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Volume 12, Issue 8

Quantitative Finance

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Quantitative Finance, Volume 12, Issue 8 (2012)

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Quantitative Finance, Volume 12, Issue 8 (2012)

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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 Volume 12, 2012 Vol 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

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Features

Article

Stock market crashes in 2007–2009: were we able to predict them?

Sébastien Lleo & William T. Ziemba

Pages: 1161-1187

Published online: 06 Aug 2012

First Page PreviewforStock market crashes in 2007–2009: were we able to predict them? | Full Text | References | PDF (3.5 MB)

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Article

Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics

C. Schinckus

Pages: 1189-1192

Published online: 06 Aug 2012

First Page PreviewforMethodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics | Full Text | References | PDF (77 KB)

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Book Review

Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown

Roger Stein

Pages: 1193-1195

Published online: 06 Aug 2012

First Page PreviewforRed-Blooded Risk: The Secret History of Wall Street, by Aaron Brown | Full Text | References | PDF (274.2 KB)

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Free Access

Calendar

Page: 1197

Published online: 06 Aug 2012

CitationforCalendar | PDF (582.6 KB)

34 Views
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Research Papers

Article

Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis

Rama Cont & Cathrine Jessen

Pages: 1199-1218

Published online: 18 Jun 2012

AbstractforConstant Proportion Debt Obligations (CPDOs): modeling and risk analysis | Full Text | References | PDF (639 KB)

236 Views
6 CrossRef citations
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Article

Pricing CDOs with state-dependent stochastic recovery rates

Salah Amraoui, Laurent Cousot, Sebastien Hitier & Jean-Paul Laurent

Pages: 1219-1240

Published online: 14 Jun 2012

AbstractforPricing CDOs with state-dependent stochastic recovery rates | Full Text | References | PDF (305 KB)

282 Views
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Article

Forward-neutral valuation relationships for options on zero coupon bonds

António Câmara & Ana Câmara

Pages: 1241-1252

Published online: 17 Dec 2010

AbstractforForward-neutral valuation relationships for options on zero coupon bonds | Full Text | References | PDF (213.5 KB)

189 Views
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Article

Universal price impact functions of individual trades in an order-driven market

Wei-Xing Zhou

Pages: 1253-1263

Published online: 13 Dec 2010

AbstractforUniversal price impact functions of individual trades in an order-driven market | Full Text | References | PDF (394.7 KB)

807 Views
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Article

Path-dependent scenario trees for multistage stochastic programmes in finance

Giorgio Consigli, Gaetano Iaquinta & Vittorio Moriggia

Pages: 1265-1281

Published online: 14 Dec 2010

AbstractforPath-dependent scenario trees for multistage stochastic programmes in finance | Full Text | References | PDF (1.9 MB)

260 Views
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Article

The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)

Guy Kaplanski & Haim Levy

Pages: 1283-1298

Published online: 13 Dec 2010

AbstractforThe holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE) | Full Text | References | PDF (440.5 KB)

576 Views
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Article

Financial factors and firm growth: evidence from financial data on Taiwanese firms

Khurshid M. Kiani, Ellen Huiru Chen & Zagros Madjd-Sadjadi

Pages: 1299-1314

Published online: 21 Jul 2011

AbstractforFinancial factors and firm growth: evidence from financial data on Taiwanese firms | Full Text | References | PDF (192.4 KB)

612 Views
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