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Volume 17, Issue 9

Quantitative Finance

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Quantitative Finance, Volume 17, Issue 9 (2017)

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Quantitative Finance, Volume 17, Issue 9 (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

Assessing the effectiveness of local and global quadratic hedging under GARCH models

Maciej Augustyniak, Frédéric Godin & Clarence Simard

Pages: 1305-1318

Published online: 21 Mar 2017

First Page PreviewforAssessing the effectiveness of local and global quadratic hedging under GARCH models | Full Text | References | PDF (717.3 KB)

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Book review

Book Review

Money changes everything: how finance made civilization possible

Alexander Lipton

Pages: 1319-1322

Published online: 07 Aug 2017

First Page PreviewforMoney changes everything: how finance made civilization possible | Full Text | References | PDF (306.7 KB)

561 Views
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Free Access

Calendar

Page: 1323

Published online: 07 Aug 2017

CitationforCalendar | Full Text | PDF (37.7 KB)

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Research Papers

Article

Approximate pricing of swaptions in affine and quadratic models

Anna Maria Gambaro, Ruggero Caldana & Gianluca Fusai

Pages: 1325-1345

Published online: 15 Mar 2017

AbstractforApproximate pricing of swaptions in affine and quadratic models | Full Text | References | PDF (606 KB)

277 Views
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Article

A novel Monte Carlo approach to hybrid local volatility models

Anthonie W. van der Stoep, Lech A. Grzelak & Cornelis W. Oosterlee

Pages: 1347-1366

Published online: 10 Mar 2017

AbstractforA novel Monte Carlo approach to hybrid local volatility models | Full Text | References | PDF (1.3 MB)

323 Views
7 CrossRef citations
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Article

A re-examination of Libor rigging: a time-varying cointegration perspective

Chew Lian Chua, Sandy Suardi & Yuanchen Chang

Pages: 1367-1386

Published online: 20 Feb 2017

AbstractforA re-examination of Libor rigging: a time-varying cointegration perspective | Full Text | References | PDF (2.1 MB)

337 Views
5 CrossRef citations
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Article

How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates

Ally Quan Zhang & Matthias Thul

Pages: 1387-1401

Published online: 07 Mar 2017

AbstractforHow much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates | Full Text | References | PDF (838.6 KB)

248 Views
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Article

Practical Bayesian support vector regression for financial time series prediction and market condition change detection

T. Law & J. Shawe-Taylor

Pages: 1403-1416

Published online: 09 Mar 2017

AbstractforPractical Bayesian support vector regression for financial time series prediction and market condition change detection | Full Text | References | PDF (1.4 MB)

6631 Views
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Open Access

Article

Extreme risk spillover network: application to financial institutions

Gang-Jin Wang, Chi Xie, Kaijian He & H. Eugene Stanley

Pages: 1417-1433

Published online: 07 Mar 2017

AbstractforExtreme risk spillover network: application to financial institutions | Full Text | References | PDF (1.8 MB)

2715 Views
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Article

Systemic risk and dynamics of contagion: a duplex inter-bank network

Ding Ding, Liyan Han & Libo Yin

Pages: 1435-1445

Published online: 15 Mar 2017

AbstractforSystemic risk and dynamics of contagion: a duplex inter-bank network | Full Text | References | PDF (1.1 MB)

576 Views
17 CrossRef citations
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Article

The lead–lag relationship between the spot and futures markets in China

Donghua Wang, Jingqing Tu, Xiaohui Chang & Saiping Li

Pages: 1447-1456

Published online: 01 Feb 2017

AbstractforThe lead–lag relationship between the spot and futures markets in China | Full Text | References | PDF (726.9 KB)

1196 Views
33 CrossRef citations
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Article

Recursive risk measures under regime switching applied to portfolio selection

Zhiping Chen, Jia Liu & Yongchang Hui

Pages: 1457-1476

Published online: 17 Feb 2017

AbstractforRecursive risk measures under regime switching applied to portfolio selection | Full Text | References | PDF (723.3 KB)

392 Views
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Quantitative Finance (Vol.17, Iss.9, 2017)

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