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Volume 12, Issue 9

Quantitative Finance

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Quantitative Finance, Volume 12, Issue 9 (2012)

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Quantitative Finance, Volume 12, Issue 9 (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

VaR limits for pension funds: an evaluation

Solange M. Berstein & Rómulo A. Chumacero

Pages: 1315-1324

Published online: 21 Oct 2010

First Page PreviewforVaR limits for pension funds: an evaluation | Full Text | References | PDF (534.5 KB)

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Article

Two stock options at the races: Black–Scholes forecasts

G. Oshanin & G. Schehr

Pages: 1325-1333

Published online: 21 Sep 2011

First Page PreviewforTwo stock options at the races: Black–Scholes forecasts | Full Text | References | PDF (700.3 KB)

570 Views
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Book Review

Boomerang, by Michael Lewis

Nicholas Dunbar

Pages: 1335-1336

Published online: 19 Jul 2012

CitationforBoomerang, by Michael Lewis | Full Text | PDF (271.4 KB)

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Free Access

Calendar

Page: 1337

Published online: 23 Aug 2012

CitationforCalendar | PDF (546 KB)

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Research Papers

Article

A liquidity-based model for asset price bubbles

Robert A. Jarrow, Philip Protter & Alexandre F. Roch

Pages: 1339-1349

Published online: 03 Nov 2011

AbstractforA liquidity-based model for asset price bubbles | Full Text | References | PDF (181.5 KB)

785 Views
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Article

Financial crisis dynamics: attempt to define a market instability indicator

Youngna Choi & Raphael Douady

Pages: 1351-1365

Published online: 06 Feb 2012

AbstractforFinancial crisis dynamics: attempt to define a market instability indicator | Full Text | References | PDF (308 KB)

687 Views
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Article

Statistical signatures in times of panic: markets as a self-organizing system

Lisa Borland

Pages: 1367-1379

Published online: 15 Feb 2012

AbstractforStatistical signatures in times of panic: markets as a self-organizing system | Full Text | References | PDF (2.3 MB)

253 Views
16 CrossRef citations
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Article

Z-Transform and preconditioning techniques for option pricing

Gianluca Fusai, Daniele Marazzina, Marina Marena & Michael Ng

Pages: 1381-1394

Published online: 15 Apr 2011

AbstractforZ-Transform and preconditioning techniques for option pricing | Full Text | References | PDF (204.8 KB)

308 Views
10 CrossRef citations
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Article

The price impact of order book events: market orders, limit orders and cancellations

Zoltán Eisler, Jean-Philippe Bouchaud & Julien Kockelkoren

Pages: 1395-1419

Published online: 31 May 2011

AbstractforThe price impact of order book events: market orders, limit orders and cancellations | Full Text | References | PDF (1.1 MB)

1718 Views
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Article

Volatility behavior, information efficiency and risk in the S&P 500 index markets

Shu-Mei Chiang, Huimin Chung & Chien-Ming Huang

Pages: 1421-1437

Published online: 15 Apr 2011

AbstractforVolatility behavior, information efficiency and risk in the S&P 500 index markets | Full Text | References | PDF (1.8 MB)

389 Views
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Article

IPO pricing: a case of short-sale restrictions and divergent expectations

Richard J. Kish, Nandkumar Nayar & Wenlong Weng

Pages: 1439-1451

Published online: 15 Apr 2011

AbstractforIPO pricing: a case of short-sale restrictions and divergent expectations | Full Text | References | PDF (169 KB)

241 Views
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Article

A paradigm shift from production function to production copula: statistical description of production activity of firms

Hiroshi Iyetomi, Hideaki Aoyama, Yoshi Fujiwara, Yuichi Ikeda & Wataru Souma

Pages: 1453-1466

Published online: 04 Aug 2011

AbstractforA paradigm shift from production function to production copula: statistical description of production activity of firms | Full Text | References | PDF (2.2 MB)

221 Views
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