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Content
December 2016, Volume 16, Issue 12
- 1859-1873 Jumps and stochastic volatility in crude oil prices and advances in average option pricing
by Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou - 1875-1886 Modelling, forecasting and trading with a new sliding window approach: the crack spread example
by Andreas Karathanasopoulos & Christian Dunis & Samer Khalil - 1887-1899 Is news related to GDP growth a risk factor for commodity futures returns?
by Daniel Tsvetanov & Jerry Coakley & Neil Kellard - 1901-1915 Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
by Charalampos Stasinakis & Georgios Sermpinis & Ioannis Psaradellis & Thanos Verousis - 1917-1928 Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
by Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang - 1929-1948 Prediction of extreme price occurrences in the German day-ahead electricity market
by Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard - 1949-1959 Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
by N. Karagiannis & H. Assa & A. A. Pantelous & C. G. Turvey - 1961-1968 Oil prices and sovereign credit risk of oil producing countries: an empirical investigation
by Christoph Wegener & Tobias Basse & Frederik Kunze & Hans-Jörg von Mettenheim
November 2016, Volume 16, Issue 11
- 1-1 Erratum
by The Editors - 1631-1636 Bifurcation patterns of market regime transition
by Sergey Kamenshchikov - 1637-1639 Efficiently Inefficient: How Smart Money Invests & Market Prices Are Determined
by Tapio Pekkala - 1641-1641 Calendar
by The Editors - 1643-1655 Dynamic mode decomposition for financial trading strategies
by Jordan Mann & J. Nathan Kutz - 1657-1678 Detecting intraday financial market states using temporal clustering
by D. Hendricks & T. Gebbie & D. Wilcox - 1679-1693 Losing sight of the trees for the forest? Attention allocation and anomalies
by Heiko Jacobs & Martin Weber - 1695-1712 Forecasting stock market returns over multiple time horizons
by Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov - 1713-1724 Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
by Zhi-Qiang Jiang & Askery Canabarro & Boris Podobnik & H. Eugene Stanley & Wei-Xing Zhou - 1725-1740 Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
by S. Simaitis & C. S. L. de Graaf & N. Hari & D. Kandhai - 1741-1762 Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
by Swathi Amarala & Justin W. L. Wan - 1763-1789 Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach
by Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui
October 2016, Volume 16, Issue 10
- 1465-1477 A flexible spot multiple-curve model
by Martino Grasselli & Giulio Miglietta - 1479-1482 Learning from Data
by Riccardo Rebonato - 1483-1483 Calendar
by The Editors - 1485-1494 Expected shortfall estimation for apparently infinite-mean models of operational risk
by Pasquale Cirillo & Nassim Nicholas Taleb - 1495-1510 From insurance risk to credit portfolio management: a new approach to pricing CDOs
by Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli - 1511-1527 Enhanced equity-credit modelling for contingent convertibles
by Tsz-Kin Chung & Yue-Kuen Kwok - 1529-1539 Valuation of American options under the CGMY model
by Xu Guo & Yutian Li - 1541-1558 The profitability of pairs trading strategies: distance, cointegration and copula methods
by Hossein Rad & Rand Kwong Yew Low & Robert Faff - 1559-1573 A pairs trading strategy based on linear state space models and the Kalman filter
by Carlos Eduardo de Moura & Adrian Pizzinga & Jorge Zubelli - 1575-1597 Dynamic asset–liability management in a Markov market with stochastic cash flows
by Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li - 1599-1613 Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
by Sebastian Poledna & Stefan Thurner - 1615-1630 Correlation estimation using components of Japanese candlesticks
by V. Popov
September 2016, Volume 16, Issue 9
- 1325-1332 Risk minimization and portfolio diversification
by Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu - 1333-1337 Model Risk in Financial Markets: From Financial Engineering to Risk Management
by Mark Cummins & Orla McCullagh & Bernard Murphy - 1339-1339 Calendar
by The Editors - 1341-1355 Optimal static quadratic hedging
by Tim Leung & Matthew Lorig - 1357-1374 Model risk of contingent claims
by Nils Detering & Natalie Packham - 1375-1391 Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
by Pingping Zeng & Yue Kuen Kwok - 1393-1411 Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
by Yijie Peng & Michael C. Fu & Jian-Qiang Hu - 1413-1422 Fed funds futures variance futures
by Damir Filipović & Anders B. Trolle - 1423-1444 Estimation of zero-intelligence models by L1 data
by Martin Šmíd - 1445-1451 Reducing transaction costs with low-latency trading algorithms
by Sasha Stoikov & Rolf Waeber - 1453-1464 US stock returns: are there seasons of excesses?
by Marco Bee & Debbie J. Dupuis & Luca Trapin
August 2016, Volume 16, Issue 8
- 1165-1173 A new variance reduction method for option pricing based on sampling the vertices of a simplex
by Jong Jun Park & Geon Ho Choe - 1175-1176 Algorithmic and High Frequency Trading
by Marcos Lopez de Prado - 1179-1201 Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
by Emmanuel Bacry & Thibault Jaisson & Jean--François Muzy - 1203-1218 A model for interest rates with clustering effects
by Donatien Hainaut - 1219-1235 Market procyclicality and systemic risk
by P. Tasca & S. Battiston - 1237-1257 The premium of dynamic trading in a discrete-time setting
by Haixiang Yao & ZhongFei Li & Xingyi Li - 1259-1271 On an automatic and optimal importance sampling approach with applications in finance
by Huei-Wen Teng & Cheng-Der Fuh & Chun-Chieh Chen - 1273-1296 Beyond CAPM: estimating the cost of equity considering idiosyncratic risks
by Enrico Laghi & Michele Di Marcantonio - 1297-1311 When do jumps matter for portfolio optimization?
by Marius Ascheberg & Nicole Branger & Holger Kraft & Frank Thomas Seifried - 1313-1324 American-style options in jump-diffusion models: estimation and evaluation
by Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard
July 2016, Volume 16, Issue 7
- 997-1008 Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
by Mark Joshi & Navin Ranasinghe - 1009-1013 Mostly Harmless Econometrics: An Empiricist’s Companion; Mastering ‘Metrics: The Path from Cause to Effect
by Riccardo Rebonato - 1019-1036 Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
by John R. Birge & Luis Chavez-Bedoya - 1037-1052 Dependence calibration and portfolio fit with factor-based subordinators
by Elisa Luciano & Marina Marena & Patrizia Semeraro - 1053-1067 A semiparametric graphical modelling approach for large-scale equity selection
by Han Liu & John Mulvey & Tianqi Zhao - 1069-1087 Elliptical tempered stable distribution
by Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi - 1089-1109 Modelling electricity prices: a time change approach
by Lingfei Li & Rafael Mendoza-Arriaga & Zhiyu Mo & Daniel Mitchell - 1111-1127 An alternative method to estimate parameters in modelling the behaviour of commodity prices
by Andrés García-Mirantes & Beatriz Larraz & Javier Población - 1129-1145 Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
by Huawei Niu & Dingcheng Wang - 1147-1164 Recovering the real-world density and liquidity premia from option data
by Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen
June 2016, Volume 16, Issue 6
- 827-838 A forward equation for barrier options under the Brunick & Shreve Markovian projection
by Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger - 839-843 The Social Value of the Financial Sector: Too Big to Fail or Just Too Big?
by Richard Barwell - 847-866 Rational multi-curve models with counterparty-risk valuation adjustments
by Stéphane Crépey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand - 867-886 Analytical pricing of single barrier options under local volatility models
by Hideharu Funahashi & Masaaki Kijima - 887-904 Pricing under rough volatility
by Christian Bayer & Peter Friz & Jim Gatheral - 905-928 Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
by Yao Tung Huang & Yue Kuen Kwok - 929-945 Partial hedging and cash requirements in discrete time
by Erdnç Akyildirim & Albert Altarovici - 947-968 Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
by Carl Lönnbark - 969-996 Trading profitability from learning and adaptation on the Tokyo Stock Exchange
by Ryuichi Yamamoto
May 2016, Volume 16, Issue 5
- 667-676 Ross recovery with recurrent and transient processes
by Hyungbin Park - 677-678 FX Option Performance: An Analysis of the Value Delivered by FX Options Since the Start of the Market
by Barry Ryan - 681-693 Performance ratio-based coherent risk measure and its application
by Zhiping Chen & Qianhui Hu & Ruiyue Lin - 695-709 Evaluation of volatility predictions in a VaR framework
by A. Amendola & V. Candila - 711-725 Analytic approximation formulae for European crack spread options
by M.A. Aba Oud & J. Goard - 727-747 Valuation of forward start options under affine jump-diffusion models
by João Pedro Vidal Nunes & Tiago Ramalho Viegas Alcaria - 749-762 Detecting and modelling the jump risk of CO 2 emission allowances and their impact on the valuation of option on futures contracts
by Sharon S. Yang & Jr-Wei Huang & Chuang-Chang Chang - 763-776 Optimal hedging in an extended binomial market under transaction costs
by Norman Josephy & Lucia Kimball & Victoria Steblovskaya - 777-792 Predicting recovery rates using logistic quantile regression with bounded outcomes
by Jhao-Siang Siao & Ruey-Ching Hwang & Chih-Kang Chu - 793-826 Prediction of stock price movement based on daily high prices
by Marija Gorenc Novak & Dejan Velušček
April 2016, Volume 16, Issue 4
- 501-511 Forecasting risk via realized GARCH, incorporating the realized range
by Richard Gerlach & Chao Wang - 513-515 Econophysics and Physical Economics
by Chris Hunter - 519-533 Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
by Mark S. Joshi - 535-554 General closed-form basket option pricing bounds
by Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli - 555-572 The multivariate Variance Gamma model: basket option pricing and calibration
by Daniël Linders & Ben Stassen - 573-592 Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
by Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li - 593-603 Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
by Jingtang Ma & Dongya Deng & Harry Zheng - 605-624 Exploring the total positivity of yields correlations
by A. Goia & E. Salinelli - 625-637 Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
by Paulo Horta & Sérgio Lagoa & Luís Martins - 639-647 Optimal pricing barriers in a regulated market using reflected diffusion processes
by Zheng Han & Yaozhong Hu & Chihoon Lee - 649-665 Reversal of Monday returns
by Numan Ülkü & Kristiyan Andonov
March 2016, Volume 16, Issue 3
- 337-347 Regulatory arbitrage of risk measures
by Ruodu Wang - 349-353 Probably Approximately Correct
by Riccardo Rebonato - 357-376 Least-squares approach to risk parity in portfolio selection
by Xi Bai & Katya Scheinberg & Reha Tutuncu - 377-388 Risk parity portfolios with risk factors
by T. Roncalli & G. Weisang - 389-409 Normally distributed high-frequency returns: a subordination approach
by Ata Türkoğlu - 411-426 A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
by Gerrit Reher & Bernd Wilfling - 427-445 A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
by Masaaki Fujii - 447-460 Partial differential equations for Asian option prices
by C. Brown & J. C. Handley & C.-T. Lin & K. J. Palmer - 461-475 Minimizing CVaR in global dynamic hedging with transaction costs
by F. Godin - 477-488 Oil price and FX-rates dependency
by Joscha Beckmann & Theo Berger & Robert Czudaj - 489-500 Macroeconomic impacts on commodity prices: China vs. the United States
by Libo Yin & Liyan Han
February 2016, Volume 16, Issue 2
- 169-180 Theoretical decompositions of the cross-sectional dispersion of stock returns
by Andrew Grant & Steve Satchell - 181-182 Interest Rate Modelling in the Multi-curve Framework
by Massimo Morini - 187-188 Special Issue on Stochastic Optimization Approaches to Financial and Energy Markets
by Giorgio Consigli & Yves Smeers - 189-199 Building a stochastic programming model from scratch: a harvesting management example
by Ignacio Rios & Andres Weintraub & Roger J.-B. Wets - 201-212 A parsimonious model for generating arbitrage-free scenario trees
by Andrea Consiglio & Angelo Carollo & Stavros A. Zenios - 213-230 A non-parametric structural hybrid modeling approach for electricity prices
by S. Moazeni & M. Coulon & I. Arciniegas Rueda & B. Song & W.B. Powell - 231-246 Real options valuation applied to transmission expansion planning
by S. Lumbreras & D. W. Bunn & A. Ramos & M. Chronopoulos - 247-257 Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
by Georg Ch. Pflug & Philipp Thoma - 259-273 Modeling and evaluation of the option book hedging problem using stochastic programming
by Mathias Barkhagen & Jörgen Blomvall - 275-295 Optimal retirement planning with a focus on single and joint life annuities
by Agnieszka Karolina Konicz & David Pisinger & Alex Weissensteiner - 297-307 A uniformly distributed random portfolio
by Woo Chang Kim & Yongjae Lee - 309-336 A dynamical systems model of price bubbles and cycles
by Vinod Cheriyan & Anton J. Kleywegt
January 2016, Volume 16, Issue 1
- 1-11 The limits of statistical significance of Hawkes processes fitted to financial data
by Mehdi Lallouache & Damien Challet - 13-14 Portfolio Management under Stress
by Bernd Scherer - 17-30 American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
by Ankush Agarwal & Sandeep Juneja & Ronnie Sircar - 31-42 On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
by Elisa Alòs & Jorge A. León - 43-67 Time-varying forecasts by variational approximation of sequential Bayesian inference
by Hui ‘Fox’ Ling & Douglas B. Stone - 69-83 Random matrix application to correlations amongst the volatility of assets
by Ajay Singh & Dinghai Xu - 85-100 Investing in the size factor
by Juan Laborda & Ricardo Laborda & Jose Olmo - 101-117 Optimal capital growth with convex shortfall penalties
by Leonard C. MacLean & Yonggan Zhao & William T. Ziemba - 119-129 Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
by Nengli Lim & Nicolas Privault - 131-149 Portfolio credit risk with predetermined default orders
by Lian Tang & Bin Wang & Kai-Nan Xiang - 151-167 Conditional higher order moments in metal asset returns
by Steven J. Cochran & Iqbal Mansur & Babatunde Odusami
December 2015, Volume 15, Issue 12
- 1901-1912 Cross-sectional universalities in financial time series
by Gilles Zumbach - 1913-1914 Risk-Sensitive Investment Management
by Albina Danilova - 1933-1942 When does low interconnectivity cause systemic risk?
by Burak Saltoglu & Taylan Yenilmez - 1943-1962 Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models
by Jorge V. P�rez-Rodr�guez & Emilio G�mez-D�niz - 1963-1977 Stochastic modelling of herd behaviour indices
by Florence Guillaume & Daniël Linders - 1979-1994 A quarterly time-series classifier based on a reduced-dimension generated rules method for identifying financial distress
by Ching-Hsue Cheng & Ssu-Hsiang Wang - 1995-2010 Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
by Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas - 2011-2019 Pricing options on discrete realized variance with partially exact and bounded approximations
by Wendong Zheng & Yue Kuen Kwok - 2021-2040 Effects of market default risk on index option risk-neutral moments
by Panayiotis C. Andreou - 2041-2052 A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting
by Yacin Jerbi - 2053-2065 Maximizing survival, growth and goal reaching under borrowing constraints
by Haluk Yener
November 2015, Volume 15, Issue 11
- 1759-1771 Path integral and asset pricing
by Zura Kakushadze - 1773-1775 The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
by K. Surekha Rao - 1777-1785 A note on "Modelling exchange rate returns: which flexible distribution to use?"
by Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan - 1789-1804 A nested factor model for non-linear dependencies in stock returns
by R. Chicheportiche & J.-P. Bouchaud - 1805-1821 A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering
by Quan Gan & Wang Chun Wei & David Johnstone - 1823-1835 Performance-weighted ensembles of random forests for predicting price impact
by Ash Booth & Enrico Gerding & Frank McGroarty - 1837-1850 Fundamentalists, chartists and asset pricing anomalies
by Sandrine Jacob Leal - 1851-1864 Modelling exchange rate returns: which flexible distribution to use?
by Canan G. Corlu & Alper Corlu - 1865-1884 A smooth non-parametric estimation framework for safety-first portfolio optimization
by Haixiang Yao & Yong Li & Karen Benson - 1885-1900 Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
by Helin Zhu & Fan Ye & Enlu Zhou
October 2015, Volume 15, Issue 10
- 1597-1608 Stochastic volatility with heterogeneous time scales
by D. Delpini & G. Bormetti - 1609-1612 Yield Curve Modeling and Forecasting--The Dynamic Nelson-Siegel Approach
by Riccardo Rebonato - 1617-1617 Special Issue of Quantitative Finance on 'Financial Data Analytics'
by Jessica James & Dietmar Maringer & Vasile Palade & Antoaneta Serguieva - 1619-1635 Bank networks from text: interrelations, centrality and determinants
by Samuel R�nnqvist & Peter Sarlin - 1637-1656 Twitter financial community sentiment and its predictive relationship to stock market movement
by Steve Y. Yang & Sheung Yin Kevin Mo & Anqi Liu - 1657-1681 Data-driven methods for equity similarity prediction
by John Robert Yaros & Tomasz Imieliński - 1683-1703 Gaussian process-based algorithmic trading strategy identification
by Steve Y. Yang & Qifeng Qiao & Peter A. Beling & William T. Scherer & Andrei A. Kirilenko - 1727-1735 An analysis of price impact functions of individual trades on the London stock exchange
by M. Wilinski & Wei Cui & A. Brabazon & P. Hamill - 1737-1758 Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data
by Efstathios Panayi & Gareth W. Peters & Ioannis Kosmidis
September 2015, Volume 15, Issue 9
- 1437-1443 Broken symmetries: reflections on why FX put and call options are not simple mirror images
by Jonathan Fullwood & Jessica James - 1445-1446 Financial Modeling: A Backward Stochastic Differential Equations Perspective
by Eymen Errais - 1449-1469 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013
by A. N. Shiryaev & M. V. Zhitlukhin & W. T. Ziemba - 1471-1487 Time series momentum trading strategy and autocorrelation amplification
by K. J. Hong & S. Satchell - 1489-1499 Statistical arbitrage in the Black-Scholes framework
by Ahmet G�nc� - 1501-1514 A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
by Jae H. Kim & Abul Shamsuddin - 1515-1530 Implied integrated variance and hedging
by Ruth Kaila - 1531-1541 Stylised facts of financial time series and hidden Markov models in continuous time
by Peter Nystrup & Henrik Madsen & Erik Lindstr�m - 1543-1557 General equilibrium pricing with multiple dividend streams and regime switching
by Jia Shen & Robert J. Elliott - 1559-1569 Mixed tempered stable distribution
by Edit Rroji & Lorenzo Mercuri - 1571-1582 A factor contagion model for portfolio credit derivatives
by Geon Ho Choe & Hyun Jin Jang & Soon Won Kwon - 1583-1596 Dynamic risk taking with bonus schemes
by Dietmar P.J. Leisen
August 2015, Volume 15, Issue 8
- 1259-1266 Stochastic portfolio theory optimization and the origin of rule-based investing
by Gianluca Oderda - 1267-1271 High-frequency Trading
by Riccardo Rebonato - 1277-1277 Special Issue of Quantitative Finance on 'High Frequency Data Modeling in Finance'
by Ionut Florescu & Maria C. Mariani & H. Eugene Stanley & Frederi G. Viens - 1279-1291 Optimal execution with limit and market orders
by �lvaro Cartea & Sebastian Jaimungal - 1293-1314 Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
by V. Filimonov & D. Sornette - 1315-1329 Modelling high-frequency limit order book dynamics with support vector machines
by Alec N. Kercheval & Yuan Zhang - 1331-1345 High-frequency volatility of volatility estimation free from spot volatility estimates
by Simona Sanfelici & Imma Valentina Curato & Maria Elvira Mancino - 1347-1364 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
by Jozef Barunik & Lukas Vacha - 1365-1374 Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
by Maria Pia Beccar Varela & Francis Biney & Ionut Florescu - 1375-1386 Emergence of statistically validated financial intraday lead-lag relationships
by Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett - 1387-1403 Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
by Nan Zhou & Wen Cheng & Yichen Qin & Zongcheng Yin - 1405-1416 Can a corporate network and news sentiment improve portfolio optimization using the Black-Litterman model?
by Germ�n G. Creamer - 1417-1424 Numerical methods applied to option pricing models with transaction costs and stochastic volatility
by Maria C. Mariani & Indranil SenGupta & Granville Sewell - 1425-1436 High-performance financial simulation using randomized quasi-Monte Carlo methods
by Linlin Xu & Giray Ökten
July 2015, Volume 15, Issue 7
- 1093-1102 Multiperiod conditional valuation of barrier options with incomplete information
by Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi - 1103-1105 The Reckoning: Financial Accountability and the Rise and Fall of Nations
by Lloyd Kurtz - 1109-1121 A fully consistent, minimal model for non-linear market impact
by J. Donier & J. Bonart & I. Mastromatteo & J.-P. Bouchaud - 1123-1135 Market impact as anticipation of the order flow imbalance
by Thibault Jaisson - 1137-1156 Modelling systemic price cojumps with Hawkes factor models
by Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo - 1157-1173 Optimal payoffs under state-dependent preferences
by Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel - 1175-1190 Option overlay strategies
by Dilip B. Madan & Yazid M. Sharaiha - 1191-1204 Computing optimal rebalance frequency for log-optimal portfolios in linear time
by Sujit R. Das & Mukul Goyal - 1205-1215 Equity portfolio diversification with high frequency data
by Vitali Alexeev & Mardi Dungey - 1217-1242 News, volatility and jumps: the case of natural gas futures
by Svetlana Borovkova & Diego Mahakena - 1243-1257 Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model
by Dan Pirjol
June 2015, Volume 15, Issue 6
- 909-922 Structural breaks and portfolio performance in global equity markets
by Harry J. Turtle & Chengping Zhang - 923-927 Asset Management: A Systematic Approach to Factor Investing
by Robert M. Anderson - 933-958 'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets
by Lei Wu & Qingbin Meng & Kuan Xu - 959-973 Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
by Jozef Barunik & Jiri Kukacka