Davis & SEBastien Lleo - 427-434 New and robust drift approximations for the LIBOR market model
by Mark Joshi & Alan Stacey
2008, Volume 8, Issue 3
- 217-224 High-frequency trading in a limit order book
by Marco Avellaneda & Sasha Stoikov - 225-231 Multi-asset minority games
by G. Bianconi & A. De Martino & F. F. Ferreira & M. Marsili - 235-249 Price discovery in the presence of boundedly rational agents
by Karl Ludwig Keiber - 251-261 Long-memory in high-frequency exchange rate volatility under temporal aggregation
by David Mcmillan & Alan Speight - 263-284 The implied volatility smirk
by Jin Zhang & Yi Xiang - 285-297 On the super-replicating approach when trading a derivative is limited
by Sergei Isaenko - 299-312 Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
by Peter Meindl & James Primbs - 313-320 American futures options arbitrage: evidence from the Nikkei 225 options market
by Changyun Wang & Wei Zhang & Weng Kit Tan - 321-334 US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk
by Kwamie Dunbar
2008, Volume 8, Issue 2
- 103-108 Option valuation, time-changed processes and the fast Fourier transform
by Oscar Gutierrez - 109-116 Goodness-of-fit tests for parametric families of Archimedean copulas
by Cornelia Savu & Mark Trede - 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 - 135-146 Enhanced policy iteration for American options via scenario selection
by Christian Bender & Anastasia Kolodko & John Schoenmakers - 147-161 Path integral pricing of Asian options on state-dependent volatility models
by Giuseppe Campolieti & Roman Makarov - 163-180 Fast swaption pricing under the market model with a square-root volatility process
by Lixin Wu & Fan Zhang - 181-200 A multi-factor jump-diffusion model for commodities
by John Crosby - 201-215 Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
by Don Galagedera & Elizabeth Maharaj
2008, Volume 8, Issue 1
- 1-3 Financial markets. The joy of volatility
by M. A. H. Dempster & Igor Evstigneev & Klaus Reiner Schenk-Hoppe - 5-15 Impact of economic data surprises on exchange rates in the inter-dealer market
by Jessica James & Kristjan Kasikov - 19-40 The next tick on Nasdaq
by Bruce Mizrach - 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 - 59-79 Heterogeneity, convergence, and autocorrelations
by Xue-Zhong He & Youwei Li - 81-92 Semiparametric diffusion estimation and application to a stock market index
by Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen - 93-102 Risk-adjusted value allocation for (non-traded) assets with performance ratios
by Johannes Leitner
2007, Volume 7, Issue 6
- 585-589 Optimal approximations of power laws with exponentials: application to volatility models with long memory
by Thierry Bochud & Damien Challet - 591-596 Forecasting volatility in GARCH models with additive outliers
by Beatriz Catalan & F. Javier Trivez - 599-607 Conditional tail behaviour and Value at Risk
by Fabio Bellini & Gianna Figa-talamanca - 609-619 Value-at-risk in a market subject to regime switching
by Ryohei Kawata & Masaaki Kijima - 621-636 Value-at-risk forecasts under scrutiny—the German experience
by Stefan Jaschke & Gerhard Stahl & Richard Stehle - 637-650 The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
by Luis Muga & Rafael Santamaria - 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 - 669-685 Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
by Chaker Aloui - 687-696 Testing asymmetry in financial time series
by Francesco Lisi - 697-699 Comments on 'A theory of non-Gaussian option pricing'
by Gil Adams & Yuhua Yuan & Michael Kelly - 701-701 A theory of non-Gaussian option pricing
by Lisa Borland - 703-703 A non-Gaussian option pricing model with skew
by Lisa Borland & Jean-Philippe Bouchaud
2007, Volume 7, Issue 5
- 473-479 Model-free price hedge ratios for homogeneous claims on tradable assets
by Carol Alexander & Leonardo Nogueira - 483-485 A remark on managerial behaviour and agency cost
by Zhihui Gu & Qingyuan Zhang - 487-496 On the structure of Gaussian pricing models and Gaussian Markov functional models
by C. D. D. Neumann - 497-505 A test of the beta model on Eurodollar futures options
by Les Gulko - 507-524 Volatility surfaces: theory, rules of thumb, and empirical evidence
by Toby Daglish & John Hull & Wulin Suo - 525-535 Solvable local and stochastic volatility models: supersymmetric methods in option pricing
by Pierre Henry-labordere - 537-545 Insiders' hedging in a jump diffusion model
by Kiseop Lee & Seongjoo Song - 547-551 On the existence of an efficient hedge for an American contingent claim within a discrete time market
by Leonel Perez-hernandez - 553-561 The volatility of temperature and pricing of weather derivatives
by Fred ESPEN Benth & Jurate saltyte Benth - 563-573 On option pricing models in the presence of heavy tails
by Michel Vellekoop & Hans Nieuwenhuis - 575-583 A jump telegraph model for option pricing
by Nikita Ratanov
2007, Volume 7, Issue 4
- 357-358 Introduction to the special issue on portfolio construction and risk management
by M. A. H. Dempster & Gautam Mitra & Georg Ch. Pflug - 359-364 Coherent measures of risk in everyday market practice
by Carlo Acerbi - 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 - 373-387 Higher moment coherent risk measures
by PAVLO A. Krokhmal - 389-396 On the feasibility of portfolio optimization under expected shortfall
by Stefano Ciliberti & Imre Kondor & Marc Mezard - 397-409 Stability analysis of portfolio management with conditional value-at-risk
by Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios - 411-421 Stress testing for VaR and CVaR
by Jitka Dupacova & Jan PolIvka - 423-433 Stable distributions in the Black-Litterman approach to asset allocation
by Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi - 435-442 Ambiguity in portfolio selection
by Georg Pflug & David Wozabal - 443-458 Mean-risk models using two risk measures: a multi-objective approach
by Diana Roman & Kenneth Darby-Dowman & Gautam Mitra - 459-472 Implied non-recombining trees and calibration for the volatility smile
by Chris Charalambous & Nicos Christofides & Eleni D. Constantinide & Spiros H. Martzoukos
2007, Volume 7, Issue 3
- 257-260 Financial Pareto ratios
by Saralees Nadarajah & Samuel Kotz - 261-265 Country risk and the estimation of asset return distributions
by Robert Brooks & Xibin Zhang & Emawtee Bissoondoyal Bheenick - 269-284 A positive interest rate model with sticky barrier
by Yuri Kabanov & Masaaki Kijima & Sofiane Rinaz - 285-287 A simple solution for sticky cap and sticky floor
by Roberto Baviera - 289-300 Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
by Jonathan M. Godbey & Jimmy E. Hilliard - 301-319 Modelling stock price movements: multifractality or multifractionality?
by Sergio Bianchi & Augusto Pianese - 321-342 Overreaction diamonds: precursors and aftershocks for significant price changes
by Ahmet Duran & Gunduz Caginalp - 343-356 Bayesian analysis of the factor model with finance applications
by Sik-Yum Lee & Wai-Yin Poon & Xin-Yuan Song
2007, Volume 7, Issue 2
- 111-112 Introduction to the special issue on financial planning in a dynamical setting
by M. A. H. Dempster & Gautam Mitra & Georg Ch. Pflug - 115-122 Trends in quantitative equity management: survey results
by Frank J. Fabozzi & Sergio Focardi & Caroline Jonas - 125-136 Portfolio optimization under the Value-at-Risk constraint
by Traian A. Pirvu - 137-149 Dynamic consumption and asset allocation with derivative securities
by Yuan-Hung Hsuku - 151-160 Volatility-induced financial growth
by Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe - 161-173 Constant rebalanced portfolios and side-information
by E. Fagiuoli & F. Stella & A. Ventura - 175-187 Improving performance for long-term investors: wide diversification, leverage, and overlay strategies
by John M. Mulvey & Cenk Ural & Zhuojuan Zhang - 189-216 Stochastic programming for funding mortgage pools
by Gerd Infanger - 217-229 Scenario-generation methods for an optimal public debt strategy
by Massimo Bernaschi & Maya Briani & Marco Papi & Davide Vergni - 231-244 Solving ALM problems via sequential stochastic programming
by Florian Herzog & Gabriel Dondi & Simon Keel & Lorenz M. Schumani & Hans P. Geering - 245-256 Designing minimum guaranteed return funds
by M. A. H. Dempster & M. Germano & E. A. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston
2007, Volume 7, Issue 1
- 1-12 Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques
by David Buckle - 13-16 The effect of size-based regulation on an economic system exhibiting self-organized criticality
by Di Lu & Shuming Du - 17-18 BookReview
by Ulrich Horst - 21-36 Multi-scaling in finance
by T. Di Matteo - 37-53 Do supply and demand drive stock prices?
by Carl Hopman - 55-62 Relative volume as a doubly stochastic binomial point process
by James McCulloch - 63-74 The geometry of crashes. A measure of the dynamics of stock market crises
by Tanya Araujo & Francisco Louca - 75-86 Is there an informationally passive benchmark for option pricing incorporating maturity?
by Vicky Henderson & David Hobson & Tino Kluge - 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 - 95-110 Calibration of a nonlinear feedback option pricing model
by Simona Sanfelici
2006, Volume 6, Issue 6
- 449-449 The modified Weibull distribution for asset returns
by Saralees Nadarajah & Samuel Kotz - 451-451 The modified weibull distribution for asset returns: reply
by Y. Malevergne & V. Pisarenko & D. Sornette - 455-463 Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
by Dilip Madan - 465-480 A cross-currency Levy market model
by Ernst Eberlein & Nataliya Koval - 481-494 Myopic loss aversion and margin of safety: the risk of value investing
by Kuan Xu & Gordon Fisher - 495-511 On a subjective approach to risk measurement
by Piotr Jaworski - 513-536 Fast strong approximation Monte Carlo schemes for stochastic volatility models
by Christian Kahl & Peter Jackel
2006, Volume 6, Issue 5
- 365-367 Derman and Taleb's 'The illusions of dynamic replication': a comment
by Doriana Ruffino & Jonathan Treussard - 371-384 There's more to volatility than volume
by Laszlo Gillemot & J. Doyne Farmer & Fabrizio Lillo - 385-402 A multivariate jump-driven financial asset model
by Elisa Luciano & Wim Schoutens - 403-409 Drawdowns preceding rallies in the Brownian motion model
by Olympia Hadjiliadis & Jan Vecer - 411-422 Do emerging markets with consistent returns have better future performance?
by Boyce Watkins - 423-433 Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
by Jaume Masoliver & Josep Perello - 435-445 Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
by Valeri zakamouline
2006, Volume 6, Issue 4
- 273-277 Intelligent finance—an emerging direction
by Heping Pan & Didier Sornette & Kenneth Kortanek - 279-280 Book review
by Stathis Tompaidis - 283-295 Short-term market reaction after extreme price changes of liquid stocks
by Adam Zawadowski & Gyorgy Andor & Janos Kertesz - 297-326 Analysis of drawdowns and drawups in the US$ interest-rate market
by Riccardo Rebonato & Valerio Gaspari - 327-335 Barrier options and their static hedges: simple derivations and extensions
by Rolf Poulsen - 337-347 The square-root process and Asian options
by Angelos Dassios & Jayalaxshmi Nagaradjasarma - 349-357 Efficient hybrid methods for portfolio credit derivatives
by H. Zheng - 359-363 The robustness of modified unit root tests in the presence of GARCH
by Steven Cook
2006, Volume 6, Issue 3
- 185-191 Dynamic capital allocation: exploiting persistent patterns in currency performance
by Collin Crownover - 193-193 Book Review
by David Hobson - 197-206 Local volatility function models under a benchmark approach
by David Heath & Eckhard Platen - 207-218 Expensive martingales
by Hans Buehler - 219-227 Symmetry and duality in Levy markets
by JosE Fajardo & Ernesto Mordecki - 229-242 An exact and explicit solution for the valuation of American put options
by Song-Ping Zhu - 243-253 Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
by Lara Cathcart & Lina El-Jahel - 255-271 Investor preferences and portfolio selection: is diversification an appropriate strategy?
by C. James Hueng & Ruey Yau
2006, Volume 6, Issue 2
- 95-105 A simple approach for pricing equity options with Markov switching state variables
by Donald Aingworth & Sanjiv Das & Rajeev Motwani - 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