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Quantitative Finance, Volume 2 Issue 1 2002

Mathematical Methods in Financial Modelling

Increasing to 10 issues in 2010
ISSN: 1469-7696 (electronic) 1469-7688 (paper)
Publication Frequency: 8 issues per year
Publisher: Routledge
View new articles ahead of the print edition
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Profile: Richard C Grinold
Active management: Can it beat the markets?
Vanessa Spedding
Pages 4 – 5
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Special Issue Introduction
Introduction to the special issue on volatility modelling
Rama Cont; Marco Avellaneda
Pages 6 – 7
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Review
Defusing volatility explosions with complex analysis
Option Valuation Under Stochastic Volatility
Nick Webber
Pages 7 – 8
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Calendar
Calendar
Page 9
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Original Articles
Some recent developments in stochastic volatility modelling
Ole E. Barndorff-Nielsen;  Elisa Nicolato; Neil Shephard
Pages 11 – 23
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Research Paper
Variance reduction for Monte Carlo simulation in a stochastic volatility environment
Jean-Pierre Fouque; Tracey Andrew Tullie
Pages 24 – 30
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Original Articles
Deterministic implied volatility models
P. Balland
Pages 31 – 44
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Dynamics of implied volatility surfaces
Rama Cont; José da Fonseca
Pages 45 – 60
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Research Paper
Asymptotics and calibration of local volatility models
H. Berestycki;  J. Busca; I. Florent
Pages 61 – 69
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Entropy and information in the interest rate term structure
D. C. Brody; L. P. Hughston
Pages 70 – 80
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