Printed from https://ideas.repec.org/s/taf/quantf10.html
Content
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 - 1129-1132 Convergence of Heston to SVI
by Jim Gatheral & Antoine Jacquier - 1133-1134 Markets with Transaction Costs, by Yuri Kabanov and Mher Safarian
by James Lewis - 1137-1149 Closed-form convexity and cross-convexity adjustments for Heston prices
by Gabriel Drimus - 1151-1164 On refined volatility smile expansion in the Heston model
by Peter Friz & Stefan Gerhold & Archil Gulisashvili & Stephan Sturm - 1165-1176 Johnson binomial trees
by Jean-Guy Simonato - 1177-1191 On the acceleration of explicit finite difference methods for option pricing
by Stephen O'Sullivan & Conall O'Sullivan - 1193-1206 Non-parametric partial importance sampling for financial derivative pricing
by Jan Neddermeyer - 1207-1220 Parisian exchange options
by An Chen & Michael Suchanecki - 1221-1231 Pricing barrier options by a regime switching model
by Pål Nicolai Henriksen - 1233-1244 Pricing of a reload employee stock option under severance risk
by Jun Ma - 1245-1269 An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility
by Minqiang Li & Kyuseok Lee - 1271-1271 Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
by Susanne Griebsch & Uwe Wystup
2011, Volume 11, Issue 7
- 967-978 The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis
by Yue-Jun Zhang & Yi-Ming Wei - 979-986 Semi-static hedging for certain Margrabe-type options with barriers
by Michael Schmutz - 987-988 How Big Banks Fail and What to Do about It, by Darrell Duffie
by Riccardo Rebonato - 991-1012 Econophysics review: I. Empirical facts
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 1013-1041 Econophysics review: II. Agent-based models
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 1043-1050 A computational view of market efficiency
by Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola - 1051-1066 On derivatives with illiquid underlying and market manipulation
by Ulrich Horst & Felix Naujokat - 1067-1080 When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
by Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario Mantegna - 1081-1090 Statistical rehabilitation of improper correlation matrices
by A. Frigessi & A. Løland & A. Pievatolo & F. Ruggeri - 1091-1102 Empirical properties of large covariance matrices
by Gilles Zumbach - 1103-1124 Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
by Zdzisław Burda & Andrzej Jarosz & Maciej Nowak & Jerzy Jurkiewicz & Gabor Papp & Ismail Zahed
2011, Volume 11, Issue 6
- 805-815 Volatile earnings growth, the price of earnings and the Value premium
by Jamie Alcock & Thomas Mollee & James Wood - 817-823 Fierce stock market fluctuation disrupts scalefree distribution
by Jing Liu & Chi Tse & Keqing He - 825-826 Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen
by Aaron Brown - 829-848 A profitable trading and risk management strategy despite transaction costs
by Ahmet Duran & Michael Bommarito - 849-861 Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply
by G. Caginalp & M. Desantis - 863-881 Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets
by Rafael Velasco-Fuentes & Wing Lon Ng - 883-899 A new microstructure noise index
by Mathieu Rosenbaum - 901-916 Probability of an incoming order signal
by Jorge Perez-Rodriguez - 917-932 Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
by Friedrich Hubalek & Petra Posedel - 933-946 An event study of price movements following realized jumps
by Hossein Asgharian & Mia Holmfeldt & Marcus Larson - 947-953 The January effect across volatility regimes
by Betty Agnani & Henry Aray - 955-965 Exploring the relationship between investor sentiment and price volatility
by Ann Shawing Yang & Ming-Lung Wu
2011, Volume 11, Issue 5
- 641-651 Provably linkable trading
by Chris Kenyon & Jan Camenisch - 653-661 Excess capital, operational disaster risk, and capital requirements for banks
by Mohamed Belhaj - 665-691 Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
by Alexander van Haastrecht & Antoon Pelsser - 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
by Susanne Griebsch & Uwe Wystup - 711-727 Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis
by Jan Maruhn & Morten Nalholm & Matthias Fengler - 729-748 Efficient and accurate quadratic approximation methods for pricing Asian strike options
by Chuang-Chang Chang & Chueh-Yung Tsao - 749-762 A comprehensive structural model for defaultable fixed-income bonds
by Rossella Agliardi - 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