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Volume 21, Issue 9

Quantitative Finance

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Quantitative Finance, Volume 21, Issue 9 (2021)

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Quantitative Finance, Volume 21, Issue 9 (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

Article

Can heterogeneous agent models explain the alleged mispricing of the S&P 500?

Thomas Lux

Pages: 1413-1433

Published online: 25 Jun 2021

AbstractforCan heterogeneous agent models explain the alleged mispricing of the S&P 500? | Full Text | References | PDF (1.4 MB) | EPUB

208 Views
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Book review

Book Review

Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading

by M. Bouzoubaa and A. Osseiran, John Wiley & Sons (2010). Hardback. ISBN 0470688033

Blanka Horvath

Pages: 1435-1436

Published online: 22 Sep 2021

CitationforExotic Options and Hybrids: A Guide to Structuring, Pricing and Trading | Full Text | PDF (505 KB) | EPUB

1147 Views
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Free Access

Research Papers

Article

Active and passive portfolio management with latent factors

A. Al-Aradi & S. Jaimungal

Pages: 1437-1459

Published online: 08 Apr 2021

AbstractforActive and passive portfolio management with latent factors | Full Text | References | PDF (2.8 MB) | EPUB

839 Views
3 CrossRef citations
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Article

Mean–variance portfolio selection under partial information with drift uncertainty

Jie Xiong, Zuo Quan Xu & Jiayu Zheng

Pages: 1461-1473

Published online: 08 Apr 2021

AbstractforMean–variance portfolio selection under partial information with drift uncertainty | Full Text | References | PDF (478.8 KB) | EPUB

459 Views
6 CrossRef citations
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Article

Optimal portfolio allocation and asset centrality revisited

Jose Olmo

Pages: 1475-1490

Published online: 12 Jul 2021

AbstractforOptimal portfolio allocation and asset centrality revisited | Full Text | References | PDF (2.3 MB) | EPUB

2461 Views
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Open Access

Article

A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects

Halina Frydman, Anna Matuszyk, Chang Li & Weicheng Zhu

Pages: 1491-1499

Published online: 15 Jun 2021

AbstractforA new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects | Full Text | References | PDF (209 KB) | EPUB

204 Views
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Article

Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling

I. Anagnostou, T. Squartini, D. Kandhai & D. Garlaschelli

Pages: 1501-1518

Published online: 08 Apr 2021

AbstractforUncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling | Full Text | References | PDF (5.5 MB) | EPUB

1607 Views
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Open Access

Article

Callable barrier reverse convertible securities

Jerome Detemple & Yerkin Kitapbayev

Pages: 1519-1532

Published online: 15 Jun 2021

AbstractforCallable barrier reverse convertible securities | Full Text | References | PDF (986.7 KB) | EPUB

526 Views
1 CrossRef citations
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Article

Heterogeneity and clustering of defaults

A. K. Karlis, G. Galanis, S. Terovitis & M. S. Turner

Pages: 1533-1549

Published online: 30 Mar 2021

AbstractforHeterogeneity and clustering of defaults | Full Text | References | PDF (1.2 MB) | EPUB

1433 Views
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Open Access

Article

Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model

Fen-Ying Chen, Sharon S. Yang & Hong-Chih Huang

Pages: 1551-1565

Published online: 26 Mar 2021

AbstractforValuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model | Full Text | References | PDF (1.4 MB) | EPUB

210 Views
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Article

Pairs trading with general state space models

Guang Zhang

Pages: 1567-1587

Published online: 26 Mar 2021

AbstractforPairs trading with general state space models | Full Text | References | PDF (2.7 MB) | EPUB

689 Views
3 CrossRef citations
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Article

Coherent portfolio performance ratios

Yoram Kroll, Andrea Marchioni & Moshe Ben-Horin

Pages: 1589-1603

Published online: 08 Apr 2021

AbstractforCoherent portfolio performance ratios | Full Text | References | PDF (625.9 KB) | EPUB

328 Views
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Quantitative Finance (Vol.21, Iss.9, 2021)

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