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Content
January 2016, Volume 16, Issue 1
- 131-149 Portfolio credit risk with predetermined default orders
by Lian Tang & Bin Wang & Kai-Nan Xiang - 151-167 Conditional higher order moments in metal asset returns
by Steven J. Cochran & Iqbal Mansur & Babatunde Odusami
December 2015, Volume 15, Issue 12
- 1901-1912 Cross-sectional universalities in financial time series
by Gilles Zumbach - 1913-1914 Risk-Sensitive Investment Management
by Albina Danilova - 1933-1942 When does low interconnectivity cause systemic risk?
by Burak Saltoglu & Taylan Yenilmez - 1943-1962 Spread component costs and stock trading characteristics in the Spanish Stock Exchange. Two flexible fractional response models
by Jorge V. P�rez-Rodr�guez & Emilio G�mez-D�niz - 1963-1977 Stochastic modelling of herd behaviour indices
by Florence Guillaume & Daniël Linders - 1979-1994 A quarterly time-series classifier based on a reduced-dimension generated rules method for identifying financial distress
by Ching-Hsue Cheng & Ssu-Hsiang Wang - 1995-2010 Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
by Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas - 2011-2019 Pricing options on discrete realized variance with partially exact and bounded approximations
by Wendong Zheng & Yue Kuen Kwok - 2021-2040 Effects of market default risk on index option risk-neutral moments
by Panayiotis C. Andreou - 2041-2052 A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting
by Yacin Jerbi - 2053-2065 Maximizing survival, growth and goal reaching under borrowing constraints
by Haluk Yener
November 2015, Volume 15, Issue 11
- 1759-1771 Path integral and asset pricing
by Zura Kakushadze - 1773-1775 The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
by K. Surekha Rao - 1777-1785 A note on "Modelling exchange rate returns: which flexible distribution to use?"
by Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan - 1789-1804 A nested factor model for non-linear dependencies in stock returns
by R. Chicheportiche & J.-P. Bouchaud - 1805-1821 A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering
by Quan Gan & Wang Chun Wei & David Johnstone - 1823-1835 Performance-weighted ensembles of random forests for predicting price impact
by Ash Booth & Enrico Gerding & Frank McGroarty - 1837-1850 Fundamentalists, chartists and asset pricing anomalies
by Sandrine Jacob Leal - 1851-1864 Modelling exchange rate returns: which flexible distribution to use?
by Canan G. Corlu & Alper Corlu - 1865-1884 A smooth non-parametric estimation framework for safety-first portfolio optimization
by Haixiang Yao & Yong Li & Karen Benson - 1885-1900 Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
by Helin Zhu & Fan Ye & Enlu Zhou
October 2015, Volume 15, Issue 10
- 1597-1608 Stochastic volatility with heterogeneous time scales
by D. Delpini & G. Bormetti - 1609-1612 Yield Curve Modeling and Forecasting--The Dynamic Nelson-Siegel Approach
by Riccardo Rebonato - 1617-1617 Special Issue of Quantitative Finance on 'Financial Data Analytics'
by Jessica James & Dietmar Maringer & Vasile Palade & Antoaneta Serguieva - 1619-1635 Bank networks from text: interrelations, centrality and determinants
by Samuel R�nnqvist & Peter Sarlin - 1637-1656 Twitter financial community sentiment and its predictive relationship to stock market movement
by Steve Y. Yang & Sheung Yin Kevin Mo & Anqi Liu - 1657-1681 Data-driven methods for equity similarity prediction
by John Robert Yaros & Tomasz Imieliński - 1683-1703 Gaussian process-based algorithmic trading strategy identification
by Steve Y. Yang & Qifeng Qiao & Peter A. Beling & William T. Scherer & Andrei A. Kirilenko - 1727-1735 An analysis of price impact functions of individual trades on the London stock exchange
by M. Wilinski & Wei Cui & A. Brabazon & P. Hamill - 1737-1758 Liquidity commonality does not imply liquidity resilience commonality: a functional characterisation for ultra-high frequency cross-sectional LOB data
by Efstathios Panayi & Gareth W. Peters & Ioannis Kosmidis
September 2015, Volume 15, Issue 9
- 1437-1443 Broken symmetries: reflections on why FX put and call options are not simple mirror images
by Jonathan Fullwood & Jessica James - 1445-1446 Financial Modeling: A Backward Stochastic Differential Equations Perspective
by Eymen Errais - 1449-1469 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013
by A. N. Shiryaev & M. V. Zhitlukhin & W. T. Ziemba - 1471-1487 Time series momentum trading strategy and autocorrelation amplification
by K. J. Hong & S. Satchell - 1489-1499 Statistical arbitrage in the Black-Scholes framework
by Ahmet G�nc� - 1501-1514 A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
by Jae H. Kim & Abul Shamsuddin - 1515-1530 Implied integrated variance and hedging
by Ruth Kaila - 1531-1541 Stylised facts of financial time series and hidden Markov models in continuous time
by Peter Nystrup & Henrik Madsen & Erik Lindstr�m - 1543-1557 General equilibrium pricing with multiple dividend streams and regime switching
by Jia Shen & Robert J. Elliott - 1559-1569 Mixed tempered stable distribution
by Edit Rroji & Lorenzo Mercuri - 1571-1582 A factor contagion model for portfolio credit derivatives
by Geon Ho Choe & Hyun Jin Jang & Soon Won Kwon - 1583-1596 Dynamic risk taking with bonus schemes
by Dietmar P.J. Leisen
August 2015, Volume 15, Issue 8
- 1259-1266 Stochastic portfolio theory optimization and the origin of rule-based investing
by Gianluca Oderda - 1267-1271 High-frequency Trading
by Riccardo Rebonato - 1277-1277 Special Issue of Quantitative Finance on 'High Frequency Data Modeling in Finance'
by Ionut Florescu & Maria C. Mariani & H. Eugene Stanley & Frederi G. Viens - 1279-1291 Optimal execution with limit and market orders
by �lvaro Cartea & Sebastian Jaimungal - 1293-1314 Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
by V. Filimonov & D. Sornette - 1315-1329 Modelling high-frequency limit order book dynamics with support vector machines
by Alec N. Kercheval & Yuan Zhang - 1331-1345 High-frequency volatility of volatility estimation free from spot volatility estimates
by Simona Sanfelici & Imma Valentina Curato & Maria Elvira Mancino - 1347-1364 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
by Jozef Barunik & Lukas Vacha - 1365-1374 Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
by Maria Pia Beccar Varela & Francis Biney & Ionut Florescu - 1375-1386 Emergence of statistically validated financial intraday lead-lag relationships
by Chester Curme & Michele Tumminello & Rosario N. Mantegna & H. Eugene Stanley & Dror Y. Kenett - 1387-1403 Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
by Nan Zhou & Wen Cheng & Yichen Qin & Zongcheng Yin - 1405-1416 Can a corporate network and news sentiment improve portfolio optimization using the Black-Litterman model?
by Germ�n G. Creamer - 1417-1424 Numerical methods applied to option pricing models with transaction costs and stochastic volatility
by Maria C. Mariani & Indranil SenGupta & Granville Sewell - 1425-1436 High-performance financial simulation using randomized quasi-Monte Carlo methods
by Linlin Xu & Giray Ökten
July 2015, Volume 15, Issue 7
- 1093-1102 Multiperiod conditional valuation of barrier options with incomplete information
by Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi - 1103-1105 The Reckoning: Financial Accountability and the Rise and Fall of Nations
by Lloyd Kurtz - 1109-1121 A fully consistent, minimal model for non-linear market impact
by J. Donier & J. Bonart & I. Mastromatteo & J.-P. Bouchaud - 1123-1135 Market impact as anticipation of the order flow imbalance
by Thibault Jaisson - 1137-1156 Modelling systemic price cojumps with Hawkes factor models
by Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo - 1157-1173 Optimal payoffs under state-dependent preferences
by Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel - 1175-1190 Option overlay strategies
by Dilip B. Madan & Yazid M. Sharaiha - 1191-1204 Computing optimal rebalance frequency for log-optimal portfolios in linear time
by Sujit R. Das & Mukul Goyal - 1205-1215 Equity portfolio diversification with high frequency data
by Vitali Alexeev & Mardi Dungey - 1217-1242 News, volatility and jumps: the case of natural gas futures
by Svetlana Borovkova & Diego Mahakena - 1243-1257 Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model
by Dan Pirjol
June 2015, Volume 15, Issue 6
- 909-922 Structural breaks and portfolio performance in global equity markets
by Harry J. Turtle & Chengping Zhang - 923-927 Asset Management: A Systematic Approach to Factor Investing
by Robert M. Anderson - 933-958 'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets
by Lei Wu & Qingbin Meng & Kuan Xu - 959-973 Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility
by Jozef Barunik & Jiri Kukacka - 975-998 A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
by William T. Shaw & Marcus Schofield - 999-1012 Predicting abnormal returns from news using text classification
by Ronny Luss & Alexandre D'Aspremont - 1013-1030 Two-step methods in VaR prediction and the importance of fat tails
by Ibrahim Ergen - 1031-1039 Limited information-processing capacity and asymmetric stock correlations
by Ozcan Ceylan - 1041-1054 Jump robust two time scale covariance estimation and realized volatility budgets
by Kris Boudt & Jin Zhang - 1055-1073 Using information quality for volatility model combinations
by Vasyl Golosnoy & Yarema Okhrin - 1075-1091 On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
by Eduardo Acosta-Gonz�lez & Reinaldo Armas-Herrera & Fernando Fern�ndez-Rodr�guez
May 2015, Volume 15, Issue 5
- 725-733 On elicitable risk measures
by Fabio Bellini & Valeria Bignozzi - 735-740 Financial Modeling, Actuarial Valuation and Solvency in Insurance
by J. Bohn - 743-759 Precious metals under the microscope: a high-frequency analysis
by Massimiliano Caporin & Angelo Ranaldo & Gabriel G. Velo - 761-772 Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities
by T. Pellegrino & P. Sabino - 773-793 Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
by C. Gomes & H. Waelbroeck - 795-808 The order book as a queueing system: average depth and influence of the size of limit orders
by I. Muni Toke - 809-827 A practical approach to semideviation and its time scaling in a jump-diffusion process
by R. Oeuvray & P. Junod - 829-840 On break-even correlation: the way to price structured credit derivatives by replication
by Jean-David Fermanian & Olivier Vigneron - 841-851 A mathematical model for multi-name credit based on community flocking
by Seung-Yeal Ha & Kyoung-Kuk Kim & Kiseop Lee - 853-864 Portfolio choices and VaR constraint with a defaultable asset
by Emilio Barucci & Andrea Cosso - 865-871 Leverage effect breakdowns and flight from risky assets
by Stephen Matteo Miller - 873-888 Hedging jump risk, expected returns and risk premia in jump-diffusion economies
by Oliver X. Li & Weiping Li - 889-900 Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong - 901-908 Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution
by Qingshuo Song & Pengfei Yang
April 2015, Volume 15, Issue 4
- 569-578 Partial correlation analysis: applications for financial markets
by Dror Y. Kenett & Xuqing Huang & Irena Vodenska & Shlomo Havlin & H. Eugene Stanley - 579-582 The Bankers' New Clothes, What's Wrong with Banking and What to Do about It
by Michael Dempster - 587-588 Special issue of Quantitative Finance on 'Interlinkages and Systemic Risk'
by Giovanni di Iasio & Mauro Gallegati & Fabrizio Lillo & Rosario N. Mantegna - 589-606 Input-output-based measures of systemic importance
by I�aki Aldasoro & Ignazio Angeloni - 607-624 Does financial connectedness predict crises?
by Camelia Minoiu & Chanhyun Kang & V.S. Subrahmanian & Anamaria Berea - 625-636 Filling in the blanks: network structure and interbank contagion
by Kartik Anand & Ben Craig & Goetz von Peter - 637-652 Interbank contagion and resolution procedures: inspecting the mechanism
by E. Gaffeo & M. Molinari - 653-671 Modelling the emergence of the interbank networks
by Grzegorz Haᴌaj & Christoffer Kok - 673-691 The multiplex structure of interbank networks
by L. Bargigli & G. di Iasio & L. Infante & F. Lillo & F. Pierobon - 693-710 Quantifying preferential trading in the e-MID interbank market
by Vasilis Hatzopoulos & Giulia Iori & Rosario N. Mantegna & Salvatore Miccich� & Michele Tumminello - 711-724 Expectations and systemic risk in EMU government bond spreads
by Paolo Canofari & Giancarlo Marini & Giovanni Piersanti
March 2015, Volume 15, Issue 3
- 385-393 In search of statistically valid risk factors
by Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg - 395-397 Risk and Uncertainty in the Art World
by Benjamin R. Mandel - 401-419 A L�vy HJM multiple-curve model with application to CVA computation
by St�phane Cr�pey & Zorana Grbac & Nathalie Ngor & David Skovmand - 421-441 Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided L�vy models: the parabolic Laplace inversion method
by Mitya Boyarchenko & Sergei Levendorskiĭ - 443-454 A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
by John Hull & Alan White - 455-476 The Markov-switching jump diffusion LIBOR market model
by L. Steinruecke & R. Zagst & A. Swishchuk - 477-491 Uncertainty aversion, robust control and asset holdings
by Giannis Vardas & Anastasios Xepapadeas - 493-508 What is the impact of wealth shocks on asset allocation?
by Ricardo M. Sousa - 509-519 A Black-Litterman asset allocation model under Elliptical distributions
by Yugu Xiao & Emiliano A. Valdez - 521-534 A financial CCAPM and economic inequalities
by Charles S. Tapiero - 535-551 Optimal hedging for fund and insurance managers with partially observable investment flows
by Masaaki Fujii & Akihiko Takahashi - 553-567 Risk and efficiency in the Central and Eastern European banking industry under quantile analysis
by E. Mamatzakis
February 2015, Volume 15, Issue 2
- 185-203 Beta-arbitrage strategies: when do they work, and why?
by Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet - 205-206 Flash Boys: Cracking the Money Code
by Philip Protter - 207-208 Flash Boys: Cracking the Money Code
by Rishi K Narang - 213-229 How news affects the trading behaviour of different categories of investors in a financial market
by Fabrizio Lillo & Salvatore Miccich� & Michele Tumminello & Jyrki Piilo & Rosario N. Mantegna - 231-245 Ensemble properties of high-frequency data and intraday trading rules
by F. Baldovin & F. Camana & M. Caporin & M. Caraglio & A.L. Stella - 247-260 Automatic one two three
by Stanislaus Maier-Paape - 261-284 Trend momentum
by Wilhelm Berghorn - 285-298 Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities
by Panagiotis Schizas & Dimitrios D. Thomakos - 299-312 The payoff distribution model: an application to dynamic portfolio insurance
by Alexandre Hocquard & Nicolas Papageorgiou & Bruno Remillard - 313-326 Evaluating discrete dynamic strategies in affine models
by Flavio Angelini & Stefano Herzel - 327-343 Time horizon trading and the idiosyncratic risk puzzle
by Juliana Malagon & David Moreno & Rosa Rodr�guez - 345-358 Stock-picking and style-timing abilities: a comparative analysis of conventional and socially responsible mutual funds in the US market
by Fernando Mu�oz & Ruth Vicente & Luis Ferruz - 359-370 Selection of balanced portfolios to track the main properties of a large market
by Donatien Tafin Djoko & Yves Till� - 371-384 Application of a TGARCH-wavelet neural network to arbitrage trading in the metal futures market in China
by Lei Cui & Ke Huang & H.J. Cai
January 2015, Volume 15, Issue 1
- 1-17 The DNA of security return
by Changho Han - 19-21 Nonlinear Option Pricing
by Tai-Ho Wang - 25-41 Stress scenario selection by empirical likelihood
by Paul Glasserman & Chulmin Kang & Wanmo Kang - 43-59 Systematic scenario selection: stress testing and the nature of uncertainty
by Mark D. Flood & George G. Korenko - 61-78 Estimating the probability of multiple EU sovereign defaults using CDS and bond data
by R. Pianeti & R. Giacometti - 79-90 Liquidity premium in the presence of stock market crises and background risk
by Sergey Isaenko & Rui Zhong - 91-100 Multiscale exponential L�vy-type models
by Matthew Lorig & Oriol Lozano-Carbass� - 101-113 A parallel wavelet-based pricing procedure for Asian options
by S. Corsaro & D. Marazzina & Z. Marino - 115-129 Convertible bond valuation in a jump diffusion setting with stochastic interest rates
by Laura Ballotta & Ioannis Kyriakou - 131-150 Strategic commodity allocation
by Pierre Six - 151-170 Portfolio selection with commodities under conditional copulas and skew preferences
by Carlos Gonz�lez-Pedraz & Manuel Moreno & Juan Ignacio Pe�a - 171-183 Perverse timing or biased coefficients?
by Mercedes Alda & Mar�a Vargas & Luis Ferruz
December 2014, Volume 15, Issue 12
- 1917-1932 The impact of Basel III on financial (in)stability: an agent-based credit network approach
by Sebastian Krug & Matthias Lengnick & Hans-Werner Wohltmann
October 2014, Volume 15, Issue 10
- 1705-1726 Hedge fund replication with a genetic algorithm: breeding a usable mousetrap
by Brian C. Payne & Jiri Tresl
December 2014, Volume 14, Issue 12
- 2065-2072 Estimate nothing
by Moritz Duembgen & L. C. G. Rogers - 2073-2074 Discrete Time Series, Processes, and Applications in Finance
by Ola Mahmoud - 2079-2092 A continuous time Bayesian network classifier for intraday FX prediction
by S. Villa & F. Stella - 2093-2104 Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method
by Helin� Laakkonen - 2105-2120 Identifying and forecasting house prices: a macroeconomic perspective
by Nan-Kuang Chen & Han-Liang Cheng & Ching-Sheng Mao - 2121-2133 Clustering financial time series with variance ratio statistics
by João A. Bastos & Jorge Caiado - 2135-2153 Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
by Massimo Guidolin & Stuart Hyde - 2155-2170 Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
by Osvaldo C. Silva Filho & Flavio A. Ziegelmann & Michael J. Dueker - 2171-2183 Power-law behaviour in time durations between extreme returns
by Juan C. Reboredo & Miguel A. Rivera-Castro & Edilson Machado de Assis - 2185-2192 Quantile regression estimates and the analysis of structural breaks
by Marilena Furno - 2193-2203 Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks
by Kiseok Nam & Joshua Krausz & Augustine C. Arize - 2205-2213 Detecting volatility persistence in GARCH models in the presence of the leverage effect
by A. B. M. Rabiul Alam Beg & Sajid Anwar - 2215-2224 Model risk of the implied GARCH-normal model
by Shih-Feng Huang & Meihui Guo - 2225-2235 A long-memory integer-valued time series model, INARFIMA, for financial application
by A. M. M. Shahiduzzaman Quoreshi - 2237-2253 Alternative modeling for long term risk
by Dominique Gu�gan & Xin Zhao
November 2014, Volume 14, Issue 11
- 1881-1893 Pairs trading: optimal thresholds and profitability
by Zhengqin Zeng & Chi-Guhn Lee - 1895-1896 The Second Machine Age: Work, Progress, and Prosperity in a Time of Brilliant Technologies
by Xiaojing Dong & Shelby H. McIntyre - 1899-1922 Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
by Alexander Lipton & Andrey Gal & Andris Lasis - 1923-1936 A chaos expansion approach under hybrid volatility models
by Hideharu Funahashi - 1937-1959 An almost Markovian LIBOR market model calibrated to caps and swaptions
by Junwu Gan - 1961-1970 An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
by Marianito R. Rodrigo & Rogemar S. Mamon - 1971-1982 The pricing of basket-spread options
by Chun-Sing Lau & Chi-Fai Lo - 1983-1997 Mean-variance cointegration and the expectations hypothesis
by Till Strohsal & Enzo Weber - 1999-2018 Correlations between stock returns and bond returns: income and substitution effects
by Gwangheon Hong & Youngsoo Kim & Bong-Soo Lee - 2019-2032 Cardinality versus q -norm constraints for index tracking
by Bj�rn Fastrich & Sandra Paterlini & Peter Winker - 2033-2044 Grey Relational Analysis and Neural Network Forecasting of REIT returns
by Jo-Hui Chen & Ting-Tzu Chang & Chao-Rung Ho & John Francis Diaz - 2045-2064 Portfolio choice with indivisible and illiquid housing assets: the case of Spain
by Sergio Mayordomo & Maria Rodriguez-Moreno & Juan Ignacio Pe�a
October 2014, Volume 14, Issue 10
- 1693-1700 Bayesian testing for jumps in stochastic volatility models with correlated jumps
by Li Yong & Jie Zhang - 1701-1703 The Half-life of Facts: Why Everything We Know Has an Expiration Date
by Roger M. Stein - 1709-1724 Making mean-variance hedging implementable in a partially observable market
by Masaaki Fujii & Akihiko Takahashi - 1725-1737 Hedging strategies for energy derivatives
by P. Leoni & N. Vandaele & M. Vanmaele - 1739-1751 Dynamic option hedging via stochastic model predictive control based on scenario simulation
by Alberto Bemporad & Leonardo Bellucci & Tommaso Gabbriellini - 1753-1764 Option pricing and Greeks via a moving least square meshfree method
by Yongsik Kim & Hyeong-Ohk Bae & Hyeng Keun Koo - 1765-1784 Discrete dividends and the FTSE-100 index options valuation
by Nelson Areal & Artur Rodrigues - 1785-1794 Closed form spread option valuation
by Petter Bjerksund & Gunnar Stensland - 1795-1809 Pricing of geometric Asian options under Heston's stochastic volatility model
by Bara Kim & In-Suk Wee - 1811-1827 A regime-switching Heston model for VIX and S&P 500 implied volatilities
by Andrew Papanicolaou & Ronnie Sircar - 1829-1837 Dynamics of the implied volatility surface. Theory and empirical evidence
by Jacinto Marabel Romo - 1839-1855 Comparison of methods to estimate option implied risk-neutral densities
by Wan-Ni Lai - 1857-1879 Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
by Seung Hwan Lee
September 2014, Volume 14, Issue 9
- 1503-1511 Modelling the rebalancing slippage of leveraged exchange-traded funds
by Lakshithe Wagalath - 1513-1515 After the Music Stopped: The Financial Crisis, the Response, and the Work Ahead
by Thomas Hughes - 1518-1518 Applications sought for book review editor from 2015
by Alexander Smith - 1519-1539 Optimal liquidation in dark pools
by Peter Kratz & Torsten Sch�neborn - 1541-1554 Myopic loss aversion, reference point, and money illusion
by Xue Dong He & Xun Yu Zhou - 1555-1571 Smooth monotone covariance for elliptical distributions and applications in finance
by Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev - 1573-1585 Copula dynamics in CDOs
by Barbara Choroś-Tomczyk & Wolfgang Karl H�rdle & Ludger Overbeck - 1587-1595 Haar wavelets-based approach for quantifying credit portfolio losses
by Josep J. Masdemont & Luis Ortiz-Gracia - 1597-1618 Commodity markets through the business cycle
by Julien Chevallier & Mathieu Gatumel & Florian Ielpo - 1619-1626 Skewness premium with L�vy processes
by Jos� Fajardo & Ernesto Mordecki - 1627-1641 Assessing stock market dependence and contagion
by Omar Abbara & Mauricio Zevallos - 1643-1649 A Black-Litterman approach to correlation stress testing
by F. C. Ng & W. K. Li & Philip L. H. Yu - 1651-1661 An optimal investment model with Markov-driven volatilities
by Shangzhen Luo & Xudong Zeng