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Quantitative Finance, Volume 8 Issue 2 2008

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 Articles
Option valuation, time-changed processes and the fast Fourier transform
Óscar Gutiérrez
Pages 103 – 108
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Goodness-of-fit tests for parametric families of Archimedean copulas
Cornelia Savu; Mark Trede
Pages 109 – 116
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Pricing options with Green's functions when volatility, interest rate and barriers depend on time
Gregor Dorfleitner;  Paul Schneider;  Kurt Hawlitschek; Arne Buch
Pages 119 – 133
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Enhanced policy iteration for American options via scenario selection
Christian Bender;  Anastasia Kolodko; John Schoenmakers
Pages 135 – 146
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Path integral pricing of Asian options on state-dependent volatility models
Giuseppe Campolieti; Roman Makarov
Pages 147 – 161
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Fast swaption pricing under the market model with a square-root volatility process
Lixin Wu; Fan Zhang
Pages 163 – 180
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A multi-factor jump-diffusion model for commodities
John Crosby
Pages 181 – 200
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Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
Don U. A. (Tissa) Galagedera; Elizabeth A. Maharaj
Pages 201 – 215
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