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Volume 18, Issue 11

Quantitative Finance

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Quantitative Finance, Volume 18, Issue 11 (2018)

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Quantitative Finance, Volume 18, Issue 11 (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

Market impact with multi-timescale liquidity

M. Benzaquen & J.-P. Bouchaud

Pages: 1781-1790

Published online: 08 Jun 2018

AbstractforMarket impact with multi-timescale liquidity | Full Text | References | PDF (1.6 MB)

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Book review

Book Review

Continuous-Time Models in Corporate Finance, Banking, and Insurance

Hidetoshi Nakagawa

Pages: 1791-1793

Published online: 23 Oct 2018

First Page PreviewforContinuous-Time Models in Corporate Finance, Banking, and Insurance | Full Text | References | PDF (110.2 KB)

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Free Access

Calendar

Page: 1795

Published online: 23 Oct 2018

CitationforCalendar | Full Text | PDF (797.3 KB)

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Research Papers

Article

Decision trees unearth return sign predictability in the S&P 500

L. Fiévet & D. Sornette

Pages: 1797-1814

Published online: 24 Apr 2018

AbstractforDecision trees unearth return sign predictability in the S&P 500 | Full Text | References | PDF (2.2 MB)

580 Views
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Article

Can banks default overnight? Modelling endogenous contagion on the O/N interbank market

P. Smaga, M. Wiliński, P. Ochnicki, P. Arendarski & T. Gubiec

Pages: 1815-1829

Published online: 24 Apr 2018

AbstractforCan banks default overnight? Modelling endogenous contagion on the O/N interbank market | Full Text | References | PDF (1.4 MB)

315 Views
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Article

Statistical arbitrage with vine copulas

Johannes Stübinger, Benedikt Mangold & Christopher Krauss

Pages: 1831-1849

Published online: 24 Apr 2018

AbstractforStatistical arbitrage with vine copulas | Full Text | References | PDF (996.4 KB)

1014 Views
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Article

Implicit expectiles and measures of implied volatility

Fabio Bellini, Lorenzo Mercuri & Edit Rroji

Pages: 1851-1864

Published online: 25 Apr 2018

AbstractforImplicit expectiles and measures of implied volatility | Full Text | References | PDF (2.8 MB)

340 Views
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Article

On the American swaption in the linear-rational framework

Damir Filipović & Yerkin Kitapbayev

Pages: 1865-1876

Published online: 25 Apr 2018

AbstractforOn the American swaption in the linear-rational framework | Full Text | References | PDF (798.9 KB)

201 Views
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Article

Turbocharging Monte Carlo pricing for the rough Bergomi model

Ryan McCrickerd & Mikko S. Pakkanen

Pages: 1877-1886

Published online: 30 Apr 2018

AbstractforTurbocharging Monte Carlo pricing for the rough Bergomi model | Full Text | References | PDF (5.1 MB)

628 Views
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Article

Parisian options with jumps: a maturity–excursion randomization approach

Marc Chesney & Nikola Vasiljević

Pages: 1887-1908

Published online: 25 Apr 2018

AbstractforParisian options with jumps: a maturity–excursion randomization approach | Full Text | References | PDF (3.2 MB)

262 Views
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Article

Marginal consistent dependence modelling using weak subordination for Brownian motions

Markus Michaelsen & Alexander Szimayer

Pages: 1909-1925

Published online: 04 May 2018

AbstractforMarginal consistent dependence modelling using weak subordination for Brownian motions | Full Text | References | PDF (1.1 MB)

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Article

Long-only equal risk contribution portfolios for CVaR under discrete distributions

Helmut Mausser & Oleksandr Romanko

Pages: 1927-1945

Published online: 25 Apr 2018

AbstractforLong-only equal risk contribution portfolios for CVaR under discrete distributions | Full Text | References | PDF (2.2 MB)

477 Views
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Article

Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions

Miguel Tavares-Gärtner, Paulo J. Pereira & Elísio Brandão

Pages: 1947-1958

Published online: 24 Apr 2018

AbstractforHeterogeneous beliefs and optimal ownership in entrepreneurial financing decisions | Full Text | References | PDF (1.4 MB)

520 Views
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Errata

Correction

Erratum

Page: ei

Published online: 27 Jul 2018

CitationforErratum | Full Text | PDF (57.3 KB)

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Quantitative Finance (Vol.18, Iss.11, 2018)

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