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Volume 19, Issue 10

Quantitative Finance

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Quantitative Finance, Volume 19, Issue 10 (2019)

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Quantitative Finance, Volume 19, Issue 10 (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 Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market

Jianhua Gang, Zongxin Qian & Fan Chen

Pages: 1599-1608

Published online: 21 May 2019

AbstractforThe Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market | Full Text | References | PDF (787.5 KB) | EPUB

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Book review

Book Review

Mathematical Finance: A Very Short Introduction

by Mark H. A. Davis, Oxford University Press (2019). Paperback. ISBN 978-0198787945

John Hull

Pages: 1609-1610

Published online: 20 Aug 2019

CitationforMathematical Finance: A Very Short Introduction | Full Text | PDF (370.3 KB) | EPUB

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Free Access

Calendar

Page: 1611

Published online: 06 Sep 2019

CitationforCalendar | Full Text | PDF (462.5 KB) | EPUB

26 Views
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Research Papers

Article

Disentangling and quantifying market participant volatility contributions

Marcello Rambaldi, Emmanuel Bacry & Jean-François Muzy

Pages: 1613-1625

Published online: 25 Apr 2019

AbstractforDisentangling and quantifying market participant volatility contributions | Full Text | References | PDF (722.5 KB) | EPUB

262 Views
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Article

Forecasting realised volatility using ARFIMA and HAR models

Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas & Mike Tsionas

Pages: 1627-1638

Published online: 24 Apr 2019

AbstractforForecasting realised volatility using ARFIMA and HAR models | Full Text | References | PDF (1.1 MB) | EPUB

765 Views
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Article

Simulation-based Value-at-Risk for nonlinear portfolios

Junyao Chen, Tony Sit & Hoi Ying Wong

Pages: 1639-1658

Published online: 24 Apr 2019

AbstractforSimulation-based Value-at-Risk for nonlinear portfolios | Full Text | References | PDF (727.5 KB) | EPUB

714 Views
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Article

Structural asset pricing theory with wavelets

Elizabeth Ann Housworth, Todd B. Walker & Chen Xu

Pages: 1659-1672

Published online: 12 Apr 2019

AbstractforStructural asset pricing theory with wavelets | Full Text | References | PDF (1 MB) | EPUB

335 Views
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Article

Weighing asset pricing factors: a least squares model averaging approach

Yue Qiu, Yu Ren & Tian Xie

Pages: 1673-1687

Published online: 30 Apr 2019

AbstractforWeighing asset pricing factors: a least squares model averaging approach | Full Text | References | PDF (649.7 KB) | EPUB

462 Views
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Article

American-type basket option pricing: a simple two-dimensional partial differential equation

Hamza Hanbali & Daniel Linders

Pages: 1689-1704

Published online: 12 Apr 2019

AbstractforAmerican-type basket option pricing: a simple two-dimensional partial differential equation | Full Text | References | PDF (1.3 MB) | EPUB

472 Views
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Article

Dynamic credit default swap curves in a network topology

Xiu Xu, Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle

Pages: 1705-1726

Published online: 15 Mar 2019

AbstractforDynamic credit default swap curves in a network topology | Full Text | References | PDF (3.6 MB) | EPUB

399 Views
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Article

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Sylvia Endres & Johannes Stübinger

Pages: 1727-1740

Published online: 19 Mar 2019

AbstractforA flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns | Full Text | References | PDF (796.3 KB) | EPUB

1009 Views
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Article

Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

Bing Dong, Wei Xu & Yue Kuen Kwok

Pages: 1741-1761

Published online: 26 Mar 2019

AbstractforWillow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models | Full Text | References | PDF (928.3 KB) | EPUB

333 Views
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Quantitative Finance (Vol.19, Iss.10, 2019)

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