Quantitative Finance, Volume 4, Issue 5 (2004)

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Quantitative Finance, Volume 4, Issue 5 (2004)

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Special Issue Title: New Directions in Option Pricing

Preface

Introduction
Preface
J P Bouchaud
Page: 0049
Published online: 19 Jun 2011
CitationforPreface | Full Text | References | PDF (36 KB)
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Miscellany

A look ahead at options pricing and volatility
Marco Avellaneda
Page: 0051
Published online: 23 Aug 2006
First Page PreviewforA look ahead at options pricing and volatility | Full Text | PDF (69.5 KB)
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Original Articles

Article
A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*
Emmanuel Jurczenko, Bertrand Maillet * & Bogdan Negrea
Pages: 479-488
Published online: 23 Aug 2006
AbstractforA note on skewness and kurtosis adjusted option pricing models under the Martingale restriction* | Full Text | References | PDF (270.6 KB)
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Article
Adaptive mixture for a controlled smile: the LT model
Nadhem Meziou
Pages: 489-498
Published online: 19 Jun 2011
AbstractforAdaptive mixture for a controlled smile: the LT model | Full Text | References | PDF (179.2 KB)
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Article
A non-Gaussian option pricing model with skew
Lisa Borland & Jean-Philippe Bouchaud
Pages: 499-514
Published online: 19 Jun 2011
AbstractforA non-Gaussian option pricing model with skew | Full Text | References | PDF (1 MB)
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Article
Option valuation with infinitely divisible distributions
Steven L Heston
Pages: 515-524
Published online: 19 Jun 2011
AbstractforOption valuation with infinitely divisible distributions | Full Text | References | PDF (143.2 KB)
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Article
Early exercise boundary and option prices in Lévy driven models
S Z Levendorskiǐ
Pages: 525-547
Published online: 19 Jun 2011
AbstractforEarly exercise boundary and option prices in Lévy driven models | Full Text | References | PDF (286.6 KB)
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Article
Hedging European and Barrier options using stochastic optimization
Michael Villaverde
Pages: 549-557
Published online: 19 Jun 2011
AbstractforHedging European and Barrier options using stochastic optimization | Full Text | References | PDF (132 KB)
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Article
Delta-hedging vega risk?
Stéphane Crépey
Pages: 559-579
Published online: 19 Jun 2011
AbstractforDelta-hedging vega risk? | Full Text | References | PDF (268.6 KB)
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Article
From local volatility to local Lévy models
Peter Carr, Hélyette Geman, Dilip B Madan 5 & Marc Yor
Pages: 581-588
Published online: 19 Jun 2011
AbstractforFrom local volatility to local Lévy models | Full Text | References | PDF (120 KB)
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Article
GARCH and volatility swaps
Alireza Javaheri 4*, Paul Wilmott & Espen G Haug
Pages: 589-595
Published online: 19 Jun 2011
AbstractforGARCH and volatility swaps | Full Text | References | PDF (181.9 KB)
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Article
Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models
Jean-Pierre Fouque 3 & Chuan-Hsiang Han
Pages: 597-606
Published online: 19 Jun 2011
AbstractforVariance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models | Full Text | References | PDF (159.3 KB)
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Article
Option pricing and hedging with minimum local expected shortfall
Benoit Pochart & Jean-Philippe Bouchaud 4
Pages: 607-618
Published online: 19 Jun 2011
AbstractforOption pricing and hedging with minimum local expected shortfall | Full Text | References | PDF (260.1 KB)
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