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December 2012, Volume 12, Issue 12
- 1877-1891 Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
by Yijun Du & Chen Wang & Yibing Du - 1893-1908 Time-frequency analysis of crude oil and S&P500 futures contracts
by Joseph McCarthy & Alexei G. Orlov - 1909-1934 Short-horizon return predictability and oil prices
by Jaime Casassus & Freddy Higuera - 1935-1949 Modeling the distribution of day-ahead electricity returns: a comparison
by Sandro Sapio - 1951-1965 The valuation of clean spread options: linking electricity, emissions and fuels
by Ren� Carmona & Michael Coulon & Daniel Schwarz
November 2012, Volume 12, Issue 11
- 1629-1636 The end of diversification
by Jessica James & Kristjan Kasikov & Kerry-Ann Edwards - 1637-1645 A look at side-by-side management: evidence from ETFs and mutual funds
by Herminio Romero-P�rez & Javier Rodr�guez - 1647-1648 Finance and the Good Society, by Robert J. Shiller
by Con Keating - 1651-1662 Robust and adaptive algorithms for online portfolio selection
by Theodoros Tsagaris & Ajay Jasra & Niall Adams - 1663-1678 Pricing the Chicago Board of Trade T-Bond futures
by Ramzi Ben-Abdallah & Hatem Ben-Ameur & Michèle Breton - 1679-1694 Options on realized variance by transform methods: a non-affine stochastic volatility model
by Gabriel G. Drimus - 1695-1708 Truncation and acceleration of the Tian tree for the pricing of American put options
by Ting Chen & Mark Joshi - 1709-1721 The macroeconomic content of international equity market factors
by Sarantis Tsiaplias - 1723-1732 Testing for a rational bubble under long memory
by Michael Frömmel & Robinson Kruse - 1733-1751 The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure
by Maria Elena Bontempi & Roberto Golinelli - 1753-1772 An experimental study on real-options strategies
by Mei Wang & Abraham Bernstein & Marc Chesney
October 2012, Volume 12, Issue 10
- 1467-1475 Capital regulation and auditing
by Ensar Yilmaz & Burak Ünveren - 1477-1486 On the role of risk in the Morningstar rating for mutual funds
by Francesco Lisi & Massimiliano Caporin - 1487-1489 Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger
by Alec N. Kercheval - 1493-1520 Dynamical clustering of exchange rates
by Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones - 1521-1532 Do jumps mislead the FX market?
by Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt - 1533-1546 Trending time-varying coefficient market models
by Chongshan Zhang & Xiangrong Yin - 1547-1556 Market risks in asset management companies
by Bernd Scherer - 1557-1569 Fast simulations in credit risk
by Halis Sak & Wolfgang Hörmann - 1571-1583 A new method for generating approximation algorithms for financial mathematics applications
by Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru - 1585-1597 Consumer confidence and stock returns over market fluctuations
by Shiu-Sheng Chen - 1599-1614 Firm size, information acquisition and price efficiency
by Tian Zhao - 1615-1628 Optimal insurance contract and coverage levels under loss aversion utility preference
by Ching-Ping Wang & Hung-Hsi Huang
October 2012, Volume 12, Issue 9
- 1367-1379 Statistical signatures in times of panic: markets as a self-organizing system
by Lisa Borland
May 2012, Volume 12, Issue 9
- 1315-1324 VaR limits for pension funds: an evaluation
by Solange M. Berstein & Rómulo A. Chumacero - 1325-1333 Two stock options at the races: Black--Scholes forecasts
by G. Oshanin & G. Schehr
December 2012, Volume 12, Issue 9
- 1421-1437 Volatility behavior, information efficiency and risk in the S&P 500 index markets
by Shu-Mei Chiang & Huimin Chung & Chien-Ming Huang - 1453-1466 A paradigm shift from production function to production copula: statistical description of production activity of firms
by Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
November 2012, Volume 12, Issue 9
- 1381-1394 Z -Transform and preconditioning techniques for option pricing
by Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng - 1439-1451 IPO pricing: a case of short-sale restrictions and divergent expectations
by Richard J. Kish & Nandkumar Nayar & Wenlong Weng
August 2012, Volume 12, Issue 9
- 1339-1349 A liquidity-based model for asset price bubbles
by Robert A. Jarrow & Philip Protter & Alexandre F. Roch - 1351-1365 Financial crisis dynamics: attempt to define a market instability indicator
by Youngna Choi & Raphael Douady
September 2012, Volume 12, Issue 9
- 1335-1336 Boomerang, by Michael Lewis
by Nicholas Dunbar - 1395-1419 The price impact of order book events: market orders, limit orders and cancellations
by Zoltán Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
January 2012, Volume 12, Issue 8
- 1299-1314 Financial factors and firm growth: evidence from financial data on Taiwanese firms
by Khurshid M. Kiani & Ellen Huiru Chen & Zagros Madjd-Sadjadi
July 2012, Volume 12, Issue 8
- 1161-1187 Stock market crashes in 2007--2009: were we able to predict them?
by S�bastien Lleo & William T. Ziemba - 1265-1281 Path-dependent scenario trees for multistage stochastic programmes in finance
by Giorgio Consigli & Gaetano Iaquinta & Vittorio Moriggia
March 2012, Volume 12, Issue 8
- 1241-1252 Forward-neutral valuation relationships for options on zero coupon bonds
by Ant�nio C�mara & Ana C�mara
August 2012, Volume 12, Issue 8
- 1193-1195 Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown
by Roger Stein
May 2012, Volume 12, Issue 8
- 1199-1218 Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis
by Rama Cont & Cathrine Jessen
February 2012, Volume 12, Issue 8
- 1219-1240 Pricing CDOs with state-dependent stochastic recovery rates
by Salah Amraoui & Laurent Cousot & Sebastien Hitier & Jean-Paul Laurent
June 2012, Volume 12, Issue 8
- 1189-1192 Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics
by C. Schinckus - 1253-1263 Universal price impact functions of individual trades in an order-driven market
by Wei-Xing Zhou - 1283-1298 The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)
by Guy Kaplanski & Haim Levy
June 2012, Volume 12, Issue 7
- 1003-1010 New analytical option pricing models with Weyl--Titchmarsh theory
by Jin E. Zhang & Yishen Li
May 2012, Volume 12, Issue 7
- 993-1001 Mortgage valuation: a quasi-closed-form solution
by Cristina Viegas & Jos� Azevedo-Pereira - 1015-1024 How does the market react to your order flow?
by B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer - 1095-1110 GARCH options via local risk minimization
by Juan-Pablo Ortega - 1119-1141 An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
by Artur Sepp
April 2012, Volume 12, Issue 7
- 1025-1036 Reduced form modeling of limit order markets
by Pekka Malo & Teemu Pennanen - 1079-1094 Option pricing for GARCH-type models with generalized hyperbolic innovations
by Christophe Chorro & Dominique Gu�gan & Florian Ielpo
February 2012, Volume 12, Issue 7
- 1051-1064 Cycles, determinism and persistence in agent-based games and financial time-series: part I
by J. B. Satinover & D. Sornette - 1065-1078 Cycles, determinism and persistence in agent-based games and financial time-series: part II
by J. B. Satinover & D. Sornette - 1111-1117 A class of stochastic volatility models and the q -optimal martingale measure
by Sotirios Sabanis
November 2012, Volume 12, Issue 7
- 1037-1049 Measuring large comovements in financial markets
by Jeremy Penzer & Friedrich Schmid & Rafael Schmidt
September 2012, Volume 12, Issue 7
- 1143-1159 Choosing the optimal annuitization time post-retirement
by Russell Gerrard & Bjarne Højgaard & Elena Vigna
July 2012, Volume 12, Issue 7
- 1011-1012 An Introduction to Austrian Economics, by Thomas C. Taylor
by Barry Schachter
March 2012, Volume 12, Issue 6
- 831-837 Entrepreneurship and innovation in financial institutions
by Chander Velu - 893-905 Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
by Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe - 943-950 Monitoring the board: should shareholders have direct proxy access?
by Gilberto Loureiro - 969-991 Do industries contain predictive information for the Fama--French factors?
by Chikashi Tsuji
April 2012, Volume 12, Issue 6
- 839-845 From credit valuation adjustments to credit capital commitments
by Dilip B. Madan - 865-871 Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
by Treviño-Aguilar Erick - 873-891 General approximation schemes for option prices in stochastic volatility models
by Karl Larsson - 907-931 Exchange rate and inflation risk premia in the EMU
by Begoña Font & Alfredo Juan Grau
November 2012, Volume 12, Issue 6
- 951-967 Time varying betas and the unconditional distribution of asset returns
by C. J. Adcock & M. Ceu Cortez & M. J. Rocha Armada & F. Silva
June 2012, Volume 12, Issue 6
- 849-851 The Darwin Economy: Liberty, Competition, and the Common Good, by Robert H. Frank
by Terry Burnham
October 2012, Volume 12, Issue 6
- 847-848 Realism in quantitative finance: a note
by Andreas Andrikopoulos - 933-941 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
by Jingjiang Peng & Kwai Sun Leung & Yue Kuen Kwok
February 2012, Volume 12, Issue 6
- 855-863 Hedging derivatives with model error
by Robert A. Jarrow
April 2012, Volume 12, Issue 5
- 685-689 Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group
by Emmanuel Bacry & Marc Hoffmann & Mathieu Rosenbaum - 781-790 Time-varying long-run mean of commodity prices and the modeling of futures term structures
by Ke Tang
July 2012, Volume 12, Issue 5
- 725-737 A closed-form solution to American options under general diffusion processes
by Jing Zhao & Hoi Ying Wong
November 2012, Volume 12, Issue 5
- 755-768 Probability-unbiased Value-at-Risk estimators
by Ivo Francioni & Florian Herzog - 769-780 Bayesian Value-at-Risk with product partition models
by Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola
May 2012, Volume 12, Issue 5
March 2012, Volume 12, Issue 5
- 671-683 A strategy-proof test of portfolio returns
by Dean P. Foster & H. Peyton Young - 739-754 Estimation of multiple period expected shortfall and median shortfall for risk management
by Mike K. P. So & Chi-Ming Wong - 805-818 Coupling index and stocks
by Benjamin Jourdain & Mohamed Sbai - 819-830 Performance evaluation of balanced pension plans
by Laura Andreu & Laurens Swinkels
October 2012, Volume 12, Issue 5
- 709-724 Unbounded liabilities, capital reserve requirements and the taxpayer put option
by Ernst Eberlein & Dilip B. Madan - 791-804 Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
by Joey Wenling Yang & Jerry Parwada
February 2012, Volume 12, Issue 5
- 695-707 Leverage causes fat tails and clustered volatility
by Stefan Thurner & J. Doyne Farmer & John Geanakoplos
April 2012, Volume 12, Issue 4
- 509-511 Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman
by M.A.H. Dempster - 515-515 Foreword
by Ionut Florescu & Maria C. Mariani & H. Eugene Stanley & Frederi G. Viens - 623-634 Detecting market crashes by analysing long-memory effects using high-frequency data
by E. Barany & M. P. Beccar Varela & I. Florescu & I. Sengupta - 663-670 Nonlinear problems modeling stochastic volatility and transaction costs
by Maria C. Mariani & Indranil SenGupta
January 2012, Volume 12, Issue 4
- 573-586 Regularization for stationary multivariate time series
by Yan Sun & Xiaodong Lin - 587-605 Integer-valued L�vy processes and low latency financial econometrics
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - 651-662 Systemic risk components and deposit insurance premia
by Jeremy Staum
July 2012, Volume 12, Issue 4
- 501-508 The scale of market quakes
by T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen
December 2012, Volume 12, Issue 4
- 531-545 Model calibration and automated trading agent for Euro futures
by Germán Creamer - 607-622 Estimation of quarticity with high-frequency data
by Maria Elvira Mancino & Simona Sanfelici - 635-649 Stochastic volatility and option pricing with long-memory in discrete and continuous time
by Alexandra Chronopoulou & Frederi G. Viens
October 2012, Volume 12, Issue 4
- 559-566 High-frequency trading model for a complex trading hierarchy
by Boris Podobnik & Duan Wang & H. Eugene Stanley
November 2012, Volume 12, Issue 4
- 517-530 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
by Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 567-572 Hidden noise structure and random matrix models of stock correlations
by Ivailo I. Dimov & Petter N. Kolm & Lee Maclin & Dan Y. C. Shiber
August 2012, Volume 12, Issue 4
- 547-557 A generalized birth--death stochastic model for high-frequency order book dynamics
by He Huang & Alec N. Kercheval
April 2012, Volume 12, Issue 3
- 451-464 Pricing dynamic binary variables and their derivatives
by David G. Luenberger - 465-475 Real options with a double continuation region
by Anna Battauz & Marzia De Donno & Alessandro Sbuelz
October 2012, Volume 12, Issue 3
- 437-449 A comparison of statistical tests for the adequacy of a neural network regression model
by Nikos S. Thomaidis & Georgios D. Dounias
March 2012, Volume 12, Issue 3
- 329-339 On monitoring financial stress index with extreme value theory
by Amira Dridi & Mohamed El Ghourabi & Mohamed Limam - 341-342 Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda
by Agostino Capponi - 489-500 Temperature models for pricing weather derivatives
by Frank Schiller & Gerold Seidler & Maximilian Wimmer
February 2012, Volume 12, Issue 3
- 411-424 Models for stock returns
by Saralees Nadarajah
September 2012, Volume 12, Issue 3
- 477-488 Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance
by Bin Lu & Xin-Yuan Song & Xin-Dan Li
November 2012, Volume 12, Issue 3
- 345-367 Positive return premia in Japan
by Chikashi Tsuji - 397-410 Nonlinear interdependence of the Chinese stock markets
by Abdol S. Soofi & Zhe Li & Xiaofeng Hui
June 2012, Volume 12, Issue 3
- 369-382 Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan
by Pin-Huang Chou & Kuan-Cheng Ko & Szu-Tsen Kuo & Shinn-Juh Lin - 425-436 Converse trading strategies, intrinsic noise and the stylized facts of financial markets
by Frank Westerhoff & Reiner Franke
December 2012, Volume 12, Issue 3
- 383-395 The performance of enhanced-return index funds: evidence from bootstrap analysis
by An-Sing Chen & Yeh-Chung Chu & Mark T. Leung
October 2012, Volume 12, Issue 2
- 231-247 An unbiased autoregressive conditional intraday seasonal variance filtering process
by Jang Hyung Cho & Robert T. Daigler - 295-310 Contagion determination via copula and volatility threshold models
by Veni Arakelian & Petros Dellaportas
April 2012, Volume 12, Issue 2
- 263-279 Discrete sine transform for multi-scale realized volatility measures§
by Giuseppe Curci & Fulvio Corsi
May 2012, Volume 12, Issue 2
- 169-179 The euro's impacts on the smooth transition dynamics of stock market volatilities
by Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang - 199-212 Stochastic volatility models including open, close, high and low prices
by Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina - 249-261 Swap rate variance swaps
by Nicolas Merener
February 2012, Volume 12, Issue 2
July 2012, Volume 12, Issue 2
- 311-327 Does herding affect volatility? Implications for the Spanish stock market
by Natividad Blasco & Pilar Corredor & Sandra Ferreruela
September 2012, Volume 12, Issue 2
- 185-198 Analytical formulas for a local volatility model with stochastic rates
by E. Benhamou & E. Gobet & M. Miri - 213-230 Discovering stock dynamics through multidimensional volatility phases
by Hsieh Fushing & Shu-Chun Chen & Chii-Ruey Hwang - 281-293 Fourier volatility forecasting with high-frequency data and microstructure noise
by Emilio Barucci & Davide Magno & Maria Elvira Mancino
August 2012, Volume 12, Issue 1
- 61-73 Arbitrage-free approximation of call price surfaces and input data risk
by Judith Glaser & Pascal Heider
September 2012, Volume 12, Issue 1
- 39-48 Mark-to-model for cash CDOs through indifference pricing
by Guillaume Bernis - 49-60 Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
by Jimmy E. Hilliard & Jitka Hilliard
January 2012, Volume 12, Issue 1
- 15-16 Markov Decision Processes with Applications to Finance, by N. Bäuerle and U. Rieder
by Jon McAuliffe
March 2012, Volume 12, Issue 1
- 1-10 The times change: multivariate subordination. Empirical facts
by Nicolas Huth & Fr�d�ric Abergel
July 2012, Volume 12, Issue 1
- 89-105 Extension of stochastic volatility equity models with the Hull--White interest rate process
by Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren
December 2012, Volume 12, Issue 1
- 17-20 On the analytical/numerical pricing of American put options against binomial tree prices
by Mark Joshi & Mike Staunton - 21-26 On the binomial tree method and other issues in connection with pricing Bermudan and American options
by Andr�s Pr�kopa & Tam�s Sz�ntai - 149-165 A jump-diffusion model for the euro overnight rate
by Mattia Raudaschl
October 2012, Volume 12, Issue 1
- 11-14 Financial engineering at Columbia University
by Mark Broadie & Emanuel Derman & Paul Glasserman & Steven Kou - 29-37 Equity quantile upper and lower swaps
by Dilip B. Madan & Martijn Pistorius
June 2012, Volume 12, Issue 1
- 75-87 A generalized variance gamma process for financial applications
by Roberto Marfè
November 2012, Volume 12, Issue 1
- 135-148 A probabilistic clustering method for US interest rate analysis
by Foued SaÂdaoui
April 2012, Volume 12, Issue 1
- 107-118 Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets
by M. Ariff & Vijaya B. Marisetty
February 2012, Volume 12, Issue 1
- 119-134 Term structure movements implicit in Asian option prices
by Caio Almeida & Jos� Vicente
August 2011, Volume 14, Issue 8
- 1445-1452 Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
by Ionuţ Florescu & Maria Cristina Mariani & Granville Sewell
July 2011, Volume 14, Issue 8
- 1383-1398 Multivariate L�vy processes with dependent jump intensity
by Roberto Marf�
November 2011, Volume 13, Issue 5
- 699-712 An endogenous volatility approach to pricing and hedging call options with transaction costs
by Leonard C. MacLean & Yonggan Zhao & William T. Ziemba
October 2011, Volume 13, Issue 5
- 795-818 Log-normal continuous cascade model of asset returns: aggregation properties and estimation
by E. Bacry & A. Kozhemyak & J. F. Muzy
2011, Volume 11, Issue 12
- 1-1 Editorial Board
by The Editors - 1695-1702 On the conditional default probability in a regulated market: a structural approach
by Lijun Bo & Dan Tang & Yongjin Wang & Xuewei Yang - 1703-1705 Lectures on Financial Mathematics: Discrete Asset Pricing, by G. Anderson and A. Kercheval
by Philip Protter - 1707-1707 Calendar
by The Editors - 1709-1727 Predicting credit default swap prices with financial and pure data-driven approaches
by Yalin Gündüz & Marliese Uhrig-Homburg - 1729-1743 Flexing the default barrier
by Gregor Dorfleitner & Paul Schneider & Tanja Veža - 1745-1759 Calibrating structural models: a new methodology based on stock and credit default swap data
by Santiago Forte - 1761-1771 Pricing collateralized debt obligations with Markov-modulated Poisson processes
by Hideyuki Takada & Ushio Sumita & Kazuki Takahashi - 1773-1791 Hedging default risks of CDOs in Markovian contagion models
by J.-P. Laurent & A. Cousin & J.-D. Fermanian - 1793-1801 The th default time distribution and basket default swap pricing
by Geon Choe & Hyun Jang - 1803-1814 Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives
by Noel McWilliam & Kar-Wei Loh & Huan Huang - 1815-1823 Empirical analysis and calibration of the CEV process for pricing equity default swaps
by Belal Baaquie & Tang Pan & Jitendra Bhanap - 1825-1836 An extension of CreditGrades model approach with Lévy processes
by Takaaki Ozeki & Yuji Umezawa & Akira Yamazaki & Daisuke Yoshikawa - 1837-1845 Default risk in interest rate derivatives with stochastic volatility
by Bomi Kim & Jeong-Hoon Kim - 1847-1864 The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit
by George Christodoulakis
2011, Volume 11, Issue 11
- 1593-1602 Optimal leverage from non-ergodicity
by Ole Peters - 1603-1605 The Kelly Capital Growth Investment Criterion, by Leonard MacLean, Edward Thorp, and William Ziemba (editors)
by John Mulvey - 1607-1607 Calendar
by The Editors - 1609-1632 Riding on the smiles
by José da Fonseca & Martino Grasselli - 1633-1646 A risk-based approach for pricing American options under a generalized Markov regime-switching model
by Robert Elliott & Tak Siu - 1647-1663 The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
by Lech Grzelak & Cornelis Oosterlee & Sacha Van Weeren - 1665-1674 Portfolio optimization under model uncertainty and BSDE games
by Bernt Øksendal & Agnès Sulem - 1675-1684 Maximum penalized quasi-likelihood estimation of the diffusion function
by Jeff Hamrick & Yifei Huang & Constantinos Kardaras & Murad Taqqu - 1685-1694 Options on realized variance and convex orders
by Peter Carr & Helyette Geman & Dilip Madan & Marc Yor
2011, Volume 11, Issue 10
- 1439-1447 When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
by Li Chen & Simai He & Shuzhong Zhang - 1449-1453 Effects of skewness and kurtosis on portfolio rankings
by Massimo Pierro & Jack Mosevich - 1455-1456 Harry Markowitz: Selected Works, edited by Harry M. Markowitz
by Lisa Goldberg - 1457-1458 A Benchmark Approach to Quantitative Finance, by Eckhard Platen and David Heath
by Wolfgang Runggaldier - 1459-1459 Calendar
by The Editors - 1461-1471 Mean–variance efficient portfolios with many assets: 50% short
by Moshe Levy & Ya'acov Ritov - 1473-1487 Hybrid metaheuristics for constrained portfolio selection problems
by Luca Gaspero & Giacomo Tollo & Andrea Roli & Andrea Schaerf - 1489-1501 A VaR Black–Litterman model for the construction of absolute return fund-of-funds
by Miguel Lejeune - 1503-1516 Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
by Martin Hellmich & Stefan Kassberger - 1517-1523 Using first degree stochastic dominance in allocation tasks: an experimental study
by Tal Shavit & Mosi Rosenboim - 1525-1534 An enhanced model for portfolio choice with SSD criteria: a constructive approach
by Csaba Fábián & Gautam Mitra & Diana Roman & Victor Zverovich - 1535-1546 Multiperiod mean-variance efficient portfolios with endogenous liabilities
by Markus Leippold & Fabio Trojani & Paolo Vanini - 1547-1564 Optimal investment under dynamic risk constraints and partial information
by Wolfgang Putschögl & Jörn Sass - 1565-1580 Long-term strategic asset allocation with inflation risk and regime switching
by Tak Kuen Siu - 1581-1592 Optimal investment, consumption and retirement decision with disutility and borrowing constraints
by Byung Hwa Lim & Yong Shin
July 2011, Volume 11, Issue 9
- 1301-1313 Randomized structural models of credit spreads
by Chuang Yi & Alexander Tchernitser & Tom Hurd - 1393-1405 Measuring expectations in options markets: an application to the S&P500 index
by Abel Rodr�guez & Enrique ter Horst - 1407-1419 Basket trading under co-integration with the logistic mixture autoregressive model
by Xixin Cheng & Philip L.H. Yu & W.K. Li
September 2011, Volume 11, Issue 9
- 1273-1283 The weekly pattern of commercial paper across different trading-day regimes
by Jian-Hsin Chou & Mei-Chu Ke & Yi-Chein Chiang & Tung Liang Liao - 1297-1298 Investments and Portfolio Performance, by Edwin J. Elton and Martin J. Gruber
by Russ Wermers
October 2011, Volume 11, Issue 9
- 1285-1295 Inferring trading dynamics for an OTC market: the case of the euro area overnight money market
by Renaud Beaupain & Alain Durr� - 1357-1369 Characterizing heteroskedasticity
by Gilles Zumbach - 1379-1392 Pricing exotic options using MSL-MC
by Klaus Schmitz Abe
November 2011, Volume 11, Issue 9
- 1315-1327 Correlations in L�vy interest rate models
by Maximilian Beinhofer & Ernst Eberlein & Arend Janssen & Manuel Polley - 1329-1356 Heterogeneous expectations and long-range correlation of the volatility of asset returns
by J. Coulon & Y. Malevergne
February 2011, Volume 11, Issue 9
- 1371-1378 The minimal model of financial complexity
by Philip Z. Maymin
April 2011, Volume 11, Issue 9
- 1421-1438 Multi-regime nonlinear capital asset pricing models
by Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin
2011, Volume 11, Issue 8
- 1125-1128 [image omitted] Numerical option pricing in the presence of bubbles
by Erik Ekstrom & Per Lotstedt & Lina Von Sydow & Johan Tysk