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Content
2008, Volume 8, Issue 1
- 81-92 Semiparametric diffusion estimation and application to a stock market index
by Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen - 93-102 Risk-adjusted value allocation for (non-traded) assets with performance ratios
by Johannes Leitner
2007, Volume 7, Issue 6
- 585-589 Optimal approximations of power laws with exponentials: application to volatility models with long memory
by Thierry Bochud & Damien Challet - 591-596 Forecasting volatility in GARCH models with additive outliers
by Beatriz Catalan & F. Javier Trivez - 599-607 Conditional tail behaviour and Value at Risk
by Fabio Bellini & Gianna Figa-talamanca - 609-619 Value-at-risk in a market subject to regime switching
by Ryohei Kawata & Masaaki Kijima - 621-636 Value-at-risk forecasts under scrutiny—the German experience
by Stefan Jaschke & Gerhard Stahl & Richard Stehle - 637-650 The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
by Luis Muga & Rafael Santamaria - 651-667 Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
by Thomas Chiang & Lin Tan & Huimin Li - 669-685 Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
by Chaker Aloui - 687-696 Testing asymmetry in financial time series
by Francesco Lisi - 697-699 Comments on 'A theory of non-Gaussian option pricing'
by Gil Adams & Yuhua Yuan & Michael Kelly - 701-701 A theory of non-Gaussian option pricing
by Lisa Borland - 703-703 A non-Gaussian option pricing model with skew
by Lisa Borland & Jean-Philippe Bouchaud
2007, Volume 7, Issue 5
- 473-479 Model-free price hedge ratios for homogeneous claims on tradable assets
by Carol Alexander & Leonardo Nogueira - 483-485 A remark on managerial behaviour and agency cost
by Zhihui Gu & Qingyuan Zhang - 487-496 On the structure of Gaussian pricing models and Gaussian Markov functional models
by C. D. D. Neumann - 497-505 A test of the beta model on Eurodollar futures options
by Les Gulko - 507-524 Volatility surfaces: theory, rules of thumb, and empirical evidence
by Toby Daglish & John Hull & Wulin Suo - 525-535 Solvable local and stochastic volatility models: supersymmetric methods in option pricing
by Pierre Henry-labordere - 537-545 Insiders' hedging in a jump diffusion model
by Kiseop Lee & Seongjoo Song - 547-551 On the existence of an efficient hedge for an American contingent claim within a discrete time market
by Leonel Perez-hernandez - 553-561 The volatility of temperature and pricing of weather derivatives
by Fred ESPEN Benth & Jurate saltyte Benth - 563-573 On option pricing models in the presence of heavy tails
by Michel Vellekoop & Hans Nieuwenhuis - 575-583 A jump telegraph model for option pricing
by Nikita Ratanov
2007, Volume 7, Issue 4
- 357-358 Introduction to the special issue on portfolio construction and risk management
by M. A. H. Dempster & Gautam Mitra & Georg Ch. Pflug - 359-364 Coherent measures of risk in everyday market practice
by Carlo Acerbi - 365-370 DC pension fund benchmarking with fixed-mix portfolio optimization
by M. A. H. Dempster & E. A. Germano & M. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston & N. Zhang - 373-387 Higher moment coherent risk measures
by PAVLO A. Krokhmal - 389-396 On the feasibility of portfolio optimization under expected shortfall
by Stefano Ciliberti & Imre Kondor & Marc Mezard - 397-409 Stability analysis of portfolio management with conditional value-at-risk
by Michal Kaut & Hercules Vladimirou & Stein W. Wallace & Stavros A. Zenios - 411-421 Stress testing for VaR and CVaR
by Jitka Dupacova & Jan PolIvka - 423-433 Stable distributions in the Black-Litterman approach to asset allocation
by Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi - 435-442 Ambiguity in portfolio selection
by Georg Pflug & David Wozabal - 443-458 Mean-risk models using two risk measures: a multi-objective approach
by Diana Roman & Kenneth Darby-Dowman & Gautam Mitra - 459-472 Implied non-recombining trees and calibration for the volatility smile
by Chris Charalambous & Nicos Christofides & Eleni D. Constantinide & Spiros H. Martzoukos
2007, Volume 7, Issue 3
- 257-260 Financial Pareto ratios
by Saralees Nadarajah & Samuel Kotz - 261-265 Country risk and the estimation of asset return distributions
by Robert Brooks & Xibin Zhang & Emawtee Bissoondoyal Bheenick - 269-284 A positive interest rate model with sticky barrier
by Yuri Kabanov & Masaaki Kijima & Sofiane Rinaz - 285-287 A simple solution for sticky cap and sticky floor
by Roberto Baviera - 289-300 Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
by Jonathan M. Godbey & Jimmy E. Hilliard - 301-319 Modelling stock price movements: multifractality or multifractionality?
by Sergio Bianchi & Augusto Pianese - 321-342 Overreaction diamonds: precursors and aftershocks for significant price changes
by Ahmet Duran & Gunduz Caginalp - 343-356 Bayesian analysis of the factor model with finance applications
by Sik-Yum Lee & Wai-Yin Poon & Xin-Yuan Song
2007, Volume 7, Issue 2
- 111-112 Introduction to the special issue on financial planning in a dynamical setting
by M. A. H. Dempster & Gautam Mitra & Georg Ch. Pflug - 115-122 Trends in quantitative equity management: survey results
by Frank J. Fabozzi & Sergio Focardi & Caroline Jonas - 125-136 Portfolio optimization under the Value-at-Risk constraint
by Traian A. Pirvu - 137-149 Dynamic consumption and asset allocation with derivative securities
by Yuan-Hung Hsuku - 151-160 Volatility-induced financial growth
by Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe - 161-173 Constant rebalanced portfolios and side-information
by E. Fagiuoli & F. Stella & A. Ventura - 175-187 Improving performance for long-term investors: wide diversification, leverage, and overlay strategies
by John M. Mulvey & Cenk Ural & Zhuojuan Zhang - 189-216 Stochastic programming for funding mortgage pools
by Gerd Infanger - 217-229 Scenario-generation methods for an optimal public debt strategy
by Massimo Bernaschi & Maya Briani & Marco Papi & Davide Vergni - 231-244 Solving ALM problems via sequential stochastic programming
by Florian Herzog & Gabriel Dondi & Simon Keel & Lorenz M. Schumani & Hans P. Geering - 245-256 Designing minimum guaranteed return funds
by M. A. H. Dempster & M. Germano & E. A. Medova & M. I. Rietbergen & F. Sandrini & M. Scrowston
2007, Volume 7, Issue 1
- 1-12 Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques
by David Buckle - 13-16 The effect of size-based regulation on an economic system exhibiting self-organized criticality
by Di Lu & Shuming Du - 17-18 BookReview
by Ulrich Horst - 21-36 Multi-scaling in finance
by T. Di Matteo - 37-53 Do supply and demand drive stock prices?
by Carl Hopman - 55-62 Relative volume as a doubly stochastic binomial point process
by James McCulloch - 63-74 The geometry of crashes. A measure of the dynamics of stock market crises
by Tanya Araujo & Francisco Louca - 75-86 Is there an informationally passive benchmark for option pricing incorporating maturity?
by Vicky Henderson & David Hobson & Tino Kluge - 87-94 Distribution of occupation times for constant elasticity of variance diffusion and the pricing of α-quantile options
by Kwai Sun Leung & Yue Kuen Kwok - 95-110 Calibration of a nonlinear feedback option pricing model
by Simona Sanfelici
2006, Volume 6, Issue 6
- 449-449 The modified Weibull distribution for asset returns
by Saralees Nadarajah & Samuel Kotz - 451-451 The modified weibull distribution for asset returns: reply
by Y. Malevergne & V. Pisarenko & D. Sornette - 455-463 Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
by Dilip Madan - 465-480 A cross-currency Levy market model
by Ernst Eberlein & Nataliya Koval - 481-494 Myopic loss aversion and margin of safety: the risk of value investing
by Kuan Xu & Gordon Fisher - 495-511 On a subjective approach to risk measurement
by Piotr Jaworski - 513-536 Fast strong approximation Monte Carlo schemes for stochastic volatility models
by Christian Kahl & Peter Jackel
2006, Volume 6, Issue 5
- 365-367 Derman and Taleb's 'The illusions of dynamic replication': a comment
by Doriana Ruffino & Jonathan Treussard - 371-384 There's more to volatility than volume
by Laszlo Gillemot & J. Doyne Farmer & Fabrizio Lillo - 385-402 A multivariate jump-driven financial asset model
by Elisa Luciano & Wim Schoutens - 403-409 Drawdowns preceding rallies in the Brownian motion model
by Olympia Hadjiliadis & Jan Vecer - 411-422 Do emerging markets with consistent returns have better future performance?
by Boyce Watkins - 423-433 Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
by Jaume Masoliver & Josep Perello - 435-445 Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
by Valeri zakamouline
2006, Volume 6, Issue 4
- 273-277 Intelligent finance—an emerging direction
by Heping Pan & Didier Sornette & Kenneth Kortanek - 279-280 Book review
by Stathis Tompaidis - 283-295 Short-term market reaction after extreme price changes of liquid stocks
by Adam Zawadowski & Gyorgy Andor & Janos Kertesz - 297-326 Analysis of drawdowns and drawups in the US$ interest-rate market
by Riccardo Rebonato & Valerio Gaspari - 327-335 Barrier options and their static hedges: simple derivations and extensions
by Rolf Poulsen - 337-347 The square-root process and Asian options
by Angelos Dassios & Jayalaxshmi Nagaradjasarma - 349-357 Efficient hybrid methods for portfolio credit derivatives
by H. Zheng - 359-363 The robustness of modified unit root tests in the presence of GARCH
by Steven Cook
2006, Volume 6, Issue 3
- 185-191 Dynamic capital allocation: exploiting persistent patterns in currency performance
by Collin Crownover - 193-193 Book Review
by David Hobson - 197-206 Local volatility function models under a benchmark approach
by David Heath & Eckhard Platen - 207-218 Expensive martingales
by Hans Buehler - 219-227 Symmetry and duality in Levy markets
by JosE Fajardo & Ernesto Mordecki - 229-242 An exact and explicit solution for the valuation of American put options
by Song-Ping Zhu - 243-253 Pricing defaultable bonds: a middle-way approach between structural and reduced-form models
by Lara Cathcart & Lina El-Jahel - 255-271 Investor preferences and portfolio selection: is diversification an appropriate strategy?
by C. James Hueng & Ruey Yau
2006, Volume 6, Issue 2
- 95-105 A simple approach for pricing equity options with Markov switching state variables
by Donald Aingworth & Sanjiv Das & Rajeev Motwani - 107-112 Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
by J. Doyne Farmer & Austin Gerig & Fabrizio Lillo & Szabolcs Mike - 115-123 Random walks, liquidity molasses and critical response in financial markets
by Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters - 125-145 Esscher transforms and the minimal entropy martingale measure for exponential Levy models
by Friedrich Hubalek & Carlo Sgarra - 147-158 A new technique for calibrating stochastic volatility models: the Malliavin gradient method
by Christian-Oliver Ewald & Aihua Zhang - 159-171 The generalized value at risk admissible set: constraint consistency and portfolio outcomes
by Roger Bowden - 173-183 On the equivalence of the static and dynamic asset allocation problems
by Robert Kohn & Oana Papazoglu-Statescu
2006, Volume 6, Issue 1
- 1-3 Comment on 'Large stock price changes: volume or liquidity?', by Weber and Rosenow
by J. Doyne Farmer - 7-14 Large stock price changes: volume or liquidity?
by Philipp Weber & Bernd Rosenow - 15-36 A Bayesian analysis of log-periodic precursors to financial crashes
by George Chang & James Feigenbaum - 37-54 Optimal exercise strategies for corporate warrants
by Christian Koziol - 55-66 Pricing exotic options in a path integral approach
by G. Bormetti & G. Montagna & N. Moreni & O. Nicrosini - 67-74 The value of the 'swap' feature in equity default swaps
by Javier Gil-Bazo - 75-81 On risk management problems related to a coherence property
by Frank Fabozzi & Radu Tunaru - 83-94 Optimal portfolio for an insider in a market driven by Levy processes
by Giulia Di Nunno & Thilo Meyer-Brandis & Bernt Øksendal & Frank Proske
2005, Volume 5, Issue 6
- 513-517 Statistical properties of demand fluctuation in the financial market
by Kaushik Matia & Kazuko Yamasaki - 519-521 Two phase behaviour and the distribution of volume
by Vasiliki Plerou & Parameswaran Gopikrishnan & H. Eugene Stanley - 525-530 Moment swaps
by Wim Schoutens - 531-542 Valuation of volatility derivatives as an inverse problem
by Peter Friz & Jim Gatheral - 543-556 On a multivariate Markov chain model for credit risk measurement
by Tak-Kuen Siu & Wai-Ki Ching & S. Eric Fung & Michael Ng - 557-568 Multiple equilibria in a monopoly market with heterogeneous agents and externalities
by Jean-Pierre Nadal & Denis Phan & Mirta Gordon & Jean Vannimenus - 569-576 Price return autocorrelation and predictability in agent-based models of financial markets
by Damien Challet & Tobias Galla - 577-591 Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method
by Didier Sornette & Wei-Xing Zhou
2005, Volume 5, Issue 5
- 425-431 FX trading models - how are they doing?
by Jessica James - 433-442 On the distributional distance between the lognormal LIBOR and swap market models
by Damiano Brigo & Jan Liinev - 443-457 Pricing Black-Scholes options with correlated interest rate risk and credit risk: an extension
by Szu-Lang Liao & Hsing-Hua Huang - 459-474 Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund
by Andreas Lindemann & Christian Dunis & Paulo Lisboa - 475-487 On non-Gaussianity and dependence in financial time series: a nonextensive approach
by S. M. Duarte Queiros - 489-501 Empirical estimation of tail dependence using copulas: application to Asian markets
by Cyril Caillault & Dominique Guegan - 503-512 Optimal portfolio delegation when parties have different coefficients of risk aversion
by Kasper Larsen
2005, Volume 5, Issue 4
- 323-326 The illusions of dynamic replication
by Emanuel Derman & Nassim Nicholas Taleb - 329-342 Static-arbitrage upper bounds for the prices of basket options
by David Hobson & Peter Laurence & Tai-Ho Wang - 343-355 Time to wealth goals in capital accumulation
by Leonard Maclean & William Ziemba & Yuming Li - 357-364 Order book approach to price impact
by P. Weber & B. Rosenow - 365-377 The immediate price impact of trades on the Australian Stock Exchange
by Marcus Lim & Richard Coggins - 379-401 Empirical distributions of stock returns: between the stretched exponential and the power law?
by Y. Malevergne & V. Pisarenko & D. Sornette - 403-424 Wavelet Galerkin pricing of American options on Levy driven assets
by A. -M. Matache & P. -A. Nitsche & C. Schwab
2005, Volume 5, Issue 3
- 235-235 Editorials
by Carl Chiarella & Eckhard Platen - 237-244 Waiting for returns: using space-time duality to calibrate financial diffusions
by Mark Kamstra & Moshe Milevsky - 247-256 Discrete credit barrier models
by Claudio Albanese & Oliver Chen - 257-270 PDE approach to valuation and hedging of credit derivatives
by Tomasz Bielecki & Monique Jeanblanc & Marek Rutkowski - 271-276 Pairs trading
by Robert Elliott & John Van Der Hoek & William Malcolm - 277-288 A Markov model for valuing asset prices in a dynamic bargaining market
by Masaaki Kijima & Yoshihiko Uchida - 289-302 Pricing inflation-indexed derivatives
by Fabio Mercurio - 303-313 Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
by Holger Kraft - 315-321 Optimal portfolios with a positive lower bound on final wealth
by Ralf Korn
2005, Volume 5, Issue 2
- 133-140 Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences
by Rosario Nunzio Mantegna - 145-152 Durations, volume and the prediction of financial returns in transaction time
by Christian Hafner - 153-168 Surprise volume and heteroskedasticity in equity market returns
by Niklas Wagner & Terry Marsh - 169-180 A learning market-maker in the Glosten-Milgrom model
by Sanmay Das - 181-198 On accurate and provably efficient GARCH option pricing algorithms
by Yuh-Dauh Lyuu & Chi-Ning Wu - 199-211 Stochastic volatility and the goodness-of-fit of the Heston model
by Gilles Daniel & Nathan Joseph & David Bree - 213-218 Tobin tax and market depth
by G. Ehrenstein & F. Westerhoff & D. Stauffer - 219-226 International tax arbitrage, financial parity conditions and preferential capital gains taxation
by Frank Strobel - 227-234 Estimating value-at-risk: a point process approach
by V. Chavez-Demoulin & A. C. Davison & A. J. McNeil
2005, Volume 5, Issue 1
- 1-8 The use of Hurst and effective return in investing
by Andrew Clark - 9-24 Empirical modelling of contagion: a review of methodologies
by Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin - 27-34 Analysis of default data using hidden Markov models
by Giacomo Giampieri & Mark Davis & Martin Crowder - 35-47 The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
by Vicky Henderson - 49-60 Pricing electricity risk by interest rate methods
by Juri Hinz & Lutz Von Grafenstein & Michel Verschuere & Martina Wilhelm - 61-69 Valuing employee reload options under the time vesting requirement
by Min Dai & Yue Kuen Kwok - 71-87 A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
by Andrea Consiglio & Valerio Lacagnina & Annalisa Russino - 89-104 A moment expansion approach to option pricing
by Marco Airoldi - 105-121 A framework to measure integrated risk
by Elena Medova & Robert Smith - 123-131 Financial contagion, spillovers and causality in the Markov switching framework
by Jedrzej Białkowski & Dobromił Serwa
2004, Volume 4, Issue 6
- 57-60 Robust tests of the random walk hypothesis
by Erhard Reschenhofer - 61-67 Quantum games in finance
by Edward Piotrowski & Jan Sładkowski - 619-636 Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
by Brendan Bradley & Murad Taqqu - 637-648 Bivariate normal mixture spread option valuation
by Carol Alexander & Andrew Scourse - 649-662 Rank reduction of correlation matrices by majorization
by Raoul Pietersz & Patrick Groenen - 663-676 Pricing equity options everywhere
by S. Dyrting - 677-684 Network topology of the interbank market
by Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner - 685-693 Application of the heston and hull-white models to german dax data
by Ralf Remer & Reinhard Mahnke - 695-702 Anomalous waiting times in high-frequency financial data
by Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto
2004, Volume 4, Issue 5
- 49-49 Preface
by J. P. Bouchaud - 51-54 A look ahead at options pricing and volatility
by Marco Avellaneda - 479-488 A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction
by Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea - 489-498 Adaptive mixture for a controlled smile: the LT model
by Nadhem Meziou - 499-514 A non-Gaussian option pricing model with skew
by Lisa Borland & Jean-Philippe Bouchaud - 515-524 Option valuation with infinitely divisible distributions
by Steven Heston - 525-547 Early exercise boundary and option prices in Levy driven models
by S. Z. Levendorski - 549-557 Hedging European and Barrier options using stochastic optimization
by Michael Villaverde - 559-579 Delta-hedging vega risk?
by Stephane Crepey - 581-588 From local volatility to local Levy models
by Peter Carr & Helyette Geman & Dilip Madan & Marc Yor - 589-595 GARCH and Volatility swaps
by Alireza Javaheri & Paul Wilmott & Espen Haug - 597-606 Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
by Jean-Pierre Fouque & Chuan-Hsiang Han - 607-618 Option pricing and hedging with minimum local expected shortfall
by Benoit Pochart & Jean-Philippe Bouchaud
2004, Volume 4, Issue 4
- 37-45 Adaptive systems for foreign exchange trading
by Mark Austin & Graham Bates & Michael Dempster & Vasco Leemans & Stacy Williams - 383-397 What really causes large price changes?
by J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen - 399-415 Technical trading and the volatility of exchange rates
by Christian Bauer & Bernhard Herz - 417-425 A methodology for index tracking based on time-series clustering
by Sergio Focardi & Frank Fabozzi - 427-440 Non-parametric estimation of historical volatility
by John Randal & Peter Thomson & Martin Lally - 441-456 How trading activity scales with company size in the FTSE 100
by Gilles Zumbach - 457-464 Option pricing with Weyl-Titchmarsh theory
by Yishen Li & Jin Zhang - 465-477 Preposterior analysis for option pricing
by Dorje Brody & Ian Buckley & Bernhard Meister
2004, Volume 4, Issue 3
- 29-29 QFRC drives financial research
by Tony Hall - 30-33 Equity indexing: Optimize your passive investments
by Carol Alexander & Anca Dimitriu - 34-34 Going beyond the LIBOR model
by Alireza Javaheri - 245-255 Performance of utility-based strategies for hedging basis risk
by Michael Monoyios - 256-265 Testing for persistence in stock returns with GARCH-stable shocks
by Prasad Bidarkota & J Huston Mcculloch - 266-275 Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model
by Mark Joshi & Dherminder Kainth - 276-291 Dynamics of international financial networks with risk management
by Anna Nagurney & Jose Cruz - 292-300 Pricing options with American-style average reset features
by Chuang-Chang Chang & San-Lin Chung & Mark Shackleton