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Volume 21, Issue 3

Quantitative Finance

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Quantitative Finance, Volume 21, Issue 3 (2021)

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Quantitative Finance, Volume 21, Issue 3 (2021)

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

Quantization goes polynomial

Giorgia Callegaro, Lucio Fiorin & Andrea Pallavicini

Pages: 361-376

Published online: 06 Nov 2020

AbstractforQuantization goes polynomial | Full Text | References | PDF (796.6 KB) | EPUB

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Book review

Book Review

Metals and Energy Finance

by Dennis L. Buchanan and Mark H.A. Davis, World Scientific Publishing (2019). Paperback. ISBN 9781786346278

Jacco Thijssen

Pages: 377-378

Published online: 04 Nov 2020

CitationforMetals and Energy Finance | Full Text | PDF (152.5 KB) | EPUB

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Free Access

Research Papers

Article

Robust statistical arbitrage strategies

Eva Lütkebohmert & Julian Sester

Pages: 379-402

Published online: 30 Oct 2020

AbstractforRobust statistical arbitrage strategies | Full Text | References | PDF (720.4 KB) | EPUB

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Article

G-expected utility maximization with ambiguous equicorrelation

Chi Seng Pun

Pages: 403-419

Published online: 28 Jul 2020

AbstractforG-expected utility maximization with ambiguous equicorrelation | Full Text | References | PDF (429.3 KB) | EPUB

308 Views
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Article

Realized higher-order comoments

Kwangil Bae & Soonhee Lee

Pages: 421-429

Published online: 29 Jul 2020

AbstractforRealized higher-order comoments | Full Text | References | PDF (215 KB) | EPUB

277 Views
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Article

A cost-effective approach to portfolio construction with range-based risk measures

Chi Seng Pun & Lei Wang

Pages: 431-447

Published online: 29 Jul 2020

AbstractforA cost-effective approach to portfolio construction with range-based risk measures | Full Text | References | PDF (817.9 KB) | EPUB

342 Views
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Article

TERES: Tail Event Risk Expectile Shortfall

Andrija Mihoci, Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen

Pages: 449-460

Published online: 02 Oct 2020

AbstractforTERES: Tail Event Risk Expectile Shortfall | Full Text | References | PDF (1.1 MB) | EPUB

335 Views
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Article

A Markov chain approximation scheme for option pricing under skew diffusions

Kailin Ding, Zhenyu Cui & Yongjin Wang

Pages: 461-480

Published online: 29 Jul 2020

AbstractforA Markov chain approximation scheme for option pricing under skew diffusions | Full Text | References | PDF (697.2 KB) | EPUB

656 Views
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Article

Speed-up credit exposure calculations for pricing and risk management

Kathrin Glau, Ricardo Pachon & Christian Pötz

Pages: 481-499

Published online: 28 Jul 2020

AbstractforSpeed-up credit exposure calculations for pricing and risk management | Full Text | References | PDF (1 MB) | EPUB

286 Views
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Article

Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

W. Dong & B. Kang

Pages: 501-522

Published online: 29 Jul 2020

AbstractforEvaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units | Full Text | References | PDF (1.5 MB) | EPUB

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Quantitative Finance (Vol.21, Iss.3, 2021)

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