Quantitative Finance, Volume 17, Issue 11 (2017)

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Quantitative Finance, Volume 17, Issue 11 (2017)

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Features

Article
‘To have what they are having’: portfolio choice for mimicking mean–variance savers
Vasyl Golosnoy & Nestor Parolya
Pages: 1645-1653
Published online: 12 Apr 2017
First Page Previewfor‘To have what they are having’: portfolio choice for mimicking mean–variance savers | Full Text | References | PDF (510.3 KB)
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Book review

Book Review
The Production of Money: How to Break the Power of Bankers
Diane Coyle
Pages: 1655-1657
Published online: 08 Sep 2017
First Page PreviewforThe Production of Money: How to Break the Power of Bankers | Full Text | PDF (438.8 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 1659
Published online: 09 Oct 2017
CitationforCalendar | Full Text | PDF (38.8 KB)
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Research Papers

Article
Option pricing under short-lived arbitrage: theory and tests
Jimmy E. Hilliard & Jitka Hilliard
Pages: 1661-1681
Published online: 23 Jun 2017
AbstractforOption pricing under short-lived arbitrage: theory and tests | Full Text | References | PDF (522.6 KB)
  • 367 Views
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Article
Backward simulation methods for pricing American options under the CIR process
Wenbin Hu & Junzi Zhou
Pages: 1683-1695
Published online: 23 Jun 2017
AbstractforBackward simulation methods for pricing American options under the CIR process | Full Text | References | PDF (603.4 KB)
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Article
Determining the integrated volatility via limit order books with multiple records
Yiqi Liu, Qiang Liu, Zhi Liu & Deng Ding
Pages: 1697-1714
Published online: 23 Jun 2017
AbstractforDetermining the integrated volatility via limit order books with multiple records | Full Text | References | PDF (651.7 KB)
  • 241 Views
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Article
HARA utility maximization in a Markov-switching bond–stock market
M. Escobar, D. Neykova & R. Zagst
Pages: 1715-1733
Published online: 18 Jul 2017
AbstractforHARA utility maximization in a Markov-switching bond–stock market | Full Text | References | PDF (621.4 KB)
  • 279 Views
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Article
On the properties of the Lambda value at risk: robustness, elicitability and consistency
M. Burzoni, I. Peri & C. M. Ruffo
Pages: 1735-1743
Published online: 03 Apr 2017
AbstractforOn the properties of the Lambda value at risk: robustness, elicitability and consistency | Full Text | References | PDF (280.1 KB)
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Article
Factor pricing in commodity futures and the role of liquidity
Terence Tai-Leung Chong, Sunny Chun Tsui & Wing Hong Chan
Pages: 1745-1757
Published online: 18 Jul 2017
AbstractforFactor pricing in commodity futures and the role of liquidity | Full Text | References | PDF (380.4 KB)
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Article
Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
Lin Zhao & Sweder van Wijnbergen
Pages: 1759-1782
Published online: 18 Jul 2017
AbstractforDecision-making in incomplete markets with ambiguity—a case study of a gas field acquisition | Full Text | References | PDF (1.6 MB)
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Open Access

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