Quantitative Finance, Volume 13, Issue 8 (2013)

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Quantitative Finance, Volume 13, Issue 8 (2013)

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Themed Issue on Derivatives

Features

Article
Free boundary problems and perpetual American strangles
Ming-Chi Chang & Yuan-Chung Sheu
Pages: 1149-1155
Published online: 10 Jul 2013
First Page PreviewforFree boundary problems and perpetual American strangles | Full Text | References | PDF (382.8 KB)
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Article
Option pricing under hybrid stochastic and local volatility
SUN-YONG CHOI, JEAN-PIERRE FOUQUE & JEONG-HOON KIM
Pages: 1157-1165
Published online: 10 Jul 2013
First Page PreviewforOption pricing under hybrid stochastic and local volatility | Full Text | References | PDF (230 KB)
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Book review

Book Review
Understanding and Managing Model Risk
Kenneth Winston
Pages: 1167-1169
Published online: 10 Jul 2013
First Page PreviewforUnderstanding and Managing Model Risk | Full Text | PDF (191 KB)
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Free Access

Calendar

Calendar
Page: 1171
Published online: 10 Jul 2013
CitationforCalendar | Full Text | PDF (88.5 KB)
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Research Papers

Article
On the performance of delta hedging strategies in exponential Lévy models
STEPHAN DENKL, MARTINA GOY, JAN KALLSEN, JOHANNES MUHLE-KARBE & ARND PAUWELS
Pages: 1173-1184
Published online: 09 Jun 2013
AbstractforOn the performance of delta hedging strategies in exponential Lévy models | Full Text | References | PDF (363.1 KB)
  • 283 Views
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Article
Using relative returns to accommodate fat-tailed innovations in processes and option pricing
Cathy O'Neil & Gilles Zumbach
Pages: 1185-1197
Published online: 23 Oct 2012
AbstractforUsing relative returns to accommodate fat-tailed innovations in processes and option pricing | Full Text | References | PDF (332.6 KB)
  • 172 Views
  • 7 CrossRef citations
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Article
Pricing levered warrants with dilution using observable variables
Isabel ABÍNZANO & Javier F. Navas
Pages: 1199-1209
Published online: 10 Jun 2013
AbstractforPricing levered warrants with dilution using observable variables | Full Text | References | PDF (174.8 KB)
  • 202 Views
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Article
A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk
Yung-Ming Shiu, Pai-Lung Chou & Jen-Wen Sheu
Pages: 1211-1223
Published online: 08 Mar 2013
AbstractforA closed-form approximation for valuing European basket warrants under credit risk and interest rate risk | Full Text | References | PDF (724.5 KB)
  • 347 Views
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Article
Are Chinese warrants derivatives? Evidence from connections to their underlying stocks
Ke Tang & Changyun Wang
Pages: 1225-1240
Published online: 21 Feb 2013
AbstractforAre Chinese warrants derivatives? Evidence from connections to their underlying stocks | Full Text | References | PDF (197.8 KB)
  • 346 Views
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Article
The bid–ask spread of bank-issued options: a quantile regression analysis
Giovanni Petrella & Reuben Segara
Pages: 1241-1255
Published online: 24 Oct 2012
AbstractforThe bid–ask spread of bank-issued options: a quantile regression analysis | Full Text | References | PDF (873.3 KB)
  • 263 Views
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Article
Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes
Dervis Bayazit & Craig A. Nolder
Pages: 1257-1287
Published online: 18 Apr 2013
AbstractforSensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes | Full Text | References | PDF (4.7 MB)
  • 272 Views
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Article
Log Student’s t-distribution-based option sensitivities: Greeks for the Gosset formulae
Daniel T. Cassidy, Michael J. Hamp & Rachid Ouyed
Pages: 1289-1302
Published online: 14 Mar 2013
AbstractforLog Student’s t-distribution-based option sensitivities: Greeks for the Gosset formulae | Full Text | References | PDF (1 MB)
  • 437 Views
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Article
Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
Reiichiro Kawai & Atsushi Takeuchi
Pages: 1303-1316
Published online: 03 Nov 2011
AbstractforComputation of Greeks for asset price dynamics driven by stable and tempered stable processes | Full Text | References | PDF (550.7 KB)
  • 213 Views
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Article
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
S. Bianchi, A. Pantanella & A. Pianese
Pages: 1317-1330
Published online: 26 Aug 2011
AbstractforModeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity | Full Text | References | PDF (2.4 MB)
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