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Volume 16, Issue 10

Quantitative Finance

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Quantitative Finance, Volume 16, Issue 10 (2016)

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Quantitative Finance, Volume 16, Issue 10 (2016)

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Features

Article

A flexible spot multiple-curve model

Martino Grasselli & Giulio Miglietta

Pages: 1465-1477

Published online: 27 Apr 2016

First Page PreviewforA flexible spot multiple-curve model | Full Text | References | PDF (889.3 KB)

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Book review

Book Review

Learning from Data

Riccardo Rebonato

Pages: 1479-1482

Published online: 18 Jul 2016

First Page PreviewforLearning from Data | Full Text | References | PDF (232 KB)

1388 Views
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Free Access

Calendar

Page: 1483

Published online: 25 Oct 2016

CitationforCalendar | Full Text | PDF (49.1 KB)

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Research Papers

Article

Expected shortfall estimation for apparently infinite-mean models of operational risk

Pasquale Cirillo & Nassim Nicholas Taleb

Pages: 1485-1494

Published online: 28 Apr 2016

AbstractforExpected shortfall estimation for apparently infinite-mean models of operational risk | Full Text | References | PDF (460.9 KB)

6832 Views
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Open Access

Article

From insurance risk to credit portfolio management: a new approach to pricing CDOs

Alessandro Andreoli, Luca Vincenzo Ballestra & Graziella Pacelli

Pages: 1495-1510

Published online: 28 Apr 2016

AbstractforFrom insurance risk to credit portfolio management: a new approach to pricing CDOs | Full Text | References | PDF (927 KB)

280 Views
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Article

Enhanced equity-credit modelling for contingent convertibles

Tsz-Kin Chung & Yue-Kuen Kwok

Pages: 1511-1527

Published online: 27 Apr 2016

AbstractforEnhanced equity-credit modelling for contingent convertibles | Full Text | References | PDF (624.2 KB)

288 Views
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Article

Valuation of American options under the CGMY model

Xu Guo & Yutian Li

Pages: 1529-1539

Published online: 22 Apr 2016

AbstractforValuation of American options under the CGMY model | Full Text | References | PDF (272.4 KB)

329 Views
6 CrossRef citations
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Article

The profitability of pairs trading strategies: distance, cointegration and copula methods

Hossein Rad, Rand Kwong Yew Low & Robert Faff

Pages: 1541-1558

Published online: 27 Apr 2016

AbstractforThe profitability of pairs trading strategies: distance, cointegration and copula methods | Full Text | References | PDF (559.5 KB)

5279 Views
86 CrossRef citations
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Article

A pairs trading strategy based on linear state space models and the Kalman filter

Carlos Eduardo de Moura, Adrian Pizzinga & Jorge Zubelli

Pages: 1559-1573

Published online: 25 Apr 2016

AbstractforA pairs trading strategy based on linear state space models and the Kalman filter | Full Text | References | PDF (575.7 KB)

1642 Views
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Article

Dynamic asset–liability management in a Markov market with stochastic cash flows

Haixiang Yao, Xun Li, Zhifeng Hao & Yong Li

Pages: 1575-1597

Published online: 29 Apr 2016

AbstractforDynamic asset–liability management in a Markov market with stochastic cash flows | Full Text | References | PDF (710.3 KB)

498 Views
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Article

Elimination of systemic risk in financial networks by means of a systemic risk transaction tax

Sebastian Poledna & Stefan Thurner

Pages: 1599-1613

Published online: 11 Apr 2016

AbstractforElimination of systemic risk in financial networks by means of a systemic risk transaction tax | Full Text | References | PDF (813 KB)

1909 Views
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Article

Correlation estimation using components of Japanese candlesticks

V. Popov

Pages: 1615-1630

Published online: 22 Apr 2016

AbstractforCorrelation estimation using components of Japanese candlesticks | Full Text | References | PDF (368.8 KB)

288 Views
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Quantitative Finance (Vol.16, Iss.10, 2016)

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