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Volume 19, Issue 1

Quantitative Finance

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Quantitative Finance, Volume 19, Issue 1 (2019)

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Quantitative Finance, Volume 19, Issue 1 (2019)

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

The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

M. Hanke, R. Poulsen & A. Weissensteiner

Pages: 1-11

Published online: 03 Sep 2018

AbstractforThe CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach | Full Text | References | PDF (832.8 KB) | EPUB

456 Views
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Book review

Book Review

Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance

Giovanni Puccetti

Pages: 13-14

Published online: 11 Dec 2018

CitationforHeavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance | Full Text | PDF (151.7 KB) | EPUB

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Free Access

Calendar

Page: 15

Published online: 24 Dec 2018

CitationforCalendar | Full Text | PDF (228.9 KB) | EPUB

27 Views
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Special Feature: Appreciation of the life and work of K. J. Arrow

Article

Path-breaking contributions of K. J. Arrow

M. A. H. Dempster

Pages: 19-22

Published online: 24 Dec 2018

First Page PreviewforPath-breaking contributions of K. J. Arrow | Full Text | References | PDF (154.2 KB) | EPUB

255 Views
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Article

Kenneth Arrow as teacher and adviser

Michael Spence

Pages: 23-24

Published online: 24 Dec 2018

CitationforKenneth Arrow as teacher and adviser | Full Text | PDF (178.7 KB) | EPUB

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Article

On being a student of Ken Arrow

John Geanakoplos

Pages: 25-28

Published online: 24 Dec 2018

First Page PreviewforOn being a student of Ken Arrow | Full Text | PDF (141.8 KB) | EPUB

346 Views
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Article

Kenneth Arrow and nonequilibrium economics

W. Brian Arthur

Pages: 29-31

Published online: 24 Dec 2018

First Page PreviewforKenneth Arrow and nonequilibrium economics | Full Text | References | PDF (162.1 KB) | EPUB

817 Views
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Article

An open mind: memories of Ken Arrow

J. Doyne Farmer

Pages: 33-34

Published online: 24 Dec 2018

CitationforAn open mind: memories of Ken Arrow | Full Text | References | PDF (215.2 KB) | EPUB

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Research Papers

Article

Internalisation by electronic FX spot dealers

M. Butz & R. Oomen

Pages: 35-56

Published online: 05 Sep 2018

AbstractforInternalisation by electronic FX spot dealers | Full Text | References | PDF (2.8 MB) | EPUB

596 Views
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Article

Disentangling the role of variance and covariance information in portfolio selection problems

André A. P. Santos

Pages: 57-76

Published online: 11 Jun 2018

AbstractforDisentangling the role of variance and covariance information in portfolio selection problems | Full Text | References | PDF (591.5 KB) | EPUB

364 Views
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Article

Estimating a covariance matrix for market risk management and the case of credit default swaps

Richard Neuberg & Paul Glasserman

Pages: 77-92

Published online: 01 Aug 2018

AbstractforEstimating a covariance matrix for market risk management and the case of credit default swaps | Full Text | References | PDF (2 MB) | EPUB

370 Views
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Article

An extended likelihood framework for modelling discretely observed credit rating transitions

M. Pfeuffer, L. Möstel & M. Fischer

Pages: 93-104

Published online: 07 Jun 2018

AbstractforAn extended likelihood framework for modelling discretely observed credit rating transitions | Full Text | References | PDF (2.2 MB) | EPUB

350 Views
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Article

Data-driven robust mean-CVaR portfolio selection under distribution ambiguity

Zhilin Kang, Xun Li, Zhongfei Li & Shushang Zhu

Pages: 105-121

Published online: 11 Jun 2018

AbstractforData-driven robust mean-CVaR portfolio selection under distribution ambiguity | Full Text | References | PDF (905.9 KB) | EPUB

1337 Views
28 CrossRef citations
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Article

Challenging the robustness of optimal portfolio investment with moving average-based strategies

Ahmed Bel Hadj Ayed, Grégoire Loeper & Frédéric Abergel

Pages: 123-135

Published online: 08 Jun 2018

AbstractforChallenging the robustness of optimal portfolio investment with moving average-based strategies | Full Text | References | PDF (1.9 MB) | EPUB

311 Views
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Article

Cross-impact and no-dynamic-arbitrage

M. Schneider & F. Lillo

Pages: 137-154

Published online: 08 Jun 2018

AbstractforCross-impact and no-dynamic-arbitrage | Full Text | References | PDF (1.8 MB) | EPUB

367 Views
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Article

A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim & Hyejin Park

Pages: 155-175

Published online: 08 Jun 2018

AbstractforA reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility | Full Text | References | PDF (3 MB) | EPUB

399 Views
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Quantitative Finance (Vol.19, Iss.1, 2019)

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