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Quantitative Finance

最近発刊の雑誌の目次より: Quantitative Finance © Routledge, part of the Taylor & Francis Group
  • Introduction to the special issue on portfolio construction and risk management
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 357-358.
    by Dempster, , Mitra, Gautam, Pflug, Georg
  • Coherent measures of risk in everyday market practice
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 359-364.
    by Acerbi, Carlo
  • DC pension fund benchmarking with fixed-mix portfolio optimization
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 365-370.
    by Dempster, , Germano, , Medova, , Rietbergen, , Sandrini, , Scrowston, , Zhang,
  • Higher moment coherent risk measures
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 373-387.
    by Krokhmal, A Pavlo
  • On the feasibility of portfolio optimization under expected shortfall
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 389-396.
    by Ciliberti, Stefano, Kondor, Imre, Mezard, Marc
  • Stability analysis of portfolio management with conditional value-at-risk
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 397-409.
    by Kaut, Michal, Vladimirou, Hercules, Wallace, W Stein, Zenios, A Stavros
  • Stress testing for VaR and CVaR
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 411-421.
    by Dupacova, Jitka, Polivka, Jan
  • Stable distributions in the Black-Litterman approach to asset allocation
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 423-433.
    by Giacometti, Rosella, Bertocchi, Marida, Rachev, T Svetlozar, Fabozzi, J Frank
  • Ambiguity in portfolio selection
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 435-442.
    by Pflug, Georg, Wozabal, David
  • Mean-risk models using two risk measures: a multi-objective approach
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 443-458.
    by Roman, Diana, Darby-Dowman, Kenneth, Mitra, Gautam
  • Implied non-recombining trees and calibration for the volatility smile
    Quantitative Finance, Vol. 7, No. 4. (August 2007), pp. 459-472.
    by Charalambous, Chris, Christofides, Nicos, Constantinide, D Eleni, Martzoukos, H Spiros
  • Editorial
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 235-235.
    by Chiarella, Carl, Platen, Eckhard
  • Waiting for returns: using space-time duality to calibrate financial diffusions
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 237-244.
    by Kamstra, Mark, Milevsky, A Moshe
  • Discrete credit barrier models
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 247-256.
    by Albanese, Claudio, Chen, X Oliver
  • PDE approach to valuation and hedging of credit derivatives
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 257-270.
    by Bielecki, R Tomasz, Jeanblanc, Monique, Rutkowski, Marek
  • Pairs trading
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 271-276.
    by Elliott, J Robert, Van Der Hoek, John, Malcolm, P William
  • A Markov model for valuing asset prices in a dynamic bargaining market
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 277-288.
    by Kijima, Masaaki, Uchida, Yoshihiko
  • Pricing inflation-indexed derivatives
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 289-302.
    by Mercurio, Fabio
  • Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 303-313.
    by Kraft, Holger
  • Optimal portfolios with a positive lower bound on final wealth
    Quantitative Finance, Vol. 5, No. 3. (June 2005), pp. 315-321.
    by Korn, Ralf
  • Presentation of the English translation of Ettore Majorana's paper: The value of statistical laws in physics and social sciences
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 133-140.
    by Rosario N Mantegna
  • Durations, volume and the prediction of financial returns in transaction time
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 145-152.
    by Christian M Hafner
  • Surprise volume and heteroskedasticity in equity market returns
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 153-168.
    by Niklas Wagner, Terry A Marsh
  • A learning market-maker in the Glosten-Milgrom model
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 169-180.
    by Sanmay Das
  • On accurate and provably efficient GARCH option pricing algorithms
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 181-198.
    by Yuh-Dauh Lyuu, Chi-Ning Wu
    posted by 1 person azole
  • Stochastic volatility and the goodness-of-fit of the Heston model
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 199-211.
    by Gilles Daniel, Nathan L Joseph, David S Bree
  • Tobin tax and market depth
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 213-218.
    by G Ehrenstein, F Westerhoff, D Stauffer
    posted by 1 person DanHodson
  • International tax arbitrage, financial parity conditions and preferential capital gains taxation
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 219-226.
    by Frank Strobel
  • Estimating value-at-risk: a point process approach
    Quantitative Finance, Vol. 5, No. 2. (April 2005), pp. 227-234.
    by V Chavez-Demoulin, AC Davison, AJ Mcneil
  • Robust tests of the random walk hypothesis
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 57-60.
    by Erhard Reschenhofer
  • Quantum games in finance
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 61-67.
    by Edward W Piotrowski, Jan Sladkowski
  • Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 619-636.
    by Brendan O Bradley, Murad S Taqqu
  • Rank reduction of correlation matrices by majorization
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 649-662.
    by Raoul Pietersz, Patrick J Groenen
  • Pricing equity options everywhere
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 663-676.
    by S Dyrting
  • Application of the heston and hull-white models to german dax data
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 685-693.
    by Ralf Remer, Reinhard Mahnke
  • Anomalous waiting times in high-frequency financial data
    Quantitative Finance, Vol. 4, No. 6. (December 2004), pp. 695-702.
    by Enrico Scalas, Rudolf Gorenflo, Hugh Luckock, Francesco Mainardi, Maurizio Mantelli, Marco Raberto
  • Adaptive systems for foreign exchange trading
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 37-45.
    by Mark P Austin, Graham Bates, Michael AH Dempster, Vasco Leemans, Stacy N Williams
    posted by 1 person RobHayward
  • What really causes large price changes?
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 383-397.
    by Doyne D Farmer, Laszlo Gillemot, Fabrizio Lillo, Szabolcs Mike, Anindya Sen
  • Technical trading and the volatility of exchange rates
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 399-415.
    by Christian Bauer, Bernhard Herz
  • A methodology for index tracking based on time-series clustering
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 417-425.
    by Sergio M Focardi, Frank J Fabozzi
  • Non-parametric estimation of historical volatility
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 427-440.
    by John A Randal, Peter J Thomson, Martin T Lally
  • How trading activity scales with company size in the FTSE 100
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 441-456.
    by Gilles Zumbach
  • Option pricing with Weyl-Titchmarsh theory
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 457-464.
    by Yishen Li, Jin E Zhang
    posted by 2 people syoyo Kazuki
  • Preposterior analysis for option pricing
    Quantitative Finance, Vol. 4, No. 4. (August 2004), pp. 465-477.
    by Dorje C Brody, Ian RC Buckley, Bernhard K Meister
    posted by 2 people syoyo Kazuki
  • Equity indexing: optimize your passive investments
    Quantitative Finance, Vol. 4, No. 3., C30.
    by C Alexander, A Dimitriu
  • QFRC drives financial research
    Quantitative Finance, Vol. 4, No. 3., C29.
    by T Hall
  • Going beyond the LIBOR model
    Quantitative Finance, Vol. 4, No. 3., C34.
    by A Javaheri
  • Performance of utility-based strategies for hedging basis risk
    Quantitative Finance, Vol. 4, No. 3., 245.
    by M Monoyios
  • Testing for persistence in stock returns with GARCH-stable shocks
    Quantitative Finance, Vol. 4, No. 3., 256.
    by PV Bidarkota, JH Mcculloch
  • Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model
    Quantitative Finance, Vol. 4, No. 3., 266.
    by MS Joshi, D Kainth
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