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Quantitative Finance, Volume 1 Issue 1 2001

Increasing to 10 issues in 2010
ISSN: 1469-7696 (electronic) 1469-7688 (paper)
Publication Frequency: 8 issues per year
Publisher: Routledge
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Miscellany
Proprietary trading: truth and fiction
P. Muller
Pages 6 – 8
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Options and forwards compete for best hedge
C. Attfield;  M. Glod; J. James
Pages 9 – 11
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Real options give insights into real value
S. Leppard; P. Morawitz
Pages 12 – 14
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Optimal positioning in derivative securities
P. Carr; D. Madan
Pages 19 – 37
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Information and option pricings
X. Guo
Pages 38 – 44
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Asset allocation and derivatives
M. B. Haugh; A. W. Lo
Pages 45 – 72
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Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
C. F. Lo; C. H. Hui
Pages 73 – 78
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Multivariate extremes, aggregation and risk estimation
H. A. Hauksson;  M. Dacorogna;  T. Domenig;  U. Mller; G. Samorodnitsky
Pages 79 – 95
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High-frequency cross-correlation in a set of stocks
G. Bonanno;  F. Lillo; R. N. Mantegna
Pages 96 – 104
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Power laws in economics and finance: some ideas from physics
J-P. Bouchaud
Pages 105 – 112
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Scaling in financial prices: I. Tails and dependence
B. B. Mandelbrot
Pages 113 – 123
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Scaling in financial prices: II. Multifractals and the star equation
B. B. Mandelbrot
Pages 124 – 130
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Multifractal returns and hierarchical portfolio theory
J-F. Muzy;  D. Sornette;  J. delour; A. Arneodo
Pages 131 – 148
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Financial markets as nonlinear adaptive evolutionary systems
C. H. Hommes
Pages 149 – 167
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From Minority Games to real markets
D. Challet;  A. Chessa;  M. Marsili; Y-C. Zhang
Pages 168 – 176
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Towards evolutionary game models of financial markets
D. Friedman
Pages 177 – 185
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Money and Goldstone modes
P. Bak;  S. F. Nrrelykke; M. Shubik
Pages 186 – 190
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