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Content
June 2017, Volume 17, Issue 6
- 889-906 Efficient willow tree method for European-style and American-style moving average barrier options pricing
by Ling Lu & Wei Xu & Zhehui Qian - 907-925 Calibrating a market model with stochastic volatility to commodity and interest rate risk
by P. Karlsson & K. F. Pilz & E. Schlögl - 927-941 A joint model for temperature and natural gas with an application to the US market
by Roberto Baviera & Teodoro Federico Mainetti - 943-958 The shape of small sample biases in pricing kernel estimations
by Dietmar P. J. Leisen - 959-977 Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies
by Hao Meng & Hai-Chuan Xu & Wei-Xing Zhou & Didier Sornette
May 2017, Volume 17, Issue 5
- 657-675 Birth or burst of financial bubbles: which one is easier to diagnose?
by G. Demos & D. Sornette - 677-680 Asset Management: A Systematic Approach to Factor Investing
by Riccardo Rebonato - 681-681 Calendar
by The Editors - 683-701 Modelling intensities of order flows in a limit order book
by Ioane Muni Toke & Nakahiro Yoshida - 703-716 Model-based pairs trading in the bitcoin markets
by P. S. Lintilhac & A. Tourin - 717-727 Low-latency liquidity inefficiency strategies
by Christian Oesch & Dietmar Maringer - 729-744 Tail-risk protection trading strategies
by N. Packham & J. Papenbrock & P. Schwendner & F. Woebbeking - 745-761 The dynamics of leveraged ETFs returns: a panel data study
by Antoine Giannetti - 763-780 Binary switch portfolio
by Tengfei Li & Kani Chen & Yang Feng & Zhiliang Ying - 781-794 Interacting default intensity with a hidden Markov process
by Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu - 795-812 Predictability of structural co-movement in commodity prices: the role of technical indicators
by Libo Yin & Qingyuan Yang & Zhi Su
April 2017, Volume 17, Issue 4
- 479-489 Penalizing variances for higher dependency on factors
by Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi - 491-494 Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling
by Jean Czerlinski Whitmore - 495-495 Calendar
by The Editors - 497-513 Pricing options on mean reverting underliers
by Dilip B. Madan - 515-529 The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments
by Simon Ellersgaard & Martin Jönsson & Rolf Poulsen - 531-550 Pricing and hedging contingent claims using variance and higher order moment swaps
by Leonidas S. Rompolis & Elias Tzavalis - 551-569 Arithmetic variance swaps
by Stamatis Leontsinis & Carol Alexander - 571-595 An estimation procedure for the Hawkes process
by Matthias Kirchner - 597-612 Risk-based capital for credit insurers with business cycles and dynamic leverage
by Issouf Soumaré & Ernest Tafolong - 613-631 Identification and critical time forecasting of real estate bubbles in the USA
by Diego Ardila & Dorsa Sanadgol & Peter Cauwels & Didier Sornette - 633-656 Systemic risk in the European sovereign and banking system
by Simon Xu & Francis In & Catherine Forbes & Inchang Hwang
March 2017, Volume 17, Issue 3
- 315-325 Optimal portfolios with downside risk
by Fima Klebaner & Zinoviy Landsman & Udi Makov & Jing Yao - 327-330 A Random Walk Down Wall Street: The Time-Tested Strategy For Successful Investing
by Antonios Sangvinatsos - 331-331 Call for Papers: Special Issue on “Hawkes Processes in Finance”
by The Editors - 333-333 Calendar
by The Editors - 335-351 The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
by Duy-Minh Dang & P. A. Forsyth & K. R. Vetzal - 353-367 Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms
by N. Grishina & C. A. Lucas & P. Date - 369-382 Forecasting trends with asset prices
by Ahmed Bel Hadj Ayed & Grégoire Loeper & Frédéric Abergel - 383-404 Execution in an aggregator
by Roel Oomen - 405-421 Time series momentum and moving average trading rules
by Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti - 423-435 24-Hour realized volatilities and transatlantic volatility interdependence
by Robert Maderitsch - 437-453 A new time-varying optimal copula model identifying the dependence across markets
by Bing-Yue Liu & Qiang Ji & Ying Fan - 455-469 Rollover risk and credit risk under time-varying margin
by Xue-Zhong He & Eva Lütkebohmert & Yajun Xiao - 471-478 Risk based capital for guaranteed minimum withdrawal benefit
by Runhuan Feng & Jan Vecer
February 2017, Volume 17, Issue 2
- 157-164 Call option compensation and managers’ intertemporal risk-taking behaviour
by Katarzyna Romaniuk - 165-167 Phishing for Phools: The Economics of Manipulation & Deception
by Taylor Spears - 169-169 Calendar
by The Editors - 171-188 Quadratic Hawkes processes for financial prices
by P. Blanc & J. Donier & J.-P. Bouchaud - 189-198 Short-time at-the-money skew and rough fractional volatility
by Masaaki Fukasawa - 199-215 Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
by Richard Gerlach & Declan Walpole & Chao Wang - 217-225 Profiling high-frequency equity price movements in directional changes
by Edward P. K. Tsang & Ran Tao & Antoaneta Serguieva & Shuai Ma - 227-240 Double-jump diffusion model for VIX: evidence from VVIX
by Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu - 241-260 Optimal investment under multi-factor stochastic volatility
by Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov - 261-274 Estimating discrete dividends by no-arbitrage
by Sascha Desmettre & Sarah Grün & Frank Thomas Seifried - 275-288 Alternative to beta coefficients in the context of diffusions
by Guillaume Bernis & Simone Scotti - 289-297 Transitions in the stock markets of the US, UK and Germany
by Matthias Raddant & Friedrich Wagner - 299-313 Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
by Luca Vincenzo Ballestra & Graziella Pacelli & Davide Radi
January 2017, Volume 17, Issue 1
- 1-14 Risk premia: asymmetric tail risks and excess returns
by Y. Lempérière & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud - 15-18 Behavioral Risk Management
by Riccardo Rebonato - 19-19 Calendar
by The Editors - 21-39 Optimal order placement in limit order markets
by Rama Cont & Arseniy Kukanov - 41-54 Optimal execution with non-linear transient market impact
by Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo - 55-69 Optimal execution with uncertain order fills in Almgren–Chriss framework
by Xue Cheng & Marina Di Giacinto & Tai-Ho Wang - 71-86 A behavioural model of investor sentiment in limit order markets
by Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei - 87-100 Intraday pairs trading strategies on high frequency data: the case of oil companies
by Bo Liu & Lo-Bin Chang & Hélyette Geman - 101-120 Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
by Mattia Montagna & Thomas Lux - 121-137 Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
by Benjamin Beckers & Helmut Herwartz & Moritz Seidel - 139-156 Smooth nonparametric Bernstein vine copulas
by Marcus Scheffer & Gregor N. F. Weiß
December 2016, Volume 16, Issue 12
- 1-1 Erratum
by The Editors - 1-1 Editorial Board
by The Editors - 1791-1800 Pricing regime-switching risk in an HJM interest rate environment
by Robert J. Elliott & Tak Kuen Siu - 1801-1802 Risk Parity Fundamentals
by Sebastien Page - 1803-1803 Calendar
by The Editors - 1807-1808 Special Issue of on ‘Commodity Markets’
by Christian-Oliver Ewald & Athanasios A. Pantelous & Georgios Sermpinis - 1809-1822 Volatility forecasting of strategically linked commodity ETFs: gold-silver
by Štefan Lyócsa & Peter Molnár - 1823-1842 The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model
by Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu - 1843-1857 A stochastic model for commodity pairs trading
by Ahmet Göncü & Erdinc Akyildirim - 1859-1873 Jumps and stochastic volatility in crude oil prices and advances in average option pricing
by Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou - 1875-1886 Modelling, forecasting and trading with a new sliding window approach: the crack spread example
by Andreas Karathanasopoulos & Christian Dunis & Samer Khalil - 1887-1899 Is news related to GDP growth a risk factor for commodity futures returns?
by Daniel Tsvetanov & Jerry Coakley & Neil Kellard - 1901-1915 Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
by Charalampos Stasinakis & Georgios Sermpinis & Ioannis Psaradellis & Thanos Verousis - 1917-1928 Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
by Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang - 1929-1948 Prediction of extreme price occurrences in the German day-ahead electricity market
by Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard - 1949-1959 Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
by N. Karagiannis & H. Assa & A. A. Pantelous & C. G. Turvey - 1961-1968 Oil prices and sovereign credit risk of oil producing countries: an empirical investigation
by Christoph Wegener & Tobias Basse & Frederik Kunze & Hans-Jörg von Mettenheim
November 2016, Volume 16, Issue 11
- 1-1 Erratum
by The Editors - 1631-1636 Bifurcation patterns of market regime transition
by Sergey Kamenshchikov - 1637-1639 Efficiently Inefficient: How Smart Money Invests & Market Prices Are Determined
by Tapio Pekkala - 1641-1641 Calendar
by The Editors - 1643-1655 Dynamic mode decomposition for financial trading strategies
by Jordan Mann & J. Nathan Kutz - 1657-1678 Detecting intraday financial market states using temporal clustering
by D. Hendricks & T. Gebbie & D. Wilcox - 1679-1693 Losing sight of the trees for the forest? Attention allocation and anomalies
by Heiko Jacobs & Martin Weber - 1695-1712 Forecasting stock market returns over multiple time horizons
by Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov - 1713-1724 Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
by Zhi-Qiang Jiang & Askery Canabarro & Boris Podobnik & H. Eugene Stanley & Wei-Xing Zhou - 1725-1740 Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
by S. Simaitis & C. S. L. de Graaf & N. Hari & D. Kandhai - 1741-1762 Numerical methods for dynamic Bertrand oligopoly and American options under regime switching
by Swathi Amarala & Justin W. L. Wan - 1763-1789 Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach
by Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui
October 2016, Volume 16, Issue 10
- 1465-1477 A flexible spot multiple-curve model
by Martino Grasselli & Giulio Miglietta - 1479-1482 Learning from Data
by Riccardo Rebonato - 1483-1483 Calendar
by The Editors - 1485-1494 Expected shortfall estimation for apparently infinite-mean models of operational risk
by Pasquale Cirillo & Nassim Nicholas Taleb - 1495-1510 From insurance risk to credit portfolio management: a new approach to pricing CDOs
by Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli - 1511-1527 Enhanced equity-credit modelling for contingent convertibles
by Tsz-Kin Chung & Yue-Kuen Kwok - 1529-1539 Valuation of American options under the CGMY model
by Xu Guo & Yutian Li - 1541-1558 The profitability of pairs trading strategies: distance, cointegration and copula methods
by Hossein Rad & Rand Kwong Yew Low & Robert Faff - 1559-1573 A pairs trading strategy based on linear state space models and the Kalman filter
by Carlos Eduardo de Moura & Adrian Pizzinga & Jorge Zubelli - 1575-1597 Dynamic asset–liability management in a Markov market with stochastic cash flows
by Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li - 1599-1613 Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
by Sebastian Poledna & Stefan Thurner - 1615-1630 Correlation estimation using components of Japanese candlesticks
by V. Popov
September 2016, Volume 16, Issue 9
- 1325-1332 Risk minimization and portfolio diversification
by Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu - 1333-1337 Model Risk in Financial Markets: From Financial Engineering to Risk Management
by Mark Cummins & Orla McCullagh & Bernard Murphy - 1339-1339 Calendar
by The Editors - 1341-1355 Optimal static quadratic hedging
by Tim Leung & Matthew Lorig - 1357-1374 Model risk of contingent claims
by Nils Detering & Natalie Packham - 1375-1391 Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
by Pingping Zeng & Yue Kuen Kwok - 1393-1411 Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
by Yijie Peng & Michael C. Fu & Jian-Qiang Hu - 1413-1422 Fed funds futures variance futures
by Damir Filipović & Anders B. Trolle - 1423-1444 Estimation of zero-intelligence models by L1 data
by Martin Šmíd - 1445-1451 Reducing transaction costs with low-latency trading algorithms
by Sasha Stoikov & Rolf Waeber - 1453-1464 US stock returns: are there seasons of excesses?
by Marco Bee & Debbie J. Dupuis & Luca Trapin
August 2016, Volume 16, Issue 8
- 1165-1173 A new variance reduction method for option pricing based on sampling the vertices of a simplex
by Jong Jun Park & Geon Ho Choe - 1175-1176 Algorithmic and High Frequency Trading
by Marcos Lopez de Prado - 1179-1201 Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
by Emmanuel Bacry & Thibault Jaisson & Jean--François Muzy - 1203-1218 A model for interest rates with clustering effects
by Donatien Hainaut - 1219-1235 Market procyclicality and systemic risk
by P. Tasca & S. Battiston - 1237-1257 The premium of dynamic trading in a discrete-time setting
by Haixiang Yao & ZhongFei Li & Xingyi Li - 1259-1271 On an automatic and optimal importance sampling approach with applications in finance
by Huei-Wen Teng & Cheng-Der Fuh & Chun-Chieh Chen - 1273-1296 Beyond CAPM: estimating the cost of equity considering idiosyncratic risks
by Enrico Laghi & Michele Di Marcantonio - 1297-1311 When do jumps matter for portfolio optimization?
by Marius Ascheberg & Nicole Branger & Holger Kraft & Frank Thomas Seifried - 1313-1324 American-style options in jump-diffusion models: estimation and evaluation
by Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard
July 2016, Volume 16, Issue 7
- 997-1008 Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
by Mark Joshi & Navin Ranasinghe - 1009-1013 Mostly Harmless Econometrics: An Empiricist’s Companion; Mastering ‘Metrics: The Path from Cause to Effect
by Riccardo Rebonato - 1019-1036 Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
by John R. Birge & Luis Chavez-Bedoya - 1037-1052 Dependence calibration and portfolio fit with factor-based subordinators
by Elisa Luciano & Marina Marena & Patrizia Semeraro - 1053-1067 A semiparametric graphical modelling approach for large-scale equity selection
by Han Liu & John Mulvey & Tianqi Zhao - 1069-1087 Elliptical tempered stable distribution
by Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi - 1089-1109 Modelling electricity prices: a time change approach
by Lingfei Li & Rafael Mendoza-Arriaga & Zhiyu Mo & Daniel Mitchell - 1111-1127 An alternative method to estimate parameters in modelling the behaviour of commodity prices
by Andrés García-Mirantes & Beatriz Larraz & Javier Población - 1129-1145 Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
by Huawei Niu & Dingcheng Wang - 1147-1164 Recovering the real-world density and liquidity premia from option data
by Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen
June 2016, Volume 16, Issue 6
- 827-838 A forward equation for barrier options under the Brunick & Shreve Markovian projection
by Ben Hambly & Matthieu Mariapragassam & Christoph Reisinger - 839-843 The Social Value of the Financial Sector: Too Big to Fail or Just Too Big?
by Richard Barwell - 847-866 Rational multi-curve models with counterparty-risk valuation adjustments
by Stéphane Crépey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand - 867-886 Analytical pricing of single barrier options under local volatility models
by Hideharu Funahashi & Masaaki Kijima - 887-904 Pricing under rough volatility
by Christian Bayer & Peter Friz & Jim Gatheral - 905-928 Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
by Yao Tung Huang & Yue Kuen Kwok - 929-945 Partial hedging and cash requirements in discrete time
by Erdnç Akyildirim & Albert Altarovici - 947-968 Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
by Carl Lönnbark - 969-996 Trading profitability from learning and adaptation on the Tokyo Stock Exchange
by Ryuichi Yamamoto
May 2016, Volume 16, Issue 5
- 667-676 Ross recovery with recurrent and transient processes
by Hyungbin Park - 677-678 FX Option Performance: An Analysis of the Value Delivered by FX Options Since the Start of the Market
by Barry Ryan - 681-693 Performance ratio-based coherent risk measure and its application
by Zhiping Chen & Qianhui Hu & Ruiyue Lin - 695-709 Evaluation of volatility predictions in a VaR framework
by A. Amendola & V. Candila - 711-725 Analytic approximation formulae for European crack spread options
by M.A. Aba Oud & J. Goard - 727-747 Valuation of forward start options under affine jump-diffusion models
by João Pedro Vidal Nunes & Tiago Ramalho Viegas Alcaria - 749-762 Detecting and modelling the jump risk of CO 2 emission allowances and their impact on the valuation of option on futures contracts
by Sharon S. Yang & Jr-Wei Huang & Chuang-Chang Chang - 763-776 Optimal hedging in an extended binomial market under transaction costs
by Norman Josephy & Lucia Kimball & Victoria Steblovskaya - 777-792 Predicting recovery rates using logistic quantile regression with bounded outcomes
by Jhao-Siang Siao & Ruey-Ching Hwang & Chih-Kang Chu - 793-826 Prediction of stock price movement based on daily high prices
by Marija Gorenc Novak & Dejan Velušček
April 2016, Volume 16, Issue 4
- 501-511 Forecasting risk via realized GARCH, incorporating the realized range
by Richard Gerlach & Chao Wang - 513-515 Econophysics and Physical Economics
by Chris Hunter - 519-533 Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
by Mark S. Joshi - 535-554 General closed-form basket option pricing bounds
by Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli - 555-572 The multivariate Variance Gamma model: basket option pricing and calibration
by Daniël Linders & Ben Stassen - 573-592 Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
by Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li - 593-603 Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
by Jingtang Ma & Dongya Deng & Harry Zheng - 605-624 Exploring the total positivity of yields correlations
by A. Goia & E. Salinelli - 625-637 Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
by Paulo Horta & Sérgio Lagoa & Luís Martins - 639-647 Optimal pricing barriers in a regulated market using reflected diffusion processes
by Zheng Han & Yaozhong Hu & Chihoon Lee - 649-665 Reversal of Monday returns
by Numan Ülkü & Kristiyan Andonov
March 2016, Volume 16, Issue 3
- 337-347 Regulatory arbitrage of risk measures
by Ruodu Wang - 349-353 Probably Approximately Correct
by Riccardo Rebonato - 357-376 Least-squares approach to risk parity in portfolio selection
by Xi Bai & Katya Scheinberg & Reha Tutuncu - 377-388 Risk parity portfolios with risk factors
by T. Roncalli & G. Weisang - 389-409 Normally distributed high-frequency returns: a subordination approach
by Ata Türkoğlu - 411-426 A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
by Gerrit Reher & Bernd Wilfling - 427-445 A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
by Masaaki Fujii - 447-460 Partial differential equations for Asian option prices
by C. Brown & J. C. Handley & C.-T. Lin & K. J. Palmer - 461-475 Minimizing CVaR in global dynamic hedging with transaction costs
by F. Godin - 477-488 Oil price and FX-rates dependency
by Joscha Beckmann & Theo Berger & Robert Czudaj - 489-500 Macroeconomic impacts on commodity prices: China vs. the United States
by Libo Yin & Liyan Han
February 2016, Volume 16, Issue 2
- 169-180 Theoretical decompositions of the cross-sectional dispersion of stock returns
by Andrew Grant & Steve Satchell - 181-182 Interest Rate Modelling in the Multi-curve Framework
by Massimo Morini - 187-188 Special Issue on Stochastic Optimization Approaches to Financial and Energy Markets
by Giorgio Consigli & Yves Smeers - 189-199 Building a stochastic programming model from scratch: a harvesting management example
by Ignacio Rios & Andres Weintraub & Roger J.-B. Wets - 201-212 A parsimonious model for generating arbitrage-free scenario trees
by Andrea Consiglio & Angelo Carollo & Stavros A. Zenios - 213-230 A non-parametric structural hybrid modeling approach for electricity prices
by S. Moazeni & M. Coulon & I. Arciniegas Rueda & B. Song & W.B. Powell - 231-246 Real options valuation applied to transmission expansion planning
by S. Lumbreras & D. W. Bunn & A. Ramos & M. Chronopoulos - 247-257 Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
by Georg Ch. Pflug & Philipp Thoma - 259-273 Modeling and evaluation of the option book hedging problem using stochastic programming
by Mathias Barkhagen & Jörgen Blomvall - 275-295 Optimal retirement planning with a focus on single and joint life annuities
by Agnieszka Karolina Konicz & David Pisinger & Alex Weissensteiner - 297-307 A uniformly distributed random portfolio
by Woo Chang Kim & Yongjae Lee - 309-336 A dynamical systems model of price bubbles and cycles
by Vinod Cheriyan & Anton J. Kleywegt
January 2016, Volume 16, Issue 1
- 1-11 The limits of statistical significance of Hawkes processes fitted to financial data
by Mehdi Lallouache & Damien Challet - 13-14 Portfolio Management under Stress
by Bernd Scherer - 17-30 American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
by Ankush Agarwal & Sandeep Juneja & Ronnie Sircar - 31-42 On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
by Elisa Alòs & Jorge A. León - 43-67 Time-varying forecasts by variational approximation of sequential Bayesian inference
by Hui ‘Fox’ Ling & Douglas B. Stone - 69-83 Random matrix application to correlations amongst the volatility of assets
by Ajay Singh & Dinghai Xu - 85-100 Investing in the size factor
by Juan Laborda & Ricardo Laborda & Jose Olmo - 101-117 Optimal capital growth with convex shortfall penalties
by Leonard C. MacLean & Yonggan Zhao & William T. Ziemba - 119-129 Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
by Nengli Lim & Nicolas Privault