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Quantitative Finance, Volume 5 Issue 1 2005

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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Original Article
The use of Hurst and effective return in investing
Andrew Clark
Pages 1 – 8
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Empirical modelling of contagion: a review of methodologies
Mardi Dungey;  Renée Fry;  Brenda González-Hermosillo; Vance L. Martin
Pages 9 – 24
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Miscellany
Calendar
Page 25
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Original Article
Analysis of default data using hidden Markov models
Giacomo Giampieri;  Mark Davis; Martin Crowder
Pages 27 – 34
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The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
Vicky Henderson
Pages 35 – 47
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Pricing electricity risk by interest rate methods
Juri Hinz;  Lutz Von Grafenstein;  Michel Verschuere; Martina Wilhelm
Pages 49 – 60
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Valuing employee reload options under the time vesting requirement
Min Dai; Yue Kuen Kwok
Pages 61 – 69
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A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices
Andrea Consiglio;  Valerio Lacagnina; Annalisa Russino
Pages 71 – 87
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A moment expansion approach to option pricing
Marco Airoldi
Pages 89 – 104
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A framework to measure integrated risk
Elena A. Medova; Robert G. Smith
Pages 105 – 121
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Financial contagion, spillovers and causality in the Markov switching framework
J�drzej Białkowski; Dobromił Serwa
Pages 123 – 131
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