Quantitative Finance, Volume 14, Issue 10 (2014)

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Quantitative Finance, Volume 14, Issue 10 (2014)

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Themed Issue on Derivative Pricing & Hedging

Features

Article
Bayesian testing for jumps in stochastic volatility models with correlated jumps
Li Yong & Jie Zhang
Pages: 1693-1700
Published online: 09 Sep 2014
First Page PreviewforBayesian testing for jumps in stochastic volatility models with correlated jumps | Full Text | References | PDF (545.4 KB)
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Book review

Book Review
The Half-life of Facts: Why Everything We Know Has an Expiration Date
Roger M. Stein
Pages: 1701-1703
Published online: 23 Apr 2014
First Page PreviewforThe Half-life of Facts: Why Everything We Know Has an Expiration Date | Full Text | References | PDF (281.5 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 1705
Published online: 09 Sep 2014
CitationforCalendar | Full Text | PDF (71.1 KB)
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Research Papers

Article
Making mean-variance hedging implementable in a partially observable market
Masaaki Fujii & Akihiko Takahashi
Pages: 1709-1724
Published online: 20 Mar 2014
AbstractforMaking mean-variance hedging implementable in a partially observable market | Full Text | References | PDF (641.4 KB)
  • 206 Views
  • 8 CrossRef citations
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Article
Hedging strategies for energy derivatives
P. Leoni, N. Vandaele & M. Vanmaele
Pages: 1725-1737
Published online: 25 Oct 2013
AbstractforHedging strategies for energy derivatives | Full Text | References | PDF (193.6 KB)
  • 828 Views
  • 7 CrossRef citations
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Article
Dynamic option hedging via stochastic model predictive control based on scenario simulation
Alberto Bemporad, Leonardo Bellucci & Tommaso Gabbriellini
Pages: 1739-1751
Published online: 01 Feb 2012
AbstractforDynamic option hedging via stochastic model predictive control based on scenario simulation | Full Text | References | PDF (894 KB)
  • 791 Views
  • 20 CrossRef citations
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Article
Option pricing and Greeks via a moving least square meshfree method
Yongsik Kim, Hyeong-Ohk Bae & Hyeng Keun Koo
Pages: 1753-1764
Published online: 18 Nov 2013
AbstractforOption pricing and Greeks via a moving least square meshfree method | Full Text | References | PDF (3.1 MB)
  • 415 Views
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Article
Discrete dividends and the FTSE-100 index options valuation
Nelson Areal & Artur Rodrigues
Pages: 1765-1784
Published online: 05 Oct 2011
AbstractforDiscrete dividends and the FTSE-100 index options valuation | Full Text | References | PDF (640 KB)
  • 299 Views
  • 1 CrossRef citations
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Article
Closed form spread option valuation
Petter Bjerksund & Gunnar Stensland
Pages: 1785-1794
Published online: 03 Nov 2011
AbstractforClosed form spread option valuation | Full Text | References | PDF (195 KB)
  • 840 Views
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Article
Pricing of geometric Asian options under Heston's stochastic volatility model
Bara Kim & In-Suk Wee
Pages: 1795-1809
Published online: 26 Aug 2011
AbstractforPricing of geometric Asian options under Heston's stochastic volatility model | Full Text | References | PDF (253.1 KB)
  • 1957 Views
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Article
A regime-switching Heston model for VIX and S&P 500 implied volatilities
Andrew Papanicolaou & Ronnie Sircar
Pages: 1811-1827
Published online: 24 Jul 2013
AbstractforA regime-switching Heston model for VIX and S&P 500 implied volatilities | Full Text | References | PDF (2.4 MB)
  • 1020 Views
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Article
Dynamics of the implied volatility surface. Theory and empirical evidence
Jacinto Marabel Romo
Pages: 1829-1837
Published online: 12 Jun 2012
AbstractforDynamics of the implied volatility surface. Theory and empirical evidence | Full Text | References | PDF (224.8 KB)
  • 458 Views
  • 3 CrossRef citations
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Article
Comparison of methods to estimate option implied risk-neutral densities
Wan-Ni Lai
Pages: 1839-1855
Published online: 05 Oct 2011
AbstractforComparison of methods to estimate option implied risk-neutral densities | Full Text | References | PDF (876.8 KB)
  • 734 Views
  • 9 CrossRef citations
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Article
Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
Seung Hwan Lee
Pages: 1857-1879
Published online: 11 Mar 2013
AbstractforEstimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails | Full Text | References | PDF (821.2 KB)
  • 222 Views
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