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Quantitative Finance, Volume 4 Issue 1 2004

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
Enhancing trend-following strategies with option selling
Jessica James; Hetty Colchester
Pages C1 – C6
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Original Articles
Approximated moment-matching dynamics for basket-options pricing
Damiano Brigo;  Fabio Mercurio;  Francesco Rapisarda; Rita Scotti
Pages 1 – 16
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Commentary
On the origin of power-law tails in price fluctuations
J Doyne Farmer; Fabrizio Lillo
Pages C7 – C11
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On the origin of power-law fluctuations in stock prices
Vasiliki Plerou;  H Eugene Stanley;  Xavier Gabaix; Parameswaran Gopikrishnan
Pages C11 – C15
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Reviews
Looking for a pattern amid the noise
Alireza Javaheri
Page C16
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Calendar
Calendar
Page 17
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Original Articles
Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
Y. Malevergne; D. Sornette
Pages 17 – 36
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Asymmetries and tails in stock index returns: are their distributions really asymmetric?
Amado Peiró
Pages 37 – 44
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The correlation dimension of returns with stochastic volatility
Cees Diks
Pages 45 – 54
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Understanding option prices
Ajay Khanna; Dilip B. Madan
Pages 55 – 63
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Aggregating sectors in the infectious defaults model
Ola Hammarlid
Pages 64 – 69
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Volatility processes and volatility forecast with long memory
Gilles Zumbach
Pages 70 – 86
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Valuing Bermudan options when asset returns are Lévy processes
Evis Këllezi; Nick Webber
Pages 87 – 100
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The pricing of dual-expiry exotics
Peter W. Buchen
Pages 101 – 108
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A spot market model for pricing derivatives in electricity markets
Markus Burger;  Bernhard Klar;  Alfred Müller; Gero Schindlmayr
Pages 109 – 122
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Calendar
Behavioral Finance: The Closed-End Fund Puzzle
Page C17
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Research Papers
Value-at-Risk-efficient portfolios for a class of super-and sub-exponentially decaying assets return distributions
Y. Malevergne; D. Sornette
Pages 17 – 36
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Volatility process and volatility forecast with long memory
Gilles Zumbach
Pages 70 – 86
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