http://www.informaworld.com/smpp/title~content=t713665537~db=all informaworld: articles recently published in Quantitative Finance Routledge Articles recently published in Quantitative Finance RSS feed of the most recently published articles of Quantitative Finance 2009-11-04 undefined Quantitative Finance 1469-7688 weekly 1 2009-11-04T00:00+00:00 Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities http://www.informaworld.com/smpp/content~content=a916624031~db=all~jumptype=rss Wang, Jun Hessel, Christopher 99999 1 1 10 The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management http://www.informaworld.com/smpp/content~content=a916661904~db=all~jumptype=rss Luo, Xiaolin Shevchenko, Pavel V. 99999 1 1 16 Further international evidence on durable consumption growth and long-run consumption risk http://www.informaworld.com/smpp/content~content=a916661980~db=all~jumptype=rss Nieto, Belén Márquez, Elena 99999 1 1 23 Leveraged Lévy processes as models for stock prices http://www.informaworld.com/smpp/content~content=a916663012~db=all~jumptype=rss Xiao, Yue Madan, Dilip B. 99999 1 1 14 Stochastic resonance and the trade arrival rate of stocks http://www.informaworld.com/smpp/content~content=a916663334~db=all~jumptype=rss Yen, Ju-Yi J. Christian Silva, A. 99999 1 1 6 Loss aversion and the price of risk http://www.informaworld.com/smpp/content~content=a916484038~db=all~jumptype=rss Levy, M. 99999 1 1 14 No-transaction bounds and estimation risk http://www.informaworld.com/smpp/content~content=a916484175~db=all~jumptype=rss Golosnoy, Vasyl 99999 1 1 7 Portfolio sensitivity to changes in the maximum and the maximum drawdown http://www.informaworld.com/smpp/content~content=a916484556~db=all~jumptype=rss Vecer, Jan Pospisil, Libor 99999 1 1 11 On the acceleration of explicit finite difference methods for option pricing http://www.informaworld.com/smpp/content~content=a916485102~db=all~jumptype=rss O'Sullivan, Conall O'Sullivan, Stephen 99999 1 1 15 Exact properties of measures of optimal investment for benchmarked portfolios http://www.informaworld.com/smpp/content~content=a916485379~db=all~jumptype=rss Satchell, S. E. Knight, J. 99999 1 1 8 Long-term strategic asset allocation with inflation risk and regime switching http://www.informaworld.com/smpp/content~content=a916485629~db=all~jumptype=rss Siu, Tak Kuen 99999 1 1 16 Change analysis of a dynamic copula for measuring dependence in multivariate financial data http://www.informaworld.com/smpp/content~content=a916201799~db=all~jumptype=rss Zhang, J. Guégan, D. 99999 1 1 10 Analysis of Kelly-optimal portfolios http://www.informaworld.com/smpp/content~content=a916201865~db=all~jumptype=rss Zhang, Yi-Cheng Medo, Matúš Laureti, Paolo 99999 1 1 9 Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes http://www.informaworld.com/smpp/content~content=a916201927~db=all~jumptype=rss Zhang, Huayue Guo, Junyi Bai, Lihua 99999 1 1 10 Fierce stock market fluctuation disrupts scalefree distribution http://www.informaworld.com/smpp/content~content=a916201959~db=all~jumptype=rss He, Keqing Tse, Chi K. Liu, Jing 99999 1 1 7 Multi-regime nonlinear capital asset pricing models http://www.informaworld.com/smpp/content~content=a916202091~db=all~jumptype=rss Gerlach, Richard H. Chen, Cathy W. S. Lin, Ann M. H. 99999 1 1 18 Regression-based algorithms for life insurance contracts with surrender guarantees http://www.informaworld.com/smpp/content~content=a916202181~db=all~jumptype=rss Millossovich, Pietro Biffis, Enrico Bacinello, Anna Rita 99999 1 1 14 Single and joint default in a structural model with purely discontinuous asset prices http://www.informaworld.com/smpp/content~content=a916269276~db=all~jumptype=rss Semeraro, Patrizia Luciano, Elisa Fiorani, Filippo 99999 1 1 15 Multiperiod mean-variance efficient portfolios with endogenous liabilities http://www.informaworld.com/smpp/content~content=a915750608~db=all~jumptype=rss Vanini, Paolo Trojani, Fabio Leippold, Markus 99999 1 1 12 An empirical study of liquidity dynamics and resistance and support levels http://www.informaworld.com/smpp/content~content=a915750681~db=all~jumptype=rss Gomes, Carla Waelbroeck, Henri 99999 1 1 9 Portfolio allocation and the investment horizon: a multiscaling approach http://www.informaworld.com/smpp/content~content=a915750714~db=all~jumptype=rss In, Francis Kim, Sangbae 99999 1 1 11 Johnson binomial trees http://www.informaworld.com/smpp/content~content=a915750901~db=all~jumptype=rss Simonato, Jean-Guy 99999 1 1 12 Static-arbitrage lower bounds on the prices of basket options via linear programming http://www.informaworld.com/smpp/content~content=a915750946~db=all~jumptype=rss Zuluaga, Luis F. Vera, Juan C. Peña, Javier 99999 1 1 9 Time to default and other sensitivities of credit ratings http://www.informaworld.com/smpp/content~content=a915750993~db=all~jumptype=rss Parnes, Dror 99999 1 1 6 The risk-shifting effect and the value of a warrant http://www.informaworld.com/smpp/content~content=a915751020~db=all~jumptype=rss Barbi, Massimiliano Bajo, Emanuele 99999 1 1 11 Can expected shortfall and Value-at-Risk be used to statically hedge options? http://www.informaworld.com/smpp/content~content=a915751065~db=all~jumptype=rss Kuen Siu, Tak Zhang, Qiang Wylie, Jonathan J. 99999 1 1 9 Dynamic complex hedging in additive markets http://www.informaworld.com/smpp/content~content=a915751098~db=all~jumptype=rss Guerra, João M. E. Corcuera, José M. 99999 1 1 15 Valuation of energy storage: an optimal switching approach http://www.informaworld.com/smpp/content~content=a915751138~db=all~jumptype=rss Ludkovski, Michael Carmona, René 99999 1 1 16 A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes http://www.informaworld.com/smpp/content~content=a915669145~db=all~jumptype=rss Jeannin, Marc Pistorius, Martijn 99999 1 1 16 Pricing and hedging basket options to prespecified levels of acceptability http://www.informaworld.com/smpp/content~content=a915669220~db=all~jumptype=rss Madan, Dilip B. 99999 1 1 9 International trade and financial integration: a weighted network analysis http://www.informaworld.com/smpp/content~content=a915669257~db=all~jumptype=rss Fagiolo, Giorgio Reyes, Javier Schiavo, Stefano 99999 1 1 11 Utility valuation of multi-name credit derivatives and application to CDOs http://www.informaworld.com/smpp/content~content=a915669318~db=all~jumptype=rss Zariphopoulou, Thaleia Sircar, Ronnie 99999 1 1 14 Asset allocation using flexible dynamic correlation models with regime switching http://www.informaworld.com/smpp/content~content=a915669401~db=all~jumptype=rss Otranto, Edoardo 99999 1 1 14 A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing http://www.informaworld.com/smpp/content~content=a915669469~db=all~jumptype=rss Eriksson, Anders 99999 1 1 16 Financial literacy and portfolio diversification http://www.informaworld.com/smpp/content~content=a915669572~db=all~jumptype=rss Mendes, Victor Abreu, Margarida 99999 1 1 14 An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility http://www.informaworld.com/smpp/content~content=a915681974~db=all~jumptype=rss Lee, Kyuseok Li, Minqiang 99999 1 1 25 Capital requirements, acceptable risks and profits http://www.informaworld.com/smpp/content~content=a915786280~db=all~jumptype=rss Madan, Dilip B. 9 7 767 773 The causes of the credit crunch: a backwards look? http://www.informaworld.com/smpp/content~content=a915786135~db=all~jumptype=rss Murphy, David 9 7 775 790 The Epps effect revisited http://www.informaworld.com/smpp/content~content=a909143270~db=all~jumptype=rss Tóth, Bence Kertész, János 9 7 793 802 Pricing and capital requirements for with profit contracts: modelling considerations http://www.informaworld.com/smpp/content~content=a908628996~db=all~jumptype=rss Ballotta, Laura 9 7 803 817 Valuing qualitative options with stochastic volatility http://www.informaworld.com/smpp/content~content=a910839679~db=all~jumptype=rss Roh, Kum-Hwan Jang, Bong-Gyu 9 7 819 825 Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree http://www.informaworld.com/smpp/content~content=a913250271~db=all~jumptype=rss Dai, Tian-Shyr 9 7 827 838 An empirical analysis of multivariate copula models http://www.informaworld.com/smpp/content~content=a911733110~db=all~jumptype=rss Weigert, Florian Schlüter, Stephan Köck, Christian Fischer, Matthias 9 7 839 854 Gram-Charlier densities: a multivariate approach http://www.informaworld.com/smpp/content~content=a912720462~db=all~jumptype=rss Perote, Javier Ñíguez, Trino-Manuel Del Brio, Esther B. 9 7 855 868 Robust portfolio selection under downside risk measures http://www.informaworld.com/smpp/content~content=a915785697~db=all~jumptype=rss Wang, Shouyang Li, Duan Zhu, Shushang 9 7 869 885 Evaluating style investment—Does a fund market defined along equity styles add value? http://www.informaworld.com/smpp/content~content=a914141461~db=all~jumptype=rss Mulvey, John M. Kim, Woo Chang 9 6 637 651 Spectral methods for volatility derivatives http://www.informaworld.com/smpp/content~content=a914141000~db=all~jumptype=rss Mijatović, Aleksandar Lo, Harry Albanese, Claudio 9 6 663 692 Numerical computation of Theta in a jump-diffusion model by integration by parts http://www.informaworld.com/smpp/content~content=a914141678~db=all~jumptype=rss Privault, Nicolas David, Delphine 9 6 727 735 VaR and expected shortfall: a non-normal regime switching framework http://www.informaworld.com/smpp/content~content=a914141234~db=all~jumptype=rss Miao, Hong Elliott, Robert J. 9 6 747 755 Capital market equilibrium with heterogeneous investors http://www.informaworld.com/smpp/content~content=a912720320~db=all~jumptype=rss Shalit, Haim Yitzhaki, Shlomo 9 6 757 766