Quantitative Finance, Volume 6, Issue 4 (2006)

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Quantitative Finance, Volume 6, Issue 4 (2006)

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Original Articles

Article
Intelligent finance—an emerging direction
Heping Pan, Didier Sornette & Kenneth Kortanek
Pages: 273-277
Published online: 18 Feb 2007
AbstractforIntelligent finance—an emerging direction | Full Text | References | PDF (93 KB)
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Book Reviews

Book Review
Book review
Book review
Stathis Tompaidis
Pages: 279-280
Published online: 18 Feb 2007
CitationforBook review | Full Text | PDF (92.1 KB)
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Original Articles

Article
Short-term market reaction after extreme price changes of liquid stocks
Ádám G. Zawadowski, György Andor & János Kertész
Pages: 283-295
Published online: 18 Feb 2007
AbstractforShort-term market reaction after extreme price changes of liquid stocks | Full Text | References | PDF (405.6 KB)
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Article
Analysis of drawdowns and drawups in the US$ interest-rate market
Riccardo Rebonato & Valerio Gaspari
Pages: 297-326
Published online: 18 Feb 2007
AbstractforAnalysis of drawdowns and drawups in the US$ interest-rate market | Full Text | References | PDF (386.5 KB)
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Article
Barrier options and their static hedges: simple derivations and extensions
Rolf Poulsen
Pages: 327-335
Published online: 18 Feb 2007
AbstractforBarrier options and their static hedges: simple derivations and extensions | Full Text | References | PDF (163.6 KB)
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Miscellany

The square-root process and Asian options
Angelos Dassios & Jayalaxshmi Nagaradjasarma
Pages: 337-347
Published online: 18 Feb 2007
AbstractforThe square-root process and Asian options | Full Text | References | PDF (207.2 KB)
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Original Articles

Article
Efficient hybrid methods for portfolio credit derivatives
H. Zheng
Pages: 349-357
Published online: 18 Feb 2007
AbstractforEfficient hybrid methods for portfolio credit derivatives | Full Text | References | PDF (172.8 KB)
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Article
The robustness of modified unit root tests in the presence of GARCH
Steven Cook
Pages: 359-363
Published online: 18 Feb 2007
AbstractforThe robustness of modified unit root tests in the presence of GARCH | Full Text | References | PDF (109 KB)
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