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Volume 16, Issue 1

Quantitative Finance

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Quantitative Finance, Volume 16, Issue 1 (2016)

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Quantitative Finance, Volume 16, Issue 1 (2016)

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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 Volume 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 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

The limits of statistical significance of Hawkes processes fitted to financial data

Mehdi Lallouache & Damien Challet

Pages: 1-11

Published online: 23 Dec 2015

First Page PreviewforThe limits of statistical significance of Hawkes processes fitted to financial data | Full Text | References | PDF (1.3 MB)

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Book review

Book Review

Portfolio Management under Stress

Bernd Scherer

Pages: 13-14

Published online: 23 Dec 2015

CitationforPortfolio Management under Stress | Full Text | PDF (149.4 KB)

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Free Access

Calendar

Page: 15

Published online: 23 Dec 2015

CitationforCalendar | Full Text | PDF (41.8 KB)

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Research Papers

Article

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Ankush Agarwal, Sandeep Juneja & Ronnie Sircar

Pages: 17-30

Published online: 06 Aug 2015

AbstractforAmerican options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics | Full Text | References | PDF (282.4 KB)

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Article

On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

Elisa Alòs & Jorge A. León

Pages: 31-42

Published online: 20 Mar 2015

AbstractforOn the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation | Full Text | References | PDF (508.2 KB)

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Article

Time-varying forecasts by variational approximation of sequential Bayesian inference

Hui ‘Fox’ Ling & Douglas B. Stone

Pages: 43-67

Published online: 29 May 2015

AbstractforTime-varying forecasts by variational approximation of sequential Bayesian inference | Full Text | References | PDF (358.7 KB)

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Article

Random matrix application to correlations amongst the volatility of assets

Ajay Singh & Dinghai Xu

Pages: 69-83

Published online: 24 Mar 2015

AbstractforRandom matrix application to correlations amongst the volatility of assets | Full Text | References | PDF (1.2 MB)

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Article

Investing in the size factor

Juan Laborda, Ricardo Laborda & Jose Olmo

Pages: 85-100

Published online: 13 Jul 2015

AbstractforInvesting in the size factor | Full Text | References | PDF (926 KB)

458 Views
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Article

Optimal capital growth with convex shortfall penalties

Leonard C. MacLean, Yonggan Zhao & William T. Ziemba

Pages: 101-117

Published online: 07 Aug 2015

AbstractforOptimal capital growth with convex shortfall penalties | Full Text | References | PDF (510.8 KB)

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Article

Analytic bond pricing for short rate dynamics evolving on matrix Lie groups

Nengli Lim & Nicolas Privault

Pages: 119-129

Published online: 12 Mar 2015

AbstractforAnalytic bond pricing for short rate dynamics evolving on matrix Lie groups | Full Text | References | PDF (671.2 KB)

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Article

Portfolio credit risk with predetermined default orders

Lian Tang, Bin Wang & Kai-Nan Xiang

Pages: 131-149

Published online: 24 Mar 2015

AbstractforPortfolio credit risk with predetermined default orders | Full Text | References | PDF (545.4 KB)

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Article

Conditional higher order moments in metal asset returns

Steven J. Cochran, Iqbal Mansur & Babatunde Odusami

Pages: 151-167

Published online: 20 Mar 2015

AbstractforConditional higher order moments in metal asset returns | Full Text | References | PDF (886.5 KB)

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