Quantitative Finance, Volume 19, Issue 3 (2019)

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Quantitative Finance, Volume 19, Issue 3 (2019)

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Features

Article
Structural minimization of tracking error
Peter Rossbach & Denis Karlow
Pages: 357-366
Published online: 13 Dec 2018
AbstractforStructural minimization of tracking error | Full Text | References | PDF (2.6 MB) | EPUB
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Book review

Book Review
Hedge Funds: Structure, Strategies, and Performance
Lisa Borland
Pages: 367-368
Published online: 11 Feb 2019
CitationforHedge Funds: Structure, Strategies, and Performance | Full Text | PDF (267.5 KB) | EPUB
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Free Access

Calendar

Calendar
Calendar
Page: 369
Published online: 11 Feb 2019
CitationforCalendar | Full Text | PDF (1.2 MB) | EPUB
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Research Papers

Article
Implied stopping rules for American basket options from Markovian projection
Christian Bayer, Juho Häppölä & Raúl Tempone
Pages: 371-390
Published online: 01 Aug 2018
AbstractforImplied stopping rules for American basket options from Markovian projection | Full Text | References | PDF (698 KB) | EPUB
  • 198 Views
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Article
The predictive performance of the currency futures basis for spot returns
Liyan Han, Xue Jiang & Libo Yin
Pages: 391-405
Published online: 01 Aug 2018
AbstractforThe predictive performance of the currency futures basis for spot returns | Full Text | References | PDF (1.1 MB) | EPUB
  • 314 Views
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Article
A self-exciting switching jump diffusion: properties, calibration and hitting time
Donatien Hainaut & Griselda Deelstra
Pages: 407-426
Published online: 03 Sep 2018
AbstractforA self-exciting switching jump diffusion: properties, calibration and hitting time | Full Text | References | PDF (816 KB) | EPUB
  • 291 Views
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Article
The principle of not feeling the boundary for the SABR model
Nan Chen & Nian Yang
Pages: 427-436
Published online: 03 Sep 2018
AbstractforThe principle of not feeling the boundary for the SABR model | Full Text | References | PDF (474.2 KB) | EPUB
  • 277 Views
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Article
Targeting market neutrality
John B. Lee, Jonathan J. Reeves, Alice C. Tjahja & Xuan Xie
Pages: 437-451
Published online: 01 Aug 2018
AbstractforTargeting market neutrality | Full Text | References | PDF (956.7 KB) | EPUB
  • 413 Views
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Article
Risk parity portfolio optimization under a Markov regime-switching framework
Giorgio Costa & Roy H. Kwon
Pages: 453-471
Published online: 01 Aug 2018
AbstractforRisk parity portfolio optimization under a Markov regime-switching framework | Full Text | References | PDF (1.9 MB) | EPUB
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Article
Joint tests of contagion with applications
Renée Fry-McKibbin, Cody Yu-Ling Hsiao & Vance L. Martin
Pages: 473-490
Published online: 01 Aug 2018
AbstractforJoint tests of contagion with applications | Full Text | References | PDF (868.1 KB) | EPUB | Supplemental
  • 540 Views
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Article
On pricing barrier control in a regime-switching regulated market
Zheng Han, Yaozhong Hu & Chihoon Lee
Pages: 491-499
Published online: 01 Aug 2018
AbstractforOn pricing barrier control in a regime-switching regulated market | Full Text | References | PDF (433.7 KB) | EPUB
  • 284 Views
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Article
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Nikolay Gudkov, Katja Ignatieva & Jonathan Ziveyi
Pages: 501-518
Published online: 03 Sep 2018
AbstractforPricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method | Full Text | References | PDF (913.4 KB) | EPUB
  • 648 Views
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Article
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner & Kais Hamza
Pages: 519-532
Published online: 14 Nov 2018
AbstractforDynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach | Full Text | References | PDF (438.3 KB) | EPUB
  • 867 Views
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