Quantitative Finance, Volume 12, Issue 2 (2012)

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Quantitative Finance, Volume 12, Issue 2 (2012)

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Themed Issue on Volatility

Feature

Article
The euro's impacts on the smooth transition dynamics of stock market volatilities
Ray Yeutien Chou, Chun-Chou Wu & Yi-Nung yang
Pages: 169-179
Published online: 22 Mar 2011
First Page PreviewforThe euro's impacts on the smooth transition dynamics of stock market volatilities | Full Text | References | PDF (553.4 KB)
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Book Review

Book Review
Option Prices as Probabilities: A New Look at Generalized Black–Scholes Formulae, by C. Profeta, B. Roynette and M. Yor
Steven Evans
Pages: 181-182
Published online: 01 Feb 2012
CitationforOption Prices as Probabilities: A New Look at Generalized Black–Scholes Formulae, by C. Profeta, B. Roynette and M. Yor | Full Text | PDF (147.7 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 183
Published online: 01 Feb 2012
CitationforCalendar | PDF (289.1 KB)
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Research Papers

Article
Analytical formulas for a local volatility model with stochastic rates
E. Benhamou, E. Gobet & M. Miri
Pages: 185-198
Published online: 22 Mar 2011
AbstractforAnalytical formulas for a local volatility model with stochastic rates | Full Text | References | PDF (204.5 KB)
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Article
Stochastic volatility models including open, close, high and low prices
Enrique Ter Horst, Abel Rodriguez, Henryk Gzyl & German Molina
Pages: 199-212
Published online: 23 Nov 2010
AbstractforStochastic volatility models including open, close, high and low prices | Full Text | References | PDF (633.6 KB)
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Article
Discovering stock dynamics through multidimensional volatility phases
Hsieh Fushing, Shu-Chun Chen & Chii-Ruey Hwang
Pages: 213-230
Published online: 14 Jul 2010
AbstractforDiscovering stock dynamics through multidimensional volatility phases | Full Text | References | PDF (1.5 MB)
  • 267 Views
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Article
An unbiased autoregressive conditional intraday seasonal variance filtering process
Jang Hyung Cho & Robert T. Daigler
Pages: 231-247
Published online: 22 Mar 2011
AbstractforAn unbiased autoregressive conditional intraday seasonal variance filtering process | Full Text | References | PDF (520.9 KB)
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Article
Swap rate variance swaps
Nicolas Merener
Pages: 249-261
Published online: 23 Nov 2010
AbstractforSwap rate variance swaps | Full Text | References | PDF (402.6 KB)
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Article
Discrete sine transform for multi-scale realized volatility measures
Giuseppe Curci & Fulvio Corsi
Pages: 263-279
Published online: 23 Nov 2010
AbstractforDiscrete sine transform for multi-scale realized volatility measures | Full Text | References | PDF (445 KB)
  • 237 Views
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Article
Fourier volatility forecasting with high-frequency data and microstructure noise
Emilio Barucci, Davide Magno & Maria Elvira Mancino
Pages: 281-293
Published online: 20 Apr 2010
AbstractforFourier volatility forecasting with high-frequency data and microstructure noise | Full Text | References | PDF (383.3 KB)
  • 330 Views
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Article
Contagion determination via copula and volatility threshold models
Veni Arakelian & Petros Dellaportas
Pages: 295-310
Published online: 13 Jul 2010
AbstractforContagion determination via copula and volatility threshold models | Full Text | References | PDF (803.3 KB)
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Article
Does herding affect volatility? Implications for the Spanish stock market
Natividad Blasco, Pilar Corredor & Sandra Ferreruela
Pages: 311-327
Published online: 14 Dec 2010
AbstractforDoes herding affect volatility? Implications for the Spanish stock market | Full Text | References | PDF (186.3 KB)
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