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Quantitative Finance

Articles from the last few issues of Quantitative Finance © Routledge, part of the Taylor & Francis Group
  • A preliminary enquiry into the causes of the Credit Crunch
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 435-451.
    by Murphy, David
  • Black-Scholes theory for an underlying with multiple attractors
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 453-457.
    by Herzberg, Frederik
  • Perpetual American options in incomplete markets: the infinitely divisible case
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 461-469.
    by Henderson, Vicky, Hobson, David
  • Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 471-483.
    by Crosby, John
  • Least-squares Importance Sampling for Monte Carlo security pricing
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 485-497.
    by Capriotti, Luca
  • A probabilistic analysis of the trading the line strategy
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 499-512.
    by Abramov, , Khan, , Khan,
  • Financial markets in the laboratory: an experimental analysis of some stylized facts
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 513-532.
    by Morone, Andrea
  • An empirical re-examination of the dividend-investment relation
    Quantitative Finance, Vol. 8, No. 5. (August 2008), pp. 533-546.
    by Mougoue, Mbodja
  • Can the January anomaly in Taiwan's stock market be explained by the prospect theory?
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 335-339.
    by Chien, Chin-Chen, Chen, Tsung-Cheng
  • Return autocorrelation anomalies and the importance of non-trading periods: evidence from Spain, France and Germany
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 341-349.
    by Blandon, Josep Garcia
  • Analysing liquidity and absorption limits of electronic markets with volume durations
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 353-361.
    by Ng, Wing Lon
  • Wealth-driven competition in a speculative financial market: examples with maximizing agents
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 363-380.
    by Anufriev, Mikhail
  • Conditional risk-return relationship in a time-varying beta model
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 381-390.
    by Huang, Peng, Hueng, C James
  • Historical simulation approach to the estimation of stochastic discount factor models
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 391-404.
    by Semenov, Andrei
  • A new computational tool for analysing dynamic hedging under transaction costs
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 405-413.
    by Primbs, James, Yamada, Yuji
  • Risk-sensitive benchmarked asset management
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 415-426.
    by Davis, Mark, Lleo, Sebastien
  • New and robust drift approximations for the LIBOR market model
    Quantitative Finance, Vol. 8, No. 4. (June 2008), pp. 427-434.
    by Joshi, Mark, Stacey, Alan
  • Introduction to the special issue on portfolio construction and risk management
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 357-358.
    by Dempster, , Mitra, Gautam, Pflug, Georg
  • Coherent measures of risk in everyday market practice
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 359-364.
    by Acerbi, Carlo
  • DC pension fund benchmarking with fixed-mix portfolio optimization
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 365-370.
    by Dempster, , Germano, , Medova, , Rietbergen, , Sandrini, , Scrowston, , Zhang,
  • Higher moment coherent risk measures
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 373-387.
    by Krokhmal, A Pavlo
  • On the feasibility of portfolio optimization under expected shortfall
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 389-396.
    by Ciliberti, Stefano, Kondor, Imre, Mezard, Marc
  • Stability analysis of portfolio management with conditional value-at-risk
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 397-409.
    by Kaut, Michal, Vladimirou, Hercules, Wallace, W Stein, Zenios, A Stavros
  • Stress testing for VaR and CVaR
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 411-421.
    by Dupacova, Jitka, Polivka, Jan
  • Stable distributions in the Black-Litterman approach to asset allocation
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 423-433.
    by Giacometti, Rosella, Bertocchi, Marida, Rachev, T Svetlozar, Fabozzi, J Frank
  • Ambiguity in portfolio selection
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 435-442.
    by Pflug, Georg, Wozabal, David
  • Mean-risk models using two risk measures: a multi-objective approach
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 443-458.
    by Roman, Diana, Darby-Dowman, Kenneth, Mitra, Gautam
  • Implied non-recombining trees and calibration for the volatility smile
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 459-472.
    by Charalambous, Chris, Christofides, Nicos, Constantinide, D Eleni, Martzoukos, H Spiros
  • Editorial
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 235-235.
    by Chiarella, Carl, Platen, Eckhard
  • Waiting for returns: using space-time duality to calibrate financial diffusions
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 237-244.
    by Kamstra, Mark, Milevsky, A Moshe
  • Discrete credit barrier models
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 247-256.
    by Albanese, Claudio, Chen, X Oliver
  • PDE approach to valuation and hedging of credit derivatives
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 257-270.
    by Bielecki, R Tomasz, Jeanblanc, Monique, Rutkowski, Marek
  • Pairs trading
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 271-276.
    by Elliott, J Robert, Van Der Hoek, John, Malcolm, P William
  • A Markov model for valuing asset prices in a dynamic bargaining market
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 277-288.
    by Kijima, Masaaki, Uchida, Yoshihiko
  • Pricing inflation-indexed derivatives
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 289-302.
    by Mercurio, Fabio
  • Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 303-313.
    by Kraft, Holger
  • Optimal portfolios with a positive lower bound on final wealth
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 315-321.
    by Korn, Ralf
  • Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 133-140.
    by Rosario N Mantegna
  • Durations, volume and the prediction of financial returns in transaction time
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 145-152.
    by Christian M Hafner
  • Surprise volume and heteroskedasticity in equity market returns
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 153-168.
    by Niklas Wagner, Terry A Marsh
  • A learning market-maker in the Glosten-Milgrom model
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 169-180.
    by Sanmay Das
  • On accurate and provably efficient GARCH option pricing algorithms
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 181-198.
    by Yuh-Dauh Lyuu, Chi-Ning Wu
    posted by 1 person azole
  • Stochastic volatility and the goodness-of-fit of the Heston model
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 199-211.
    by Gilles Daniel, Nathan L Joseph, David S Bree
  • Tobin tax and market depth
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 213-218.
    by G Ehrenstein, F Westerhoff, D Stauffer
    posted by 1 person DanHodson
  • International tax arbitrage, financial parity conditions and preferential capital gains taxation
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 219-226.
    by Frank Strobel
  • Estimating value-at-risk: a point process approach
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 227-234.
    by V Chavez-Demoulin, AC Davison, AJ Mcneil
  • Robust tests of the random walk hypothesis
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 57-60.
    by Erhard Reschenhofer
  • Quantum games in finance
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 61-67.
    by Edward W Piotrowski, Jan Sladkowski
  • Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 619-636.
    by Brendan O Bradley, Murad S Taqqu
  • Rank reduction of correlation matrices by majorization
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 649-662.
    by Raoul Pietersz, Patrick J Groenen
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