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Quantitative Finance, Volume 4 Issue 2 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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Fluctuations and response in financial markets: the subtle nature of ‘random' price changes
Jean-Philippe Bouchaud;  Yuval Gefen;  Marc Potters; Matthieu Wyart
Pages 176 – 190
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Research Papers
Perpetual American options with fractional Brownian motion
Robert J. Elliott; Leunglung Chan
Pages 123 – 128
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Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
Lim Kian Guan;  Liu Xiaoqing; Tsui Kai Chong
Pages 129 – 139
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A duscrete-time model of high-frequency stock returns
Takaki Hayashi
Pages 140 – 150
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On the accuracy of the local linear approximation for the term structure of interest rates
Hideyuki Takamizawa; Isao Shoji
Pages 151 – 157
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Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
Y. K. Tse;  Xibin Zhang; Jun Yu
Pages 158 – 169
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Original Articles
Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
Lim Kian Guan;  Liu Xiaoqing; Tsui Kai Chong
Pages 129 – 139
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A discrete-time model of high-frequency stock returns
Takaki Hayashi
Pages 140 – 150
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Research Papers
Aggregate consumption spending, the stock market and asymmetric error correction
Lonnie K. Stevans
Pages 191 – 198
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Applying importance sampling for estimating coherent credit risk contributions
Sandro Merino; Mark A. Nyfeler
Pages 199 – 207
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Statistical analysis of financial time series under the assumption of local stationarity
Stéphan Clémençon; Skander Slim
Pages 208 – 220
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Optimal tracking for asset allocation with fixed and proportional transaction costs
Stanley R. Pliska; Kiyoshi Suzuki
Pages 233 – 243
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Profile
Robert F Engle: Understanding volatility as a process
Robert F. Engle
Pages C19 – C20
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Feature
A diffusive wander through human life
Moshe Milevsky
Pages C21 – C23
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Original Articles
Positive forward rates in the maximum smoothness framework
Julián Manzano; Jörgen Blomvall
Pages 221 – 232
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Calender
Calendar
Pages C26 – C27
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Research Papers
Pricing Asian options in a semimartingale model
Jan Vecer; Mingxin Xu
Pages 170 – 175
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Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
Jean-Philippe Bouchaud;  Yuval Gefen;  Marc Potters; Matthieu Wyart
Pages 176 – 190
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Positive forward rates in the maximum smoothenss framework
Julián Manzano; Jörgen Blomvall
Pages 221 – 232
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Review
Adventures on the edge of chaos
K. P. Zetie
Page C24
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