Quantitative Finance, Volume 17, Issue 10 (2017)

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Quantitative Finance, Volume 17, Issue 10 (2017)

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Features

Article
FX options in target zones
Peter P. Carr & Zura Kakushadze
Pages: 1477-1486
Published online: 23 Nov 2016
First Page Previewfor FX options in target zones | Full Text | References | PDF (381.3 KB)
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Book review

Book Review
The Undoing Project: A Friendship that Changed the World
Andreas Kapsner
Pages: 1487-1488
Published online: 18 Aug 2017
CitationforThe Undoing Project: A Friendship that Changed the World | Full Text | PDF (221.9 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 1489
Published online: 15 Sep 2017
CitationforCalendar | Full Text | PDF (38.8 KB)
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Research Papers

Article
Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios
Jingnan Chen, Mark D. Flood & Richard B. Sowers
Pages: 1491-1507
Published online: 03 Apr 2017
AbstractforMeasuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios | Full Text | References | PDF (742.4 KB)
  • 359 Views
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Article
Bond yields and debt supply: new evidence through the lens of a preferred-habitat model
Till Strohsal
Pages: 1509-1522
Published online: 07 Mar 2017
AbstractforBond yields and debt supply: new evidence through the lens of a preferred-habitat model | Full Text | References | PDF (593.8 KB)
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Article
Optimising the multilateral netting of fungible OTC derivatives
Dominic O’Kane
Pages: 1523-1534
Published online: 07 Mar 2017
AbstractforOptimising the multilateral netting of fungible OTC derivatives | Full Text | References | PDF (696.6 KB)
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Article
Hedging efficiently under correlation
Roberto Daluiso & Massimo Morini
Pages: 1535-1547
Published online: 10 Apr 2017
AbstractforHedging efficiently under correlation | Full Text | References | PDF (963 KB)
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Article
On an efficient multiple time step Monte Carlo simulation of the SABR model
Álvaro Leitao, Lech A. Grzelak & Cornelis W. Oosterlee
Pages: 1549-1565
Published online: 10 Apr 2017
AbstractforOn an efficient multiple time step Monte Carlo simulation of the SABR model | Full Text | References | PDF (619.7 KB)
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Open Access
Article
Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
Chou-Wen Wang, Sharon S. Yang & Jr-Wei Huang
Pages: 1567-1581
Published online: 15 Mar 2017
AbstractforAnalytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance | Full Text | References | PDF (464 KB)
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Article
A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
Anca Pircalabu & Jesper Jung
Pages: 1583-1600
Published online: 23 Jun 2017
AbstractforA mixed C-vine copula model for hedging price and volumetric risk in wind power trading | Full Text | References | PDF (1.2 MB)
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Article
Latency and liquidity provision in a limit order book
Julius Bonart & Martin D. Gould
Pages: 1601-1616
Published online: 10 Apr 2017
AbstractforLatency and liquidity provision in a limit order book | Full Text | References | PDF (1.9 MB)
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Article
Testing weak exogeneity in multiplicative error models
Kul B. Luintel & Yongdeng Xu
Pages: 1617-1630
Published online: 07 Mar 2017
AbstractforTesting weak exogeneity in multiplicative error models | Full Text | References | PDF (530.8 KB)
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Article
Dynamic mean–VaR portfolio selection in continuous time
Ke Zhou, Jiangjun Gao, Duan Li & Xiangyu Cui
Pages: 1631-1643
Published online: 10 Apr 2017
AbstractforDynamic mean–VaR portfolio selection in continuous time | Full Text | References | PDF (588.2 KB)
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