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Volume 18, Issue 10

Quantitative Finance

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Quantitative Finance, Volume 18, Issue 10 (2018)

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Quantitative Finance, Volume 18, Issue 10 (2018)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Volume 18, 2018 Vol 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

Canonical sectors and evolution of firms in the US stock markets

Lorien X. Hayden, Ricky Chachra, Alexander A. Alemi, Paul H. Ginsparg & James P. Sethna

Pages: 1619-1634

Published online: 08 Jun 2018

AbstractforCanonical sectors and evolution of firms in the US stock markets | Full Text | References | PDF (7.4 MB)

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Invited Paper

Machine learning for quantitative finance: fast derivative pricing, hedging and fitting

Jan De Spiegeleer, Dilip B. Madan, Sofie Reyners & Wim Schoutens

Pages: 1635-1643

Published online: 27 Jul 2018

AbstractforMachine learning for quantitative finance: fast derivative pricing, hedging and fitting | Full Text | References | PDF (1.5 MB)

6763 Views
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Book review

Book Review

The End of Alchemy: Money, Banking and the Future of the Global Economy

Michael Dempster

Pages: 1645-1653

Published online: 12 Sep 2018

First Page PreviewforThe End of Alchemy: Money, Banking and the Future of the Global Economy | Full Text | References | PDF (674.4 KB)

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Free Access

Calendar

Page: 1655

Published online: 12 Sep 2018

CitationforCalendar | Full Text | PDF (760.6 KB)

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Research Papers

Article

Efficient exposure computation by risk factor decomposition

C. S. L. de Graaf, D. Kandhai & C. Reisinger

Pages: 1657-1678

Published online: 24 Apr 2018

AbstractforEfficient exposure computation by risk factor decomposition | Full Text | References | PDF (2.3 MB)

1600 Views
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Open Access

Article

A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models

J. Hambuckers, T. Kneib, R. Langrock & A. Silbersdorff

Pages: 1679-1698

Published online: 12 Mar 2018

AbstractforA Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models | Full Text | References | PDF (1.2 MB) | Supplemental

380 Views
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Article

On the price of risk in a mean-risk optimization model

Darinka Dentcheva & Gregory J. Stock

Pages: 1699-1713

Published online: 06 Mar 2018

AbstractforOn the price of risk in a mean-risk optimization model | Full Text | References | PDF (865.8 KB)

274 Views
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Article

Risk-managed industry momentum and momentum crashes

Klaus Grobys, Joni Ruotsalainen & Janne Äijö

Pages: 1715-1733

Published online: 19 Feb 2018

AbstractforRisk-managed industry momentum and momentum crashes | Full Text | References | PDF (987.5 KB)

904 Views
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Article

Pairs trading with a mean-reverting jump–diffusion model on high-frequency data

Johannes Stübinger & Sylvia Endres

Pages: 1735-1751

Published online: 22 Feb 2018

AbstractforPairs trading with a mean-reverting jump–diffusion model on high-frequency data | Full Text | References | PDF (1.1 MB)

1732 Views
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Article

Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

Archil Gulisashvili, Blanka Horvath & Antoine Jacquier

Pages: 1753-1765

Published online: 22 Feb 2018

AbstractforMass at zero in the uncorrelated SABR model and implied volatility asymptotics | Full Text | References | PDF (2.3 MB)

212 Views
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Article

The survival probability of the SABR model: asymptotics and application

Nian Yang & Xiangwei Wan

Pages: 1767-1779

Published online: 22 Feb 2018

AbstractforThe survival probability of the SABR model: asymptotics and application | Full Text | References | PDF (592 KB)

310 Views
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Quantitative Finance (Vol.18, Iss.10, 2018)

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