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Content
June 2015, Volume 15, Issue 6
- 975-998 A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
by William T. Shaw & Marcus Schofield - 999-1012 Predicting abnormal returns from news using text classification
by Ronny Luss & Alexandre D'Aspremont - 1013-1030 Two-step methods in VaR prediction and the importance of fat tails
by Ibrahim Ergen - 1031-1039 Limited information-processing capacity and asymmetric stock correlations
by Ozcan Ceylan - 1041-1054 Jump robust two time scale covariance estimation and realized volatility budgets
by Kris Boudt & Jin Zhang - 1055-1073 Using information quality for volatility model combinations
by Vasyl Golosnoy & Yarema Okhrin - 1075-1091 On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
by Eduardo Acosta-Gonz�lez & Reinaldo Armas-Herrera & Fernando Fern�ndez-Rodr�guez
May 2015, Volume 15, Issue 5
- 725-733 On elicitable risk measures
by Fabio Bellini & Valeria Bignozzi - 735-740 Financial Modeling, Actuarial Valuation and Solvency in Insurance
by J. Bohn - 743-759 Precious metals under the microscope: a high-frequency analysis
by Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo - 761-772 Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities
by T. Pellegrino & P. Sabino - 773-793 Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
by C. Gomes & H. Waelbroeck - 795-808 The order book as a queueing system: average depth and influence of the size of limit orders
by I. Muni Toke - 809-827 A practical approach to semideviation and its time scaling in a jump-diffusion process
by R. Oeuvray & P. Junod - 829-840 On break-even correlation: the way to price structured credit derivatives by replication
by Jean-David Fermanian & Olivier Vigneron - 841-851 A mathematical model for multi-name credit based on community flocking
by Seung-Yeal Ha & Kyoung-Kuk Kim & Kiseop Lee - 853-864 Portfolio choices and VaR constraint with a defaultable asset
by Emilio Barucci & Andrea Cosso - 865-871 Leverage effect breakdowns and flight from risky assets
by Stephen Matteo Miller - 873-888 Hedging jump risk, expected returns and risk premia in jump-diffusion economies
by Oliver X. Li & Weiping Li - 889-900 Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong - 901-908 Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution
by Qingshuo Song & Pengfei Yang
April 2015, Volume 15, Issue 4
- 569-578 Partial correlation analysis: applications for financial markets
by Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley - 579-582 The Bankers' New Clothes, What's Wrong with Banking and What to Do about It
by Michael Dempster - 587-588 Special issue of Quantitative Finance on 'Interlinkages and Systemic Risk'
by Giovanni di Iasio & Mauro Gallegati & Fabrizio Lillo & Rosario N. Mantegna - 589-606 Input-output-based measures of systemic importance
by I�aki Aldasoro & Ignazio Angeloni - 607-624 Does financial connectedness predict crises?
by Camelia Minoiu & Chanhyun Kang & V.S. Subrahmanian & Anamaria Berea - 625-636 Filling in the blanks: network structure and interbank contagion
by Kartik Anand & Ben Craig & Goetz von Peter - 637-652 Interbank contagion and resolution procedures: inspecting the mechanism
by E. Gaffeo & M. Molinari - 653-671 Modelling the emergence of the interbank networks
by Grzegorz Haᴌaj & Christoffer Kok - 673-691 The multiplex structure of interbank networks
by L. Bargigli & G. di Iasio & L. Infante & F. Lillo & F. Pierobon - 693-710 Quantifying preferential trading in the e-MID interbank market
by Vasilis Hatzopoulos & Giulia Iori & Rosario N. Mantegna & Salvatore Miccich� & Michele Tumminello - 711-724 Expectations and systemic risk in EMU government bond spreads
by Paolo Canofari & Giancarlo Marini & Giovanni Piersanti
March 2015, Volume 15, Issue 3
- 385-393 In search of statistically valid risk factors
by Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg - 395-397 Risk and Uncertainty in the Art World
by Benjamin R. Mandel - 401-419 A L�vy HJM multiple-curve model with application to CVA computation
by St�phane Cr�pey & Zorana Grbac & Nathalie Ngor & David Skovmand - 421-441 Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided L�vy models: the parabolic Laplace inversion method
by Mitya Boyarchenko & Sergei Levendorskiĭ - 443-454 A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
by John Hull & Alan White - 455-476 The Markov-switching jump diffusion LIBOR market model
by L. Steinruecke & R. Zagst & A. Swishchuk - 477-491 Uncertainty aversion, robust control and asset holdings
by Giannis Vardas & Anastasios Xepapadeas - 493-508 What is the impact of wealth shocks on asset allocation?
by Ricardo M. Sousa - 509-519 A Black-Litterman asset allocation model under Elliptical distributions
by Yugu Xiao & Emiliano A. Valdez - 521-534 A financial CCAPM and economic inequalities
by Charles S. Tapiero - 535-551 Optimal hedging for fund and insurance managers with partially observable investment flows
by Masaaki Fujii & Akihiko Takahashi - 553-567 Risk and efficiency in the Central and Eastern European banking industry under quantile analysis
by E. Mamatzakis
February 2015, Volume 15, Issue 2
- 185-203 Beta-arbitrage strategies: when do they work, and why?
by Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet - 205-206 Flash Boys: Cracking the Money Code
by Philip Protter - 207-208 Flash Boys: Cracking the Money Code
by Rishi K Narang - 213-229 How news affects the trading behaviour of different categories of investors in a financial market
by Fabrizio Lillo & Salvatore Miccich� & Michele Tumminello & Jyrki Piilo & Rosario N. Mantegna - 231-245 Ensemble properties of high-frequency data and intraday trading rules
by F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella - 247-260 Automatic one two three
by Stanislaus Maier-Paape - 261-284 Trend momentum
by Wilhelm Berghorn - 285-298 Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities
by Panagiotis Schizas & Dimitrios D. Thomakos - 299-312 The payoff distribution model: an application to dynamic portfolio insurance
by Alexandre Hocquard & Nicolas Papageorgiou & Bruno Remillard - 313-326 Evaluating discrete dynamic strategies in affine models
by Flavio Angelini & Stefano Herzel - 327-343 Time horizon trading and the idiosyncratic risk puzzle
by Juliana Malagon & David Moreno & Rosa Rodr�guez - 345-358 Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market
by Fernando Mu�oz & Ruth Vicente & Luis Ferruz - 359-370 Selection of balanced portfolios to track the main properties of a large market
by Donatien Tafin Djoko & Yves Till� - 371-384 Application of a TGARCH-wavelet neural network to arbitrage trading in the metal futures market in China
by Lei Cui & Ke Huang & H.J. Cai
January 2015, Volume 15, Issue 1
- 1-17 The DNA of security return
by Changho Han - 19-21 Nonlinear Option Pricing
by Tai-Ho Wang - 25-41 Stress scenario selection by empirical likelihood
by Paul Glasserman & Chulmin Kang & Wanmo Kang - 43-59 Systematic scenario selection: stress testing and the nature of uncertainty
by Mark D. Flood & George G. Korenko - 61-78 Estimating the probability of multiple EU sovereign defaults using CDS and bond data
by R. Pianeti & R. Giacometti - 79-90 Liquidity premium in the presence of stock market crises and background risk
by Sergey Isaenko & Rui Zhong - 91-100 Multiscale exponential L�vy-type models
by Matthew Lorig & Oriol Lozano-Carbass� - 101-113 A parallel wavelet-based pricing procedure for Asian options
by S. Corsaro & D. Marazzina & Z. Marino - 115-129 Convertible bond valuation in a jump diffusion setting with stochastic interest rates
by Laura Ballotta & Ioannis Kyriakou - 131-150 Strategic commodity allocation
by Pierre Six - 151-170 Portfolio selection with commodities under conditional copulas and skew preferences
by Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a - 171-183 Perverse timing or biased coefficients?
by Mercedes Alda & Mar�a Vargas & Luis Ferruz
December 2014, Volume 15, Issue 12
- 1917-1932 The impact of Basel III on financial (in)stability: an agent-based credit network approach
by Sebastian Krug & Matthias Lengnick & Hans-Werner Wohltmann
October 2014, Volume 15, Issue 10
- 1705-1726 Hedge fund replication with a genetic algorithm: breeding a usable mousetrap
by Brian C. Payne & Jiri Tresl
December 2014, Volume 14, Issue 12
- 2065-2072 Estimate nothing
by Moritz Duembgen & L. C. G. Rogers - 2073-2074 Discrete Time Series, Processes, and Applications in Finance
by Ola Mahmoud - 2079-2092 A continuous time Bayesian network classifier for intraday FX prediction
by S. Villa & F. Stella - 2093-2104 Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method
by Helin� Laakkonen - 2105-2120 Identifying and forecasting house prices: a macroeconomic perspective
by Nan-Kuang Chen & Han-Liang Cheng & Ching-Sheng Mao - 2121-2133 Clustering financial time series with variance ratio statistics
by João A. Bastos & Jorge Caiado - 2135-2153 Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
by Massimo Guidolin & Stuart Hyde - 2155-2170 Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
by Osvaldo C. Silva Filho & Flavio A. Ziegelmann & Michael J. Dueker - 2171-2183 Power-law behaviour in time durations between extreme returns
by Juan C. Reboredo & Miguel A. Rivera-Castro & Edilson Machado de Assis - 2185-2192 Quantile regression estimates and the analysis of structural breaks
by Marilena Furno - 2193-2203 Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks
by Kiseok Nam & Joshua Krausz & Augustine C. Arize - 2205-2213 Detecting volatility persistence in GARCH models in the presence of the leverage effect
by A. B. M. Rabiul Alam Beg & Sajid Anwar - 2215-2224 Model risk of the implied GARCH-normal model
by Shih-Feng Huang & Meihui Guo - 2225-2235 A long-memory integer-valued time series model, INARFIMA, for financial application
by A. M. M. Shahiduzzaman Quoreshi - 2237-2253 Alternative modeling for long term risk
by Dominique Gu�gan & Xin Zhao
November 2014, Volume 14, Issue 11
- 1881-1893 Pairs trading: optimal thresholds and profitability
by Zhengqin Zeng & Chi-Guhn Lee - 1895-1896 The Second Machine Age: Work, Progress, and Prosperity in a Time of Brilliant Technologies
by Xiaojing Dong & Shelby H. McIntyre - 1899-1922 Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
by Alexander Lipton & Andrey Gal & Andris Lasis - 1923-1936 A chaos expansion approach under hybrid volatility models
by Hideharu Funahashi - 1937-1959 An almost Markovian LIBOR market model calibrated to caps and swaptions
by Junwu Gan - 1961-1970 An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
by Marianito R. Rodrigo & Rogemar S. Mamon - 1971-1982 The pricing of basket-spread options
by Chun-Sing Lau & Chi-Fai Lo - 1983-1997 Mean-variance cointegration and the expectations hypothesis
by Till Strohsal & Enzo Weber - 1999-2018 Correlations between stock returns and bond returns: income and substitution effects
by Gwangheon Hong & Youngsoo Kim & Bong-Soo Lee - 2019-2032 Cardinality versus q -norm constraints for index tracking
by Bj�rn Fastrich & Sandra Paterlini & Peter Winker - 2033-2044 Grey Relational Analysis and Neural Network Forecasting of REIT returns
by Jo-Hui Chen & Ting-Tzu Chang & Chao-Rung Ho & John Francis Diaz - 2045-2064 Portfolio choice with indivisible and illiquid housing assets: the case of Spain
by Sergio Mayordomo & Maria Rodriguez-Moreno & Juan Ignacio Pe�a
October 2014, Volume 14, Issue 10
- 1693-1700 Bayesian testing for jumps in stochastic volatility models with correlated jumps
by Li Yong & Jie Zhang - 1701-1703 The Half-life of Facts: Why Everything We Know Has an Expiration Date
by Roger M. Stein - 1709-1724 Making mean-variance hedging implementable in a partially observable market
by Masaaki Fujii & Akihiko Takahashi - 1725-1737 Hedging strategies for energy derivatives
by P. Leoni & N. Vandaele & M. Vanmaele - 1739-1751 Dynamic option hedging via stochastic model predictive control based on scenario simulation
by Alberto Bemporad & Leonardo Bellucci & Tommaso Gabbriellini - 1753-1764 Option pricing and Greeks via a moving least square meshfree method
by Yongsik Kim & Hyeong-Ohk Bae & Hyeng Keun Koo - 1765-1784 Discrete dividends and the FTSE-100 index options valuation
by Nelson Areal & Artur Rodrigues - 1785-1794 Closed form spread option valuation
by Petter Bjerksund & Gunnar Stensland - 1795-1809 Pricing of geometric Asian options under Heston's stochastic volatility model
by Bara Kim & In-Suk Wee - 1811-1827 A regime-switching Heston model for VIX and S&P 500 implied volatilities
by Andrew Papanicolaou & Ronnie Sircar - 1829-1837 Dynamics of the implied volatility surface. Theory and empirical evidence
by Jacinto Marabel Romo - 1839-1855 Comparison of methods to estimate option implied risk-neutral densities
by Wan-Ni Lai - 1857-1879 Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
by Seung Hwan Lee
September 2014, Volume 14, Issue 9
- 1503-1511 Modelling the rebalancing slippage of leveraged exchange-traded funds
by Lakshithe Wagalath - 1513-1515 After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead
by Thomas Hughes - 1518-1518 Applications sought for book review editor from 2015
by Alexander Smith - 1519-1539 Optimal liquidation in dark pools
by Peter Kratz & Torsten Sch�neborn - 1541-1554 Myopic loss aversion, reference point, and money illusion
by Xue Dong He & Xun Yu Zhou - 1555-1571 Smooth monotone covariance for elliptical distributions and applications in finance
by Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev - 1573-1585 Copula dynamics in CDOs
by Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck - 1587-1595 Haar wavelets-based approach for quantifying credit portfolio losses
by Josep J. Masdemont & Luis Ortiz-Gracia - 1597-1618 Commodity markets through the business cycle
by Julien Chevallier & Mathieu Gatumel & Florian Ielpo - 1619-1626 Skewness premium with L�vy processes
by Jos� Fajardo & Ernesto Mordecki - 1627-1641 Assessing stock market dependence and contagion
by Omar Abbara & Mauricio Zevallos - 1643-1649 A Black-Litterman approach to correlation stress testing
by F. C. Ng & W. K. Li & Philip L. H. Yu - 1651-1661 An optimal investment model with Markov-driven volatilities
by Shangzhen Luo & Xudong Zeng - 1663-1675 Complexity and financial stability in a large random economy
by Matteo Marsili - 1677-1692 Completeness, interconnectedness and distribution of interbank exposures-a parameterized analysis of the stability of financial networks
by Angelika Sachs
January 2014, Volume 14, Issue 8
- 1489-1502 Computing optimal rebalance frequency for log-optimal portfolios
by Sujit R. Das & Dmitri Kaznachey & Mukul Goyal
August 2014, Volume 14, Issue 8
- 1334-1334 Applications sought for book review editor from 2015
by Alexander Smith
July 2014, Volume 14, Issue 7
- 1131-1139 The Kelly growth optimal strategy with a stop-loss rule
by M. Nielsen - 1141-1144 Risk-Return Analysis: The Theory and Practice of Rational Investing
by Haim Levy - 1147-1166 Hawkes model for price and trades high-frequency dynamics
by Emmanuel Bacry & Jean-Fran�ois Muzy - 1167-1185 Real-time market microstructure analysis: online transaction cost analysis
by R. Azencott & A. Beri & Y. Gadhyan & N. Joseph & C.-A. Lehalle & M. Rowley - 1187-1199 Extreme dependence for multivariate data
by Damien Bosc & Alfred Galichon - 1201-1209 CLA's, PLA's and a new method for pricing general passport options
by Peter Buchen & Hamish Malloch - 1211-1216 On a symmetrization of diffusion processes
by Jirô Akahori & Yuri Imamura - 1217-1228 On the calibration of distortion risk measures to bid-ask prices
by Karl F. Bann�r & Matthias Scherer - 1229-1242 Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
by Panos Xidonas & George Mavrotas - 1243-1255 Financial instability contagion: a dynamical systems approach
by Giuseppe Castellacci & Youngna Choi - 1257-1271 Axiomatization of residual income and generation of financial securities
by Roberto Ghiselli Ricci & Carlo Alberto Magni - 1273-1282 Inferring fundamental value and crash nonlinearity from bubble calibration
by Wanfeng Yan & Ryan Woodard & Didier Sornette - 1283-1296 An economic evaluation of stock-bond return comovements with copula-based GARCH models
by Chih-Chiang Wu & Zih-Ying Lin - 1297-1313 Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
by S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin
June 2014, Volume 14, Issue 6
- 941-946 Copula-opinion pooling with complex opinions
by Joseph Simonian - 947-957 Asymmetric information, illiquidity and asset returns: evidence from China
by Guangchuan Li & Lei Lu & Bo Wu & Zhou Zhang - 959-960 Doing Capitalism in the Innovation Economy
by Sanjay Unni - 965-976 Corporate governance and stock returns in Asia
by Roy Kouwenberg & Roelof Salomons & Pipat Thontirawong - 977-991 The effect of corporate social responsibility on stock performance: new evidence for the USA and Europe
by Urs von Arx & Andreas Ziegler - 993-1004 Slow price reactions to analysts' recommendation revisions
by Kotaro Miwa & Kazuhiro Ueda - 1005-1017 Pricing assets with stochastic cash-flow growth
by Assaf Eisdorfer & Carmelo Giaccotto - 1019-1030 An information-based model of target stock price runup in the market for corporate control
by Matthew Brigida & Jeff Madura & Ariel Viale - 1031-1046 Cross-ownership as a structural explanation for over- and underestimation of default probability
by Sabine Karl & Tom Fischer - 1047-1058 Using a hybrid evolution approach to forecast financial failures for Taiwan-listed companies
by Mu-Yen Chen - 1059-1068 Banks' interest rate risk: the net interest income perspective versus the market value perspective
by Christoph Memmel - 1069-1078 Upfront versus staged financing: the role of verifiability
by Dongsoo Shin & Sungho Yun - 1079-1095 Investment decisions with financial constraints. Evidence from Spanish firms
by Jacinto Marabel Romo - 1097-1106 Optimal dividend strategy with transaction costs for an upward jump model
by Ming Zhou & Ka Fai Cedric Yiu - 1107-1114 The role of government in the venture capital market with asymmetric information
by Anson Wong - 1115-1130 The exit decision in the European venture capital market
by Elisabete Gomes Santana F�lix & Cesaltina Pacheco Pires & Mohamed Azzim Gulamhussen
May 2014, Volume 14, Issue 5
- 749-760 On a dynamic adaptation of The Distribution Builder approach to investment decisions
by Phillip Monin - 761-770 A computational definition of financial randomness
by Olivier Brandouy & Jean-Paul Delahaye & Lin Ma - 771-772 Introduction to Risk Parity and Budgeting
by Bernd Scherer - 775-776 When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio - a comment
by Frank Schuhmacher & Wolfgang Breuer - 777-787 Momentum and reversion in risk neutral martingale probabilities
by Dilip B. Madan - 789-803 Lookback option pricing using the Fourier transform B-spline method
by Gareth G. Haslip & Vladimir K. Kaishev - 805-830 Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements
by Dima Rahman - 831-847 Do fear indices help predict stock returns?
by G. Rubbaniy & Robel Asmerom & Syed Kumail Abbas Rizvi & Bushra Naqvi - 849-861 Processes for stocks capturing their statistical properties from one day to one year
by Gilles Zumbach & Luis Fern�ndez & Caroline Weber - 863-888 Bayesian estimation of truncated data with applications to operational risk measurement
by Xiaoping Zhou & Rosella Giacometti & Frank J. Fabozzi & Ann H. Tucker - 889-911 Scaling laws: a viable alternative to value at risk?
by Thomas Chopping - 913-930 A mixture of Gaussians approach to mathematical portfolio oversight: the EF3M algorithm
by Marcos L�pez de Prado & Matthew D. Foreman - 931-939 Estimating correlation and covariance matrices by weighting of market similarity
by M.C. M�nnix & R. Sch�fer & O. Grothe
April 2014, Volume 14, Issue 4
- 557-571 The rise of global stock market crash probabilities
by Thijs Markwat - 573-579 A principal component approach to measuring investor sentiment in China
by Haiqiang Chen & Terence Tai Leung Chong & Yingni She - 581-582 Expected Returns: An Investor's Guide to Harvesting Market Rewards
by Jason Hsu - 587-588 Special Issue of Quantitative Finance on 'Behavioral Finance'
by Hersh Shefrin - 589-604 Asset price bubbles: a survey
by Anna Scherbina & Bernd Schlusche - 605-627 Is trading behavior stable across contexts? Evidence from style and multi-style investors
by Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov - 629-640 Out of the blue: mood maintenance hypothesis and seasonal effects on investors' reaction to news
by Doron Kliger & Andrey Kudryavtsev - 641-655 Return prediction and stock selection from unidentified historical data
by Doron Sonsino & Tal Shavit - 657-671 Optimal portfolios under worst-case scenarios
by Carole Bernard & Jit Seng Chen & Steven Vanduffel - 673-681 Can utility optimization explain the demand for structured investment products?
by Thorsten Hens & Marc Oliver Rieger - 683-697 Framing and the disposition effect: evidence from mutual fund investor redemption behaviour
by Greg Niehaus & David Shrider - 699-710 Portfolio performance evaluation with loss aversion
by Valeri Zakamouline - 711-724 The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks
by Vassilis A. Efthymiou & George N. Leledakis - 725-735 Investor behaviour and contagion
by Todd Feldman - 737-748 Is momentum a self-fulfilling prophecy?
by Steven J. Jordan
March 2014, Volume 14, Issue 3
- 383-392 Trading system capability
by Andrew Kumiega & Thaddeus Neururer & Ben Van Vliet - 393-399 Ambiguity, asset prices, and excess volatility in a pure-exchange economy
by Weidong Xu & Chongfeng Wu & Weilin Xiao - 401-401 Elements of quantitative finance: a response to Jeff Holman's review of Antifragile
by Nassim Nicholas Taleb - 403-406 The Signal and the Noise: Why So Many Predictions Fail -- but Some Don't , by Nate Silver
by Lisa R. Goldberg - 409-426 Pricing American options written on two underlying assets
by Carl Chiarella & Jonathan Ziveyi - 427-442 Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
by Igor Halperin & Andrey Itkin - 443-456 Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model
by Cyrille Dubarry & Randal Douc - 457-480 Stochastic volatility for interest rate derivatives
by Linus Kaisajuntti & Joanne Kennedy - 481-494 Multiplicative noise, fast convolution and pricing
by Giacomo Bormetti & Sofia Cazzaniga - 495-507 Refining the least squares Monte Carlo method by imposing structure
by Pascal L�tourneau & Lars Stentoft - 509-528 A bifurcation model of market returns
by David Nawrocki & Tonis Vaga