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Content
2000, Volume 03, Issue 04
- 609-616 Exact Solution Of A Model For Crowding And Information Transmission In Financial Markets
by R. D'Hulst & G. J. Rodgers - 617-639 A Large Deviation Approach To Portfolio Management
by L. Gardiol & R. Gibson & P.-A. Bares & R. Cont & S. Gyger - 641-659 Asymmetric Information In A Financial Market With Jumps
by Axel Grorud - 661-674 Constant Elasticity Of Variance Option Pricing Model With Time-Dependent Parameters
by C. F. Lo & P. H. Yuen & C. H. Hui - 675-702 Volatility Clustering In Financial Markets: A Microsimulation Of Interacting Agents
by Thomas Lux & Michele Marchesi - 703-729 An Empirical Investigation Of The Forward Interest Rate Term Structure
by Andrew Matacz & Jean-Philippe Bouchaud - 731-731 Erratum: "Estimation In Continuous-Time Stochastic Volatility Models Using Nonlinear Filters"
by Jan Nygaard Nielsen & Martin Vestergaard
2000, Volume 03, Issue 03
- 311-333 Physicists Attempt To Scale The Ivory Towers Of Finance
by J. Doyne Farmer - 335-346 Econophysics: What Can Physicists Contribute To Economics?
by H. Eugene Stanley & Luís A. Nunes Amaral & Parameswaran Gopikrishnan & Yanhui Liu & Vasiliki Plerou & Bernd Rosenow - 347-355 Measuring Shock In Financial Markets
by Gilles O. Zumbach & Michel M. Dacorogna & Jørgen L. Olsen & Richard B. Olsen - 357-360 A Stochastic Cascade Model For Fx Dynamics
by Wolfgang Breymann & Shoaleh Ghashghaie & Peter Talkner - 361-364 Multifractal Fluctuations In Finance
by Francois Schmitt & Daniel Schertzer & Shaun Lovejoy - 365-369 The Distribution Of Returns Of Stock Prices
by Luís A. N. Amaral & Vasiliki Plerou & Parameswaran Gopikrishnan & Martin Meyer & H. Eugene Stanley - 371-373 Break-Down Of Scaling And Convergence To Gaussian Distribution In Stock Market Data
by L. Kullmann & J. Kertész & J. Töyli & K. Kaski & A. Kanto - 375-379 Analysis Of Effect Of Detrending Of Time-Scale Structure Of Financial Data Using Discrete Wavelet Transform
by Brian J. W. Fleming & Dejin Yu & Robert G. Harrison & David Jubb - 381-389 Explaining The Forward Interest Rate Term Structure
by Andrew Matacz & Jean-Philippe Bouchaud - 391-397 Random Matrix Theory And Financial Correlations
by Laurent Laloux & Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud - 399-403 Application Of Random Matrix Theory To Study Cross-Correlations Of Stock Prices
by Bernd Rosenow & Vasiliki Plerou & Parameswaran Gopikrishnan & Luís A. Nunes Amaral & H. Eugene Stanley - 405-408 Statistical Properties Of Statistical Ensembles Of Stock Returns
by Fabrizio Lillo & Rosario N. Mantegna - 409-414 MANAGING BOTH SIGN AND SIZE OF FLUCTUATIONS WITHIN THEn-ZIPF FRAMEWORK
by N. Vandewalle & F. Brisbois & P. H. Lefebvre - 415-416 Markov Properties Of High Frequency Exchange Rate Data
by C. Renner & J. Peinke & R. Friedrich - 417-417 Historical Volatility Distribution In Gaussian And Garch(1,1) Models
by Lutz Molgedey - 419-419 Recurrence Plots And Hurst Exponents For Financial Markets And Foreign-Exchange Data
by J. A. Hołyst & M. Żebrowska - 421-422 Zig-Zag Movements And Near Neighbors In The Foreign Exchange Market
by George G. Szpiro - 423-424 On The Occurence Of Financial Crashes
by F. BRISBOIS & Ph. BOVEROUX & M. AUSLOOS & N. VANDEWALLE - 425-441 A Simple Model For The Nonequilibrium Dynamics And Evolution Of A Financial Market
by J. Doyne Farmer - 443-450 Trader Dynamics In A Model Market
by Neil F. Johnson & Michael Hart & Pak Ming Hui & Dafang Zheng - 451-454 Phase Transition In A Toy Market
by Damien Challet & Matteo Marsili & Riccardo Zecchina - 455-460 The Thermal Minority Game
by Andrea Cavagna & Juan P. Garrahan & Irene Giardina & David Sherrington - 461-461 Hamming Distance And History Distribution In The Minority Game
by R. D'Hulst & G. J. Rodgers - 463-464 Learning, Competition And Cooperation In Simple Games
by M. Ángeles R. De Cara & Óscar Pla & Francisco Guinea - 465-466 Efficient-Inefficient Transitions In Minority Games
by F. Vistulo De Abreu & L. M. Almeida - 467-472 A Threshold Model For Stock Return Volatility And Trading Volume
by Giulia Iori - 473-478 Imitation In Financial Markets
by Harjoat Singh Bhamra - 479-482 Search For Log-Periodic Oscillations In Stock Market Simulations
by Ras B. Pandey & Dietrich Stauffer - 483-485 The Application Of The Bak–Sneppen Model In Finance
by P. H. Lefebvre & F. Brisbois & N. Vandewalle - 487-489 A Multi-Agent Modelling Environment For Market Simulation
by David Fletcher-Holmes & Stephen Trowell - 491-491 Heterogeneity And Seasonality In Financial Markets
by John Appleby - 493-500 Uncertainty Versus Randomness: Minimizing Model Dependence
by Paul Wilmott - 501-510 Financial Friction And Multiplicative Markov Market Games
by Erik Aurell & Paolo Muratore-Ginanneschi - 511-522 Driving Force In Investment
by Andrea Capocci & Yi-Cheng Zhang - 523-535 Portfolio Theory For "Fat Tails"
by D. Sornette & J. V. Andersen & P. Simonetti - 537-540 Spin Glasses In The Trading Book
by I. Kondor - 541-545 Principal Component Value At Risk
by Raymond Brummelhuis & Antonio Cordóba & Maite Quintanilla & Luis Seco - 547-547 A Large Deviation Approach To Portfolio Management
by L. Gardiol & R. Gibson & P.-A. Bares & R. Cont & S. Gyger - 549-552 Option Pricing For Truncated Lévy Processes
by Svetlana I. Boyarchenko & Sergei Z. Levendorskiǐ - 553-556 Hedging Strategy With Langevin Evolution
by S. Mariani & G. Rotundo & B. Tirozzi - 557-557 Tree Method For Option Pricing Under Stochastic Variance
by Dragan Šestović - 559-560 Convergence Of Minimum Entropy Option Prices For Weakly Converging Incomplete Market Models
by Friedrich Hubalek & Thomas Hudetz - 561-561 Information And Entropy In Incomplete Markets
by Evangelos Tabakis - 563-564 Learning Short-Option Valuation In The Presence Of Rare Events
by M. Raberto & G. Cuniberti & M. Riani & E. Scales & F. Mainardi & G. Servizi - 565-565 Towards Non-Equilibrium Option Pricing Theory
by Matthias Otto - 567-568 A Diffusion Approach To Economic Time Series
by M. Ciogli & G. Rotundo & B. Tirozzi - 569-570 Binomial Trees As Dynamical Systems
by Roza Galeeva - 571-571 Defaultable Bonds As Asian Options
by Emmanuel Buffet - 573-574 Analytic Theory Of Interest Rates Part I: Solitary Bonds
by Peter Koeze - 575-580 A Note On Risky Bond Valuation
by C. H. Hui & C. F. Lo - 581-589 Option Risk Measurement With Time-Dependent Parameters
by C. F. Lo & P. H. Yuen & C. H. Hui - 591-591 Pricing Of An Index-Linked Swaption
by Katja Henjes - 593-593 Prediction Of Financial Data With Hidden Markov Mixtures Of Experts
by Stefan Liehr & Klaus Pawelzik & Jens Kohlmorgen & Steven Lemm & Klaus-Robert Müller - 595-595 Composite Index Prediction
by Stefan S. Zemke - 597-597 Gibbs Distribution Of Money: A Computer Simulation
by Adrian A. Drăgulescu & Victor M. Yakovenko - 599-599 A Model Of Stock Market Bubble Under Uncertain Fundamentals
by J. Dean & T. Milovanov - 601-601 Nonlinear Dynamics And Chaos In Macroeconomics
by Abraham C.-L. Chian - 603-604 Nonlinear Oscillations In Business Cycle Model With Time Lags
by Adam Krawiec & Marek Szydłowski & Janusz Toboła - 605-606 Virtual Object Theory And Its Application To Finance
by Zheng Rong Yang & Weiping Lu & Robert G. Harrison - 607-608 Design Of An Economic Indicator Calibrated In Si Units
by IAN McFARLANE
2000, Volume 03, Issue 02
- 161-181 Markov Market Model Consistent With Cap Smile
by P. Balland & L. P. Hughston - 183-204 Profiling Neural Networks For Option Pricing
by A. Carelli & S. Silani & F. Stella - 205-217 On The Rate Of Information Absorption In The Conditional Variance Of Ses Dual Listed Stocks
by Wai Mun Fong & Pheng Lui Chng - 219-255 Crashes As Critical Points
by Anders Johansen & Olivier Ledoit & Didier Sornette - 257-278 Currency-Translated Foreign Equity Options With Path Dependent Features And Their Multi-Asset Extensions
by Yue-Kuen Kwok & Hoi-Ying Wong - 279-308 Estimation In Continuous-Time Stochastic Volatility Models Using Nonlinear Filters
by Jan Nygaard Nielsen & Martin Vestergaard
2000, Volume 03, Issue 01
- 1-24 A General Methodology To Price And Hedge Derivatives In Incomplete Markets
by Erik Aurell & Roberto Baviera & Ola Hammarlid & Maurizio Serva & Angelo Vulpiani - 25-58 Worst-Case Scenarios For American Options
by Robert Buff - 59-83 Pricing Asset Backed Islamic Financial Instruments
by Muhammed-Shahid Ebrahim - 85-100 Market Segmentation And Noise Trader Risk
by Vihang Errunza & Ked Hogan & Mao-Wei Hung - 101-142 Mean-Reverting Stochastic Volatility
by Jean-Pierre Fouque & George Papanicolaou & K. Ronnie Sircar - 143-160 Financial Modeling And Option Theory With The Truncated Levy Process
by Andrew Matacz
1999, Volume 02, Issue 04
- 357-380 Investigating Chaotic Behavior In Economic Series: The Delay Time In The Grassberger–Procaccia Algorithm
by Teresa Aparicio & Eduardo Pozo & Dulce Saura - 381-407 A Path Integral Approach To Derivative Security Pricing I: Formalism And Analytical Results
by Eleonora Bennati & Marco Rosa-Clot & Stefano Taddei - 409-440 Stochastic Volatility And Jump-Diffusion — Implications On Option Pricing
by George J. Jiang - 441-469 One- And Multi-Factor Valuation Of Mortgages: Computational Problems And Shortcuts
by Alexander Levin - 471-481 Optimal Lag In Dynamical Investments
by Maurizio Serva
1999, Volume 02, Issue 03
- 243-283 The Capital Structure Of Islamic Banks Under The Contractual Obligation Of Profit Sharing
by Talla Al-Deehani & Rifaat Ahmed Abdel Karim & Victor Murinde - 285-292 When The Bubble Is Going To Burst …
by Jing Chen - 293-329 The Entropic Market Hypothesis
by Les Gulko - 331-355 The Entropy Theory Of Stock Option Pricing
by Les Gulko
1999, Volume 02, Issue 02
- 113-129 Loan Sales And Bank Liquidity Management
by Andrew H. Chen & Sumon C. Mazumdar - 131-152 On The Profit And Loss Distribution Of Dynamic Hedging Strategies
by Sergei Esipov & Igor Vaysburd - 153-178 The Feynman–Kac Formula And Pricing Occupation Time Derivatives
by Julien-N. Hugonnier - 179-200 Incorporating Price-Relevant Information Between Quotes And Trades: A New Measure Of The Effective Bid-Ask Spread
by Sung-Hun Kim & Joseph P. Ogden - 201-219 Design And Valuation Of Corporate Securities With Strategic Debt Service And Asymmetric Information
by Yonghua Pan - 221-241 Neural Networks For Technical Analysis: A Study On Klci
by Jingtao Yao & Chew Lim Tan & Hean-Lee Poh
1999, Volume 02, Issue 01
- 1-16 Pricing Parisian-Style Options With A Lattice Method
by Marco Avellaneda & Lixin Wu - 17-42 Closed Form Formulas For Exotic Options And Their Lifetime Distribution
by Raphaël Douady - 43-58 Value At Risk Of A Bank'S Balance Sheet
by Thomas Ho & Mark Abbott & Allen Abrahamson - 59-82 Risky Options Simplified
by Martin Schweizer - 83-94 Monte Carlo Simulation Of Volatility Clustering In Market Model With Herding
by Dietrich Stauffer & Paulo M. C. De Oliveira & Americo T. Bernardes - 95-99 Pricing Defaultable Debt: Some Exact Results
by D. F. Wang - 101-111 Asian Options With The American Early Exercise Feature
by Lixin Wu & Yue Kuen Kwok & Hong Yu
1998, Volume 01, Issue 04
- 447-472 Minimum-Relative-Entropy Calibration of Asset-Pricing Models
by Marco Avellaneda - 473-486 Optimal Strategies for Prudent Investors
by Roberto Baviera & Michele Pasquini & Maurizio Serva & Angelo Vulpiani - 487-505 A Simple Model for Option Pricing with Jumping Stochastic Volatility
by Stefano Herzel - 507-522 A General Framework for Hedging and Speculating with Options
by Ralf Korn & Paul Wilmott - 523-541 Pricing Multi-Asset Options with an External Barrier
by Yue-Kuen Kwok & Lixin Wu & Hong Yu
1998, Volume 01, Issue 03
- 315-330 Optimal Index Tracking Under Transaction Costs and Impulse Control
by I. R. C. Buckley & R. Korn - 331-347 Insider Trading in a Continuous Time Market Model
by Axel Grorud & Monique Pontier - 349-376 Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
by Alexander Levin - 377-387 Optimal Investment Strategy for Risky Assets
by Sergei Maslov & Yi-Cheng Zhang - 389-424 An International Study of Efficiency and Risk in Money Markets
by David Miles - 425-445 Dynamics of Spot, Forward, and Futures Libor Rates
by Marek Rutkowski
1998, Volume 01, Issue 02
- 195-226 A New Model for Interest Rates
by D. Epstein & P. Wilmott - 227-233 On Minimizing Risk in Incomplete Markets Option Pricing Models
by Ola Hammarlid - 235-245 Information Transmission Across Eurodollar Futures Markets
by Kian-Guan Lim & Eric Terry & Desmond How - 247-282 Collapse of Detail
by Enlin Pan - 283-288 An Explicit Formula for Option Pricing in Discrete Incomplete Markets
by Grażyna Wolczyńska - 289-310 A Risk-Neutral Stochastic Volatility Model
by Yingzi Zhu & Marco Avellaneda - 311-314 Book Review: "Value at Risk", Philippe Jorion
by Thomas S. Y. Ho
1998, Volume 01, Issue 01
- 1-23 Pricing Risky Options Simply
by Erik Aurell & Sergei I. Simdyankin - 25-41 Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
by J. P. Bouchaud & D. Sornette & C. Walter & J. P. Aguilar - 43-59 Estimating Expected Exchange Rates Under Target Zone Regimes
by Zhaohui Chen & Alberto Giovannini - 61-110 Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
by Emanuel Derman & Iraj Kani - 111-143 The Pricing of Country Funds from Emerging Markets: Theory and Evidence
by Vihang Errunza & Lemma W. Senbet & Ked Hogan - 145-160 Internationally Diversified Investment Using an Integrated Portfolio Model
by Hiroshi Konno & Jing Li - 161-174 The Mexican Crisis and the Behavior of Country-Fund Discounts: Renewing the Puzzle of Closed-End Fund Pricing
by Charles Kramer & R. Todd Smith - 175-189 Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
by Paul Wilmott & Asli Oztukel - 191-193 Book Review: "The Econometrics of Financial Markets", John Campbell, Andrew Lo, A. Craig Mackinlay
by Ivailo Izvorski
0000, Volume 21, Issue 05
- 1-28 Arbitrage Pricing Theory In Ergodic Markets
by Gabriel Frahm