Content
2011, Volume 11, Issue 5
-   763-773 Comparing alternative Levy base correlation models for pricing and hedging CDO tranches
 by Viktoriya Masol & Wim Schoutens
-   775-787 CDO pricing with nested Archimedean copulas
 by Marius Hofert & Matthias Scherer
-   789-803 Asymptotics of the probability of minimizing 'down-side' risk under partial information
 by Hideo Nagai
2011, Volume 11, Issue 4
-   487-493 A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
 by Marianito Rodrigo & Rogemar Mamon
-   547-558 Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
 by Ferdinando Ametrano & Mark Joshi
2011, Volume 11, Issue 3
-   423-435 Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries
 by Meng-Fen Hsieh & Tzu-Yi Yang & Yu-Tai Yang & Jen-Sin Lee
2011, Volume 11, Issue 2
-   155-156 Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance
 by M. A. H. Dempster
-   157-158 The unsmooth trajectory of Benoit Mandelbrot
 by J. Doyne Farmer
-   159-160 Benoit Mandelbrot and the vindication of his ideas
 by Alan Kirman
-   161-161 Benoit Mandelbrot: a personal tribute
 by Jean-Philippe Bouchaud
-   163-172 Dicing with the market: randomized procedures for evaluation of mutual funds
 by Francesco Lisi
-    175-193 On the statistical and economic performance of stock return predictive regression models: an international perspective
 by Pierre Giot & Mikael Petitjean
-   195-217 Further international evidence on durable consumption growth and long-run consumption risk
 by Elena Marquez & Belen Nieto
-   219-227 Common and local asymmetry and day-of-the-week effects among EU equity markets
 by Kenneth Hogholm & Johan Knif & Seppo Pynnonen
-   229-235 Shared information in the stock market
 by Rosario Bartiromo
-    237-245 Spatial linkages in international financial markets
 by Viviana Fernandez
-   247-259 Does corporate governance matter for stock returns? Estimating a four-factor asset pricing model including a governance index
 by Andre Carvalhal & Carolina Nobili
-   261-269 What drives stock markets over short horizons? Evidence from emerging markets
 by Paresh Kumar Narayan
-   271-285 Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets
 by Ping Wang & Peijie Wang
-   287-297 How rewarding is technical analysis in the Indian stock market?
 by Subrata Kumar Mitra
-    299-312 Liberalisation and stock market co-movement between emerging economies
 by Michel Beine & Bertrand Candelon
-   313-326 Detection of momentum effects using an index out-performance strategy
 by N. Meade & J. E. Beasley
2011, Volume 11, Issue 1
-   1-20 Coherent global market simulations and securitization measures for counterparty credit risk
 by Claudio Albanese & Toufik Bellaj & Guillaume Gimonet & Giacomo Pietronero
-   21-29 The Fields Institute: thematic program on Quantitative Finance: foundations and applications - January to June, 2010
 by Matheus Grasselli & Thomas Hurd
-   33-52 A PDE approach to jump-diffusions
 by Peter Carr & Laurent Cousot
-   53-67 Optimal hedge fund portfolios under liquidation risk
 by R. Gibson Brandon & S. Gyger
-   69-80 Dynamic liquidation under market impact
 by Thangaraj Draviam & Thomas Coleman & Yuying Li
-   81-99 The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
 by Martin Haugh & Ashish Jain
-   101-113 Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models
 by Gilles Zumbach
-   115-123 The premium of dynamic trading
 by Chun Hung Chiu & Xun Yu Zhou
-   125-134 Multivariate asset price dynamics with stochastic covariation
 by Julian Williams & Christos Ioannidis
-   135-154 Modeling default risk with support vector machines
 by Shiyi Chen & W. K. Hardle & R. A. Moro
October 2010, Volume 13, Issue 5
-   729-738 Buyer's quantile hedge portfolios in discrete-time trading
 by Mustafa Ç. Pinar
2010, Volume 11, Issue 4
-   495-504 On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves
 by A. Falco & LL. Navarro & J. Nave
-   505-513 Multifractal analysis of the dollar-yuan and euro-yuan exchange rates before and after the reform of the peg
 by Francois Schmitt & Li Ma & Thierry Angounou
-   517-528 Weak and strong Taylor methods for numerical solutions of stochastic differential equations
 by Maria Siopacha & Josef Teichmann
-    529-546 A jump-diffusion Libor model and its robust calibration
 by Denis Belomestny & John Schoenmakers
-   559-572 Interest rate models on Lie groups
 by F. C. Park & C. M. Chun & C. W. Han & N. Webber
-   573-586 Term structure of volatilities and yield curve estimation methodology
 by Antonio Diaz & Francisco Jareno & Eliseo Navarro
-    599-614 Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
 by J. B. Glattfelder & A. Dupuis & R. B. Olsen
-   615-629 Higher order and recurrent neural architectures for trading the EUR/USD exchange rate
 by Christian Dunis & Jason Laws & Georgios Sermpinis
-   631-640 Optimal investment in the foreign exchange market with proportional transaction costs
 by Luitgard Veraart
2010, Volume 11, Issue 3
-   327-333 Tail dependence and skew distributions
 by Thomas Fung & Eugene Seneta
-   343-348 Some integral functionals of reflected SDEs and their applications in finance
 by Lijun Bo & Yongjin Wang & Xuewei Yang
-   351-364 Identifying small mean-reverting portfolios
 by Alexandre D'Aspremont
-   365-380 A stochastic differential game for optimal investment of an insurer with regime switching
 by Robert Elliott & Tak Kuen Siu
-   381-389 An improved convolution algorithm for discretely sampled Asian options
 by Ales Cerny & Ioannis Kyriakou
-   391-405 Moody's correlated binomial default distributions for inhomogeneous portfolios
 by S. Mori & K. Kitsukawa & M. Hisakado
-   407-421 Dynamic copula models for the spark spread
 by Fred Espen Benth & Paul Kettler
-   437-446 Directional entropy and tail uncertainty, with applications to financial hazard
 by Roger Bowden
-   447-457 The impact of transaction duration, volume and direction on price dynamics and volatility
 by Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka
-    459-475 Hidden Markov models with t components. Increased persistence and other aspects
 by Jan Bulla
-   477-485 Futures and futures options with basis risk: theoretical and empirical perspectives
 by Chou-Wen Wang & Ting-Yi Wu
2010, Volume 10, Issue 10
-   1091-1097 Central limits and financial risk
 by Angelo Barbieri & Vladislav Dubikovsky & Alexei Gladkevich & Lisa Goldberg & Michael Hayes
-   1099-1107 An empirical study of liquidity dynamics and resistance and support levels
 by Carla Gomes & Henri Waelbroeck
-    1109-1112 On the stickiness property
 by Erhan Bayraktar & Hasanjan Sayit
-   1115-1136 A class of Levy process models with almost exact calibration to both barrier and vanilla FX options
 by Peter Carr & John Crosby
-   1137-1151 Up and down credit risk
 by Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc
-   1153-1162 Approximation of aggregate and extremal losses within the very heavy tails framework
 by Ivan Mitov & Svetlozar Rachev & Frank Fabozzi
-   1163-1172 Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
 by Lihua Bai & Junyi Guo & Huayue Zhang
-   1173-1185 High-dimensional covariance forecasting for short intra-day horizons
 by Roel Oomen
-    1187-1201 Econometric analysis of microscopic simulation models
 by Youwei Li & Bas Donkers & Bertrand Melenberg
-   1203-1213 The risk-shifting effect and the value of a warrant
 by Emanuele Bajo & Massimiliano Barbi
-   1215-1224 The impact of the choice of VaR models on the level of regulatory capital according to Basel II
 by Oliver Hermsen
2010, Volume 10, Issue 9
-   947-952 Time to default and other sensitivities of credit ratings
 by Dror Parnes
-   953-956 The Geneva Finance Research Institute
 by Miret Padovani
-   957-960 On the first passage time distribution of an Ornstein-Uhlenbeck process
 by Chuang Yi
-   963-974 Electricity spot price modelling with a view towards extreme spike risk
 by Claudia Kluppelberg & Thilo Meyer-Brandis & Andrea Schmidt
-   975-994 Pricing swing options in the electricity markets under regime-switching uncertainty
 by M. I. M. Wahab & Z. Yin & N. C. P. Edirisinghe
-   995-1007 How to speed up the quantization tree algorithm with an application to swing options
 by Anne Laure Bronstein & Gilles Pages & Benedikt Wilbertz
-   1009-1022 Loss aversion and the price of risk
 by M. Levy
-   1023-1037 Dynamic complex hedging in additive markets
 by Jose Corcuera & Joao Guerra
-   1039-1054 The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
 by Xiaolin Luo & Pavel Shevchenko
-   1055-1066 Predicting bankruptcy using the discrete-time semiparametric hazard model
 by K. F. Cheng & C. K. Chu & Ruey-Ching Hwang
-   1067-1076 Predictability of nonlinear trading rules in the U.S. stock market
 by Terence Tai-Leung Chong & Tau-Hing Lam
-   1077-1090 Regression-based algorithms for life insurance contracts with surrender guarantees
 by Anna Rita Bacinello & Enrico Biffis & Pietro Millossovich
2010, Volume 10, Issue 8
-   809-817 Pricing the credit default swap rate for jump diffusion default intensity processes
 by Yong-Ki Ma & Jeong-Hoon Kim
-   819-827 Static-arbitrage lower bounds on the prices of basket options via linear programming
 by Javier Pena & Juan Vera & Luis Zuluaga
-   831-854 Markov models for commodity futures: theory and practice
 by Leif Andersen
-   855-869 Multivariate models for operational risk
 by Klaus Bocker & Claudia Kluppelberg
-   871-882 (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
 by Sonja Huber
-   883-893 Do financial returns have finite or infinite variance? A paradox and an explanation
 by Michael Grabchak & Gennady Samorodnitsky
-    895-915 Asymmetry of information flow between volatilities across time scales
 by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher
-   917-930 Wavelet decomposition for intra-day volume dynamics
 by Jaisimha Manchaldore & Imon Palit & Oleg Soloviev
-   931-945 Portfolio selection based on the mean-VaR efficient frontier
 by Chueh-Yung Tsao
2010, Volume 10, Issue 7
-   681-687 Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria
 by Leonard Maclean & Edward Thorp & William Ziemba
-    689-697 Analysis of Kelly-optimal portfolios
 by Paolo Laureti & Matus Medo & Yi-Cheng Zhang
-   701-733 A stochastic-difference-equation model for hedge-fund returns
 by Emanuel Derman & Kun Soo Park & Ward Whitt
-   735-748 Leveraged Levy processes as models for stock prices
 by Dilip Madan & Yue Xiao
-   749-759 No-dynamic-arbitrage and market impact
 by Jim Gatheral
-   761-782 Statistical arbitrage in the US equities market
 by Marco Avellaneda & Jeong-Hyun Lee
-   783-796 Multi-scale variation, path risk and long-term portfolio management
 by Roger Bowden & Jennifer Zhu
-    797-807 Identifying common dynamic features in stock returns
 by Jorge Caiado & Nuno Crato
2010, Volume 10, Issue 6
-   565-574 Measuring investment performance consistency
 by Michael Villaverde
-   575-583 Can expected shortfall and Value-at-Risk be used to statically hedge options?
 by Jonathan Wylie & Qiang Zhang & Tak Kuen Siu
-   585-589 Explicit expressions for moments of Pareto order statistics
 by Saralees Nadarajah
-   593-606 Robustness and sensitivity analysis of risk measurement procedures
 by Rama Cont & Romain Deguest & Giacomo Scandolo
-   607-615 Pricing and hedging basket options to prespecified levels of acceptability
 by Dilip Madan
-   617-627 Portfolio sensitivity to changes in the maximum and the maximum drawdown
 by Libor Pospisil & Jan Vecer
-   629-644 A transform approach to compute prices and Greeks of barrier options driven by a class of Levy processes
 by Marc Jeannin & Martijn Pistorius
-   645-662 Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
 by Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe
-   663-679 Generalized uncorrelated SABR models with a high degree of symmetry
 by Tai-Ho Wang & Peter Laurence & Sheng-Li Wang
2010, Volume 10, Issue 5
-   455-460 Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds
 by Melanie Frick & Annabelle Kehl
-   461-466 Stochastic resonance and the trade arrival rate of stocks
 by A. Christian Silva & Ju-Yi Yen
-   469-485 Portfolio selection with higher moments
 by Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller
-   487-493 No-transaction bounds and estimation risk
 by Vasyl Golosnoy
-   495-502 Exact properties of measures of optimal investment for benchmarked portfolios
 by J. Knight & S. E. Satchell
-   503-514 Optimization of N-risky asset portfolios with stochastic variance and transaction costs
 by C. Atkinson & P. Ingpochai
-   515-528 Financial literacy and portfolio diversification
 by Margarida Abreu & Victor Mendes
-   529-543 Risk and predictability of Singapore's private residential market
 by Qin Xiao & Weihong Huang
-   545-554 Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities
 by Christopher Hessel & Jun Wang
-   555-564 An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms
 by Christoph Woster
2010, Volume 10, Issue 4
-   339-347 A principal-component approach to measuring investor sentiment
 by Haiqiang Chen & Terence Tai-Leung Chong & Xin Duan
-   349-355 Asymmetric dividend smoothing in the aggregate stock market
 by Sokwon Kim & Byeongseon Seo
-   359-374 Valuation of energy storage: an optimal switching approach
 by Rene Carmona & Michael Ludkovski
-   375-387 Robust estimation with flexible parametric distributions: estimation of utility stock betas
 by James Mcdonald & Richard Michelfelder & Panayiotis Theodossiou
-    389-399 International trade and financial integration: a weighted network analysis
 by Stefano Schiavo & Javier Reyes & Giorgio Fagiolo
-   401-420 Automated trading with boosting and expert weighting
 by German Creamer & Yoav Freund
-    421-430 Change analysis of a dynamic copula for measuring dependence in multivariate financial data
 by D. Guegan & J. Zhang
-   431-442 Volatility conditional on price trends
 by Gilles Zumbach
-   443-453 Portfolio allocation and the investment horizon: a multiscaling approach
 by Sangbae Kim & Francis In
2010, Volume 10, Issue 3
-   235-240 A risk-based evaluation of the free-trader option
 by Ren-Raw Chen & Frank Fabozzi
-   241-245 The new 'brew' on the Liffey: How FMC2 is adding the yeast
 by Anthony Brabazon
-   249-263 Single and joint default in a structural model with purely discontinuous asset prices
 by Filippo Fiorani & Elisa Luciano & Patrizia Semeraro
-   265-277 Pricing a CDO on stochastically correlated underlyings
 by Marcos Escobar & Barbara Gotz & Luis Seco & Rudi Zagst
-   279-293 Pricing inflation-linked bonds
 by Paolo Falbo & Francesco Paris & Cristian Pelizzari
-   295-304 Hierarchies of Archimedean copulas
 by Cornelia Savu & Mark Trede
-    305-324 Multi-asset spread option pricing and hedging
 by Minqiang Li & Jieyun Zhou & Shi-Jie Deng
-    325-338 Asset allocation using flexible dynamic correlation models with regime switching
 by Edoardo Otranto
2010, Volume 10, Issue 2
-   121-130 Queueing theoretical analysis of foreign currency exchange rates
 by Jun-Ichi Inoue & Naoya Sazuka
-   131-140 Does size matter? A genetic programming approach to technical trading
 by Janice How & Martin Ling & Peter Verhoeven
-   143-157 Optimal execution strategies in limit order books with general shape functions
 by Aurelien Alfonsi & Antje Fruth & Alexander Schied
-   159-176 Implications of a regime-switching model on natural gas storage valuation and optimal operation
 by Zhuliang Chen & Peter Forsyth
-    177-194 A comparison of biased simulation schemes for stochastic volatility models
 by Roger Lord & Remmert Koekkoek & Dick Van Dijk
-   195-208 Utility valuation of multi-name credit derivatives and application to CDOs
 by Ronnie Sircar & Thaleia Zariphopoulou
-   209-219 Cash management using multi-stage stochastic programming
 by Robert Ferstl & Alex Weissensteiner
-   221-234 Analysis of the rebalancing frequency in log-optimal portfolio selection
 by Daniel Kuhn & David Luenberger
2010, Volume 10, Issue 1
-   1-12 Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap
 by Jessica James & Louis Yang
-   13-20 Some applications of M-ary detection in quantitative finance
 by W. P. Malcolm & R. J. Elliott
-   23-37 Real-world jump-diffusion term structure models
 by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen
-   39-47 Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise
 by Carlo Marinelli
-   49-58 Pricing a defaultable bond with a stochastic recovery rate
 by Shu-Ling Chiang & Ming-Shann Tsai
-   59-74 On the analytical-numerical valuation of the Bermudan and American options
 by Andras Prekopa & Tam�s Sz�ntai
-   75-90 A Levy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing
 by Anders Eriksson
-   91-105 Portfolio optimization for student t and skewed t returns
 by Wenbo Hu & Alec Kercheval
-   107-119 Power mapping with dynamical adjustment for improved portfolio optimization
 by Rudi Schafer & Nils Fredrik Nilsson & Thomas Guhr
2009, Volume 11, Issue 4
-   587-597 A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile
 by Christian Fries & Fabian Eckstaedt
2009, Volume 11, Issue 3
-    335-341 On the perpetual American put options for level dependent volatility models with jumps
 by Erhan Bayraktar
2009, Volume 9, Issue 8
-   887-895 Equity portfolio risk estimation using market information and sentiment
 by Leela Mitra & Gautam Mitra & Dan Dibartolomeo
-   897-909 The news of no news in stock markets
 by Oral Erdogan & Ari Yezegel
-    913-924 Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
 by George Woodward & Heather Anderson
-   925-935 MaxVaR for non-normal and heteroskedastic returns
 by Malay Bhattacharyya & Nityanand Misra & Bharat Kodase
-   937-949 Modelling spikes and pricing swing options in electricity markets
 by Ben Hambly & Sam Howison & Tino Kluge
-   951-959 On the valuation of compositions in Levy term structure models
 by Wolfgang Kluge & Antonis Papapantoleon
-   961-965 An axiomatic characterization of capital allocations of coherent risk measures
 by Michael Kalkbrener
-   967-979 Investment decisions, net present value and bounded rationality
 by Carlo Alberto Magni
2009, Volume 9, Issue 7
-   767-773 Capital requirements, acceptable risks and profits
 by Dilip Madan
-   775-790 The causes of the credit crunch: a backwards look?
 by David Murphy
-   793-802 The Epps effect revisited
 by Bence Toth & Janos Kertesz
-   803-817 Pricing and capital requirements for with profit contracts: modelling considerations
 by Laura Ballotta
-   819-825 Valuing qualitative options with stochastic volatility
 by Bong-Gyu Jang & Kum-Hwan Roh
-   827-838 Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
 by Tian-Shyr Dai
-   839-854 An empirical analysis of multivariate copula models
 by Matthias Fischer & Christian Kock & Stephan Schluter & Florian Weigert
-   855-868 Gram-Charlier densities: a multivariate approach
 by Esther B. Del Brio & Trino-Manuel Niguez & Javier Perote
-   869-885 Robust portfolio selection under downside risk measures
 by Shushang Zhu & Duan Li & Shouyang Wang
2009, Volume 9, Issue 6
-   637-651 Evaluating style investment—Does a fund market defined along equity styles add value?
 by Woo Chang Kim & John Mulvey
-   653-660 On the long-term behavior of mutual fund returns
 by Luis Miguel Doncel & Pilar Grau-Carles & Jorge Sainz
-    663-692 Spectral methods for volatility derivatives
 by Claudio Albanese & Harry Lo & Aleksandar Mijatovic
-   693-704 Risk minimization in stochastic volatility models: model risk and empirical performance
 by Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald
-   705-715 Pseudospectral methods for pricing options
 by Sangwon Suh
-   717-726 A dynamic programming approach for pricing CDS and CDS options
 by Hatem Ben-Ameur & Damiano Brigo & Eymen Errais
-   727-735 Numerical computation of Theta in a jump-diffusion model by integration by parts
 by Delphine David & Nicolas Privault
-    737-745 Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
 by Jeroen Rombouts & Marno Verbeek
-   747-755 VaR and expected shortfall: a non-normal regime switching framework
 by Robert Elliott & Hong Miao
-   757-766 Capital market equilibrium with heterogeneous investors
 by Haim Shalit & Shlomo Yitzhaki
2009, Volume 9, Issue 5
-   495-503 Modeling risk in arbitrage strategies using finite mixtures
 by Adam Tashman & Robert Frey
-   505-515 Time reversal invariance in finance
 by Gilles Zumbach
-   519-525 Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
 by Ngai Hang Chan & Chi Tim Ng
-   527-545 What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
 by Roberto Pascual & David Veredas
-    547-563 Diffusive behavior and the modeling of characteristic times in limit order executions
 by Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna
-   565-580 Portfolio diversification and value at risk under thick-tailedness
 by Rustam Ibragimov
-   581-595 Capital allocation for credit portfolios with kernel estimators
 by Dirk Tasche
-   597-606 A multivariate Levy process model with linear correlation
 by Reiichiro Kawai
-    607-619 Volatility transmission patterns and terrorist attacks
 by Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro
-    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
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
 Printed from https://ideas.repec.org/s/taf/quantf11.html
 Printed from https://ideas.repec.org/s/taf/quantf11.html