Quantitative Finance, Volume 22, Issue 4 (2022)

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Quantitative Finance, Volume 22, Issue 4 (2022)

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Feature

Article
Stationary Heston model: calibration and pricing of exotics using product recursive quantization
Vincent Lemaire, Thibaut Montes & Gilles Pagès
Pages: 611-629
Published online: 18 Feb 2022
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In Memoriam

Obituary
In Memoriam Mardi Dungey
Michael Dempster & Jim Gatheral
Page: 631
Published online: 03 May 2022
CitationforIn Memoriam Mardi Dungey | Full Text | PDF (95.2 KB) | EPUB
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Free Access

Letter

Letter
Errata: Instantaneous Portfolio theory
Dilip B. Madan, Sofie Reyners & Wim Schoutens
Pages: 633-634
Published online: 07 Dec 2021
CitationforErrata: Instantaneous Portfolio theory | Full Text | PDF (422.4 KB) | EPUB
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Book review

Book Review
Applied Econometrics
by Dimitrios Asteriou and Stephen G. Hall, Red Globe Press (2021). Paperback. ISBN: 978-1-352-01202-6
Ali G. Yucel
Pages: 635-637
Published online: 07 Apr 2022
First Page PreviewforApplied Econometrics | Full Text | References | PDF (322.1 KB) | EPUB
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Research Papers

Article
JDOI variance reduction method and the pricing of American-style options
Johan Auster, Ludovic Mathys & Fabio Maeder
Pages: 639-656
Published online: 14 Sep 2021
AbstractforJDOI variance reduction method and the pricing of American-style options | Full Text | References | PDF (901.2 KB) | EPUB
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Article
Variance reduction for risk measures with importance sampling in nested simulation
Yue Xing, Tony Sit & Hoi Ying Wong
Pages: 657-673
Published online: 07 Dec 2021
AbstractforVariance reduction for risk measures with importance sampling in nested simulation | Full Text | References | PDF (1.5 MB) | EPUB
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Open Access
Article
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Søren Asmussen & Mogens Bladt
Pages: 675-689
Published online: 07 Dec 2021
AbstractforGram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models | Full Text | References | PDF (738.6 KB) | EPUB
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Article
A generalized Esscher transform for option valuation with regime switching risk
R. J. Elliott & T. K. Siu
Pages: 691-705
Published online: 09 Dec 2021
AbstractforA generalized Esscher transform for option valuation with regime switching risk | Full Text | References | PDF (279.7 KB) | EPUB
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Article
Cheapest-to-deliver collateral: a common factor approach
F. L. Wolf, L. A. Grzelak & G. Deelstra
Pages: 707-723
Published online: 07 Dec 2021
AbstractforCheapest-to-deliver collateral: a common factor approach | Full Text | References | PDF (1.2 MB) | EPUB
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Article
Pricing renewable identification numbers under uncertainty
Mohamad Afkhami & Hamed Ghoddusi
Pages: 725-742
Published online: 07 Dec 2021
AbstractforPricing renewable identification numbers under uncertainty | Full Text | References | PDF (886.6 KB) | EPUB
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Article
Characterizing financial crises using high-frequency data
Mardi Dungey, Jet Holloway, Abdullah Yalaman & Wenying Yao
Pages: 743-760
Published online: 11 Feb 2022
AbstractforCharacterizing financial crises using high-frequency data | Full Text | References | PDF (2.3 MB) | EPUB
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Article
Life insurance surrender and liquidity risks
Hsiaoyin Chang & Hato Schmeiser
Pages: 761-776
Published online: 07 Dec 2021
AbstractforLife insurance surrender and liquidity risks | Full Text | References | PDF (1.4 MB) | EPUB
  • 387 Views
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Article
Rating frailty, Bayesian updates, and portfolio credit risk analysis*
Shang Bu, Nan Guo & Lingfei Li
Pages: 777-797
Published online: 13 Jan 2022
AbstractforRating frailty, Bayesian updates, and portfolio credit risk analysis* | Full Text | References | PDF (1.3 MB) | EPUB
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