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Content
2002, Volume 2, Issue 1
- 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
2001, Volume 1, Issue 2
- 196-197 Alex Lipton: a driving force behind physics and finance
by V. Spedding - 198-201 Defining efficiency in heterogeneous markets
by M. Dacorogna & U. Mller & R. Olsen & O. Pictet - 203-211 Statistical mechanics of asset markets with private information
by J. Berg & M. Marsili & A. Rustichini & R. Zecchina - 212-216 On a universal mechanism for long-range volatility correlations
by J-P. Bouchaud & I. Giardina & M. Mzard - 217-222 Correlation structure of extreme stock returns
by P. Cizeau & M. Potters & J-P. Bouchaud - 223-236 Empirical properties of asset returns: stylized facts and statistical issues
by R. Cont - 237-245 What good is a volatility model?
by R. F. Engle & A. J. Patton - 246-253 Correlated adaptation of agents in a simple market: a statistical physics perspective
by J. P. Garrahan & E. Moro & D. Sherrington - 254-261 A builder's guide to agent-based financial markets
by B. LeBaron - 262-269 Price fluctuations, market activity and trading volume
by V. Plerou & P. Gopikrishnan & X. Gabaix & L. A. N. Amaral & H. E. Stanley - 270-283 A tractable market model with jumps for pricing short-term interest rate derivatives
by Y. Samuelides & E. Nahum - 284-288 Learning to profit with discrete investment rules
by S. Skouras
2001, Volume 1, Issue 1
- 6-8 Proprietary trading: truth and fiction
by P. Muller - 9-11 Options and forwards compete for best hedge
by C. Attfield & M. Glod & J. James - 12-14 Real options give insights into real value
by S. Leppard & P. Morawitz - 19-37 Optimal positioning in derivative securities
by P. Carr & D. Madan - 38-44 Information and option pricings
by X. Guo - 45-72 Asset allocation and derivatives
by M. B. Haugh & A. W. Lo - 73-78 Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
by C. F. Lo & C. H. Hui - 79-95 Multivariate extremes, aggregation and risk estimation
by H. A. Hauksson & M. Dacorogna & T. Domenig & U. Mller & G. Samorodnitsky - 96-104 High-frequency cross-correlation in a set of stocks
by G. Bonanno & F. Lillo & R. N. Mantegna - 105-112 Power laws in economics and finance: some ideas from physics
by J-P. Bouchaud - 113-123 Scaling in financial prices: I. Tails and dependence
by B. B. Mandelbrot - 124-130 Scaling in financial prices: II. Multifractals and the star equation
by B. B. Mandelbrot - 131-148 Multifractal returns and hierarchical portfolio theory
by J-F. Muzy & D. Sornette & J. delour & A. Arneodo - 149-167 Financial markets as nonlinear adaptive evolutionary systems
by C. H. Hommes - 168-176 From Minority Games to real markets
by D. Challet & A. Chessa & M. Marsili & Y-C. Zhang - 177-185 Towards evolutionary game models of financial markets
by D. Friedman - 186-190 Money and Goldstone modes
by P. Bak & S. F. Nrrelykke & M. Shubik