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Volume 6, Issue 1

Quantitative Finance

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Quantitative Finance, Volume 6, Issue 1 (2006)

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Quantitative Finance, Volume 6, Issue 1 (2006)

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Original Articles

Article

Comment on ‘Large stock price changes: volume or liquidity?’, by Weber and Rosenow

J. Doyne Farmer

Pages: 1-3

Published online: 18 Feb 2007

First Page PreviewforComment on ‘Large stock price changes: volume or liquidity?’, by Weber and Rosenow | Full Text | References | PDF (77.4 KB)

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Article

Large stock price changes: volume or liquidity?

Philipp Weber & Bernd Rosenow

Pages: 7-14

Published online: 18 Feb 2007

AbstractforLarge stock price changes: volume or liquidity? | Full Text | References | PDF (368.9 KB)

867 Views
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Article

A Bayesian analysis of log-periodic precursors to financial crashes

George Chang & James Feigenbaum

Pages: 15-36

Published online: 18 Feb 2007

AbstractforA Bayesian analysis of log-periodic precursors to financial crashes | Full Text | References | PDF (1.1 MB)

336 Views
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Article

Optimal exercise strategies for corporate warrants

Christian Koziol

Pages: 37-54

Published online: 18 Feb 2007

AbstractforOptimal exercise strategies for corporate warrants | Full Text | References | PDF (264.6 KB)

177 Views
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Article

Pricing exotic options in a path integral approach

G. Bormetti, G. Montagna, N. Moreni & O. Nicrosini

Pages: 55-66

Published online: 18 Feb 2007

AbstractforPricing exotic options in a path integral approach | Full Text | References | PDF (242.5 KB)

323 Views
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Article

The value of the ‘swap’ feature in equity default swaps

Javier Gil-Bazo

Pages: 67-74

Published online: 18 Feb 2007

AbstractforThe value of the ‘swap’ feature in equity default swaps | Full Text | References | PDF (118.7 KB)

88 Views
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Article

On risk management problems related to a coherence property

Frank J. Fabozzi & Radu Tunaru

Pages: 75-81

Published online: 18 Feb 2007

AbstractforOn risk management problems related to a coherence property | Full Text | References | PDF (125 KB)

143 Views
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Article

Optimal portfolio for an insider in a market driven by Lévy processes

Giulia Di Nunno, Thilo Meyer-Brandis, Bernt Øksendal & Frank Proske

Pages: 83-94

Published online: 18 Feb 2007

AbstractforOptimal portfolio for an insider in a market driven by Lévy processes | Full Text | References | PDF (197.4 KB)

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