Quantitative Finance, Volume 9, Issue 3 (2009)

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Quantitative Finance, Volume 9, Issue 3 (2009)

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Feature

Article
Embracing change: financial informatics and risk analytics
Mark D. Flood
Pages: 243-256
Published online: 15 Apr 2009
AbstractforEmbracing change: financial informatics and risk analytics | Full Text | References | PDF (1.1 MB)
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Research Papers

Article
Evidence for state transition and altered serial codependence in US$ interest rates
Riccardo Rebonato & Jian Chen
Pages: 259-278
Published online: 15 Apr 2009
AbstractforEvidence for state transition and altered serial codependence in US$ interest rates | Full Text | References | PDF (1.6 MB)
  • 91 Views
  • 2 CrossRef citations
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Article
A two-factor model for the electricity forward market
Rüdiger Kiesel, Gero Schindlmayr & Reik H. Börger
Pages: 279-287
Published online: 15 Apr 2009
AbstractforA two-factor model for the electricity forward market | Full Text | References | PDF (508.4 KB)
  • 511 Views
  • 60 CrossRef citations
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Article
An analytic approximation of the likelihood function for the Heston model volatility estimation problem
Amir F. Atiya & Steve Wall
Pages: 289-296
Published online: 15 Apr 2009
AbstractforAn analytic approximation of the likelihood function for the Heston model volatility estimation problem | Full Text | References | PDF (190.8 KB)
  • 437 Views
  • 7 CrossRef citations
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Article
Insider trading with correlation between liquidity trading and a public signal
Katsumasa Nishide
Pages: 297-304
Published online: 15 Apr 2009
AbstractforInsider trading with correlation between liquidity trading and a public signal | Full Text | References | PDF (178.2 KB)
  • 227 Views
  • 6 CrossRef citations
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Article
Nonlinear dynamical structural equation models
Wenyang Zhang & Sik-Yum Lee
Pages: 305-314
Published online: 15 Apr 2009
AbstractforNonlinear dynamical structural equation models | Full Text | References | PDF (360.9 KB)
  • 204 Views
  • 5 CrossRef citations
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Article
Regression methods in pricing American and Bermudan options using consumption processes
Denis Belomestny, Grigori Milstein & Vladimir Spokoiny
Pages: 315-327
Published online: 15 Apr 2009
AbstractforRegression methods in pricing American and Bermudan options using consumption processes | Full Text | References | PDF (228.2 KB)
  • 136 Views
  • 15 CrossRef citations
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Article
Double knock-out Asian barrier options which widen or contract as they approach maturity
C. Atkinson & S. Kazantzaki
Pages: 329-340
Published online: 15 Apr 2009
AbstractforDouble knock-out Asian barrier options which widen or contract as they approach maturity | Full Text | References | PDF (846.7 KB)
  • 116 Views
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Article
Barrier option pricing: a hybrid method approach
Andrew Ming-Long Wang, Yu-Hong Liu & Yi-Long Hsiao
Pages: 341-352
Published online: 15 Apr 2009
AbstractforBarrier option pricing: a hybrid method approach | Full Text | References | PDF (341.8 KB)
  • 302 Views
  • 3 CrossRef citations
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Article
Risky asset pricing based on safety first fund management
Yuanyao Ding§ & Bo Zhang
Pages: 353-361
Published online: 15 Apr 2009
AbstractforRisky asset pricing based on safety first fund management | Full Text | References | PDF (275.3 KB)
  • 203 Views
  • 6 CrossRef citations
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Article
An exact test on structural changes in the weights of the global minimum variance portfolio
Taras Bodnar
Pages: 363-370
Published online: 15 Apr 2009
AbstractforAn exact test on structural changes in the weights of the global minimum variance portfolio | Full Text | References | PDF (177.9 KB)
  • 110 Views
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Errata

Correction
Erratum
Page: 371
Published online: 15 Apr 2009
CitationforErratum | Full Text | PDF (37 KB)
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