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Volume 10, Issue 3

Quantitative Finance

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Quantitative Finance, Volume 10, Issue 3 (2010)

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Quantitative Finance, Volume 10, Issue 3 (2010)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Volume 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Feature

Article

A risk-based evaluation of the free-trader option

Ren-Raw Chen & Frank J. Fabozzi

Pages: 235-240

Published online: 11 Mar 2010

First Page PreviewforA risk-based evaluation of the free-trader option | Full Text | References | PDF (454.5 KB)

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Profile

Article

The new ‘brew’ on the Liffey: How FMC² is adding the yeast

Anthony Brabazon

Pages: 241-245

Published online: 11 Mar 2010

First Page PreviewforThe new ‘brew’ on the Liffey: How FMC² is adding the yeast | Full Text | References | PDF (2.7 MB)

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Research Papers

Article

Single and joint default in a structural model with purely discontinuous asset prices

Filippo Fiorani, Elisa Luciano & Patrizia Semeraro

Pages: 249-263

Published online: 22 Oct 2009

AbstractforSingle and joint default in a structural model with purely discontinuous asset prices | Full Text | References | PDF (193.3 KB)

194 Views
23 CrossRef citations
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Article

Pricing a CDO on stochastically correlated underlyings

Marcos Escobar, Barbara Götz, Luis Seco & Rudi Zagst

Pages: 265-277

Published online: 25 Jun 2009

AbstractforPricing a CDO on stochastically correlated underlyings | Full Text | References | PDF (1 MB)

218 Views
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Article

Pricing inflation-linked bonds

Paolo Falbo, Francesco M. Paris (1960–2005) & Cristian Pelizzari

Pages: 279-293

Published online: 29 Apr 2009

AbstractforPricing inflation-linked bonds | Full Text | References | PDF (730.7 KB)

718 Views
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Article

Hierarchies of Archimedean copulas

Cornelia Savu & Mark Trede

Pages: 295-304

Published online: 23 Jul 2009

AbstractforHierarchies of Archimedean copulas | Full Text | References | PDF (182.9 KB)

1027 Views
108 CrossRef citations
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Article

Multi-asset spread option pricing and hedging

Minqiang Li, Jieyun Zhou & Shi-Jie Deng

Pages: 305-324

Published online: 29 Apr 2009

AbstractforMulti-asset spread option pricing and hedging | Full Text | References | PDF (321.2 KB)

674 Views
29 CrossRef citations
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Article

Asset allocation using flexible dynamic correlation models with regime switching

Edoardo Otranto

Pages: 325-338

Published online: 05 Oct 2009

AbstractforAsset allocation using flexible dynamic correlation models with regime switching | Full Text | References | PDF (1.5 MB)

353 Views
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