Quantitative Finance, Volume 14, Issue 8 (2014)

Browse this journal
Sample our Economics, Finance,Business & Industry journals, sign in here to start your access, latest two full volumes FREE to you for 14 days

Quantitative Finance, Volume 14, Issue 8 (2014)

See all volumes and issues
Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Volume 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001
Download citations Download PDFs Download issue

Themed Issue on Financial Models with Jumps

Features

Asian options on the harmonic average
Jan Vecer
Pages: 1315-1322
Published online: 15 Jul 2014
First Page PreviewforAsian options on the harmonic average | Full Text | References | PDF (442.3 KB)
  • 184 Views
  • 1 CrossRef citations
  • 0Altmetric

Book review

Book Review
The Climate Casino: Risk, Uncertainty and Economics for a Warming World
Lloyd Kurtz
Pages: 1323-1325
Published online: 19 Mar 2014
First Page PreviewforThe Climate Casino: Risk, Uncertainty and Economics for a Warming World | Full Text | References | PDF (195.9 KB)
  • 413 Views
  • 0 CrossRef citations
  • 0Altmetric
Free Access

Comment

Discussion
How to make Dupire’s local volatility work with jumps
Peter K. Friz, Stefan Gerhold & Marc Yor
Pages: 1327-1331
Published online: 31 Mar 2014
AbstractforHow to make Dupire’s local volatility work with jumps | Full Text | References | PDF (132.3 KB)
  • 225 Views
  • 12 CrossRef citations
  • 0Altmetric

Calendar

Calendar
Calendar
Page: 1333
Published online: 15 Jul 2014
CitationforCalendar | Full Text | PDF (107.2 KB)
  • 31 Views
  • 0 CrossRef citations
  • 0Altmetric

Book Review Editor

Applications sought for book review editor from 2015
Alexander Smith (Publishing Editor)
Page: 1334
Published online: 15 Jul 2014
CitationforApplications sought for book review editor from 2015 | Full Text | PDF (109.3 KB)
  • 602 Views
  • 0 CrossRef citations
  • 0Altmetric
Free Access

Research Papers

Article
Pricing discrete barrier options and credit default swaps under Lévy processes
Marco De Innocentis & Sergei Levendorskiĭ
Pages: 1337-1365
Published online: 18 Nov 2013
AbstractforPricing discrete barrier options and credit default swaps under Lévy processes | Full Text | References | PDF (730.5 KB)
  • 2256 Views
  • 43 CrossRef citations
  • 0Altmetric
Open Access
Article
Pricing barrier stock options with discrete dividends by approximating analytical formulae
Tian-Shyr Dai & Chun-Yuan Chiu
Pages: 1367-1382
Published online: 18 Nov 2013
AbstractforPricing barrier stock options with discrete dividends by approximating analytical formulae | Full Text | References | PDF (408.5 KB)
  • 272 Views
  • 7 CrossRef citations
  • 0Altmetric
Article
Multivariate Lévy processes with dependent jump intensity
Roberto Marfè
Pages: 1383-1398
Published online: 21 Sep 2011
AbstractforMultivariate Lévy processes with dependent jump intensity | Full Text | References | PDF (1.3 MB)
  • 1017 Views
  • 5 CrossRef citations
  • 0Altmetric
Article
Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models
Yi-Jie Peng, Michael C. Fu & Jian-Qiang Hu
Pages: 1399-1414
Published online: 18 Nov 2013
AbstractforGradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models | Full Text | References | PDF (1.2 MB)
  • 265 Views
  • 9 CrossRef citations
  • 0Altmetric
Article
Bayesian testing volatility persistence in stochastic volatility models with jumps
Xiao-Bin Liu & Yong Li
Pages: 1415-1426
Published online: 27 Mar 2014
AbstractforBayesian testing volatility persistence in stochastic volatility models with jumps | Full Text | References | PDF (729.3 KB)
  • 212 Views
  • 4 CrossRef citations
  • 0Altmetric
Article
Jump detection with wavelets for high-frequency financial time series
Yi Xue, Ramazan Gençay & Stephen Fagan
Pages: 1427-1444
Published online: 18 Nov 2013
AbstractforJump detection with wavelets for high-frequency financial time series | Full Text | References | PDF (456.3 KB)
  • 646 Views
  • 42 CrossRef citations
  • 0Altmetric
Article
Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market
Ionuţ Florescu, Maria Cristina Mariani & Granville Sewell
Pages: 1445-1452
Published online: 05 Oct 2011
AbstractforNumerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market | Full Text | References | PDF (1.3 MB)
  • 256 Views
  • 5 CrossRef citations
  • 0Altmetric
Article
An intensity model for credit risk with switching Lévy processes
Donatien Hainaut & Olivier Le Courtois
Pages: 1453-1465
Published online: 18 Mar 2013
AbstractforAn intensity model for credit risk with switching Lévy processes | Full Text | References | PDF (553.4 KB)
  • 312 Views
  • 12 CrossRef citations
  • 0Altmetric
Article
Forecasting forward defaults: a simple hazard model with competing risks
Ruey-Ching Hwang & Chih-Kang Chu
Pages: 1467-1477
Published online: 18 Nov 2013
AbstractforForecasting forward defaults: a simple hazard model with competing risks | Full Text | References | PDF (414.6 KB)
  • 255 Views
  • 8 CrossRef citations
  • 0Altmetric
Article
On a continuous time stock price model with regime switching, delay, and threshold
Pedro P. Mota & Manuel L. EsquÍvel
Pages: 1479-1488
Published online: 27 Mar 2014
AbstractforOn a continuous time stock price model with regime switching, delay, and threshold | Full Text | References | PDF (1.7 MB)
  • 311 Views
  • 12 CrossRef citations
  • 0Altmetric
Article
Computing optimal rebalance frequency for log-optimal portfolios
Sujit R. Das, Dmitri Kaznachey & Mukul Goyal
Pages: 1489-1502
Published online: 20 Mar 2014
AbstractforComputing optimal rebalance frequency for log-optimal portfolios | Full Text | References | PDF (477.3 KB)
  • 300 Views
  • 4 CrossRef citations
  • 0Altmetric

Corrigendum

Correction
Corrigendum
Page: ei
Published online: 22 Apr 2014
CitationforCorrigendum | Full Text | PDF (49.6 KB)
  • 377 Views
  • 0 CrossRef citations
  • 0Altmetric
Free Access

Explore articles

Explore the most recently published articles

Deep learning for enhanced index tracking
Zhiwen Dai et al.
Article | Published online: 6 Jun 2024
Open Access
Consistent curves in the -world: optimal bonds portfolio
Gaddiel Y. Ouaknin
Article | Published online: 5 Jun 2024
Optimal trading and competition with information in the price impact model
Longjie Xu et al.
Article | Published online: 5 Jun 2024
A study on asset price bubble dynamics: explosive trend or quadratic variation?
Robert A. Jarrow et al.
Article | Published online: 29 May 2024
Open Access
View all latest articles