Content
2004, Volume 4, Issue 3
- 301-314 Geometric Asian options: valuation and calibration with stochastic volatility
by Hoi Ying Wong & Ying Lok Cheung - 315-327 Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
by Bjarne Højgaard & Michael Taksar - 328-338 A new Fourier transform algorithm for value-at-risk
by Claudio Albanese & Ken Jackson & Petter Wiberg - 339-352 Sampling from Archimedean copulas
by Niall Whelan - 353-364 An out-of-equilibrium model of the distributions of wealth
by Nicola Scafetta & Sergio Picozzi & Bruce West - 365-372 On the estimation of cost of capital and its reliability
by Wing-keung Wong & Raymond Chan - 373-382 Models of asset returns: changes of pattern from high to low event frequency
by Juuso Toyli & Marko Sysi-aho & Kimmo Kaski
2004, Volume 4, Issue 2
- 19-20 Robert F Engle: Understanding volatility as a process
by Robert Engle - 21-23 A diffusive wander through human life
by Moshe Milevsky - 24-24 Adventures on the edge of chaos
by K. P. Zetie - 123-128 Perpetual American options with fractional Brownian motion
by Robert Elliott & Leunglung Chan - 129-139 Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
by Lim Kian Guan & Liu Xiaoqing & Tsui Kai Chong - 140-150 A duscrete-time model of high-frequency stock returns
by Takaki Hayashi - 151-157 On the accuracy of the local linear approximation for the term structure of interest rates
by Hideyuki Takamizawa & Isao Shoji - 158-169 Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
by Y. K. Tse & Xibin Zhang & Jun Yu - 170-175 Pricing Asian options in a semimartingale model
by Jan Vecer & Mingxin Xu - 176-190 Fluctuations and response in financial markets: the subtle nature of 'random' price changes
by Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart - 191-198 Aggregate consumption spending, the stock market and asymmetric error correction
by Lonnie Stevans - 199-207 Applying importance sampling for estimating coherent credit risk contributions
by Sandro Merino & Mark Nyfeler - 208-220 Statistical analysis of financial time series under the assumption of local stationarity
by Stephan Clemencon & Skander Slim - 221-232 Positive forward rates in the maximum smoothness framework
by Julian Manzano & Jorgen Blomvall - 233-243 Optimal tracking for asset allocation with fixed and proportional transaction costs
by Stanley Pliska & Kiyoshi Suzuki
2004, Volume 4, Issue 1
- 1-6 Enhancing trend-following strategies with option selling
by Jessica James & Hetty Colchester - 55-63 Understanding option prices
by Ajay Khanna & Dilip Madan - 64-69 Aggregating sectors in the infectious defaults model
by Ola Hammarlid - 70-86 Volatility processes and volatility forecast with long memory
by Gilles Zumbach - 87-100 Valuing Bermudan options when asset returns are Levy processes
by Evis Këllezi & Nick Webber - 101-108 The pricing of dual-expiry exotics
by Peter Buchen - 109-122 A spot market model for pricing derivatives in electricity markets
by Markus Burger & Bernhard Klar & Alfred Muller & Gero Schindlmayr
2003, Volume 3, Issue 6
- 106-108 Real-time learning at Maryland
by Alexander Triantis - 109-113 Playing the trombone to tulips
by Jack Gray - 114-116 Robustness of simple trend-following strategies
by Jessica James - 417-425 A market-induced mechanism for stock pinning
by Marco Avellaneda & Michael Lipkin - 426-441 A semi-parametric approach to risk management
by N. H. Bingham & Rudiger Kiesel & Rafael Schmidt - 442-450 Pricing of index options under a minimal market model with log-normal scaling
by David Heath & Eckhard Platen - 451-457 A new well-posed algorithm to recover implied local volatility
by Lishang Jiang & Qihong Chen & Lijun Wang & Jin Zhang - 458-469 A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
by Mark Joshi & Riccardo Rebonato - 470-480 Fundamentalists clashing over the book: a study of order-driven stock markets
by Marco Licalzi & Paolo Pellizzari - 481-514 Statistical theory of the continuous double auction
by Eric Smith & J Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy
2003, Volume 3, Issue 5
- 88-90 Father of fractal complexity
by Tim Chapman - 91-91 Strong foundations in Chicago
by Ausra Di Raimondo - 92-96 Derivatives securities: what they tell us
by Jing Chen - 97-100 Trend following and option writing—a surprising portfolio
by Jessica James - 353-362 Pricing Asian options with stochastic volatility
by Jean-Pierre Fouque & Chuan-Hsiang Han - 363-369 Market-maker, inventory control and foreign exchange dynamics
by Frank Westerhoff - 370-375 Significance of log-periodic signatures in cumulative noise
by Hans-Christian Graf Bothmer - 376-384 A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data
by Malik Magdon-Ismail & Amir Atiya - 385-404 A steady-state model of the continuous double auction
by Hugh Luckock - 405-415 Dilution, anti-dilution and corporate positions in options on the company's own stocks
by M. Hanke & K. Potzelberger
2003, Volume 3, Issue 4
- 58-60 Bringing economics into the laboratory
by Tim Chapman - 61-62 Breaking down barriers
by Steven Shreve - 63-74 Innovations in trading strategies
by Izzy Nelken - 75-77 Simple trend-following strategies in currency trading
by Jessica James - 78-82 Taking the pulse of the economy
by Zbigniew Struzik - 231-250 Testing the Gaussian copula hypothesis for financial assets dependences
by Y. Malevergne & D. Sornette - 251-261 The zero-capital approach to portfolio enhancement and overlay management
by Roger Bowden - 262-284 GARCH model selection criteria
by Heather Mitchell & Michael Mckenzie - 285-287 Vol-Bond: an analytical solution
by Roberto Baviera - 288-295 One-state variable binomial models for European-/American-style geometric Asian options
by Min Dai - 296-305 The emergence of temporal correlations in a study of global economic interdependence
by Eric Friedman & Simon Johnson & A. S. Landsberg - 306-319 Risk trading, network topology and banking regulation
by Stefan Thurner & Rudolf Hanel & Stefan Pichler - 320-331 Market heterogeneities and the causal structure of volatility
by Paul Lynch & Gilles Zumbach - 332-344 Value at risk linear exponent (VARLINEX) forecasts
by John Knight & Stephen Satchell & Guoqiang Wang - 345-351 Stocks, bonds and the investment horizon: a test of time diversification on the French market
by Gilles Sanfilippo
2003, Volume 3, Issue 3
- 30-30 Looking forward to the future
by J Doyne Farmer - 31-32 Informational imperfections in theory and practice
by Tim Chapman - 33-38 Innovation at MIT
by Andrew Lo - 39-41 The US 2000-2002 market descent: clarification
by Didier Sornette & Wei-Xing Zhou - 42-48 Traditional investment versus absolute return programmes
by Hillary Till & Joseph Eagleeye - 48-51 Making money from FX volatility
by Stephane Knauf - 52-52 Frankfurt MathFinance Workshop 2003
by Matthias Reimer - 155-162 Non-constant rates and over-diffusive prices in a simple model of limit order markets
by Damien Challet & Robin Stinchcombe - 163-172 Estimating GARCH models using support vector machines
by Fernando Perez-cruz & Julio Afonso-rodriguez & Javier Giner - 173-183 Alternative asset-price dynamics and volatility smile
by Damiano Brigo & Fabio Mercurio & Giulio Sartorelli - 184-194 A nonparametric test of the mixture-of-distributions model
by Wai Mun Fong & Wesley Fabrice Lab-sane - 195-200 Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
by Olga Yashkir & Yuri Yashkir - 201-211 Stochastic simulations of time series within Weierstrass-Mandelbrot walks
by R. Kutner & F. Switała - 212-219 A data and digital-contracts driven method for pricing complex derivatives
by Jun Lu & Hiroshi Ohta - 220-229 Profitable technical trading rules as a source of price instability
by David Goldbaum
2003, Volume 3, Issue 2
- 20-21 The world is our laboratory
by Cosma Shalizi - 22-23 Reflections on risk
by Michel Dacorogna - 23-25 A close look at market microstructure
by Giulia Iori - 67-70 Nucleation of market shocks in the Sornette-Ide model
by Ana Proykova & Lena Roussenova & Dietrich Stauffer - 71-87 Financial networks with electronic transactions: modelling, analysis and computations
by Anna Nagurney & Ke Ke - 88-97 An index of market shocks based on multiscale analysis
by Bertrand Maillet & Thierry Michel - 98-107 A simple approach for pricing barrier options with time-dependent parameters
by C. F. Lo & H. C. Lee & C. H. Hui - 108-116 Systematic risk and timescales
by Ramazan Genay & Faruk Seļuk & Brandon Whitcher - 117-135 Tracking bond indices in an integrated market and credit risk environment
by Norbert Jobst & Stavros Zenios - 136-144 Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach
by Donald Lien & Y. K. Tse & Xibin Zhang - 145-154 A two-state jump model
by Claudio Albanese & Sebastian Jaimungal & Dmitri Rubisov
2003, Volume 3, Issue 1
- 1-14 Dependence structures for multivariate high-frequency data in finance
by W. Breymann & A. Dias & P. Embrechts - 15-27 Analytical pricing of the smile in a forward LIBOR market model
by D. Brigo & F. Mercurio - 28-39 Optimal allocation to hedge funds: an empirical analysis
by J. Cvitanic & A. Lazrak & L. Martellini & F. Zapatero - 40-50 Time consistency of Levy models
by E. Eberlein & F. zkan - 51-58 Commodity price modelling that matches current observables: a new approach
by K. R. Miltersen - 59-65 Mathematical foundation of convexity correction
by A. Pelsser
2003, Volume 2, Issue 4
- 232-233 Fast transformations lead to global view
by Vanessa Spedding
2002, Volume 2, Issue 6
- 400-401 Dedication brings success through diversity
by Vanessa Spedding - 402-404 Where mathematics, insurance and finance meet
by Paul Embrechts - 405-405 Molten lava meets market languor
by Alessio Sancetta & Steve Satchell - 406-407 Debunking efficient markets?
by Steve Keen - 407-407 S&P 500 predictions of Sornette and Zhou
by Christian Meister & Hans-Christian Graf Bothmer - 408-408 How to get rich with Sornette and Zhou
by Dietrich Stauffer - 409-411 Risk considerations unique to hedge funds
by Hilary Till - 415-431 A theory of non-Gaussian option pricing
by Lisa Borland - 432-442 Pricing of perpetual Bermudan options
by S. I. Boyarchenko & S. Z. Levendorskii - 443-453 Probability distribution of returns in the Heston model with stochastic volatility
by Adrian Dragulescu & Victor Yakovenko - 454-458 An interest rate model with a Markovian mean reverting level
by Robert Elliott & Rogemar Mamon - 459-467 Consistent pricing and hedging for a modified constant elasticity of variance model
by David Heath & Eckhard Platen - 468-481 The US 2000-2002 market descent: How much longer and deeper?
by Didier Sornette & Wei-Xing Zhou - 482-486 Diversification and generalized tracking errors for correlated non-normal returns
by Mark Wise & Vineer Bhansali - 487-495 Stochastic volatility options pricing with wavelets and artificial neural networks
by Christopher Zapart
2002, Volume 2, Issue 5
- 320-321 Financial risk as a challenge for stochastic analysis
by Hans Follmer - 322-326 Reflections on interaction and markets
by Alan Kirman - 329-336 Smart Monte Carlo: various tricks using Malliavin calculus
by Eric Benhamou - 337-345 On a semi-spectral method for pricing an option on a mean-reverting asset
by L. P. Bos & A. F. Ware & B. S. Pavlov - 346-353 A simulation analysis of the microstructure of double auction markets
by Carl Chiarella & Giulia Iori - 354-361 Trend-following hedge funds and multi-period asset allocation
by Dries Darius & Aytac Ilhan & John Mulvey & Koray Simsek & Ronnie Sircar - 362-369 A variance reduction technique based on integral representations
by David Heath & Eckhard Platen - 370-377 Bounding Bermudan swaptions in a swap-rate market model
by Mark Joshi & Jochen Theis - 378-386 Some comments on the APT
by Haim Reisman - 387-392 The power of patience: a behavioural regularity in limit-order placement
by Ilija Zovko & J Doyne Farmer
2002, Volume 2, Issue 4
- 234-236 Collaboration is key to real-world insights
by Carol Leisenring - 237-238 Measuring risk-adjusted returns in alternative investments
by Hilary Till - 239-239 Fluid reading, forex risk
by Pierre Lequeux - 241-250 Semi-parametric modelling in finance: theoretical foundations
by N. H. Bingham & Rudiger Kiesel - 251-256 Statistical properties of stock order books: empirical results and models
by Jean-Philippe Bouchaud & Marc Mezard & Marc Potters - 257-263 Recovery of volatility coefficient by linearization
by Ilia Bouchouev & Victor Isakov & Nicolas Valdivia - 264-281 Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos
by A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette - 282-296 The perception of time, risk and return during periods of speculation
by Emanuel Derman - 297-302 Dissecting financial markets: sectors and states
by Matteo Marsili - 303-314 The skewed multifractal random walk with applications to option smiles
by Benoit Pochart & Jean-Philippe Bouchaud
2002, Volume 2, Issue 3
- 172-173 Investment management accessible to all
by Vanessa Spedding - 174-176 Research on alternative investments at Princeton
by John Mulvey - 177-178 Risk with reservations
by Cosma Shalizi - 179-179 Martingales for (normal) profit
by Cosma Shalizi - 181-188 Optimal design of derivatives in illiquid markets
by Pauline Barrieu & Nicole El Karoui - 189-198 Dynamical pricing of weather derivatives
by Dorje Brody & Joanna Syroka & Mihail Zervos - 199-216 A comparison of transaction costs on Xetra and on Nasdaq
by Otto Loistl & Bernd Schossmann & Olaf Vetter & Alexander Veverka - 217-223 On the foundation of performance measures under asymmetric returns
by Christian Pedersen & Stephen Satchell - 224-227 Economies of scale in innovations with block-busters
by D. Sornette
2002, Volume 2, Issue 2
- 84-85 Scholarly approach brings sweeping change
by Vanessa Spedding - 86-87 Adaptability assures research centre's sucess
by Vanessa Spedding - 88-88 The first history of derivatives
by John Hull - 91-110 Multiresolution approximation for volatility processes
by Enrico Capobianco - 111-115 International tax arbitrage via corporate income splitting
by Satish Chand - 116-132 Option pricing under regime switching
by Jin-Chuan Duan & Ivilina Popova & Peter Ritchken - 133-138 Value management
by Klaus Hellwig - 139-146 Skewness in individual stocks at different investment horizons
by Amado Peiro - 147-157 Heterogeneous expectations, currency options and the euro/dollar
by Bronka Rzepkowski - 158-166 On the computation of option prices and sensitivities in the Black-Scholes-Merton model
by B. A. Shadwick & W. F. Shadwick
2002, Volume 2, Issue 1
- 4-5 Active management: Can it beat the markets?
by Vanessa Spedding - 6-7 Introduction to the special issue on volatility modelling
by Rama Cont & Marco Avellaneda - 7-8 Defusing volatility explosions with complex analysis
by Nick Webber - 11-23 Some recent developments in stochastic volatility modelling
by Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard - 24-30 Variance reduction for Monte Carlo simulation in a stochastic volatility environment
by Jean-Pierre Fouque & Tracey Andrew Tullie - 31-44 Deterministic implied volatility models
by P. Balland - 45-60 Dynamics of implied volatility surfaces
by Rama Cont & Jose da Fonseca - 61-69 Asymptotics and calibration of local volatility models
by H. Berestycki & J. Busca & I. Florent - 70-80 Entropy and information in the interest rate term structure
by D. C. Brody & L. P. Hughston
2001, Volume 1, Issue 6
- 556-557 Striking a global balance for successful risk systems
by V. Spedding - 558-559 Stochastic volatility, power laws and long memory
by B. B. Mandelbrot - 560-562 Power laws and long memory
by T. Lux - 563-567 Scaling and universality in economics: empirical results and theoretical interpretation
by H. E. Stanley & V. Plerou - 568-570 Live laboratory will analyse real-time market data
by V. Spedding - 573-596 Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
by T. Choulli & M. Taksar & X. Y. Zhou - 597-610 Pricing, no-arbitrage bounds and robust hedging of instalment options
by M. H. A. Davis & W. Schachermayer & R. G. Tompkins - 611-620 A jump-diffusion model for pricing corporate debt securities in a complex capital structure
by M. Kijima & T. Suzuki - 621-631 Stochastic volatility as a simple generator of apparent financial power laws and long memory
by B. LeBaron - 632-640 Turbulence in financial markets: the surprising explanatory power of simple cascade models
by T. Lux - 641-649 Scaling in financial prices: IV. Multifractal concentration
by B. B. Mandelbrot
2001, Volume 1, Issue 5
- 476-480 A guide for the perplexed quant
by E. derman - 481-481 On the modelling of option prices
by D. B. Madan - 482-483 Welcome to a non-Black-Scholes world
by J-P. Bouchaud & M. Potters - 489-501 Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
by N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra - 502-508 Deriving the arbitrage pricing theory when the number of factors is unknown
by L. P. Middleton & S. E. Satchell - 509-526 Asset price and wealth dynamics under heterogeneous expectations
by C. Chiarella & X-Z. He - 527-532 More on a statistical analysis of log-periodic precursors to financial crashes
by J. A. Feigenbaum - 533-541 Multi-dimensional rational bubbles and fat tails
by Y. Malevergne & D. Sornette - 542-551 Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
by P. Silvapulle & C. W. J. Granger
2001, Volume 1, Issue 4
- 380-382 A little learning is a dangerous thing..
by J. James - 382-387 Infectious defaults
by M. Davis & V. Lo - 387-390 Triangular arbitrage in the spot and forward foreign exchange markets
by I. Moosa - 397-413 A real-time adaptive trading system using genetic programming
by M. A. H. dempster & C. M. Jones - 414-426 Conditional entropy and randomness in financial time series
by M. D. London & A. K. Evans & M. J. Turner - 427-440 Scaling in financial prices: III. Cartoon Brownian motions in multifractal time
by B. B. Mandelbrot - 441-451 Financial networks with intermediation
by A. Nagurney & K. Ke - 452-471 Significance of log-periodic precursors to financial crashes
by D. Sornette & A. Johansen
March 2001, Volume 1, Issue 3
- 292-297 Stochastic volatility and option pricing
by D. Gkamas - 298-300 The taming of the skew
by A. Smith - 305-308 Pricing weather derivatives by marginal value
by M. Davis - 309-317 Finance and variational inequalities-super-
by A. Nagurney - 318-331 Feller processes of normal inverse Gaussian type
by O.E. Barndorff-Nielsen & S.Z. Levendorskii - 332-335 Effects of regulation on a self-organized market
by Gianaurelio Cuniberti & Angelo Valleriani & Jos� Luis Vega - 336-345 Optimal portfolio selection and compression in an incomplete market
by N. Dokuchaev & U. Haussmann - 346-360 A statistical analysis of log-periodic precursors to financial crashes-super-
by J.A. Feigenbaum - 361-371 Designing proxies for stock market indices is computationally hard-super-
by M-Y. Kao & S.R. Tate - 372-374 Non-random topology of stock markets
by N. Vandewalle & F. Brisbois & X. Tordoir