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Volume 17, Issue 2

Quantitative Finance

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Quantitative Finance, Volume 17, Issue 2 (2017)

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Quantitative Finance, Volume 17, Issue 2 (2017)

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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 Volume 17, 2017 Vol 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

Article

Call option compensation and managers’ intertemporal risk-taking behaviour

Katarzyna Romaniuk

Pages: 157-164

Published online: 30 Jun 2016

First Page PreviewforCall option compensation and managers’ intertemporal risk-taking behaviour | Full Text | References | PDF (504.1 KB)

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Book review

Book Review

Phishing for Phools: The Economics of Manipulation & Deception

Taylor Spears

Pages: 165-167

Published online: 28 Nov 2016

First Page PreviewforPhishing for Phools: The Economics of Manipulation & Deception | Full Text | References | PDF (198.3 KB)

619 Views
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Free Access

Calendar

Page: 169

Published online: 06 Jan 2017

CitationforCalendar | Full Text | PDF (38.8 KB)

24 Views
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Research Papers

Article

Quadratic Hawkes processes for financial prices

P. Blanc, J. Donier & J.-P. Bouchaud

Pages: 171-188

Published online: 15 Jul 2016

AbstractforQuadratic Hawkes processes for financial prices | Full Text | References | PDF (750.7 KB)

800 Views
38 CrossRef citations
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Article

Short-time at-the-money skew and rough fractional volatility

Masaaki Fukasawa

Pages: 189-198

Published online: 21 Jul 2016

AbstractforShort-time at-the-money skew and rough fractional volatility | Full Text | References | PDF (212.3 KB)

633 Views
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Article

Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility

Richard Gerlach, Declan Walpole & Chao Wang

Pages: 199-215

Published online: 15 Jul 2016

AbstractforSemi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility | Full Text | References | PDF (956.3 KB)

471 Views
8 CrossRef citations
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Article

Profiling high-frequency equity price movements in directional changes

Edward P. K. Tsang, Ran Tao, Antoaneta Serguieva & Shuai Ma

Pages: 217-225

Published online: 07 Jun 2016

AbstractforProfiling high-frequency equity price movements in directional changes | Full Text | References | PDF (752.9 KB)

682 Views
29 CrossRef citations
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Article

Double-jump diffusion model for VIX: evidence from VVIX

Xin Zang, Jun Ni, Jing-Zhi Huang & Lan Wu

Pages: 227-240

Published online: 21 Jul 2016

AbstractforDouble-jump diffusion model for VIX: evidence from VVIX | Full Text | References | PDF (1.7 MB)

721 Views
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Article

Optimal investment under multi-factor stochastic volatility

Marcos Escobar, Sebastian Ferrando & Alexey Rubtsov

Pages: 241-260

Published online: 18 Jul 2016

AbstractforOptimal investment under multi-factor stochastic volatility | Full Text | References | PDF (619.7 KB)

639 Views
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Article

Estimating discrete dividends by no-arbitrage

Sascha Desmettre, Sarah Grün & Frank Thomas Seifried

Pages: 261-274

Published online: 24 May 2016

AbstractforEstimating discrete dividends by no-arbitrage | Full Text | References | PDF (1.5 MB)

248 Views
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Article

Alternative to beta coefficients in the context of diffusions

Guillaume Bernis & Simone Scotti

Pages: 275-288

Published online: 07 Jun 2016

AbstractforAlternative to beta coefficients in the context of diffusions | Full Text | References | PDF (607.7 KB)

247 Views
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Article

Transitions in the stock markets of the US, UK and Germany

Matthias Raddant & Friedrich Wagner

Pages: 289-297

Published online: 24 May 2016

AbstractforTransitions in the stock markets of the US, UK and Germany | Full Text | References | PDF (580.1 KB)

296 Views
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Article

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market

Luca Vincenzo Ballestra, Graziella Pacelli & Davide Radi

Pages: 299-313

Published online: 07 Jun 2016

AbstractforComputing the survival probability in the Madan–Unal credit risk model: application to the CDS market | Full Text | References | PDF (473.1 KB)

331 Views
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Quantitative Finance (Vol.17, Iss.2, 2017)

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