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Volume 16, Issue 2

Quantitative Finance

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Quantitative Finance, Volume 16, Issue 2 (2016)

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Quantitative Finance, Volume 16, Issue 2 (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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Stochastic Optimization Approaches to Financial and Energy Markets

Features

Theoretical decompositions of the cross-sectional dispersion of stock returns

Andrew Grant & Steve Satchell

Pages: 169-180

Published online: 01 Feb 2016

First Page PreviewforTheoretical decompositions of the cross-sectional dispersion of stock returns | Full Text | References | PDF (330.5 KB)

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Book review

Book Review

Interest Rate Modelling in the Multi-curve Framework

Massimo Morini

Pages: 181-182

Published online: 20 Jan 2016

CitationforInterest Rate Modelling in the Multi-curve Framework | Full Text | References | PDF (231.2 KB)

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Free Access

Calendar

Page: 183

Published online: 01 Feb 2016

CitationforCalendar | Full Text | PDF (41.9 KB)

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Foreword

Special Issue on Stochastic Optimization Approaches to Financial and Energy Markets

Giorgio Consigli & Yves Smeers

Pages: 187-188

Published online: 01 Feb 2016

CitationforSpecial Issue on Stochastic Optimization Approaches to Financial and Energy Markets | Full Text | PDF (78.2 KB)

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Research Papers

Article

Building a stochastic programming model from scratch: a harvesting management example

Ignacio Rios, Andres Weintraub & Roger J.-B. Wets

Pages: 189-199

Published online: 01 Feb 2016

AbstractforBuilding a stochastic programming model from scratch: a harvesting management example | Full Text | References | PDF (1.3 MB)

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Article

A parsimonious model for generating arbitrage-free scenario trees

Andrea Consiglio, Angelo Carollo & Stavros A. Zenios

Pages: 201-212

Published online: 01 Feb 2016

AbstractforA parsimonious model for generating arbitrage-free scenario trees | Full Text | References | PDF (467.3 KB)

425 Views
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Article

A non-parametric structural hybrid modeling approach for electricity prices

S. Moazeni, M. Coulon, I. Arciniegas Rueda, B. Song & W.B. Powell

Pages: 213-230

Published online: 01 Feb 2016

AbstractforA non-parametric structural hybrid modeling approach for electricity prices | Full Text | References | PDF (1.3 MB)

269 Views
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Article

Real options valuation applied to transmission expansion planning

S. Lumbreras, D. W. Bunn, A. Ramos & M. Chronopoulos

Pages: 231-246

Published online: 01 Feb 2016

AbstractforReal options valuation applied to transmission expansion planning | Full Text | References | PDF (352 KB)

469 Views
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Article

Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

Georg Ch. Pflug & Philipp Thoma

Pages: 247-257

Published online: 01 Feb 2016

AbstractforEfficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation | Full Text | References | PDF (287.5 KB)

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Article

Modeling and evaluation of the option book hedging problem using stochastic programming

Mathias Barkhagen & Jörgen Blomvall

Pages: 259-273

Published online: 01 Feb 2016

AbstractforModeling and evaluation of the option book hedging problem using stochastic programming | Full Text | References | PDF (1.1 MB)

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Article

Optimal retirement planning with a focus on single and joint life annuities

Agnieszka Karolina Konicz, David Pisinger & Alex Weissensteiner

Pages: 275-295

Published online: 01 Feb 2016

AbstractforOptimal retirement planning with a focus on single and joint life annuities | Full Text | References | PDF (1.9 MB)

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Article

A uniformly distributed random portfolio

Woo Chang Kim & Yongjae Lee

Pages: 297-307

Published online: 01 Feb 2016

AbstractforA uniformly distributed random portfolio | Full Text | References | PDF (578.1 KB)

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Article

A dynamical systems model of price bubbles and cycles

Vinod Cheriyan & Anton J. Kleywegt

Pages: 309-336

Published online: 01 Feb 2016

AbstractforA dynamical systems model of price bubbles and cycles | Full Text | References | PDF (3.9 MB)

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Quantitative Finance (Vol.16, Iss.2, 2016)

Stochastic Optimization Approaches to Financial and Energy Markets

Stochastic Optimization Approaches to Financial and Energy Markets

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