Quantitative Finance, Volume 11, Issue 3 (2011)

Browse this journal
Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days

Quantitative Finance, Volume 11, Issue 3 (2011)

See all volumes and issues
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 Volume 11, 2011 Vol 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
Download citations Download PDFs Download issue

Feature

Article
Tail dependence and skew distributions
Thomas Fung & Eugene Seneta
Pages: 327-333
Published online: 29 Sep 2010
First Page PreviewforTail dependence and skew distributions | Full Text | References | PDF (616.8 KB)
  • 319 Views
  • 6 CrossRef citations
  • 0Altmetric
Article
On the perpetual American put options for level dependent volatility models with jumps
Erhan Bayraktar
Pages: 335-341
Published online: 16 Dec 2009
First Page PreviewforOn the perpetual American put options for level dependent volatility models with jumps | Full Text | References | PDF (395.4 KB)
  • 169 Views
  • 6 CrossRef citations
  • 0Altmetric
Article
Some integral functionals of reflected SDEs and their applications in finance
Lijun Bo, Yongjin Wang & Xuewei Yang
Pages: 343-348
Published online: 01 Sep 2010
First Page PreviewforSome integral functionals of reflected SDEs and their applications in finance | Full Text | References | PDF (556.6 KB)
  • 416 Views
  • 40 CrossRef citations
  • 0Altmetric

Calendar

Calendar
Calendar
Page: 349
Published online: 13 Feb 2011
CitationforCalendar | PDF (976.3 KB)
  • 44 Views
  • 0 CrossRef citations
  • 0Altmetric

Research Papers

Article
Identifying small mean-reverting portfolios
Alexandre D'Aspremont
Pages: 351-364
Published online: 19 Oct 2010
AbstractforIdentifying small mean-reverting portfolios | Full Text | References | PDF (489.7 KB)
  • 629 Views
  • 48 CrossRef citations
  • 0Altmetric
Article
A stochastic differential game for optimal investment of an insurer with regime switching
Robert J. Elliott & Tak Kuen Siu
Pages: 365-380
Published online: 01 Sep 2010
AbstractforA stochastic differential game for optimal investment of an insurer with regime switching | Full Text | References | PDF (216.1 KB)
  • 821 Views
  • 39 CrossRef citations
  • 0Altmetric
Article
An improved convolution algorithm for discretely sampled Asian options
Aleš Černý & Ioannis Kyriakou
Pages: 381-389
Published online: 20 Apr 2010
AbstractforAn improved convolution algorithm for discretely sampled Asian options | Full Text | References | PDF (146.5 KB)
  • 336 Views
  • 47 CrossRef citations
  • 0Altmetric
Article
Moody's correlated binomial default distributions for inhomogeneous portfolios
S. Mori, K. Kitsukawa & M. Hisakado
Pages: 391-405
Published online: 20 Apr 2010
AbstractforMoody's correlated binomial default distributions for inhomogeneous portfolios | Full Text | References | PDF (547.3 KB)
  • 201 Views
  • 1 CrossRef citations
  • 0Altmetric
Article
Dynamic copula models for the spark spread
Fred Espen Benth & Paul C. Kettler
Pages: 407-421
Published online: 29 Oct 2010
AbstractforDynamic copula models for the spark spread | Full Text | References | PDF (847 KB)
  • 427 Views
  • 26 CrossRef citations
  • 0Altmetric
Article
Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries
Meng-Fen Hsieh, Tzu-Yi Yang, Yu-Tai Yang & Jen-Sin Lee
Pages: 423-435
Published online: 13 Feb 2011
AbstractforEvidence of herding and positive feedback trading for mutual funds in emerging Asian countries | Full Text | References | PDF (301.6 KB)
  • 896 Views
  • 41 CrossRef citations
  • 0Altmetric
Article
Directional entropy and tail uncertainty, with applications to financial hazard
Roger J. Bowden
Pages: 437-446
Published online: 13 Jul 2010
AbstractforDirectional entropy and tail uncertainty, with applications to financial hazard | Full Text | References | PDF (378.4 KB)
  • 245 Views
  • 16 CrossRef citations
  • 0Altmetric
Article
The impact of transaction duration, volume and direction on price dynamics and volatility
Anthony S. Tay, Christopher Ting, Yiu Kuen Tse & Mitch Warachka
Pages: 447-457
Published online: 20 Apr 2010
AbstractforThe impact of transaction duration, volume and direction on price dynamics and volatility | Full Text | References | PDF (587.8 KB)
  • 340 Views
  • 7 CrossRef citations
  • 0Altmetric
Article
Hidden Markov models with t components. Increased persistence and other aspects
Jan Bulla
Pages: 459-475
Published online: 01 Jul 2010
AbstractforHidden Markov models with t components. Increased persistence and other aspects | Full Text | References | PDF (669.4 KB)
  • 405 Views
  • 34 CrossRef citations
  • 0Altmetric
Article
Futures and futures options with basis risk: theoretical and empirical perspectives
Chou-Wen Wang & Ting-Yi Wu
Pages: 477-485
Published online: 06 Apr 2010
AbstractforFutures and futures options with basis risk: theoretical and empirical perspectives | Full Text | References | PDF (922 KB)
  • 338 Views
  • 1 CrossRef citations
  • 0Altmetric

Explore articles

Explore the most recently published articles

Regulating stochastic clocks§
Zhe Fei et al.
Article | Published online: 25 Jul 2024
Risk factor aggregation and stress testing
Natalie Packham
Article | Published online: 25 Jul 2024
Pricing airbag option via first passage time approach
Zheng Liu et al.
Article | Published online: 25 Jul 2024
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
Ruting Wang et al.
Article | Published online: 18 Jul 2024
Open Access
View all latest articles